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, 2018

Item 1. Reports to Stockholders

SEASONS SERIES TRUST

SEMI-ANNUAL REPORT
SEPTEMBER 30, 2018

Table of Contents

Shareholder Letter	2
Expense Example	3
Seasons Strategies
SA Multi-Managed Growth Portfolio	6
SA Multi-Managed Moderate Growth Portfolio	32
SA Multi-Managed Income/Equity Portfolio	62
SA Multi-Managed Income Portfolio	86
SA Putnam Asset Allocation Diversified Growth Portfolio	110
SA T. Rowe Price Growth Stock Portfolio	149
Seasons Select
SA Multi-Managed Large Cap Growth Portfolio	155
SA Multi-Managed Large Cap Value Portfolio	163
SA Multi-Managed Mid Cap Growth Portfolio	172
SA Multi-Managed Mid Cap Value Portfolio	186
SA Multi-Managed Small Cap Portfolio	200
SA Multi-Managed International Equity Portfolio	216
SA Multi-Managed Diversified Fixed Income Portfolio	230
SA Wellington Real Return Portfolio	281
Seasons Focused
SA Columbia Focused Growth Portfolio	287
SA Columbia Focused Value Portfolio	290
Seasons Managed Allocation
SA Allocation Growth Portfolio	293
SA Allocation Moderate Growth Portfolio	296
SA Allocation Moderate Portfolio	299
SA Allocation Balanced Portfolio	302
Statements of Assets and Liabilities	305
Statements of Operations	313
Statements of Changes in Net Assets	317
Notes to Financial Statements	324
Financial Highlights	372
Supplement to Prospectus	386

Dear Seasons Series Trust Investor:

We are pleased to present the semi-annual report for Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our affiliated life companies.

This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended September 30, 2018.

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

2

SEASONS SERIES TRUST
EXPENSE EXAMPLE  September 30, 2018

  (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, 2018 and held until September 30, 2018. 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, 2018" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended September 30, 2018" 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, 2018" 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, 2018" 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, 2018" 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, 2018

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2018		Ending Account Value Using Actual Return at September 30, 2018		Expenses Paid During the Six Months Ended September 30, 2018*		Beginning Account Value at April 1, 2018		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2018		Expenses Paid During the Six Months Ended September 30, 2018*		Annualized Expense Ratio*
SA Multi-Managed Growth#
Class 1	$	1,000.00	$	1,092.24	$	6.66	$	1,000.00	$	1,018.70	$	6.43		1.27	%
Class 2	$	1,000.00	$	1,091.12	$	7.44	$	1,000.00	$	1,017.95	$	7.18		1.42	%
Class 3	$	1,000.00	$	1,090.75	$	7.91	$	1,000.00	$	1,017.50	$	7.64		1.51	%
SA Multi-Managed Moderate Growth#
Class 1	$	1,000.00	$	1,072.09	$	5.66	$	1,000.00	$	1,019.60	$	5.52		1.09	%
Class 2	$	1,000.00	$	1,071.43	$	6.44	$	1,000.00	$	1,018.85	$	6.28		1.24	%
Class 3	$	1,000.00	$	1,069.93	$	6.95	$	1,000.00	$	1,018.35	$	6.78		1.34	%
SA Multi-Managed Income/ Equity#
Class 1	$	1,000.00	$	1,042.90	$	5.74	$	1,000.00	$	1,019.45	$	5.67		1.12	%
Class 2	$	1,000.00	$	1,042.97	$	6.50	$	1,000.00	$	1,018.70	$	6.43		1.27	%
Class 3	$	1,000.00	$	1,042.04	$	7.01	$	1,000.00	$	1,018.20	$	6.93		1.37	%
SA Multi-Managed Income#
Class 1	$	1,000.00	$	1,021.72	$	5.88	$	1,000.00	$	1,019.25	$	5.87		1.16	%
Class 2	$	1,000.00	$	1,020.83	$	6.64	$	1,000.00	$	1,018.50	$	6.63		1.31	%
Class 3	$	1,000.00	$	1,019.93	$	7.14	$	1,000.00	$	1,018.00	$	7.13		1.41	%
SA Putnam Asset Allocation Diversified Growth#
Class 1	$	1,000.00	$	1,060.08	$	4.75	$	1,000.00	$	1,020.46	$	4.66		0.92	%
Class 2	$	1,000.00	$	1,059.26	$	5.52	$	1,000.00	$	1,019.70	$	5.42		1.07	%
Class 3	$	1,000.00	$	1,059.45	$	6.04	$	1,000.00	$	1,019.20	$	5.92		1.17	%
SA T. Rowe Price Growth Stock
Class 1	$	1,000.00	$	1,109.48	$	4.65	$	1,000.00	$	1,020.66	$	4.46		0.88	%
Class 2	$	1,000.00	$	1,108.77	$	5.44	$	1,000.00	$	1,019.90	$	5.22		1.03	%
Class 3	$	1,000.00	$	1,107.92	$	5.97	$	1,000.00	$	1,019.40	$	5.72		1.13	%
SA Multi-Managed Large Cap Growth#
Class 1	$	1,000.00	$	1,142.95	$	4.19	$	1,000.00	$	1,021.16	$	3.95		0.78	%
Class 2	$	1,000.00	$	1,141.81	$	4.99	$	1,000.00	$	1,020.41	$	4.71		0.93	%
Class 3	$	1,000.00	$	1,141.22	$	5.53	$	1,000.00	$	1,019.90	$	5.22		1.03	%
SA Multi-Managed Large Cap Value
Class 1	$	1,000.00	$	1,061.60	$	4.08	$	1,000.00	$	1,021.11	$	4.00		0.79	%
Class 2	$	1,000.00	$	1,061.08	$	4.86	$	1,000.00	$	1,020.36	$	4.76		0.94	%
Class 3	$	1,000.00	$	1,059.88	$	5.37	$	1,000.00	$	1,019.85	$	5.27		1.04	%
SA Multi-Managed Mid Cap Growth
Class 1	$	1,000.00	$	1,118.02	$	4.94	$	1,000.00	$	1,020.41	$	4.71		0.93	%
Class 2	$	1,000.00	$	1,117.29	$	5.73	$	1,000.00	$	1,019.65	$	5.47		1.08	%
Class 3	$	1,000.00	$	1,116.95	$	6.26	$	1,000.00	$	1,019.15	$	5.97		1.18	%
SA Multi-Managed Mid Cap Value
Class 1	$	1,000.00	$	1,054.80	$	4.79	$	1,000.00	$	1,020.41	$	4.71		0.93	%
Class 2	$	1,000.00	$	1,054.36	$	5.56	$	1,000.00	$	1,019.65	$	5.47		1.08	%
Class 3	$	1,000.00	$	1,053.89	$	6.08	$	1,000.00	$	1,019.15	$	5.97		1.18	%

4

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2018

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2018		Ending Account Value Using Actual Return at September 30, 2018		Expenses Paid During the Six Months Ended September 30, 2018*		Beginning Account Value at April 1, 2018		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2018		Expenses Paid During the Six Months Ended September 30, 2018*		Annualized Expense Ratio*
SA Multi-Managed Small Cap#
Class 1	$	1,000.00	$	1,102.24	$	4.80	$	1,000.00	$	1,020.51	$	4.61		0.91	%
Class 2	$	1,000.00	$	1,101.37	$	5.58	$	1,000.00	$	1,019.75	$	5.37		1.06	%
Class 3	$	1,000.00	$	1,100.80	$	6.11	$	1,000.00	$	1,019.25	$	5.87		1.16	%
SA Multi-Managed International Equity#
Class 1	$	1,000.00	$	997.94	$	4.76	$	1,000.00	$	1,020.31	$	4.81		0.95	%
Class 2	$	1,000.00	$	995.88	$	5.50	$	1,000.00	$	1,019.55	$	5.57		1.10	%
Class 3	$	1,000.00	$	996.90	$	6.01	$	1,000.00	$	1,019.05	$	6.07		1.20	%
SA Multi-Managed Diversified Fixed Income
Class 1	$	1,000.00	$	997.40	$	3.45	$	1,000.00	$	1,021.61	$	3.50		0.69	%
Class 2	$	1,000.00	$	997.39	$	4.16	$	1,000.00	$	1,020.91	$	4.20		0.83	%
Class 3	$	1,000.00	$	997.38	$	4.66	$	1,000.00	$	1,020.41	$	4.71		0.93	%
SA Wellington Real Return#
Class 1	$	1,000.00	$	1,004.15	$	2.91	$	1,000.00	$	1,022.16	$	2.94		0.58	%
Class 3	$	1,000.00	$	1,003.14	$	4.17	$	1,000.00	$	1,020.91	$	4.20		0.83	%
SA Columbia Focused Growth#
Class 1	$	1,000.00	$	1,125.34	$	4.05	$	1,000.00	$	1,021.26	$	3.85		0.76	%
Class 2	$	1,000.00	$	1,124.40	$	4.85	$	1,000.00	$	1,020.51	$	4.61		0.91	%
Class 3	$	1,000.00	$	1,123.77	$	5.38	$	1,000.00	$	1,020.00	$	5.11		1.01	%
SA Columbia Focused Value#
Class 1	$	1,000.00	$	1,072.69	$	3.74	$	1,000.00	$	1,021.46	$	3.65		0.72	%
Class 2	$	1,000.00	$	1,071.82	$	4.52	$	1,000.00	$	1,020.71	$	4.41		0.87	%
Class 3	$	1,000.00	$	1,071.50	$	5.04	$	1,000.00	$	1,020.21	$	4.91		0.97	%
SA Allocation Growth#
Class 1	$	1,000.00	$	1,055.36	$	0.77	$	1,000.00	$	1,024.32	$	0.76		0.15	%
Class 3	$	1,000.00	$	1,053.44	$	2.06	$	1,000.00	$	1,023.06	$	2.03		0.40	%
SA Allocation Moderate Growth#
Class 1	$	1,000.00	$	1,045.96	$	0.56	$	1,000.00	$	1,024.52	$	0.56		0.11	%
Class 3	$	1,000.00	$	1,044.37	$	1.90	$	1,000.00	$	1,023.21	$	1.88		0.37	%
SA Allocation Moderate#
Class 1	$	1,000.00	$	1,040.48	$	0.61	$	1,000.00	$	1,024.47	$	0.61		0.12	%
Class 3	$	1,000.00	$	1,038.86	$	1.89	$	1,000.00	$	1,023.21	$	1.88		0.37	%
SA Allocation Balanced#
Class 1	$	1,000.00	$	1,029.55	$	0.66	$	1,000.00	$	1,024.42	$	0.66		0.13	%
Class 3	$	1,000.00	$	1,028.70	$	1.93	$	1,000.00	$	1,023.16	$	1.93		0.38	%

*  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, 2018" 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, 2018" and the "Annualized Expense Ratio" would have been lower.

5

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Diversified Financial Services	8.9	%
Federal National Mtg. Assoc.	5.6
E-Commerce/Products	3.8
Web Portals/ISP	3.6
Applications Software	3.4
Electronic Components-Semiconductors	3.4
United States Treasury Notes	3.1
Finance-Credit Card	2.8
Medical-Drugs	2.6
Medical-Biomedical/Gene	2.5
Computers	2.5
Federal Home Loan Mtg. Corp.	2.4
Government National Mtg. Assoc.	2.3
Medical-HMO	2.2
Real Estate Investment Trusts	2.2
Retail-Restaurants	1.9
Diversified Manufacturing Operations	1.8
Diversified Banking Institutions	1.8
Banks-Commercial	1.7
Enterprise Software/Service	1.5
Beverages-Non-alcoholic	1.4
Consulting Services	1.4
Tobacco	1.3
United States Treasury Bonds	1.1
Electronic Forms	1.1
Electronic Components-Misc.	1.0
Aerospace/Defense-Equipment	1.0
Insurance-Property/Casualty	0.9
Oil Companies-Exploration & Production	0.9
E-Commerce/Services	0.9
Internet Content-Entertainment	0.9
Entertainment Software	0.8
Medical Instruments	0.8
Finance-Other Services	0.8
Commercial Services	0.8
Transport-Rail	0.8
Athletic Footwear	0.8
Commercial Services-Finance	0.8
Cable/Satellite TV	0.7
Therapeutics	0.7
Repurchase Agreements	0.7
Aerospace/Defense	0.7
Semiconductor Equipment	0.6
Containers-Metal/Glass	0.6
Computer Services	0.6
Electric-Integrated	0.6
Multimedia	0.6
Industrial Gases	0.6
Computer Aided Design	0.6
Coatings/Paint	0.5
Foreign Government Obligations	0.5
Cosmetics & Toiletries	0.5
Finance-Investment Banker/Broker	0.5
Cruise Lines	0.5
Building Products-Cement	0.5
Diagnostic Equipment	0.5
Sovereign	0.5
Building-Residential/Commercial	0.5
Auto/Truck Parts & Equipment-Original	0.5
Medical Products	0.5

Savings & Loans/Thrifts	0.4	%
Telephone-Integrated	0.4
Medical-Generic Drugs	0.4
Food-Catering	0.4
Broadcast Services/Program	0.4
Finance-Consumer Loans	0.4
Medical Information Systems	0.4
Medical-Hospitals	0.4
U.S. Government Agencies	0.4
Web Hosting/Design	0.4
Industrial Automated/Robotic	0.4
Airlines	0.3
Computer Software	0.3
Distribution/Wholesale	0.3
Pharmacy Services	0.3
Building & Construction-Misc.	0.3
Independent Power Producers	0.3
Retail-Gardening Products	0.3
Food-Misc./Diversified	0.3
Insurance-Life/Health	0.3
Oil Refining & Marketing	0.3
Data Processing/Management	0.2
Gambling (Non-Hotel)	0.2
Retail-Apparel/Shoe	0.2
Banks-Super Regional	0.2
Coal	0.2
Pipelines	0.2
Computers-Integrated Systems	0.2
Human Resources	0.2
Municipal Bonds & Notes	0.2
Machinery-General Industrial	0.2
Power Converter/Supply Equipment	0.2
Insurance-Multi-line	0.2
Energy-Alternate Sources	0.2
Rubber/Plastic Products	0.2
Wireless Equipment	0.2
Retail-Home Furnishings	0.2
Footwear & Related Apparel	0.2
Oil-Field Services	0.2
Office Supplies & Forms	0.2
Auto-Truck Trailers	0.2
Racetracks	0.2
Cellular Telecom	0.2
Chemicals-Specialty	0.1
Financial Guarantee Insurance	0.1
Printing-Commercial	0.1
Publishing-Newspapers	0.1
Television	0.1
Electronic Measurement Instruments	0.1
Miscellaneous Manufacturing	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Water	0.1
Semiconductor Components-Integrated Circuits	0.1
Retail-Jewelry	0.1
E-Services/Consulting	0.1
Auto-Cars/Light Trucks	0.1
Brewery	0.1
Containers-Paper/Plastic	0.1
Retail-Discount	0.1
Transport-Truck	0.1

6

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Industry Allocation* (continued)
Home Furnishings	0.1	%
Electronic Parts Distribution	0.1
B2B/E-Commerce	0.1
Gas-Distribution	0.1
Beverages-Wine/Spirits	0.1
Transactional Software	0.1
Metal Products-Distribution	0.1
Metal-Aluminum	0.1
Building Products-Doors & Windows	0.1
Engines-Internal Combustion	0.1
Internet Security	0.1
Publishing-Books	0.1
Medical Labs & Testing Services	0.1
Retail-Automobile	0.1
Metal-Iron	0.1
Oil Field Machinery & Equipment	0.1
Poultry	0.1
Medical-Outpatient/Home Medical	0.1
Real Estate Operations & Development	0.1
Paper & Related Products	0.1
Finance-Auto Loans	0.1
Vitamins & Nutrition Products	0.1
Retail-Regional Department Stores	0.1
Computers-Memory Devices	0.1
Building & Construction Products-Misc.	0.1
Rental Auto/Equipment	0.1
	106.1	%

*  Calculated as a percentage of net assets

7

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 72.8%
Aerospace/Defense — 0.6%
Boeing Co.		904	$	336,198
Aerospace/Defense-Equipment — 0.9%
Curtiss-Wright Corp.		400		54,968
L3 Technologies, Inc.		1,792		381,015
Moog, Inc., Class A		200		17,194
				453,177
Airlines — 0.3%
United Continental Holdings, Inc.†		2,060		183,464
Appliances — 0.0%
Hamilton Beach Brands Holding Co., Class A		450		9,873
Applications Software — 3.3%
Microsoft Corp.		10,477		1,198,254
salesforce.com, Inc.†		3,492		555,333
				1,753,587
Athletic Footwear — 0.8%
NIKE, Inc., Class B		4,819		408,266
Auto-Truck Trailers — 0.2%
Wabash National Corp.		4,925		89,783
Auto/Truck Parts & Equipment-Original — 0.5%
Aptiv PLC		2,869		240,709
Meritor, Inc.†		150		2,904
				243,613
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		1,475		64,753
B2B/E-Commerce — 0.1%
ePlus, Inc.†		500		46,350
Banks-Commercial — 1.6%
1st Source Corp.		325		17,101
BancFirst Corp.		925		55,454
BancorpSouth Bank		1,300		42,510
Banner Corp.		2,100		130,557
Cadence BanCorp		75		1,959
Cathay General Bancorp		500		20,720
CenterState Bank Corp.		239		6,704
Central Pacific Financial Corp.		1,575		41,627
Central Valley Community Bancorp		125		2,701
Citizens & Northern Corp.		125		3,269
City Holding Co.		325		24,960
CVB Financial Corp.		2,125		47,430
East West Bancorp, Inc.		24		1,449
FCB Financial Holdings, Inc., Class A†		1,575		74,655
First Commonwealth Financial Corp.		2,150		34,701
First Community Bancshares, Inc.		150		5,082
First Financial Bancorp		542		16,097
First Hawaiian, Inc.		450		12,222
First Interstate BancSystem, Inc., Class A		325		14,560
Great Western Bancorp, Inc.		150		6,329
Guaranty Bancorp		225		6,683
Hope Bancorp, Inc.		1,044		16,881

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
Independent Bank Corp./ Massachusetts		75	$	6,195
Independent Bank Corp./Michigan		600		14,190
OFG Bancorp		1,175		18,976
PacWest Bancorp		350		16,678
Sierra Bancorp		150		4,335
Simmons First National Corp., Class A		614		18,082
Southside Bancshares, Inc.		110		3,828
TCF Financial Corp.		1,325		31,548
Trustmark Corp.		450		15,143
UMB Financial Corp.		325		23,042
Union Bankshares Corp.		266		10,249
Webster Financial Corp.		300		17,688
West Bancorporation, Inc.		200		4,700
Westamerica Bancorporation		1,225		73,696
				842,001
Banks-Mortgage — 0.0%
Walker & Dunlop, Inc.		450		23,796
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		125		4,706
Beverages-Non-alcoholic — 1.4%
Coca-Cola Co.		11,598		535,711
Monster Beverage Corp.†		3,538		206,195
				741,906
Broadcast Services/Program — 0.3%
Discovery, Inc., Class C†		3,649		107,938
Hemisphere Media Group, Inc.†		1,375		19,181
MSG Networks, Inc., Class A†		1,000		25,800
				152,919
Building & Construction-Misc. — 0.3%
EMCOR Group, Inc.		1,900		142,709
MYR Group, Inc.†		625		20,400
				163,109
Building Products-Cement — 0.5%
Continental Building Products, Inc.†		2,750		103,262
Vulcan Materials Co.		1,529		170,025
				273,287
Building Products-Doors & Windows — 0.1%
Masonite International Corp.†		600		38,460
Building-Heavy Construction — 0.0%
MasTec, Inc.†		325		14,511
Building-Residential/Commercial — 0.5%
Beazer Homes USA, Inc.†		90		945
Hovnanian Enterprises, Inc., Class A†		11,875		19,000
KB Home		5,400		129,114
Taylor Morrison Home Corp., Class A†		4,550		82,082
TRI Pointe Group, Inc.†		725		8,990
				240,131

8

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Cable/Satellite TV — 0.4%
Liberty Broadband Corp., Class C†		2,669	$	224,997
WideOpenWest, Inc.†		987		11,064
				236,061
Chemicals-Plastics — 0.0%
PolyOne Corp.		250		10,930
Chemicals-Specialty — 0.1%
Minerals Technologies, Inc.		550		37,180
OMNOVA Solutions, Inc.†		1,850		18,223
Sensient Technologies Corp.		200		15,302
				70,705
Circuit Boards — 0.0%
TTM Technologies, Inc.†		600		9,546
Coal — 0.2%
Arch Coal, Inc., Class A		350		31,290
NACCO Industries, Inc., Class A		325		10,644
Peabody Energy Corp.		625		22,275
SunCoke Energy, Inc.†		275		3,195
Warrior Met Coal, Inc.		2,075		56,108
				123,512
Coatings/Paint — 0.5%
Sherwin-Williams Co.		630		286,782
Commercial Services — 0.8%
Acacia Research Corp.†		2,000		6,400
Care.com, Inc.†		625		13,819
CoStar Group, Inc.†		541		227,674
Medifast, Inc.		75		16,616
ServiceMaster Global Holdings, Inc.†		2,566		159,169
				423,678
Commercial Services-Finance — 0.7%
Euronet Worldwide, Inc.†		150		15,033
Green Dot Corp., Class A†		275		24,425
MarketAxess Holdings, Inc.		175		31,236
Travelport Worldwide, Ltd.		3,775		63,684
Worldpay, Inc., Class A†		2,310		233,934
				368,312
Computer Aided Design — 0.6%
Aspen Technology, Inc.†		1,200		136,692
Autodesk, Inc.†		1,016		158,608
				295,300
Computer Data Security — 0.0%
Carbon Black, Inc.†		150		3,177
Computer Services — 0.6%
Amdocs, Ltd.		3,303		217,932
Science Applications International Corp.		700		56,420
Syntel, Inc.†		425		17,416
Unisys Corp.†		1,825		37,230
				328,998

Security Description	Shares		Value (Note 2)
Computer Software — 0.3%
Box, Inc., Class A†		450	$	10,760
SendGrid, Inc.†		100		3,679
SS&C Technologies Holdings, Inc.		2,957		168,046
				182,485
Computers — 2.5%
Apple, Inc.		5,823		1,314,484
Computers-Integrated Systems — 0.2%
NetScout Systems, Inc.†		4,850		122,462
Computers-Periphery Equipment — 0.0%
Electronics For Imaging, Inc.†		200		6,816
Consulting Services — 1.4%
Gartner, Inc.†		2,989		473,756
Huron Consulting Group, Inc.†		1,275		62,985
Navigant Consulting, Inc.		925		21,331
Verisk Analytics, Inc.†		1,465		176,606
				734,678
Containers-Metal/Glass — 0.6%
Ball Corp.		7,820		344,002
Containers-Paper/Plastic — 0.1%
Graphic Packaging Holding Co.		3,595		50,366
Cosmetics & Toiletries — 0.5%
Edgewell Personal Care Co.†		275		12,713
Estee Lauder Cos., Inc., Class A		1,889		274,510
				287,223
Cruise Lines — 0.5%
Norwegian Cruise Line Holdings, Ltd.†		4,844		278,191
Data Processing/Management — 0.2%
CSG Systems International, Inc.		50		2,007
Fair Isaac Corp.†		500		114,275
				116,282
Diagnostic Equipment — 0.5%
Thermo Fisher Scientific, Inc.		1,058		258,237
Diagnostic Kits — 0.0%
Meridian Bioscience, Inc.		1,325		19,743
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		125		11,775
Distribution/Wholesale — 0.3%
Essendant, Inc.		350		4,487
Fastenal Co.		2,481		143,947
Titan Machinery, Inc.†		1,925		29,809
				178,243
Diversified Manufacturing Operations — 1.8%
A.O. Smith Corp.		3,598		192,025
Actuant Corp., Class A		1,275		35,573
Harsco Corp.†		900		25,695
Illinois Tool Works, Inc.		2,503		353,223
Parker-Hannifin Corp.		2,044		375,953
				982,469
Drug Delivery Systems — 0.0%
DexCom, Inc.†		80		11,443

9

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Products — 3.8%
Amazon.com, Inc.†		932	$	1,866,796
Wayfair, Inc., Class A†		1,147		169,377
				2,036,173
E-Commerce/Services — 0.9%
Booking Holdings, Inc.†		185		367,040
Liberty Expedia Holdings, Inc., Class A†		1,200		56,448
Shutterfly, Inc.†		475		31,298
				454,786
E-Marketing/Info — 0.0%
New Media Investment Group, Inc.		750		11,768
E-Services/Consulting — 0.1%
Perficient, Inc.†		2,025		53,966
Electric Products-Misc. — 0.0%
Graham Corp.		225		6,338
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		900		7,425
Electric-Generation — 0.0%
Atlantic Power Corp.†		10,650		23,430
Electric-Integrated — 0.2%
El Paso Electric Co.		625		35,750
PNM Resources, Inc.		450		17,753
Portland General Electric Co.		1,025		46,750
				100,253
Electronic Components-Misc. — 1.0%
Bel Fuse, Inc., Class B		125		3,313
Benchmark Electronics, Inc.		1,850		43,290
Flex, Ltd.†		16,595		217,726
OSI Systems, Inc.†		700		53,417
Sensata Technologies Holding PLC†		3,668		181,749
Vishay Intertechnology, Inc.		1,425		28,999
				528,494
Electronic Components-Semiconductors — 3.2%
Amkor Technology, Inc.†		4,100		30,299
Microchip Technology, Inc.		3,872		305,539
NVIDIA Corp.		2,144		602,507
Rambus, Inc.†		10,475		114,282
Synaptics, Inc.†		900		41,058
Texas Instruments, Inc.		5,164		554,046
Xperi Corp.		3,800		56,430
				1,704,161
Electronic Forms — 1.1%
Adobe Systems, Inc.†		2,240		604,688
Electronic Measurement Instruments — 0.1%
Stoneridge, Inc.†		1,975		58,697
Electronic Parts Distribution — 0.1%
Tech Data Corp.†		650		46,521
Energy-Alternate Sources — 0.2%
FutureFuel Corp.		1,175		21,784
Pattern Energy Group, Inc., Class A		850		16,890

Security Description	Shares		Value (Note 2)
Energy-Alternate Sources (continued)
Renewable Energy Group, Inc.†		550	$	15,840
REX American Resources Corp.†		650		49,107
				103,621
Engineering/R&D Services — 0.0%
VSE Corp.		525		17,393
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		1,950		37,499
Enterprise Software/Service — 1.5%
Domo, Inc., Class B†		1,275		27,349
Donnelley Financial Solutions, Inc.†		700		12,544
Manhattan Associates, Inc.†		250		13,650
MicroStrategy, Inc., Class A†		100		14,062
Progress Software Corp.		2,550		89,989
SVMK, Inc.†		800		12,824
Tyler Technologies, Inc.†		1,098		269,076
Ultimate Software Group, Inc.†		1,095		352,798
				792,292
Entertainment Software — 0.8%
Activision Blizzard, Inc.		5,434		452,054
Finance-Auto Loans — 0.1%
Credit Acceptance Corp.†		65		28,475
Finance-Consumer Loans — 0.4%
Nelnet, Inc., Class A		425		24,297
Synchrony Financial		5,196		161,492
				185,789
Finance-Credit Card — 2.8%
Mastercard, Inc., Class A		3,143		699,663
Visa, Inc., Class A		5,409		811,837
				1,511,500
Finance-Investment Banker/Broker — 0.5%
Evercore, Inc., Class A		200		20,110
Houlihan Lokey, Inc.		850		38,190
TD Ameritrade Holding Corp.		4,326		228,543
				286,843
Finance-Other Services — 0.7%
CME Group, Inc.		956		162,721
Intercontinental Exchange, Inc.		2,684		201,005
WageWorks, Inc.†		775		33,131
				396,857
Financial Guarantee Insurance — 0.1%
MBIA, Inc.†		3,100		33,139
MGIC Investment Corp.†		1,350		17,968
NMI Holdings, Inc., Class A†		625		14,156
Radian Group, Inc.		350		7,235
				72,498
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		125		4,213
Food-Catering — 0.4%
Aramark		4,941		212,562
Food-Dairy Products — 0.0%
Dean Foods Co.		1,550		11,005

10

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Misc./Diversified — 0.2%
Darling Ingredients, Inc.†		4,675	$	90,321
Post Holdings, Inc.†		150		14,706
				105,027
Food-Retail — 0.0%
Ingles Markets, Inc., Class A		550		18,838
Footwear & Related Apparel — 0.2%
Crocs, Inc.†		1,550		32,999
Deckers Outdoor Corp.†		175		20,752
Weyco Group, Inc.		75		2,639
Wolverine World Wide, Inc.		950		37,097
				93,487
Gambling (Non-Hotel) — 0.2%
Pinnacle Entertainment, Inc.†		3,900		131,391
Gas-Distribution — 0.1%
Northwest Natural Holding Co.		150		10,035
Southwest Gas Holdings, Inc.		300		23,709
				33,744
Home Furnishings — 0.1%
Sleep Number Corp.†		1,300		47,814
Human Resources — 0.2%
Barrett Business Services, Inc.		1,050		70,119
Cross Country Healthcare, Inc.†		2,425		21,170
TrueBlue, Inc.†		975		25,399
				116,688
Independent Power Producers — 0.3%
NRG Energy, Inc.		3,787		141,634
Vistra Energy Corp.†		576		14,331
				155,965
Industrial Automated/Robotic — 0.4%
Cognex Corp.		3,366		187,890
Industrial Gases — 0.6%
Air Products & Chemicals, Inc.		1,790		299,019
Insurance-Life/Health — 0.2%
CNO Financial Group, Inc.		1,800		38,196
Primerica, Inc.		525		63,289
				101,485
Insurance-Multi-line — 0.0%
Kemper Corp.		175		14,079
Insurance-Property/Casualty — 0.9%
Ambac Financial Group, Inc.†		100		2,042
First American Financial Corp.		325		16,767
Kinsale Capital Group, Inc.		500		31,930
Navigators Group, Inc.		500		34,550
ProAssurance Corp.		375		17,606
Progressive Corp.		5,076		360,599
Third Point Reinsurance, Ltd.†		650		8,450
Universal Insurance Holdings, Inc.		375		18,206
				490,150
Insurance-Reinsurance — 0.0%
Global Indemnity, Ltd.		125		4,713

Security Description	Shares		Value (Note 2)
Internet Content-Entertainment — 0.9%
Facebook, Inc., Class A†		2,753	$	452,758
Internet Security — 0.1%
Proofpoint, Inc.†		225		23,924
Zix Corp.†		2,400		13,320
				37,244
Investment Management/Advisor Services — 0.0%
BrightSphere Investment Group PLC		325		4,030
Stifel Financial Corp.		140		7,176
Virtus Investment Partners, Inc.		100		11,375
				22,581
Machinery-Electrical — 0.0%
Bloom Energy Corp. Class A†		200		6,816
Machinery-General Industrial — 0.2%
Applied Industrial Technologies, Inc.		450		35,213
DXP Enterprises, Inc.†		800		32,056
Kadant, Inc.		425		45,836
				113,105
Medical Imaging Systems — 0.0%
Lantheus Holdings, Inc.†		475		7,101
Medical Information Systems — 0.4%
Allscripts Healthcare Solutions, Inc.†		3,000		42,750
athenahealth, Inc.†		1,094		146,158
				188,908
Medical Instruments — 0.8%
AngioDynamics, Inc.†		1,800		39,132
Boston Scientific Corp.†		9,162		352,737
NuVasive, Inc.†		625		44,362
				436,231
Medical Labs & Testing Services — 0.1%
Medpace Holdings, Inc.†		575		34,448
Medical Products — 0.4%
Integer Holdings Corp.†		1,550		128,572
Luminex Corp.		500		15,155
MiMedx Group, Inc.†		2,425		14,987
Orthofix Medical, Inc.†		300		17,343
OrthoPediatrics Corp.†		250		9,160
				185,217
Medical-Biomedical/Gene — 2.4%
ACADIA Pharmaceuticals, Inc.†		1,725		35,811
Achillion Pharmaceuticals, Inc.†		5,325		19,596
Alder Biopharmaceuticals, Inc.†		1,350		22,477
AMAG Pharmaceuticals, Inc.†		1,275		25,500
Amicus Therapeutics, Inc.†		2,175		26,296
AnaptysBio, Inc.†		1,632		162,825
Aptinyx, Inc.†		875		25,340
Arena Pharmaceuticals, Inc.†		655		30,143
Arvinas, Inc.†		100		1,687
Biohaven Pharmaceutical Holding Co., Ltd.†		800		30,040
Bluebird Bio, Inc.†		100		14,600
Celgene Corp.†		3,056		273,481

11

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
CytomX Therapeutics, Inc.†		750	$	13,875
Forty Seven, Inc.†		1,275		19,023
Gilead Sciences, Inc.		396		30,575
Homology Medicines, Inc.†		900		20,574
Insmed, Inc.†		3,768		76,189
Menlo Therapeutics, Inc.†		600		5,910
Myriad Genetics, Inc.†		900		41,400
NewLink Genetics Corp.†		2,600		6,214
Novavax, Inc.†		10,850		20,398
Puma Biotechnology, Inc.†		525		24,071
Regeneron Pharmaceuticals, Inc.†		573		231,515
REGENXBIO, Inc.†		450		33,975
resTORbio, Inc.†		450		6,813
Sangamo Therapeutics, Inc.†		425		7,204
Selecta Biosciences, Inc.†		1,575		24,491
Solid Biosciences, Inc.†		700		33,026
Spark Therapeutics, Inc.†		350		19,093
Synlogic, Inc.†		1,267		18,004
Y-mAbs Therapeutics, Inc.†		100		2,656
				1,302,802
Medical-Drugs — 2.5%
Aimmune Therapeutics, Inc.†		700		19,096
Bristol-Myers Squibb Co.		4,999		310,338
Clovis Oncology, Inc.†		825		24,230
Eagle Pharmaceuticals, Inc.†		175		12,133
Eli Lilly & Co.		3,216		345,109
Global Blood Therapeutics, Inc.†		1,690		64,220
Gritstone Oncology, Inc.†		300		4,272
Horizon Pharma PLC†		1,875		36,712
Lannett Co., Inc.†		700		3,325
Mallinckrodt PLC†		1,225		35,905
Merck & Co., Inc.		3,681		261,130
Paratek Pharmaceuticals, Inc.†		1,750		16,975
Prestige Consumer Healthcare, Inc.†		1,150		43,573
Principia Biopharma, Inc.†		50		1,461
Reata Pharmaceuticals, Inc., Class A†		465		38,018
Seres Therapeutics, Inc.†		2,225		16,888
Sutro Biopharma, Inc.†		250		3,750
Synergy Pharmaceuticals, Inc.†		7,100		12,070
TG Therapeutics, Inc.†		1,550		8,680
Vanda Pharmaceuticals, Inc.†		1,350		30,983
Voyager Therapeutics, Inc.†		1,175		22,231
				1,311,099
Medical-Generic Drugs — 0.3%
Endo International PLC†		3,550		59,746
Mylan NV†		3,390		124,074
				183,820
Medical-HMO — 2.0%
Humana, Inc.		1,275		431,613
Molina Healthcare, Inc.†		850		126,395
Tivity Health, Inc.†		2,625		84,394

Security Description	Shares		Value (Note 2)
Medical-HMO (continued)
Triple-S Management Corp., Class B†		1,325	$	25,029
UnitedHealth Group, Inc.		1,510		401,720
WellCare Health Plans, Inc.†		50		16,025
				1,085,176
Medical-Hospitals — 0.3%
Community Health Systems, Inc.†		1,875		6,488
Quorum Health Corp.†		3,750		21,975
Surgery Partners, Inc.†		850		14,025
Tenet Healthcare Corp.†		3,225		91,783
				134,271
Medical-Outpatient/Home Medical — 0.1%
Civitas Solutions, Inc.†		2,100		30,975
Medical-Wholesale Drug Distribution — 0.0%
Owens & Minor, Inc.		725		11,977
Metal Processors & Fabrication — 0.0%
LB Foster Co., Class A†		150		3,083
Metal Products-Distribution — 0.1%
Worthington Industries, Inc.		1,025		44,444
Metal-Aluminum — 0.1%
Kaiser Aluminum Corp.		400		43,624
Miscellaneous Manufacturing — 0.1%
FreightCar America, Inc.†		225		3,616
Hillenbrand, Inc.		1,175		61,452
				65,068
Motion Pictures & Services — 0.0%
Eros International PLC†		1,450		17,473
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		800		12,040
Multimedia — 0.4%
Entravision Communications Corp., Class A		1,450		7,105
Liberty Media Corp. - Liberty Formula One, Series C†		5,914		219,942
				227,047
Office Furnishings-Original — 0.0%
Interface, Inc.		386		9,013
Office Supplies & Forms — 0.2%
ACCO Brands Corp.		8,000		90,400
Oil Companies-Exploration & Production — 0.7%
Anadarko Petroleum Corp.		2,049		138,123
Denbury Resources, Inc.†		6,275		38,905
EP Energy Corp., Class A†		4,856		11,363
Gulfport Energy Corp.†		7,700		80,157
PDC Energy, Inc.†		325		15,912
Sanchez Energy Corp.†		1,950		4,485
Unit Corp.†		725		18,894
W&T Offshore, Inc.†		7,775		74,951
				382,790

12

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Field Machinery & Equipment — 0.1%
Natural Gas Services Group, Inc.†		325	$	6,858
US Silica Holdings, Inc.		1,375		25,891
				32,749
Oil Refining & Marketing — 0.2%
Adams Resources & Energy, Inc.		75		3,184
Delek US Holdings, Inc.		1,225		51,977
Murphy USA, Inc.†		400		34,184
				89,345
Oil-Field Services — 0.2%
Archrock, Inc.		1,975		24,095
FTS International, Inc.†		800		9,432
MRC Global, Inc.†		2,675		50,209
SEACOR Holdings, Inc.†		175		8,647
				92,383
Paper & Related Products — 0.1%
Domtar Corp.		250		13,043
Verso Corp., Class A†		475		15,993
				29,036
Poultry — 0.1%
Pilgrim's Pride Corp.†		1,000		18,090
Sanderson Farms, Inc.		125		12,921
				31,011
Power Converter/Supply Equipment — 0.2%
Generac Holdings, Inc.†		1,650		93,076
Powell Industries, Inc.		500		18,130
				111,206
Printing-Commercial — 0.1%
Deluxe Corp.		625		35,588
Ennis, Inc.		1,800		36,810
				72,398
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		5,025		35,175
Publishing-Newspapers — 0.1%
Gannett Co., Inc.		5,200		52,052
Tribune Publishing Co.†		1,125		18,371
				70,423
Racetracks — 0.2%
Penn National Gaming, Inc.†		2,225		73,247
Speedway Motorsports, Inc.		500		8,925
				82,172
Real Estate Investment Trusts — 2.1%
American Assets Trust, Inc.		575		21,442
American Tower Corp.		2,444		355,113
Ashford Hospitality Trust, Inc.		3,800		24,282
Capstead Mtg. Corp.		6,775		53,590
CBL & Associates Properties, Inc.		600		2,394
Cherry Hill Mtg. Investment Corp.		650		11,765
City Office REIT, Inc.		175		2,209
CorEnergy Infrastructure Trust, Inc.		331		12,439
CoreSite Realty Corp.		825		91,690
CubeSmart		400		11,412

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
DiamondRock Hospitality Co.		3,475	$	40,553
Dynex Capital, Inc.		250		1,595
EastGroup Properties, Inc.		275		26,295
EPR Properties		25		1,710
Equity LifeStyle Properties, Inc.		150		14,467
First Industrial Realty Trust, Inc.		300		9,420
Franklin Street Properties Corp.		525		4,195
GEO Group, Inc.		2,700		67,932
Gladstone Commercial Corp.		125		2,394
Government Properties Income Trust		150		1,694
Hersha Hospitality Trust		1,400		31,738
Highwoods Properties, Inc.		225		10,634
Hospitality Properties Trust		625		18,025
InfraREIT, Inc.†		175		3,701
Invesco Mtg. Capital, Inc.		1,175		18,588
Invitation Homes, Inc.		3,218		73,724
LTC Properties, Inc.		625		27,569
Mack-Cali Realty Corp.		550		11,693
National Retail Properties, Inc.		75		3,362
Pebblebrook Hotel Trust		475		17,276
Pennsylvania Real Estate Investment Trust		325		3,075
Piedmont Office Realty Trust, Inc., Class A		325		6,152
PS Business Parks, Inc.		150		19,063
Ramco-Gershenson Properties Trust		1,125		15,300
RLJ Lodging Trust		350		7,711
Saul Centers, Inc.		300		16,800
Taubman Centers, Inc.		200		11,966
Two Harbors Investment Corp.		3,113		46,477
Xenia Hotels & Resorts, Inc.		250		5,925
				1,105,370
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		259		5,877
Cushman & Wakefield PLC†		1,475		25,060
				30,937
Retail-Apparel/Shoe — 0.2%
American Eagle Outfitters, Inc.		1,975		49,039
Children's Place, Inc.		625		79,875
				128,914
Retail-Appliances — 0.0%
Conn's, Inc.†		275		9,721
Retail-Automobile — 0.1%
Asbury Automotive Group, Inc.†		500		34,375
Retail-Discount — 0.0%
BJ's Wholesale Club Holdings, Inc.†		550		14,729
Retail-Gardening Products — 0.3%
Tractor Supply Co.		1,563		142,045
Retail-Home Furnishings — 0.2%
RH†		725		94,982

13

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Jewelry — 0.1%
Movado Group, Inc.		1,225	$	51,327
Signet Jewelers, Ltd.		75		4,945
				56,272
Retail-Regional Department Stores — 0.1%
Dillard's, Inc., Class A		325		24,811
Retail-Restaurants — 1.8%
Bloomin' Brands, Inc.		5,650		111,814
Brinker International, Inc.		1,025		47,898
Dunkin' Brands Group, Inc.		1,520		112,054
McDonald's Corp.		1,692		283,055
Starbucks Corp.		6,751		383,727
				938,548
Rubber/Plastic Products — 0.2%
Myers Industries, Inc.		175		4,069
Trinseo SA		1,250		97,875
				101,944
Savings & Loans/Thrifts — 0.4%
BankFinancial Corp.		500		7,970
Beneficial Bancorp, Inc.		3,892		65,775
Capitol Federal Financial, Inc.		125		1,592
First Defiance Financial Corp.		225		6,775
Flushing Financial Corp.		425		10,370
Investors Bancorp, Inc.		1,450		17,791
Meridian Bancorp, Inc.		3,125		53,125
Northfield Bancorp, Inc.		3,150		50,148
People's United Financial, Inc.		723		12,378
				225,924
Schools — 0.0%
K12, Inc.†		1,000		17,700
Semiconductor Components-Integrated Circuits — 0.1%
Cirrus Logic, Inc.†		1,475		56,935
Semiconductor Equipment — 0.6%
Advanced Energy Industries, Inc.†		150		7,747
Cohu, Inc.		225		5,648
Entegris, Inc.		850		24,607
Lam Research Corp.		2,024		307,041
				345,043
Telecom Services — 0.0%
Switch, Inc., Class A		275		2,970
Telephone-Integrated — 0.1%
Frontier Communications Corp.		7,675		49,811
Windstream Holdings, Inc.†		3,650		17,885
				67,696
Television — 0.1%
ION Media Networks, Inc.†(1)(9)(13)		2		1,681
Sinclair Broadcast Group, Inc., Class A		2,075		58,826
				60,507
Textile-Apparel — 0.0%
Perry Ellis International, Inc.†		400		10,932

Security Description	Shares		Value (Note 2)
Therapeutics — 0.7%
Flexion Therapeutics, Inc.†		775	$	14,500
La Jolla Pharmaceutical Co.†		700		14,091
Mersana Therapeutics, Inc.†		850		8,500
Neurocrine Biosciences, Inc.†		2,172		267,047
Sarepta Therapeutics, Inc.†		349		56,367
Xencor, Inc.†		850		33,125
				393,630
Tobacco — 1.0%
Altria Group, Inc.		9,040		545,202
Transactional Software — 0.1%
ACI Worldwide, Inc.†		525		14,774
Synchronoss Technologies, Inc.†		4,575		30,195
				44,969
Transport-Marine — 0.0%
Dorian LPG, Ltd.†		44		351
Transport-Rail — 0.7%
CSX Corp.		4,824		357,217
Transport-Truck — 0.1%
ArcBest Corp.		600		29,130
Covenant Transportation Group, Inc., Class A†		175		5,086
Schneider National, Inc., Class B		300		7,494
YRC Worldwide, Inc.†		750		6,735
				48,445
Travel Services — 0.0%
Liberty TripAdvisor Holdings, Inc., Class A†		1,525		22,646
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc.†		466		16,259
Vitamins & Nutrition Products — 0.1%
Herbalife Nutrition, Ltd.†		200		10,910
USANA Health Sciences, Inc.†		125		15,069
				25,979
Water — 0.1%
American States Water Co.		1,025		62,669
Web Hosting/Design — 0.4%
Endurance International Group Holdings, Inc.†		1,350		11,880
GoDaddy, Inc., Class A†		1,985		165,529
NIC, Inc.		1,400		20,720
				198,129
Web Portals/ISP — 3.6%
Alphabet, Inc., Class C†		1,610		1,921,487
Wireless Equipment — 0.2%
InterDigital, Inc.		1,050		84,000
Total Common Stocks (cost $28,849,410)				38,966,128

14

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.5%
Diversified Banking Institutions — 0.5%
Societe Generale SA 8.25% due 11/29/2018(2)	$	270,000	$	271,701
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(9)		6,000		1
Total Preferred Securities/Capital Securities (cost $290,653)				271,702
ASSET BACKED SECURITIES — 8.9%
Diversified Financial Services — 8.9%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.39% (1 ML+0.17%) due 01/25/2037(3)		7,656		7,464
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		726		726
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 3.85% (3 ML+1.51%) due 01/15/2029*(8)		250,915		251,302
Apidos CLO XXI FRS Series 2015-21A, Class A1R 3.26% (3 ML+0.93%) due 07/18/2027*(8)		250,000		249,634
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.79% (1 ML+1.58%) due 10/25/2034(9)		2,055		2,067
Avery Point VI CLO, Ltd. FRS Series 2015-6A, Class AR 3.26% (3 ML+1.05%) due 08/05/2027*(8)		265,000		264,739
BANK VRS Series 2018-BN14, Class XA 0.53% due 09/15/2060(4)(5)(6)		1,000,000		38,685
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5)		81,972		81,215
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5)		78,891		78,195
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(7)		24,398		24,281
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(7)		28,258		28,125
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(5)		78,044		77,245

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(5)	$	74,797	$	74,947
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.92% due 02/25/2036(3)(5)		25,585		23,921
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(4)(5)(6)		99,821		3,821
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(4)(5)(6)		124,929		4,805
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		2,042		2,016
CFCRE Commercial Mtg. Trust Series 2016-C3, Class A3 3.87% due 01/10/2048(4)		39,000		39,070
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023*		5,568		5,530
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(5)		78,693		77,709
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4)		39,000		39,101
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(4)		20,000		20,295
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.94% (1 Yr USTYCR+2.40%) due 03/25/2036(3)		15,837		15,473
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(9)		54,726		54,441
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(3)(5)		54,050		53,681
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(4)		35,000		34,185
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(4)		45,267		45,062
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(4)		43,000		43,448
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4)		100,000		103,620
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3)		7,809		6,876

15

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.81% due 06/15/2057(4)(5)(6)	$	321,889	$	12,674
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(4)		40,000		40,155
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(9)		49,875		49,561
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.80% due 05/25/2035(3)(5)		23,709		23,760
GS Mtg. Securities Trust Series 2016-CS3, Class A4 2.85% due 10/10/2049(4)		44,000		41,320
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4)		46,000		46,021
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(4)		40,000		40,851
GSAA Home Equity Trust FRS Series 2007-4, Class A1 2.32% (1 ML+0.10%) due 03/25/2037(9)		54,904		27,809
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.75% due 01/25/2036(3)(5)		10,775		10,709
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.81% due 03/25/2047(3)(5)		5,305		4,834
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019*		1,731		1,731
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.76% (1 ML+0.54%) due 05/25/2035(3)		13,681		13,602
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(4)		39,000		38,838
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4)		25,000		25,235
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(4)		60,000		61,217
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(7)		96,536		96,270

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(8)	$	250,000	$	249,972
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 3.34% (3 ML+1.00%) due 07/25/2026*(8)		270,000		269,920
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.88% due 12/25/2034(3)(5)		6,647		6,809
MFRA Trust VRS Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(5)(7)		85,973		85,080
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(5)		80,894		79,009
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.10% due 12/15/2047(4)(5)(6)		96,530		3,829
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(4)		42,000		41,074
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3)		9,239		7,357
MortgageIT Trust FRS Series 2005-4, Class A1 2.50% (1 ML+0.28%) due 10/25/2035(3)		29,419		29,089
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.72% (1 ML+1.50%) due 06/25/2057*(3)		71,360		73,177
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(5)		67,664		67,855
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(5)		74,385		74,701
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(5)		70,913		71,247
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(5)		80,531		80,776
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.32% due 06/25/2036(3)(5)		29,016		25,681

16

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(5)	$	7,343	$	7,054
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*		100,000		99,060
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		83,371		82,923
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		100,000		98,288
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		45,177		45,415
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.32% (1 ML+0.10%) due 02/25/2037(9)		9,322		5,846
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(7)(9)		60,549		30,201
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3)		929		894
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.35% (1 ML+0.13%) due 05/25/2037(9)		25,441		19,380
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 3.71% due 02/20/2047(3)(5)		23,089		21,480
Shackleton CLO, Ltd. FRS Series 2015-8A, Class A1R 3.27% (3 ML+0.92%) due 10/20/2027*(8)		270,000		269,232
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.47% (1 ML+0.25%) due 11/25/2036(9)		50,000		46,453
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(5)		68,610		67,174
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(5)		80,443		78,181
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(8)		265,000		264,961
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(4)		30,000		30,283

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.78% due 01/25/2035(3)(5)	$	17,762	$	18,008
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.93% due 03/25/2035(3)(5)		13,129		13,420
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.20% due 11/25/2034(3)(5)		760		770
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(3)(5)		7,999		7,965
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		30,000		29,787
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(4)		35,000		35,655
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(4)		36,000		36,895
Total Asset Backed Securities (cost $4,788,138)				4,761,167
U.S. CORPORATE BONDS & NOTES — 6.4%
Aerospace/Defense — 0.1%
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052		26,000		24,753
Aerospace/Defense-Equipment — 0.1%
United Technologies Corp. Senior Notes 3.65% due 08/16/2023		25,000		24,889
United Technologies Corp. Senior Notes 3.95% due 08/16/2025		10,000		9,952
United Technologies Corp. Senior Notes 4.63% due 11/16/2048		5,000		5,028
				39,869
Agricultural Chemicals — 0.0%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		5,000		4,425
Airlines — 0.0%
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		5,000		4,938
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023		10,000		9,822
				14,760

17

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Applications Software — 0.1%
Microsoft Corp. Senior Notes 3.70% due 08/08/2046	$	15,000	$	14,347
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		10,000		9,783
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023		10,000		9,928
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028		5,000		4,957
				39,015
Auto-Cars/Light Trucks — 0.1%
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		5,000		4,453
General Motors Co. Senior Notes 5.40% due 04/01/2048		15,000		14,002
General Motors Co. Senior Notes 5.95% due 04/01/2049		10,000		9,933
General Motors Co. Senior Notes 6.75% due 04/01/2046		10,000		10,824
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		15,000		14,588
				53,800
Banks-Commercial — 0.0%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022		15,000		14,816
Banks-Super Regional — 0.2%
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		10,000		9,280
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		55,000		53,681
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		30,000		28,784
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		20,000		18,840
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		10,000		10,131
				120,716

Security Description	Principal Amount(14)		Value (Note 2)
Beverages-Wine/Spirits — 0.1%
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022	$	15,000	$	14,337
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		5,000		4,821
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		15,000		14,035
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025		12,000		12,293
				45,486
Brewery — 0.1%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		15,000		14,575
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024		10,000		9,896
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		15,000		12,993
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058		15,000		14,560
				52,024
Broadcast Services/Program — 0.1%
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020*		17,000		16,827
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		7,000		6,865
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025*		8,000		7,806
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		10,000		10,264
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		7,000		7,464
				49,226
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		20,000		20,450
Building-Residential/Commercial — 0.0%
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		12,000		11,790

18

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV — 0.3%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026*	$	2,000	$	2,005
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022		20,000		20,335
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		5,000		5,077
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048		15,000		15,009
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		32,000		34,399
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052		15,000		13,302
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		5,000		4,902
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		25,000		23,659
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		8,000		7,260
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		10,000		8,962
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		20,000		17,068
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		10,000		10,096
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		15,000		15,310
				177,384
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		5,000		5,188
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		15,000		15,562
				20,750

Security Description	Principal Amount(14)		Value (Note 2)
Chemicals-Specialty — 0.0%
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028	$	5,000	$	5,044
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		5,000		4,802
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027		15,000		14,275
				19,077
Commercial Services-Finance — 0.1%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		5,000		4,921
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		35,000		34,933
				39,854
Computers — 0.0%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		10,000		8,972
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045		5,000		5,138
				14,110
Computers-Memory Devices — 0.1%
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026		25,000		24,177
Data Processing/Management — 0.0%
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		5,000		5,010
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		12,000		12,075
				17,085
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		5,000		4,848
Diversified Banking Institutions — 1.2%
Bank of America Corp. Senior Notes 2.25% due 04/21/2020		55,000		54,297
Bank of America Corp. Senior Notes 3.12% due 01/20/2023		15,000		14,731
Bank of America Corp. Senior Notes 3.37% due 01/23/2026		35,000		33,659

19

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 3.71% due 04/24/2028	$	30,000	$	28,877
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		5,000		4,880
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		40,000		40,226
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022		10,000		9,616
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		15,000		14,001
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024		30,000		30,239
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028		10,000		9,403
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029		15,000		14,722
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		6,000		6,055
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		25,000		26,633
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		19,000		18,806
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022		15,000		14,628
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		25,000		24,155
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028		5,000		4,759
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029		15,000		14,309
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038		15,000		13,904
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029		10,000		9,854

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045	$	5,000	$	5,103
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		15,000		18,029
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		8,000		9,624
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		25,000		24,225
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		34,000		33,699
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		15,000		14,208
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023		10,000		10,199
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		15,000		14,979
Morgan Stanley Senior Notes 2.63% due 11/17/2021		25,000		24,308
Morgan Stanley Senior Notes 3.59% due 07/22/2028		35,000		33,208
Morgan Stanley Senior Notes 3.63% due 01/20/2027		20,000		19,205
Morgan Stanley Senior Notes 3.70% due 10/23/2024		20,000		19,692
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		10,000		9,598
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		5,000		4,961
				628,792
Diversified Manufacturing Operations — 0.0%
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		10,000		9,883
E-Commerce/Products — 0.0%
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024		5,000		4,824
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037		15,000		14,686
				19,510

20

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Distribution — 0.0%
Sempra Energy Senior Notes 2.40% due 02/01/2020	$	10,000	$	9,875
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		5,000		4,872
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026*		15,000		15,169
				20,041
Electric-Integrated — 0.4%
AES Corp. Senior Notes 4.88% due 05/15/2023		4,000		4,035
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028		10,000		9,468
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		10,000		9,842
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		15,000		13,035
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047		5,000		4,476
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046		5,000		4,566
Exelon Corp. Senior Notes 2.85% due 06/15/2020		15,000		14,868
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		5,000		5,078
Georgia Power Co. Senior Notes 2.00% due 09/08/2020		35,000		34,124
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		10,000		9,699
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026		25,000		22,769
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024		10,000		9,543
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034		25,000		28,416
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021		5,000		5,002

Security Description	Principal Amount(14)		Value (Note 2)
Electric-Integrated (continued)
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028	$	5,000	$	4,980
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064		15,000		13,749
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025		5,000		4,967
Southern Co. Senior Notes 2.95% due 07/01/2023		5,000		4,803
Southern Co. Senior Notes 3.25% due 07/01/2026		10,000		9,327
				212,747
Electronic Components-Semiconductors — 0.2%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020		30,000		29,648
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025		5,000		4,645
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024		35,000		34,006
Intel Corp. Senior Notes 4.10% due 05/19/2046		7,000		6,920
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023*		10,000		9,938
				85,157
Electronic Measurement Instruments — 0.0%
Fortive Corp. Senior Notes 2.35% due 06/15/2021		10,000		9,689
Engineering/R&D Services — 0.0%
Fluor Corp. Senior Notes 4.25% due 09/15/2028		15,000		14,689
Enterprise Software/Service — 0.0%
Oracle Corp. Senior Notes 4.00% due 11/15/2047		5,000		4,748
Finance-Consumer Loans — 0.0%
Navient Corp. Senior Notes 7.25% due 09/25/2023		15,000		15,900
Finance-Credit Card — 0.0%
American Express Co. Senior Notes 3.40% due 02/27/2023		15,000		14,764

21

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 5.00% due 04/04/2016†(9)	$	7,000	$	196
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(9)		7,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(9)		10,000		1
				198
Finance-Other Services — 0.1%
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050*		45,000		43,786
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		10,000		8,832
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029		15,000		14,975
				23,807
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		15,000		14,648
Gas-Distribution — 0.0%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		12,000		11,910
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		5,000		4,864
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		5,000		4,859
				9,723
Insurance-Life/Health — 0.1%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		14,000		14,315
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020*		10,000		9,858
				24,173
Insurance-Multi-line — 0.2%
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021		90,000		90,173

Security Description	Principal Amount(14)		Value (Note 2)
Insurance-Multi-line (continued)
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023	$	5,000	$	4,325
				94,498
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		2,000		3,071
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		7,000		7,210
Machinery-Electrical — 0.0%
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026*		5,000		5,019
Medical Information Systems — 0.0%
IQVIA, Inc. Company Guar. Notes 4.88% due 05/15/2023*		12,000		12,060
Medical Instruments — 0.0%
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028		15,000		14,820
Medical Products — 0.1%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		30,000		28,985
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027		15,000		14,344
				43,329
Medical-Biomedical/Gene — 0.1%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		15,000		14,568
Celgene Corp. Senior Notes 4.63% due 05/15/2044		5,000		4,705
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		5,000		4,975
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047		25,000		23,685
				47,933
Medical-Drugs — 0.0%
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		20,000		19,971
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028*		5,000		4,861

22

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Generic Drugs (continued)
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048*	$	5,000	$	4,620
				9,481
Medical-HMO — 0.2%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		5,000		4,791
Anthem, Inc. Senior Notes 3.65% due 12/01/2027		10,000		9,500
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		15,000		15,548
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025*		10,000		9,972
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028*		55,000		54,840
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023		10,000		10,020
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		10,000		10,048
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048		5,000		5,018
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		5,000		5,351
				125,088
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		5,000		4,863
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		7,000		6,648
Dignity Health Sec. Notes 2.64% due 11/01/2019		55,000		54,657
				66,168
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		10,000		9,568
Multimedia — 0.2%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		15,000		18,480
Viacom, Inc. Senior Notes 4.25% due 09/01/2023		35,000		35,238

Security Description	Principal Amount(14)		Value (Note 2)
Multimedia (continued)
Viacom, Inc. Senior Notes 4.38% due 03/15/2043	$	5,000	$	4,364
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027		20,000		19,131
				77,213
Music — 0.0%
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024*		15,000		14,625
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		15,000		13,721
Oil Companies-Exploration & Production — 0.1%
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044		5,000		4,580
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		10,000		10,264
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		5,000		5,088
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		4,000		4,058
Hess Corp. Senior Notes 4.30% due 04/01/2027		10,000		9,697
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		5,000		5,630
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025		5,000		4,888
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		12,000		12,045
SM Energy Co. Senior Notes 6.13% due 11/15/2022		7,000		7,210
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		7,000		7,035
				70,495
Oil Refining & Marketing — 0.1%
Andeavor Senior Notes 3.80% due 04/01/2028		5,000		4,755
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028		10,000		9,863

23

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Refining & Marketing (continued)
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026	$	12,000	$	11,407
				26,025
Pharmacy Services — 0.3%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		99,000		98,081
CVS Health Corp. Senior Notes 3.13% due 03/09/2020		15,000		15,002
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		9,000		8,869
CVS Health Corp. Senior Notes 4.10% due 03/25/2025		20,000		19,947
CVS Health Corp. Senior Notes 5.05% due 03/25/2048		10,000		10,228
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		5,000		5,140
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		3,905		4,145
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		7,371		7,899
				169,311
Pipelines — 0.2%
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027		15,000		14,656
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		5,000		4,875
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023		5,000		5,040
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023		5,000		5,074
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028		10,000		10,276
MPLX LP Senior Notes 4.00% due 03/15/2028		5,000		4,809
MPLX LP Senior Notes 4.70% due 04/15/2048		5,000		4,660
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,010

Security Description	Principal Amount(14)		Value (Note 2)
Pipelines (continued)
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028	$	5,000	$	4,850
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		15,000		14,379
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028*		5,000		4,723
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028		5,000		4,886
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028		15,000		14,734
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028		15,000		14,389
Williams Cos., Inc. Senior Notes 4.30% due 03/04/2024		5,000		5,044
				117,405
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		5,000		5,014
Real Estate Investment Trusts — 0.1%
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023		10,000		9,637
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		5,000		4,751
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*		25,000		24,637
				39,025
Rental Auto/Equipment — 0.1%
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		5,000		5,100
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		10,000		9,888
United Rentals North America, Inc. Company Guar. Notes 5.88% due 09/15/2026		5,000		5,131
				20,119
Retail-Building Products — 0.0%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		8,000		6,914

24

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Discount — 0.1%
Walmart, Inc. Senior Notes 3.40% due 06/26/2023	$	35,000	$	35,152
Retail-Restaurants — 0.1%
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		10,000		9,915
Starbucks Corp. Senior Notes 3.80% due 08/15/2025		10,000		9,934
Starbucks Corp. Senior Notes 4.00% due 11/15/2028		5,000		4,986
				24,835
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025		5,000		4,763
Telephone-Integrated — 0.3%
AT&T, Inc. Senior Notes 4.10% due 02/15/2028*		20,000		19,417
AT&T, Inc. Senior Notes 4.25% due 03/01/2027		5,000		4,935
AT&T, Inc. Senior Notes 4.30% due 02/15/2030*		15,000		14,425
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		2,000		1,723
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		15,000		13,705
AT&T, Inc. Senior Notes 5.25% due 03/01/2037		5,000		4,983
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		22,000		20,966
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		20,000		19,835
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		15,000		14,265
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		10,000		10,081
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		10,000		10,033
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		10,000		10,662
				145,030

Security Description	Principal Amount(14)		Value (Note 2)
Tobacco — 0.3%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022	$	40,000	$	39,118
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		15,000		13,120
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		80,000		78,397
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024*		10,000		9,531
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		20,000		18,607
				158,773
Transport-Rail — 0.1%
CSX Corp. Senior Notes 3.25% due 06/01/2027		20,000		18,954
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038		25,000		25,426
				44,380
Transport-Services — 0.0%
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048		5,000		4,537
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		5,000		4,563
				9,100
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021*		10,000		10,009
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023*		10,000		10,041
				20,050
Total U.S. Corporate Bonds & Notes (cost $3,512,466)				3,447,665
FOREIGN CORPORATE BONDS & NOTES — 0.7%
Banks-Commercial — 0.1%
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020		30,000		29,400
Cellular Telecom — 0.1%
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028		25,000		24,631

25

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Chemicals-Diversified — 0.0%
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055	$	5,000	$	4,493
Chemicals-Specialty — 0.0%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		10,000		9,776
Methanex Corp. Senior Notes 5.65% due 12/01/2044		5,000		4,816
				14,592
Diversified Banking Institutions — 0.1%
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021		50,000		51,961
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021		5,000		4,776
Electronic Components-Misc. — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		15,000		14,962
Medical-Drugs — 0.1%
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022*		12,000		12,480
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021		5,000		4,992
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		20,000		19,318
				36,790
Medical-Generic Drugs — 0.1%
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022		5,000		4,967
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		5,000		4,925
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		10,000		10,007
Mylan NV Company Guar. Notes 3.95% due 06/15/2026		5,000		4,730
				24,629
Metal-Iron — 0.1%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		30,000		32,877

Security Description	Principal Amount(14)		Value (Note 2)
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027	$	20,000	$	19,477
Encana Corp. Senior Notes 3.90% due 11/15/2021		10,000		10,043
				29,520
Oil Companies-Integrated — 0.0%
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		11,000		10,496
YPF SA Senior Notes 16.50% due 05/09/2022*(9)	ARS	546,996		6,889
				17,385
Pipelines — 0.0%
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038		5,000		5,091
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		15,000		16,297
Telephone-Integrated — 0.0%
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036		10,000		12,064
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024*		8,000		8,220
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		10,000		11,538
Wireless Equipment — 0.0%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		7,000		6,737
Nokia OYJ Senior Notes 6.63% due 05/15/2039		5,000		5,388
				12,125
Total Foreign Corporate Bonds & Notes (cost $384,005)				351,351
MUNICIPAL BONDS & NOTES — 0.2%
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		5,000		4,731
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029		10,000		9,912

26

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040	$	15,000	$	19,067
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029		5,000		5,342
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033		30,000		32,629
State of California General Obligation Bonds 7.55% due 04/01/2039		15,000		21,894
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		20,000		20,230
Total Municipal Bonds & Notes (cost $115,539)				113,805
U.S. GOVERNMENT AGENCIES — 10.3%
Federal Home Loan Mtg. Corp. — 2.4%
2.50% due 01/01/2028		3,110		3,022
2.50% due 04/01/2028		8,966		8,710
3.00% due October TBA		400,000		382,713
3.50% due 03/01/2042		2,967		2,943
3.50% due 09/01/2043		25,618		25,411
3.50% due 08/01/2048		134,999		132,956
3.50% due October TBA		65,000		63,974
4.00% due 09/01/2040		4,141		4,196
4.00% due October TBA		500,000		504,901
4.50% due 01/01/2039		537		557
5.00% due 07/01/2021		6,259		6,293
5.50% due 07/01/2034		3,340		3,613
6.50% due 05/01/2029		512		567
7.50% due 08/01/2023		37		37
7.50% due 04/01/2028		512		573
Federal Home Loan Mtg. Corp. FRS 3.99% (6 ML+1.49%) due 02/01/2037		767		790
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(4)(5)		20,000		19,950
Series 2012-K706, Class B 4.17% due 11/25/2044*(4)(5) 20,000 19,971Series 2010-K8, Class B 5.44% due 09/25/2043*(4)(5)		25,000		25,731
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.74% due 03/25/2027(4)(5)(6)		124,404		5,419

Security Description	Principal Amount(14)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(4)	$	40,000	$	39,038
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043*		9,855		9,970
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Trust FRS Series 2018-DNA3, Class M1 2.88% (1 ML+0.75%) due 09/25/2048*(3)		25,000		25,049
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3) 650 622Series 3883, Class PB 3.00% due 05/15/2041(3) 7,884 7,736Series 1577, Class PK 6.50% due 09/15/2023(3)		882		919
Series 1226, Class Z 7.75% due 03/15/2022(3)		163		172
				1,295,833
Federal National Mtg. Assoc. — 5.6%
2.50% due 02/01/2043		68,141		63,393
2.64% due 03/01/2027		23,347		22,183
2.78% due 03/01/2027		20,826		19,939
2.88% due 11/01/2027		80,000		75,778
2.97% due 06/01/2027		34,235		33,052
2.97% due 06/01/2030		40,000		36,980
3.00% due 07/01/2027		55,000		52,649
3.00% due 01/01/2028		6,164		6,125
3.13% due 02/01/2027		45,000		43,857
3.16% due 08/01/2027		75,000		72,724
3.50% due 08/01/2026		7,992		8,037
3.50% due 09/01/2026		7,681		7,724
3.50% due 10/01/2028		10,526		10,623
3.50% due 11/01/2047		199,017		195,958
3.50% due 03/01/2048		98,309		96,798
3.50% due October TBA		1,470,000		1,446,523
4.00% due 11/01/2025		1,394		1,427
4.00% due 09/01/2040		3,822		3,889
4.00% due 11/01/2040		1,366		1,390
4.00% due 12/01/2040		17,821		18,131
4.00% due 10/01/2041		5,709		5,808
4.00% due 11/01/2041		6,070		6,178
4.00% due 01/01/2042		5,651		5,749
4.00% due 12/01/2043		16,006		16,330
4.00% due October TBA		190,000		191,855
4.50% due 11/01/2022		2,750		2,799
4.50% due 01/01/2039		1,521		1,584
4.50% due 06/01/2039		18,061		18,711
4.50% due 09/01/2039		3,262		3,397

27

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
4.50% due 09/01/2040	$	6,446	$	6,708
4.50% due 05/01/2041		3,131		3,257
5.00% due 06/01/2019		64		66
5.00% due 05/01/2035		567		602
5.00% due 06/01/2040		23,949		25,443
5.00% due 07/01/2040		5,523		5,876
5.00% due October TBA		100,000		104,969
5.50% due 11/01/2020		1,058		1,070
5.50% due 04/01/2021		20,274		20,570
5.50% due 12/01/2029		932		994
5.50% due 06/01/2035		57,889		62,542
5.50% due 08/01/2037		9,338		10,068
5.50% due 06/01/2038		4,622		4,989
6.00% due 12/01/2033		4,279		4,711
6.00% due 05/01/2034		315		346
6.00% due 06/01/2040		112		124
6.50% due 10/01/2037		140		153
7.00% due 06/01/2037		4,159		4,658
Federal National Mtg. Assoc. FRS 3.90% (12 ML + 1.57%) due 05/01/2037 1,221 1,2714.55% (12 ML + 1.82%) due 10/01/2040		1,317		1,374
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.77% (1 ML+3.55%) due 07/25/2029(3) 10,000 10,917Series 2016-C07, Class 2M2 6.57% (1 ML+4.35%) due 05/25/2029(3)		20,143		22,533
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3)		5,725		5,481
Series 2012-21, Class PQ 2.00% due 09/25/2041(3)		6,821		6,391
Series 2012-18, Class GA 2.00% due 12/25/2041(3)		13,624		12,799
Series 2012-75, Class KC 2.50% due 12/25/2041(3)		14,274		13,677
Series 2016-11, Class GA 2.50% due 03/25/2046(3)		11,628		11,145
Series 2015-48, Class QB 3.00% due 02/25/2043(3)		18,402		17,975
Series 2017-72, Class B 3.00% due 09/25/2047(3)		16,288		15,876
Series 2017-72, Class CD 3.00% due 09/25/2047(3)		18,843		18,365
Series 2017-96, Class PA 3.00% due 12/25/2054(3)		17,936		17,484
Series 2012-52, Class PA 3.50% due 05/25/2042(3)		8,609		8,620
Series 2018-38, Class PC 3.50% due 03/25/2045(3)		19,300		19,312

Security Description	Principal Amount(14)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
Series 2018-80, Class GD 3.50% due 12/25/2047(3)	$	21,000	$	20,820
Series 2018-23, Class LA 3.50% due 04/25/2048(3)		15,767		15,699
Series 2018-70, Class HA 3.50% due 10/25/2056(3)		22,175		22,085
				2,968,561
Government National Mtg. Assoc. — 2.3%
3.00% due October TBA		200,000		193,687
3.50% due October TBA		500,000		497,168
4.00% due 09/15/2041		146,217		148,954
4.00% due October TBA		100,000		101,699
4.50% due 06/15/2041		52,936		55,225
4.50% due October TBA		200,000		206,681
6.00% due 11/15/2031		17,084		18,458
7.00% due 05/15/2033		5,169		5,807
9.00% due 11/15/2021		51		53
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(3)		21,061		20,112
Series 2005-74, Class HB 7.50% due 09/16/2035(3)		103		113
Series 2005-74, Class HC 7.50% due 09/16/2035(3)		1,532		1,702
				1,249,659
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		6,000		5,999
Total U.S. Government Agencies (cost $5,575,355)				5,520,052
U.S. GOVERNMENT TREASURIES — 4.2%
United States Treasury Bonds — 1.1%
2.88% due 08/15/2045(10)(12)		156,000		146,896
2.88% due 11/15/2046		93,000		87,463
3.00% due 05/15/2045		16,000		15,439
3.00% due 11/15/2045		101,000		97,406
3.00% due 02/15/2047		50,000		48,185
3.00% due 02/15/2048		90,000		86,614
3.63% due 08/15/2043		65,000		69,751
3.75% due 11/15/2043		55,000		60,223
				611,977
United States Treasury Notes — 3.1%
0.38% due 07/15/2027(11)TIPS		381,174		364,140
1.13% due 09/30/2021		147,000		139,604
1.25% due 10/31/2021		621,000		591,090
1.88% due 03/31/2022		204,000		197,004
2.00% due 02/15/2025		20,000		18,836
2.88% due 05/31/2025		240,000		238,013
2.88% due 05/15/2028		85,000		83,718
				1,632,405
Total U.S. Government Treasuries (cost $2,316,757)				2,244,382

28

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(14)			Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 0.5%
Sovereign — 0.5%
Abu Dhabi Government Senior Notes 3.13% due 10/11/2027*	$	200,000		$	189,000
Government of Romania Senior Notes 6.13% due 01/22/2044		56,000			63,144
Total Foreign Government Obligations (cost $263,680)					252,144
Total Long-Term Investment Securities (cost $46,096,003)					55,928,396
SHORT-TERM INVESTMENT SECURITIES — 0.9%
Foreign Government Obligations — 0.5%
Government of Egypt Bills 16.77% due 03/05/2019	EGP	100,000			5,155
Government of Egypt Bills 17.41% due 10/16/2018	EGP	300,000			16,638
Government of Japan Bills (0.16)% due 08/13/2018	JPY	31,300,000			275,521
					297,314
U.S. Government Agencies — 0.4%
Federal Home Loan Bank 1.88% due 10/01/2018		200,000			200,000
Total Short-Term Investment Securities (cost $504,683)					497,314
REPURCHASE AGREEMENTS — 0.7%
Bank of America Securities LLC Joint Repurchase Agreement(15)		70,000			70,000
Barclays Capital, Inc. Joint Repurchase Agreement(15)		20,000			20,000
BNP Paribas SA Joint Repurchase Agreement(15)		150,000			150,000
Deutsche Bank AG Joint Repurchase Agreement(15)		25,000			25,000
RBS Securities, Inc. Joint Repurchase Agreement(15)		115,000			115,000
Total Repurchase Agreements (cost $380,000)					380,000
TOTAL INVESTMENTS (cost $46,980,686)(16)		106.1	%		56,805,710
Liabilities in excess of other assets		(6.1	)		(3,285,026	)
NET ASSETS		100.0	%	$	53,520,684

†  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, 2018, the aggregate value of these securities was $4,492,315 representing 8.4% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Securities 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)  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.

(6)  Interest Only

(7)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2018.

(8)  Collateralized Loan Obligation

(9)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $244,527 representing 0.5% of net assets.

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

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

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

(13)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2018, 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 2 $ 0 $ 1,681 $ 840.19 0.00 %

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

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

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

ARS — Argentine Peso

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EGP — Egyptian Pound

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.

29

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

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, 2018 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

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	2	Long	Canada 10 Year Bonds	December 2018	$	205,512	$	205,350	$	(162	)
	1	Long	Long Gilt Future	December 2018		157,288		157,633		345
	2	Long	U.S. Treasury Long Bonds	December 2018		288,749		281,000		(7,749	)
	3	Short	U.S. Treasury 10 Year Notes	December 2018		360,117		356,344		3,773
	12	Short	U.S. Treasury 10 Year Ultra Bonds	December 2018		1,532,798		1,512,000		20,798
	3	Long	E-Mini Russell 2000 Index	December 2018		259,326		255,120		(4,206	)
	2	Long	U.S. Treasury 2 Year Notes	December 2018		421,361		421,469		108
	10	Long	U.S. Treasury 5 Year Notes	December 2018		1,132,813		1,124,766		(8,047	)
	2	Long	U.S. Treasury Ultra Bonds	December 2018		313,525		308,563		(4,962	)
									$	(102	)

*  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
JPMorgan Chase Bank	JPY	31,300,000	USD	284,525	11/13/2018	$	8,209	$	—
Net Unrealized Appreciation(Depreciation)						$	8,209	$	—

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	$	—		$	6,251
USD	130	12/20/2047	USD-LIBOR-BBA/Quarterly	2.75%/Semi-annually		(2,843	)		12,563
					$	(2,843	)	$	18,814

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

OIS — Overnight Index Swap

USD — United States Dollar

30

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	58,826	$	—	$	1,681	$	60,507
Other Industries		38,905,621		—		—		38,905,621
Preferred Securities/Capital Securities:
Diversified Banking Institutions		—		271,701		—		271,701
Finance-Investment Banker/Broker		—		—		1		1
Asset Backed Securities		—		4,761,167		—		4,761,167
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		196		2		198
Other Industries		—		3,447,467		—		3,447,467
Foreign Corporate Bonds & Notes		—		351,351		—		351,351
Municipal Bond & Notes		—		113,805		—		113,805
U.S. Government Agencies		—		5,520,052		—		5,520,052
U.S. Government Treasuries		—		2,244,382		—		2,244,382
Foreign Government Obligations		—		252,144		—		252,144
Short-Term Investment Securities		—		497,314		—		497,314
Repurchase Agreements		—		380,000		—		380,000
Total Investments at Value	$	38,964,447	$	17,839,579	$	1,684	$	56,805,710
Other Financial Instruments:†
Futures Contracts	$	25,024	$	—	$	—	$	25,024
Forward Foreign Currency Contracts		—		8,209		—		8,209
Centrally Cleared Interest Rate Swap Contracts		—		18,814		—		18,814
Total Other Financial Instruments	$	25,024	$	27,023	$	—	$	52,047
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	25,126	$	—	$	—	$	25,126

*   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

31

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Diversified Financial Services	13.4	%
Federal National Mtg. Assoc.	8.5
United States Treasury Notes	6.2
Federal Home Loan Mtg. Corp.	4.8
Government National Mtg. Assoc.	3.6
E-Commerce/Products	3.0
Diversified Banking Institutions	2.8
Electronic Components-Semiconductors	2.8
Web Portals/ISP	2.7
Applications Software	2.6
Repurchase Agreements	2.2
Medical-Biomedical/Gene	2.2
Medical-Drugs	2.2
Finance-Credit Card	2.1
Real Estate Investment Trusts	2.1
Medical-HMO	2.0
Computers	1.9
Banks-Commercial	1.7
Retail-Restaurants	1.5
Diversified Manufacturing Operations	1.4
Tobacco	1.3
Enterprise Software/Service	1.1
Beverages-Non-alcoholic	1.0
Consulting Services	1.0
United States Treasury Bonds	1.0
Oil Companies-Exploration & Production	0.9
Foreign Government Obligations	0.9
Cable/Satellite TV	0.9
Electronic Forms	0.8
Electronic Components-Misc.	0.8
Electric-Integrated	0.8
Aerospace/Defense-Equipment	0.8
Finance-Other Services	0.8
Insurance-Property/Casualty	0.7
Medical Instruments	0.7
Commercial Services-Finance	0.7
E-Commerce/Services	0.7
Transport-Rail	0.6
Internet Content-Entertainment	0.6
Entertainment Software	0.6
Athletic Footwear	0.6
Therapeutics	0.6
Commercial Services	0.6
Aerospace/Defense	0.6
Telephone-Integrated	0.5
Multimedia	0.5
Sovereign	0.5
Semiconductor Equipment	0.5
Pharmacy Services	0.5
Containers-Metal/Glass	0.5
Computer Services	0.5
Coatings/Paint	0.5
Computer Aided Design	0.5
Building-Residential/Commercial	0.4
Medical Products	0.4
Medical-Hospitals	0.4
Industrial Gases	0.4
Finance-Investment Banker/Broker	0.4
Building Products-Cement	0.4
Cosmetics & Toiletries	0.4

Cruise Lines	0.4	%
Diagnostic Equipment	0.4
Savings & Loans/Thrifts	0.4
Medical-Generic Drugs	0.4
Finance-Consumer Loans	0.4
Broadcast Services/Program	0.3
Pipelines	0.3
Auto/Truck Parts & Equipment-Original	0.3
Medical Information Systems	0.3
Banks-Super Regional	0.3
Municipal Bonds & Notes	0.3
Insurance-Multi-line	0.3
Food-Catering	0.3
Airlines	0.3
Web Hosting/Design	0.3
Building & Construction-Misc.	0.3
Industrial Automated/Robotic	0.3
Distribution/Wholesale	0.3
Food-Misc./Diversified	0.3
Computer Software	0.3
Insurance-Life/Health	0.3
Data Processing/Management	0.3
U.S. Government Agencies	0.2
Oil Refining & Marketing	0.2
Independent Power Producers	0.2
Gambling (Non-Hotel)	0.2
Retail-Apparel/Shoe	0.2
Coal	0.2
Computers-Integrated Systems	0.2
Retail-Gardening Products	0.2
Human Resources	0.2
Power Converter/Supply Equipment	0.2
Machinery-General Industrial	0.2
Wireless Equipment	0.2
Energy-Alternate Sources	0.2
Rubber/Plastic Products	0.2
Brewery	0.2
Retail-Home Furnishings	0.2
Footwear & Related Apparel	0.2
Oil-Field Services	0.2
Office Supplies & Forms	0.2
Auto-Cars/Light Trucks	0.2
Auto-Truck Trailers	0.2
Cellular Telecom	0.2
Chemicals-Specialty	0.1
Racetracks	0.1
Retail-Discount	0.1
Electronic Measurement Instruments	0.1
Television	0.1
Printing-Commercial	0.1
Financial Guarantee Insurance	0.1
Publishing-Newspapers	0.1
Beverages-Wine/Spirits	0.1
Miscellaneous Manufacturing	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Water	0.1
Retail-Jewelry	0.1
Gas-Distribution	0.1
Semiconductor Components-Integrated Circuits	0.1
Metal-Iron	0.1

32

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Industry Allocation* (continued)
E-Services/Consulting	0.1	%
Electric-Generation	0.1
Containers-Paper/Plastic	0.1
Transport-Truck	0.1
Home Furnishings	0.1
Veterinary Diagnostics	0.1
Electronic Parts Distribution	0.1
B2B/E-Commerce	0.1
Computers-Memory Devices	0.1
Transactional Software	0.1
Metal Products-Distribution	0.1
Metal-Aluminum	0.1
Steel-Producers	0.1
Building Products-Doors & Windows	0.1
Internet Security	0.1
Engines-Internal Combustion	0.1
Medical Labs & Testing Services	0.1
Publishing-Books	0.1
Building & Construction Products-Misc.	0.1
Retail-Automobile	0.1
Oil Field Machinery & Equipment	0.1
Poultry	0.1
Real Estate Operations & Development	0.1
Medical-Outpatient/Home Medical	0.1
Oil Companies-Integrated	0.1
Rental Auto/Equipment	0.1
Music	0.1
	111.9	%

*  Calculated as a percentage of net assets

33

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 57.8%
Aerospace/Defense — 0.5%
Boeing Co.		1,142	$	424,710
Aerospace/Defense-Equipment — 0.6%
Curtiss-Wright Corp.		575		79,017
L3 Technologies, Inc.		2,154		457,983
Moog, Inc., Class A		275		23,642
				560,642
Airlines — 0.3%
United Continental Holdings, Inc.†		2,559		227,905
Appliances — 0.0%
Hamilton Beach Brands Holding Co., Class A		675		14,810
Applications Software — 2.5%
Microsoft Corp.		13,140		1,502,822
salesforce.com, Inc.†		4,285		681,443
				2,184,265
Athletic Footwear — 0.6%
NIKE, Inc., Class B		6,168		522,553
Auto-Truck Trailers — 0.2%
Wabash National Corp.		7,300		133,079
Auto/Truck Parts & Equipment-Original — 0.3%
Aptiv PLC		3,551		297,929
Meritor, Inc.†		200		3,872
				301,801
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		2,175		95,482
B2B/E-Commerce — 0.1%
ePlus, Inc.†		750		69,525
Banks-Commercial — 1.4%
1st Source Corp.		485		25,521
BancFirst Corp.		1,375		82,431
BancorpSouth Bank		1,950		63,765
Banner Corp.		3,125		194,281
Cadence BanCorp		125		3,265
Cathay General Bancorp, Class B		750		31,080
CenterState Bank Corp.		369		10,350
Central Pacific Financial Corp.		2,325		61,450
Central Valley Community Bancorp		175		3,782
Citizens & Northern Corp.		200		5,230
City Holding Co.		475		36,480
CVB Financial Corp.		3,150		70,308
East West Bancorp, Inc.		18		1,087
FCB Financial Holdings, Inc., Class A†		2,325		110,205
First Commonwealth Financial Corp.		3,175		51,244
First Community Bancshares, Inc.		200		6,776
First Financial Bancorp		821		24,384
First Hawaiian, Inc.		675		18,333

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
First Interstate BancSystem, Inc., Class A		475	$	21,280
Great Western Bancorp, Inc.		225		9,493
Guaranty Bancorp		325		9,652
Hope Bancorp, Inc.		1,558		25,193
Independent Bank Corp./ Massachusetts		100		8,260
Independent Bank Corp./ Michigan		900		21,285
OFG Bancorp		1,775		28,666
PacWest Bancorp		525		25,016
Sierra Bancorp		225		6,503
Simmons First National Corp., Class A		905		26,652
Southside Bancshares, Inc.		152		5,290
TCF Financial Corp.		1,950		46,429
Trustmark Corp.		675		22,714
UMB Financial Corp.		475		33,677
Union Bankshares Corp.		384		14,796
Webster Financial Corp.		450		26,532
West Bancorporation, Inc.		300		7,050
Westamerica Bancorporation		1,800		108,288
				1,246,748
Banks-Mortgage — 0.0%
Walker & Dunlop, Inc.		650		34,372
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		180		6,777
Beverages-Non-alcoholic — 1.0%
Coca-Cola Co.		14,408		665,505
Monster Beverage Corp.†		4,377		255,092
				920,597
Broadcast Services/Program — 0.2%
Discovery, Inc., Class C†		4,569		135,151
Hemisphere Media Group, Inc.†		2,050		28,598
MSG Networks, Inc., Class A†		1,500		38,700
				202,449
Building & Construction-Misc. — 0.3%
EMCOR Group, Inc.		2,825		212,186
MYR Group, Inc.†		950		31,008
				243,194
Building Products-Cement — 0.4%
Continental Building Products, Inc.†		4,100		153,955
Vulcan Materials Co.		1,894		210,613
				364,568
Building Products-Doors & Windows — 0.1%
Masonite International Corp.†		900		57,690
Building-Heavy Construction — 0.0%
MasTec, Inc.†		475		21,209

34

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Residential/Commercial — 0.4%
Beazer Homes USA, Inc.†		25	$	262
Hovnanian Enterprises, Inc., Class A†		17,625		28,200
KB Home		8,025		191,878
Taylor Morrison Home Corp., Class A†		6,775		122,221
TRI Pointe Group, Inc.†		1,100		13,640
				356,201
Cable/Satellite TV — 0.3%
Liberty Broadband Corp., Class C†		3,305		278,611
WideOpenWest, Inc.†		1,489		16,692
				295,303
Chemicals-Plastics — 0.0%
PolyOne Corp.		375		16,395
Chemicals-Specialty — 0.1%
Minerals Technologies, Inc.		825		55,770
OMNOVA Solutions, Inc.†		2,725		26,841
Sensient Technologies Corp.		300		22,953
				105,564
Circuit Boards — 0.0%
TTM Technologies, Inc.†		900		14,319
Coal — 0.2%
Arch Coal, Inc., Class A		525		46,935
NACCO Industries, Inc., Class A		475		15,556
Peabody Energy Corp.		925		32,967
SunCoke Energy, Inc.†		400		4,648
Warrior Met Coal, Inc.		3,100		83,824
				183,930
Coatings/Paint — 0.4%
Sherwin-Williams Co.		780		355,064
Commercial Services — 0.6%
Acacia Research Corp.†		2,950		9,440
Care.com, Inc.†		925		20,452
CoStar Group, Inc.†		671		282,384
Medifast, Inc.		125		27,694
ServiceMaster Global Holdings, Inc.†		2,850		176,785
				516,755
Commercial Services-Finance — 0.6%
Euronet Worldwide, Inc.†		225		22,549
Green Dot Corp., Class A†		400		35,528
MarketAxess Holdings, Inc.		275		49,085
Travelport Worldwide, Ltd.		5,625		94,894
Worldpay, Inc., Class A†		2,859		289,531
				491,587
Computer Aided Design — 0.5%
Aspen Technology, Inc.†		1,775		202,190
Autodesk, Inc.†		1,253		195,606
				397,796

Security Description	Shares		Value (Note 2)
Computer Data Security — 0.0%
Carbon Black, Inc.†		225	$	4,766
Computer Services — 0.5%
Amdocs, Ltd.		3,776		249,140
Science Applications International Corp.		1,025		82,615
Syntel, Inc.†		625		25,613
Unisys Corp.†		2,725		55,590
				412,958
Computer Software — 0.3%
Box, Inc., Class A†		675		16,139
SendGrid, Inc.†		125		4,599
SS&C Technologies Holdings, Inc.		3,659		207,941
				228,679
Computers — 1.9%
Apple, Inc.		7,232		1,632,552
Computers-Integrated Systems — 0.2%
NetScout Systems, Inc.†		7,200		181,800
Computers-Periphery Equipment — 0.0%
Electronics For Imaging, Inc.†		275		9,372
Consulting Services — 1.0%
Gartner, Inc.†		3,611		572,344
Huron Consulting Group, Inc.†		1,875		92,625
Navigant Consulting, Inc.		1,400		32,284
Verisk Analytics, Inc.†		1,806		217,713
				914,966
Containers-Metal/Glass — 0.5%
Ball Corp.		9,726		427,847
Containers-Paper/Plastic — 0.1%
Graphic Packaging Holding Co.		5,325		74,603
Cosmetics & Toiletries — 0.4%
Edgewell Personal Care Co.†		425		19,648
Estee Lauder Cos., Inc., Class A		2,346		340,920
				360,568
Cruise Lines — 0.4%
Norwegian Cruise Line Holdings, Ltd.†		6,055		347,739
Data Processing/Management — 0.2%
CSG Systems International, Inc.		75		3,011
Fair Isaac Corp.†		750		171,412
				174,423
Diagnostic Equipment — 0.4%
Thermo Fisher Scientific, Inc.		1,385		338,051
Diagnostic Kits — 0.0%
Meridian Bioscience, Inc.		1,975		29,428
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		175		16,485

35

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Distribution/Wholesale — 0.3%
Essendant, Inc.		525	$	6,731
Fastenal Co.		3,123		181,196
Titan Machinery, Inc.†		2,850		44,132
				232,059
Diversified Manufacturing Operations — 1.4%
A.O. Smith Corp.		4,541		242,353
Actuant Corp., Class A		1,900		53,010
Harsco Corp.†		1,350		38,542
Illinois Tool Works, Inc.		3,006		424,207
Parker-Hannifin Corp.		2,599		478,034
				1,236,146
Drug Delivery Systems — 0.0%
DexCom, Inc.†		102		14,590
E-Commerce/Products — 2.9%
Amazon.com, Inc.†		1,156		2,315,468
Wayfair, Inc., Class A†		1,418		209,396
				2,524,864
E-Commerce/Services — 0.7%
Booking Holdings, Inc.†		235		466,240
Liberty Expedia Holdings, Inc., Class A†		1,775		83,496
Shutterfly, Inc.†		700		46,123
				595,859
E-Marketing/Info — 0.0%
New Media Investment Group, Inc.		1,125		17,651
E-Services/Consulting — 0.1%
Perficient, Inc.†		3,000		79,950
Electric Products-Misc. — 0.0%
Graham Corp.		325		9,155
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		1,325		10,931
Electric-Generation — 0.0%
Atlantic Power Corp.†		15,850		34,870
Electric-Integrated — 0.2%
El Paso Electric Co.		925		52,910
PNM Resources, Inc.		675		26,629
Portland General Electric Co.		1,500		68,415
				147,954
Electronic Components-Misc. — 0.8%
Bel Fuse, Inc., Class B		200		5,300
Benchmark Electronics, Inc.		2,750		64,350
Flex, Ltd.†		20,537		269,445
OSI Systems, Inc.†		1,050		80,126
Sensata Technologies Holding PLC†		4,631		229,466
Vishay Intertechnology, Inc.		2,125		43,244
				691,931
Electronic Components-Semiconductors — 2.5%
Amkor Technology, Inc.†		6,100		45,079
Microchip Technology, Inc.		4,801		378,847
NVIDIA Corp.		2,663		748,356

Security Description	Shares		Value (Note 2)
Electronic Components-Semiconductors (continued)
Rambus, Inc.†		15,575	$	169,923
Synaptics, Inc.†		1,325		60,447
Texas Instruments, Inc.		6,457		692,772
Xperi Corp.		5,625		83,531
				2,178,955
Electronic Forms — 0.8%
Adobe Systems, Inc.†		2,748		741,823
Electronic Measurement Instruments — 0.1%
Stoneridge, Inc.†		2,950		87,674
Electronic Parts Distribution — 0.1%
Tech Data Corp.†		975		69,781
Energy-Alternate Sources — 0.2%
FutureFuel Corp.		1,725		31,981
Pattern Energy Group, Inc., Class A		1,250		24,838
Renewable Energy Group, Inc.†		800		23,040
REX American Resources Corp.†		950		71,772
				151,631
Engineering/R&D Services — 0.0%
VSE Corp.		800		26,504
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		2,875		55,286
Enterprise Software/Service — 1.1%
Domo, Inc., Class B†		1,875		40,219
Donnelley Financial Solutions, Inc.†		1,050		18,816
Manhattan Associates, Inc.†		375		20,475
MicroStrategy, Inc., Class A†		150		21,093
Progress Software Corp.		3,775		133,220
SVMK, Inc.†		1,200		19,236
Tyler Technologies, Inc.†		1,359		333,036
Ultimate Software Group, Inc.†		1,284		413,692
				999,787
Entertainment Software — 0.6%
Activision Blizzard, Inc.		6,693		556,791
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		75		32,855
Finance-Consumer Loans — 0.3%
Nelnet, Inc., Class A		650		37,161
Synchrony Financial		6,430		199,844
				237,005
Finance-Credit Card — 2.1%
Mastercard, Inc., Class A		3,904		869,069
Visa, Inc., Class A		6,718		1,008,305
				1,877,374
Finance-Investment Banker/Broker — 0.4%
Evercore, Inc., Class A		300		30,165
Houlihan Lokey, Inc.		1,275		57,286
TD Ameritrade Holding Corp.		5,347		282,482
				369,933

36

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Other Services — 0.6%
CME Group, Inc.		1,182	$	201,188
Intercontinental Exchange, Inc.		3,322		248,785
WageWorks, Inc.†		1,150		49,162
				499,135
Financial Guarantee Insurance — 0.1%
MBIA, Inc.†		4,600		49,174
MGIC Investment Corp.†		2,000		26,620
NMI Holdings, Inc., Class A†		925		20,951
Radian Group, Inc.		525		10,852
				107,597
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		175		5,898
Food-Catering — 0.3%
Aramark		6,137		264,014
Food-Dairy Products — 0.0%
Dean Foods Co.		2,325		16,508
Food-Misc./Diversified — 0.2%
Darling Ingredients, Inc.†		6,975		134,757
Post Holdings, Inc.†		225		22,059
				156,816
Food-Retail — 0.0%
Ingles Markets, Inc., Class A		800		27,400
Footwear & Related Apparel — 0.2%
Crocs, Inc.†		2,300		48,967
Deckers Outdoor Corp.†		275		32,609
Weyco Group, Inc.		100		3,518
Wolverine World Wide, Inc.		1,400		54,670
				139,764
Gambling (Non-Hotel) — 0.2%
Pinnacle Entertainment, Inc.†		5,800		195,402
Gas-Distribution — 0.1%
Northwest Natural Holding Co.		225		15,053
Southwest Gas Holdings, Inc.		450		35,563
				50,616
Home Furnishings — 0.1%
Sleep Number Corp.†		1,925		70,801
Human Resources — 0.2%
Barrett Business Services, Inc.		1,550		103,509
Cross Country Healthcare, Inc.†		3,600		31,428
TrueBlue, Inc.†		1,425		37,121
				172,058
Independent Power Producers — 0.2%
NRG Energy, Inc.		4,687		175,294
Vistra Energy Corp.†		858		21,347
				196,641

Security Description	Shares		Value (Note 2)
Industrial Automated/Robotic — 0.3%
Cognex Corp.		4,181	$	233,383
Industrial Gases — 0.4%
Air Products & Chemicals, Inc.		2,220		370,851
Insurance-Life/Health — 0.2%
CNO Financial Group, Inc.		2,700		57,294
Primerica, Inc.		775		93,426
				150,720
Insurance-Multi-line — 0.0%
Kemper Corp.		275		22,124
Insurance-Property/Casualty — 0.7%
Ambac Financial Group, Inc.†		150		3,063
First American Financial Corp.		500		25,795
Kinsale Capital Group, Inc.		750		47,895
Navigators Group, Inc.		750		51,825
ProAssurance Corp.		550		25,823
Progressive Corp.		6,283		446,344
Third Point Reinsurance, Ltd.†		975		12,675
Universal Insurance Holdings, Inc.		550		26,702
				640,122
Insurance-Reinsurance — 0.0%
Global Indemnity, Ltd.		175		6,598
Internet Content-Entertainment — 0.6%
Facebook, Inc., Class A†		3,420		562,453
Internet Security — 0.1%
Proofpoint, Inc.†		350		37,215
Zix Corp.†		3,550		19,703
				56,918
Investment Management/Advisor Services — 0.0%
BrightSphere Investment Group PLC		500		6,200
Stifel Financial Corp.		225		11,534
Virtus Investment Partners, Inc.		150		17,062
				34,796
Machinery-Electrical — 0.0%
Bloom Energy Corp. Class A†		100		3,408
Machinery-General Industrial — 0.2%
Applied Industrial Technologies, Inc.		675		52,819
DXP Enterprises, Inc.†		1,175		47,082
Kadant, Inc.		625		67,406
				167,307
Medical Imaging Systems — 0.0%
Lantheus Holdings, Inc.†		725		10,839
Medical Information Systems — 0.3%
Allscripts Healthcare Solutions, Inc.†		4,450		63,413
athenahealth, Inc.†		1,517		202,671
				266,084

37

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical Instruments — 0.6%
AngioDynamics, Inc.†		2,700	$	58,698
Boston Scientific Corp.†		11,565		445,252
NuVasive, Inc.†		900		63,882
				567,832
Medical Labs & Testing Services — 0.1%
Medpace Holdings, Inc.†		875		52,421
Medical Products — 0.3%
Integer Holdings Corp.†		2,300		190,785
Luminex Corp.		725		21,975
MiMedx Group, Inc.†		3,625		22,402
Orthofix Medical, Inc.†		425		24,569
OrthoPediatrics Corp.†		350		12,824
				272,555
Medical-Biomedical/Gene — 2.0%
ACADIA Pharmaceuticals, Inc.†		2,575		53,457
Achillion Pharmaceuticals, Inc.†		7,925		29,164
Alder Biopharmaceuticals, Inc.†		2,025		33,716
AMAG Pharmaceuticals, Inc.†		1,900		38,000
Amicus Therapeutics, Inc.†		3,250		39,292
AnaptysBio, Inc.†		1,988		198,343
Aptinyx, Inc.†		1,275		36,924
Arena Pharmaceuticals, Inc.†		995		45,790
Arvinas, Inc.†		50		844
Biohaven Pharmaceutical Holding Co., Ltd.†		1,175		44,121
Bluebird Bio, Inc.†		175		25,550
Celgene Corp.†		3,872		346,505
CytomX Therapeutics, Inc.†		1,100		20,350
Forty Seven, Inc.†		1,900		28,348
Gilead Sciences, Inc.		492		37,987
Homology Medicines, Inc.†		1,325		30,290
Insmed, Inc.†		4,745		95,944
Menlo Therapeutics, Inc.†		900		8,865
Myriad Genetics, Inc.†		1,325		60,950
NewLink Genetics Corp.†		3,850		9,202
Novavax, Inc.†		16,125		30,315
Puma Biotechnology, Inc.†		775		35,534
Regeneron Pharmaceuticals, Inc.†		697		281,616
REGENXBIO, Inc.†		675		50,962
resTORbio, Inc.†		650		9,841
Sangamo Therapeutics, Inc.†		625		10,594
Selecta Biosciences, Inc.†		2,350		36,542
Solid Biosciences, Inc.†		1,025		48,359
Spark Therapeutics, Inc.†		525		28,639
Synlogic, Inc.†		1,909		27,127
Y-mAbs Therapeutics, Inc.†		125		3,320
				1,746,491
Medical-Drugs — 2.0%
Aimmune Therapeutics, Inc.†		1,050		28,644
Bristol-Myers Squibb Co.		6,098		378,564

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
Clovis Oncology, Inc.†		1,225	$	35,978
Eagle Pharmaceuticals, Inc.†		275		19,066
Eli Lilly & Co.		4,031		432,567
Global Blood Therapeutics, Inc.†		2,304		87,552
Gritstone Oncology, Inc.†		500		7,120
Horizon Pharma PLC†		2,775		54,334
Lannett Co., Inc.†		1,050		4,988
Mallinckrodt PLC†		1,800		52,758
Merck & Co., Inc.		4,627		328,239
Paratek Pharmaceuticals, Inc.†		2,600		25,220
Prestige Brands Holdings, Inc.†		1,700		64,413
Principia Biopharma, Inc.†		100		2,922
Reata Pharmaceuticals, Inc., Class A†		670		54,779
Seres Therapeutics, Inc.†		3,300		25,047
Sutro Biopharma, Inc.		400		6,000
Synergy Pharmaceuticals, Inc.†		10,550		17,935
TG Therapeutics, Inc.†		2,300		12,880
Vanda Pharmaceuticals, Inc.†		2,000		45,900
Voyager Therapeutics, Inc.†		1,750		33,110
				1,718,016
Medical-Generic Drugs — 0.3%
Endo International PLC†		5,300		89,199
Mylan NV†		4,135		151,341
				240,540
Medical-HMO — 1.6%
Humana, Inc.		1,583		535,877
Molina Healthcare, Inc.†		1,275		189,592
Tivity Health, Inc.†		3,900		125,385
Triple-S Management Corp., Class B†		1,975		37,308
UnitedHealth Group, Inc.		1,929		513,191
WellCare Health Plans, Inc.†		75		24,037
				1,425,390
Medical-Hospitals — 0.2%
Community Health Systems, Inc.†		2,800		9,688
Quorum Health Corp.†		5,575		32,669
Surgery Partners, Inc.†		1,275		21,038
Tenet Healthcare Corp.†		4,775		135,896
				199,291
Medical-Outpatient/Home Medical — 0.1%
Civitas Solutions, Inc.†		3,100		45,725
Medical-Wholesale Drug Distribution — 0.0%
Owens & Minor, Inc.		1,075		17,759
Metal Processors & Fabrication — 0.0%
LB Foster Co., Class A†		200		4,110
Metal Products-Distribution — 0.1%
Worthington Industries, Inc.		1,525		66,124
Metal-Aluminum — 0.1%
Kaiser Aluminum Corp.		600		65,436

38

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Miscellaneous Manufacturing — 0.1%
FreightCar America, Inc.†		350	$	5,624
Hillenbrand, Inc.		1,750		91,525
				97,149
Motion Pictures & Services — 0.0%
Eros International PLC†		2,150		25,908
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		1,200		18,060
Multimedia — 0.3%
Entravision Communications Corp., Class A		2,150		10,535
Liberty Media Corp. - Liberty Formula One, Series C†		7,318		272,156
				282,691
Office Furnishings-Original — 0.0%
Interface, Inc.		582		13,590
Office Supplies & Forms — 0.2%
ACCO Brands Corp.		11,875		134,187
Oil Companies-Exploration & Production — 0.6%
Anadarko Petroleum Corp.		2,537		171,019
Denbury Resources, Inc.†		9,350		57,970
EP Energy Corp., Class A†		7,219		16,892
Gulfport Energy Corp.†		11,425		118,934
PDC Energy, Inc.†		500		24,480
Sanchez Energy Corp.†		2,900		6,670
Unit Corp.†		1,075		28,015
W&T Offshore, Inc.†		11,550		111,342
				535,322
Oil Field Machinery & Equipment — 0.1%
Natural Gas Services Group, Inc.†		475		10,023
US Silica Holdings, Inc.		2,050		38,601
				48,624
Oil Refining & Marketing — 0.1%
Adams Resources & Energy, Inc.		125		5,308
Delek US Holdings, Inc.		1,800		76,374
Murphy USA, Inc.†		575		49,139
				130,821
Oil-Field Services — 0.2%
Archrock, Inc.		2,925		35,685
FTS International, Inc.†		1,200		14,148
MRC Global, Inc.†		3,950		74,141
SEACOR Holdings, Inc.†		275		13,588
				137,562
Paper & Related Products — 0.0%
Domtar Corp.		350		18,259
Verso Corp., Class A†		725		24,411
				42,670
Poultry — 0.1%
Pilgrim's Pride Corp.†		1,475		26,683
Sanderson Farms, Inc.		200		20,674
				47,357

Security Description	Shares		Value (Note 2)
Power Converter/Supply Equipment — 0.2%
Generac Holdings, Inc.†		2,475	$	139,615
Powell Industries, Inc.		775		28,101
				167,716
Printing-Commercial — 0.1%
Deluxe Corp.		950		54,093
Ennis, Inc.		2,650		54,192
				108,285
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		7,475		52,325
Publishing-Newspapers — 0.1%
Gannett Co., Inc.		7,700		77,077
Tribune Publishing Co.†		1,675		27,353
				104,430
Racetracks — 0.1%
Penn National Gaming, Inc.†		3,325		109,459
Speedway Motorsports, Inc.		750		13,387
				122,846
Real Estate Investment Trusts — 1.8%
American Assets Trust, Inc.		850		31,696
American Tower Corp.		3,060		444,618
Ashford Hospitality Trust, Inc.		5,625		35,944
Capstead Mtg. Corp.		10,350		81,868
CBL & Associates Properties, Inc.		925		3,691
Cherry Hill Mtg. Investment Corp.		975		17,648
City Office REIT, Inc.		250		3,155
CorEnergy Infrastructure Trust, Inc.		484		18,189
CoreSite Realty Corp.		1,225		136,146
CubeSmart		600		17,118
DiamondRock Hospitality Co.		5,150		60,100
Dynex Capital, Inc.		375		2,393
EastGroup Properties, Inc.		400		38,248
EPR Properties		50		3,421
Equity LifeStyle Properties, Inc.		225		21,701
First Industrial Realty Trust, Inc.		450		14,130
Franklin Street Properties Corp.		775		6,192
GEO Group, Inc.		4,000		100,640
Gladstone Commercial Corp.		175		3,351
Government Properties Income Trust		250		2,823
Hersha Hospitality Trust		2,075		47,040
Highwoods Properties, Inc.		325		15,360
Hospitality Properties Trust		925		26,677
InfraREIT, Inc.†		275		5,816
Invesco Mtg. Capital, Inc.		1,725		27,289
Invitation Homes, Inc.		4,308		98,696
LTC Properties, Inc.		950		41,904
Mack-Cali Realty Corp.		800		17,008

39

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
National Retail Properties, Inc.		125	$	5,603
Pebblebrook Hotel Trust		700		25,459
Pennsylvania Real Estate Investment Trust		475		4,494
Piedmont Office Realty Trust, Inc., Class A		475		8,992
PS Business Parks, Inc.		225		28,595
Ramco-Gershenson Properties Trust		1,650		22,440
RLJ Lodging Trust		500		11,015
Saul Centers, Inc.		450		25,200
Taubman Centers, Inc.		300		17,949
Two Harbors Investment Corp.		4,629		69,111
Xenia Hotels & Resorts, Inc.		375		8,888
				1,550,608
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		401		9,099
Cushman & Wakefield PLC†		2,175		36,953
				46,052
Retail-Apparel/Shoe — 0.2%
American Eagle Outfitters, Inc.		2,925		72,628
Children's Place, Inc.		920		117,576
				190,204
Retail-Appliances — 0.0%
Conn's, Inc.†		425		15,024
Retail-Automobile — 0.1%
Asbury Automotive Group, Inc.†		725		49,844
Retail-Discount — 0.0%
BJ's Wholesale Club Holdings, Inc.†		800		21,424
Retail-Gardening Products — 0.2%
Tractor Supply Co.		1,939		176,216
Retail-Home Furnishings — 0.2%
RH†		1,075		140,836
Retail-Jewelry — 0.1%
Movado Group, Inc.		1,850		77,515
Signet Jewelers, Ltd.		125		8,241
				85,756
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		500		38,170
Retail-Restaurants — 1.4%
Bloomin' Brands, Inc.		8,400		166,236
Brinker International, Inc.		1,525		71,263
Dunkin' Brands Group, Inc.		1,886		139,036
McDonald's Corp.		2,094		350,305
Starbucks Corp.		8,334		473,705
				1,200,545

Security Description	Shares		Value (Note 2)
Rubber/Plastic Products — 0.2%
Myers Industries, Inc.		275	$	6,394
Trinseo SA		1,850		144,855
				151,249
Savings & Loans/Thrifts — 0.4%
BankFinancial Corp.		750		11,955
Beneficial Bancorp, Inc.		5,792		97,885
Capitol Federal Financial, Inc.		175		2,229
First Defiance Financial Corp.		350		10,538
Flushing Financial Corp.		650		15,860
Investors Bancorp, Inc.		2,125		26,074
Meridian Bancorp, Inc.		4,650		79,050
Northfield Bancorp, Inc.		4,675		74,426
People's United Financial, Inc.		1,072		18,353
				336,370
Schools — 0.0%
K12, Inc.†		1,475		26,108
Semiconductor Components-Integrated Circuits — 0.1%
Cirrus Logic, Inc.†		2,200		84,920
Semiconductor Equipment — 0.5%
Advanced Energy Industries, Inc.†		225		11,621
Cohu, Inc.		325		8,158
Entegris, Inc.		1,275		36,911
Lam Research Corp.		2,531		383,953
				440,643
Telecom Services — 0.0%
Switch, Inc., Class A		425		4,590
Telephone-Integrated — 0.1%
Frontier Communications Corp.		11,525		74,797
Windstream Holdings, Inc.†		5,445		26,681
				101,478
Television — 0.1%
ION Media Networks, Inc.†(1)(2)(3)		4		3,361
Sinclair Broadcast Group, Inc., Class A		3,100		87,885
				91,246
Textile-Apparel — 0.0%
Perry Ellis International, Inc.†		575		15,715
Therapeutics — 0.6%
Flexion Therapeutics, Inc.†		1,150		21,517
La Jolla Pharmaceutical Co.†		1,050		21,137
Mersana Therapeutics, Inc.†		1,250		12,500
Neurocrine Biosciences, Inc.†		2,794		343,522
Sarepta Therapeutics, Inc.†		459		74,133
Xencor, Inc.†		1,250		48,712
				521,521
Tobacco — 0.8%
Altria Group, Inc.		11,231		677,342

40

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares/ Principal Amount(16)		Value (Note 2)
COMMON STOCKS (continued)
Transactional Software — 0.1%
ACI Worldwide, Inc.†		775	$	21,809
Synchronoss Technologies, Inc.†		6,749		44,543
				66,352
Transport-Marine — 0.0%
Dorian LPG, Ltd.†		66		526
Transport-Rail — 0.5%
CSX Corp.		5,991		443,634
Transport-Truck — 0.1%
ArcBest Corp.		900		43,695
Covenant Transportation Group, Inc., Class A†		275		7,992
Schneider National, Inc., Class B		450		11,241
YRC Worldwide, Inc.†		1,125		10,102
				73,030
Travel Services — 0.0%
Liberty TripAdvisor Holdings, Inc., Class A†		2,275		33,784
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc.†		583		20,341
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		325		17,729
USANA Health Sciences, Inc.†		175		21,096
				38,825
Water — 0.1%
American States Water Co.		1,525		93,238
Web Hosting/Design — 0.3%
Endurance International Group Holdings, Inc.†		2,000		17,600
GoDaddy, Inc., Class A†		2,465		205,556
NIC, Inc.		2,075		30,710
				253,866
Web Portals/ISP — 2.7%
Alphabet, Inc., Class C†		1,988		2,372,618
Wireless Equipment — 0.1%
InterDigital, Inc.		1,550		124,000
Total Common Stocks (cost $37,912,532)				50,906,447
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.0%
Banks-Commercial — 0.2%
Banco de Sabadell SA 6.13% due 11/23/2022(4)	EUR	200,000		229,307
Diversified Banking Institutions — 0.8%
Credit Agricole SA 8.13% due 12/23/2025*(4)		200,000		219,994
Credit Suisse Group AG 6.25% due 12/18/2024(4)		225,000		221,906
UniCredit SpA 6.63% due 06/03/2023(4)	EUR	200,000		229,308
				671,208

Security Description	Principal Amount(16)		Value (Note 2)
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(3)	$	8,000	$	1
Total Preferred Securities/Capital Securities (cost $888,876)				900,516
ASSET BACKED SECURITIES — 13.4%
Diversified Financial Services — 13.4%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.39% (1 ML+0.17%) due 01/25/2037(5)		26,797		26,124
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		1,162		1,162
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.59% (3 ML+1.25%) due 07/25/2029*(6)		250,000		249,972
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.34% (3 ML+1.00%) due 07/28/2028*(6)		250,000		249,871
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(5)(7)		33,080		32,504
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(5)(7)		31,318		31,101
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.79% (1 ML+1.58%) due 10/25/2034(3)		8,221		8,266
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.45% (3 ML+1.12%) due 01/18/2025*(6)		147,480		147,405
BANK VRS Series 2017-BNK8, Class XA 0.89% due 11/15/2050(7)(8)(9)		996,911		54,279
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(8)		95,000		92,528
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(7)		105,743		104,767
Bayview Koitere Fund Trust VRS Series 2018-RN4, Class A1 3.62% due 03/28/2033*(10)		52,449		52,186

41

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(7)	$	78,891	$	78,195
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(10)		30,905		30,755
Bayview Opportunity Master Fund Trust VRS Series 2017-RN8, Class A1 3.35% due 11/28/2032*(10)		28,258		28,125
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(7)		74,303		73,794
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(7)		75,758		75,284
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(7)		97,555		96,557
Bayview Opportunity Master Fund Trust VRS Series 2018-RN3, Class A1 3.67% due 03/28/2033*(10)		31,923		31,827
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(7)		78,536		78,694
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.01% (1 ML+0.85%) due 08/15/2036*(8)		131,000		131,000
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.92% due 02/25/2036(5)(7)		86,988		81,332
Bellemeade Re, Ltd. FRS Series 2018-2A, Class M1A 3.17% (1 ML+0.95%) due 08/25/2028*		150,000		150,197
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.67% due 01/15/2051(7)(8)(9)		186,666		7,144
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(7)(8)(9)		327,814		12,608
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		8,575		8,469

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.12% (3 ML+0.78%) due 04/27/2027*(6)	$	250,000	$	248,259
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-4A, Class A1RR 3.34% (3 ML+1.00%) due 01/15/2031*(6)		105,000		104,411
CBAM CLO Management LLC FRS Series 2017-3A, Class A 3.57% (3 ML+1.23%) due 10/17/2029*(6)		250,000		250,207
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.16% (3 ML+1.05%) due 04/24/2030*(6)		250,000		249,193
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023*		13,920		13,825
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(5)(7)		99,940		98,691
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(8)		101,000		101,261
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(8)		65,000		66,474
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.94% (1 Yr USTYCR+2.40%) due 03/25/2036(5)		43,553		42,550
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(3)		54,726		54,441
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(5)(7)		64,859		64,418
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(8)		90,000		87,903
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(8)		105,000		105,631
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(8)		125,267		124,700
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(8)		123,000		125,024

42

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(8)	$	60,000	$	61,250
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		32,119		28,280
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.95% due 06/15/2057(7)(8)(9)		994,151		39,144
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(8)		105,000		105,408
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(5)(7)		44,778		43,658
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(3)		49,875		49,561
Dryden Senior Loan Fund FRS Series 2017-49A, Class A 3.54% (3 ML+1.21%) due 07/18/2030*(6)		250,000		250,049
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.80% due 05/25/2035(5)(7)		66,385		66,528
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 3.56% (3 ML+1.22%) due 07/24/2030*(6)		250,000		249,952
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(8)		110,000		107,120
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(8)		30,000		32,826
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(8)		83,126		83,240
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(8)		120,000		120,055
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(8)		115,000		117,445
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.81% due 03/25/2047(5)(7)		20,464		18,646

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.91% due 04/25/2036(5)(7)	$	6,304	$	5,641
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019*		5,193		5,193
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.76% (1 ML+0.54%) due 05/25/2035(5)		48,642		48,364
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(8)		64,000		65,835
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(8)		60,000		60,564
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(10)		121,635		121,301
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.81% (1 ML+1.55%) due 02/01/2023*(5)		69,387		68,264
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.86% (1 ML+1.75%) due 10/01/2022*(5)		42,116		41,928
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 4.01% (1 ML+1.75%) due 09/01/2022*(1)(5)		47,934		47,964
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(6)		250,000		249,973
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.54% due 02/25/2035(5)(7)		30,954		32,068
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.88% due 12/25/2034(5)(7)		21,604		22,129
MFRA Trust VRS Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(10)		85,973		85,080

43

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(7)	$	80,894	$	79,010
Mill City Mtg. Loan Trust VRS Series 2018-1, Class A1 3.25% due 05/25/2062*(7)		103,093		102,960
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.25% due 12/15/2047(7)(8)(9)		284,763		11,296
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(8)		20,000		20,401
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.61% due 06/15/2050(7)(8)(9)		109,041		9,335
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(8)		100,000		100,576
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		30,561		24,335
MortgageIT Trust FRS Series 2005-4, Class A1 2.50% (1 ML+0.28%) due 10/25/2035(5)		92,835		91,792
Neuberger Berman CLO XX, Ltd. FRS Series 2015-20A, Class AR 3.14% (3 ML + 0.80%) due 01/15/2028*(6)		250,000		249,452
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049*		50,000		49,573
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.72% (1 ML+1.50%) due 06/25/2057*(5)		93,481		95,862
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(5)(7)		73,029		72,908
New Residential Mtg. Loan Trust VRS Series 2015-1A, Class A3 3.75% due 05/28/2052*(5)(7)		37,847		37,867

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(5)(7)	$	66,170	$	65,851
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(5)(7)		125,179		125,532
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(5)(7)		122,722		123,402
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(5)(7)		98,932		99,353
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(5)(7)		78,004		78,371
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(7)		105,496		105,816
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)(7)		13,351		12,826
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*		100,000		99,060
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		83,371		82,923
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023*		85,520		85,000
Oaktown Re, Ltd. FRS Series 2018-1A, Class M1 3.77% (1 ML+1.55%) due 07/25/2028*(5)		150,000		150,188
Oaktree EIF II Series A1, Ltd. FRS Series 2017-IIIA, Class A2 3.79% (3 ML+1.45%) due 07/17/2029*(6)		250,000		249,242
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.19% (3 ML+0.85%) due 04/17/2027*(6)		215,000		214,430

44

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*	$	119,000	$	116,963
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		60,988		61,310
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.32% (1 ML+0.10%) due 02/25/2037(3)		35,734		22,411
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.24% (3 ML+1.05%) due 04/30/2027*(6)		250,000		249,619
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5)		1,859		1,789
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.35% (1 ML+0.13%) due 05/25/2037(3)		83,886		63,901
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(3)		66,063		66,001
Sound Point CLO XVIII, Ltd. FRS Series 2017-4A, Class A1 3.47% (3 ML+1.12%) due 01/21/2031*(6)		250,000		248,976
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.47% (1 ML+0.25%) due 11/25/2036(3)		160,000		148,649
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		120,000		117,575
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(5)(7)		56,509		55,131
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(7)		129,673		126,958
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(7)		70,941		69,609
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(7)		89,292		86,781
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(7)		78,087		76,053

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(7)	$	87,383	$	85,202
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.82% (1 ML+0.60%) due 02/25/2057*		87,022		87,100
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(6)		250,000		249,963
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(10)		50,721		50,278
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 3.58% (3 ML+1.24%) due 06/20/2029*(6)		250,000		250,211
VOLT LXIV LLC VRS Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(10)		93,495		92,924
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(10)		81,839		81,657
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.23% (3 ML+0.90%) due 01/18/2029*(6)		250,000		249,056
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.30% due 09/15/2057(7)(8)(9)		977,361		45,954
Wells Fargo Commercial Mtg. Trust Series 2017-C38, Class A5 3.45% due 07/15/2050(8)		111,000		107,940
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(8)		65,000		65,613
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.78% due 01/25/2035(5)(7)		57,091		57,882
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.93% due 03/25/2035(5)(7)		41,670		42,594

45

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.20% due 11/25/2034(5)(7)	$	1,329	$	1,347
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(5)(7)		24,760		24,653
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(3)		49,625		47,635
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		75,000		74,467
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(8)		120,000		122,246
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(8)		110,000		112,331
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(8)		50,111		51,357
Total Asset Backed Securities (cost $11,792,283)				11,748,097
U.S. CORPORATE BONDS & NOTES — 10.4%
Aerospace/Defense — 0.1%
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052		78,000		74,259
Aerospace/Defense-Equipment — 0.2%
United Technologies Corp. Senior Notes 3.65% due 08/16/2023		105,000		104,534
United Technologies Corp. Senior Notes 3.95% due 08/16/2025		25,000		24,881
United Technologies Corp. Senior Notes 4.63% due 11/16/2048		5,000		5,028
				134,443
Agricultural Chemicals — 0.0%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		5,000		4,425
Airlines — 0.0%
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		10,000		9,875

Security Description	Principal Amount(16)		Value (Note 2)
Airlines (continued)
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023	$	25,000	$	24,555
				34,430
Applications Software — 0.1%
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		35,000		33,477
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		30,000		29,349
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023		20,000		19,855
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028		15,000		14,872
				97,553
Auto-Cars/Light Trucks — 0.2%
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		10,000		8,907
General Motors Co. Senior Notes 5.40% due 04/01/2048		35,000		32,671
General Motors Co. Senior Notes 5.95% due 04/01/2049		20,000		19,866
General Motors Co. Senior Notes 6.75% due 04/01/2046		40,000		43,296
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		30,000		29,176
				133,916
Banks-Commercial — 0.0%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022		30,000		29,631
Banks-Super Regional — 0.3%
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		25,000		23,266
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		20,000		18,559
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		105,000		102,482
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		70,000		67,164
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		55,000		51,809

46

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045	$	10,000	$	10,131
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		15,000		16,569
				289,980
Beverages-Wine/Spirits — 0.1%
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		40,000		38,231
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		5,000		4,821
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		25,000		23,393
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047		5,000		4,666
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025		30,000		30,732
				101,843
Brewery — 0.2%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		40,000		38,868
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		10,000		10,013
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024		25,000		24,740
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		30,000		25,987
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		10,000		9,687
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058		35,000		33,972
				143,267
Broadcast Services/Program — 0.1%
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020*		41,000		40,584

Security Description	Principal Amount(16)		Value (Note 2)
Broadcast Services/Program (continued)
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024	$	33,000	$	32,365
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025*		12,000		11,709
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		20,000		20,527
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		20,000		21,326
				126,511
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		50,000		51,125
Building-Residential/Commercial — 0.0%
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		35,000		34,387
Cable/Satellite TV — 0.6%
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022		40,000		40,670
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		55,000		55,849
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048		40,000		40,025
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		70,000		75,249
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027		10,000		8,799
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		10,000		8,344
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052		20,000		17,736
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		20,000		19,606

47

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*	$	45,000	$	42,585
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,630
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		55,000		56,169
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		40,000		34,136
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		40,000		40,384
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		40,000		40,826
				484,008
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		10,000		10,375
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		35,000		36,312
				46,687
Chemicals-Specialty — 0.0%
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028		10,000		10,089
Coatings/Paint — 0.1%
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		15,000		14,407
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027		30,000		28,549
				42,956
Commercial Services-Finance — 0.1%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		15,000		14,763
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		95,000		94,818
				109,581
Computers — 0.0%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		10,000		8,972
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		9,590

Security Description	Principal Amount(16)		Value (Note 2)
Computers (continued)
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045	$	15,000	$	15,414
				33,976
Computers-Memory Devices — 0.1%
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026		70,000		67,695
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		15,000		15,030
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		30,000		30,187
				45,217
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,261
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		5,000		4,847
				14,108
Diversified Banking Institutions — 1.8%
Bank of America Corp. Senior Notes 2.25% due 04/21/2020		145,000		143,147
Bank of America Corp. Senior Notes 3.37% due 01/23/2026		85,000		81,744
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		60,000		57,755
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		30,000		29,373
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		40,000		40,797
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		40,000		39,041
Bank of America Corp. Senior Notes 4.44% due 01/20/2048		5,000		4,971
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		75,000		75,424
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		10,000		10,653
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022		20,000		19,232

48

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026	$	35,000	$	32,669
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024		55,000		55,437
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028		15,000		14,104
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029		20,000		19,630
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		50,000		49,293
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		15,000		14,827
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		8,000		8,073
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046		15,000		14,631
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		48,000		47,509
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022		20,000		19,504
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		80,000		77,294
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		20,000		19,373
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028		5,000		4,759
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029		25,000		23,848
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038		50,000		46,346
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029		20,000		19,707
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		25,000		25,514
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		45,000		54,087

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037	$	6,000	$	7,218
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		25,000		24,375
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		80,000		77,519
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		16,000		15,859
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		45,000		42,624
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023		35,000		35,697
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		35,000		34,952
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		10,000		11,543
Morgan Stanley Senior Notes 2.50% due 04/21/2021		45,000		43,967
Morgan Stanley Senior Notes 2.63% due 11/17/2021		10,000		9,723
Morgan Stanley Senior Notes 3.13% due 07/27/2026		10,000		9,317
Morgan Stanley Senior Notes 3.59% due 07/22/2028		90,000		85,391
Morgan Stanley Senior Notes 3.63% due 01/20/2027		65,000		62,418
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		35,000		33,593
Morgan Stanley Senior Notes 4.00% due 07/23/2025		15,000		14,950
				1,557,888
Diversified Manufacturing Operations — 0.0%
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		20,000		19,765
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024		10,000		9,648

49

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
E-Commerce/Products (continued)
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037	$	50,000	$	48,953
				58,601
Electric-Distribution — 0.0%
Sempra Energy Senior Notes 2.40% due 02/01/2020		35,000		34,564
Electric-Generation — 0.1%
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		5,000		4,872
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026*		35,000		35,394
				40,266
Electric-Integrated — 0.6%
AES Corp. Senior Notes 4.00% due 03/15/2021		5,000		4,988
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		3,026
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028		20,000		18,935
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		25,000		24,605
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		40,000		34,760
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047		15,000		13,429
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046		15,000		13,699
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		4,859
Exelon Corp. Senior Notes 2.85% due 06/15/2020		40,000		39,648
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		5,000		5,078
Georgia Power Co. Senior Notes 2.00% due 09/08/2020		96,000		93,596
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		25,000		24,248
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026		70,000		63,753

Security Description	Principal Amount(16)		Value (Note 2)
Electric-Integrated (continued)
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024	$	35,000	$	33,400
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034		65,000		73,882
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021		5,000		5,002
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028		10,000		9,960
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064		45,000		41,247
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025		10,000		9,935
Southern California Edison Co. 1st Mtg. Notes 4.13% due 03/01/2048		5,000		4,780
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		9,606
Southern Co. Senior Notes 3.25% due 07/01/2026		25,000		23,316
				555,752
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		10,000		11,307
Electronic Components-Semiconductors — 0.3%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020		70,000		69,179
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025		15,000		13,936
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024		95,000		92,301
Intel Corp. Senior Notes 4.10% due 05/19/2046		20,000		19,773
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023*		30,000		29,813
				225,002

50

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electronic Measurement Instruments — 0.0%
Fortive Corp. Senior Notes 2.35% due 06/15/2021	$	25,000	$	24,222
Engineering/R&D Services — 0.0%
Fluor Corp. Senior Notes 4.25% due 09/15/2028		40,000		39,172
Enterprise Software/Service — 0.0%
Oracle Corp. Senior Notes 4.00% due 11/15/2047		15,000		14,244
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 7.25% due 09/25/2023		40,000		42,400
Finance-Credit Card — 0.0%
American Express Co. Senior Notes 3.40% due 02/27/2023		40,000		39,370
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(3)		10,000		280
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(3)		11,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(3)		15,000		2
				283
Finance-Other Services — 0.2%
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050*		135,000		131,359
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		25,000		22,080
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029		50,000		49,917
				71,997
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		35,000		34,179
Gas-Distribution — 0.0%
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		30,000		29,775

Security Description	Principal Amount(16)		Value (Note 2)
Gas-Distribution (continued)
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026	$	5,000	$	4,962
				34,737
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		14,594
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		19,435
				34,029
Insurance-Life/Health — 0.1%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		35,000		35,787
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020*		40,000		39,434
				75,221
Insurance-Multi-line — 0.3%
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021		240,000		240,461
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023		15,000		12,975
				253,436
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		7,000		10,750
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		15,000		15,450
Machinery-Electrical — 0.0%
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026*		5,000		5,019
Medical Information Systems — 0.0%
IQVIA, Inc. Company Guar. Notes 4.88% due 05/15/2023*		35,000		35,175
Medical Instruments — 0.1%
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028		40,000		39,521
Medical Products — 0.1%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		70,000		67,633

51

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical Products (continued)
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027	$	45,000	$	43,030
				110,663
Medical-Biomedical/Gene — 0.2%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		25,000		24,280
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		2,000		1,986
Celgene Corp. Senior Notes 4.63% due 05/15/2044		15,000		14,116
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		25,000		24,876
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047		70,000		66,318
				131,576
Medical-Drugs — 0.1%
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		55,000		54,919
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028*		10,000		9,721
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048*		15,000		13,862
				23,583
Medical-HMO — 0.4%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		15,000		14,372
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		24,493
Anthem, Inc. Senior Notes 3.65% due 12/01/2027		40,000		38,000
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		25,000		24,429
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		10,000		10,366
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025*		25,000		24,929
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028*		135,000		134,607

Security Description	Principal Amount(16)		Value (Note 2)
Medical-HMO (continued)
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023	$	25,000	$	25,051
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		30,000		30,143
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048		10,000		10,037
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		10,000		10,702
				347,129
Medical-Hospitals — 0.2%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		20,000		19,450
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		10,000		9,497
Dignity Health Sec. Notes 2.64% due 11/01/2019		145,000		144,097
				173,044
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		30,000		28,703
Multimedia — 0.2%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		40,000		49,280
Viacom, Inc. Senior Notes 4.25% due 09/01/2023		90,000		90,613
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		20,000		17,454
Viacom, Inc. Senior Notes 4.85% due 12/15/2034		5,000		4,730
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027		50,000		47,828
				209,905
Music — 0.1%
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024*		45,000		43,875
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc. Senior Notes 4.95% due 04/01/2023		30,000		27,441

52

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production — 0.2%
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019	$	10,000	$	10,265
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		5,000		5,088
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		12,000		12,174
Hess Corp. Senior Notes 4.30% due 04/01/2027		30,000		29,090
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		40,000		45,043
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025		10,000		9,775
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		35,000		35,131
SM Energy Co. Senior Notes 6.13% due 11/15/2022		20,000		20,600
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		15,000		15,075
				182,241
Oil Refining & Marketing — 0.1%
Andeavor Senior Notes 3.80% due 04/01/2028		15,000		14,264
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028		25,000		24,657
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		30,000		28,518
				67,439
Pharmacy Services — 0.5%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		239,000		236,781
CVS Health Corp. Senior Notes 3.13% due 03/09/2020		70,000		70,010
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		18,000		17,738
CVS Health Corp. Senior Notes 4.10% due 03/25/2025		55,000		54,853
CVS Health Corp. Senior Notes 5.05% due 03/25/2048		25,000		25,571

Security Description	Principal Amount(16)		Value (Note 2)
Pharmacy Services (continued)
CVS Health Corp. Senior Notes 5.13% due 07/20/2045	$	30,000	$	30,841
				435,794
Pipelines — 0.3%
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027		35,000		34,198
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		15,000		14,625
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023		10,000		10,079
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023		15,000		15,222
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028		20,000		20,552
MPLX LP Senior Notes 4.00% due 03/15/2028		15,000		14,427
MPLX LP Senior Notes 4.13% due 03/01/2027		25,000		24,350
MPLX LP Senior Notes 4.70% due 04/15/2048		10,000		9,319
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,010
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		15,000		14,551
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		35,000		33,551
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028*		10,000		9,446
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028		10,000		9,772
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028		35,000		34,380
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028		40,000		38,370
				287,852
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		15,000		15,043

53

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts — 0.3%
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023	$	25,000	$	24,092
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		10,000		9,503
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044*		80,000		79,839
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047*		75,000		73,542
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*		50,000		49,274
				236,250
Rental Auto/Equipment — 0.1%
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		30,000		30,600
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		15,000		14,831
				45,431
Retail-Building Products — 0.0%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		20,000		17,284
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		5,000		4,540
				21,824
Retail-Discount — 0.1%
Walmart, Inc. Senior Notes 3.40% due 06/26/2023		95,000		95,414
Retail-Restaurants — 0.1%
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		30,000		29,745
Starbucks Corp. Senior Notes 3.80% due 08/15/2025		20,000		19,868
Starbucks Corp. Senior Notes 4.00% due 11/15/2028		10,000		9,972
				59,585
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025		15,000		14,287

Security Description	Principal Amount(16)		Value (Note 2)
Telephone-Integrated — 0.4%
AT&T, Inc. Senior Notes 4.10% due 02/15/2028*	$	20,000	$	19,416
AT&T, Inc. Senior Notes 4.25% due 03/01/2027		10,000		9,871
AT&T, Inc. Senior Notes 4.30% due 02/15/2030*		67,000		64,434
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		3,000		2,584
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		10,000		9,343
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		40,000		36,545
AT&T, Inc. Senior Notes 5.25% due 03/01/2037		10,000		9,966
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		29,000		27,637
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		10,000		9,752
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		55,000		54,547
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		35,000		33,284
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		15,000		14,102
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		15,000		15,122
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		15,000		14,963
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		20,000		20,066
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		35,000		37,316
				378,948
Tobacco — 0.5%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022		95,000		92,904
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		45,000		39,361

54

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Tobacco (continued)
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*	$	210,000	$	205,793
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024*		30,000		28,594
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		50,000		46,517
				413,169
Transport-Rail — 0.1%
CSX Corp. Senior Notes 3.25% due 06/01/2027		70,000		66,338
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038		50,000		50,852
				117,190
Transport-Services — 0.0%
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048		15,000		13,612
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045		10,000		10,013
				23,625
Veterinary Diagnostics — 0.1%
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021*		25,000		25,024
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023*		25,000		25,101
				50,125
Total U.S. Corporate Bonds & Notes (cost $9,281,225)				9,108,851
FOREIGN CORPORATE BONDS & NOTES — 1.1%
Banks-Commercial — 0.1%
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020		85,000		83,299
Cellular Telecom — 0.1%
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028		65,000		64,040
Chemicals-Diversified — 0.0%
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055		20,000		17,974
Chemicals-Specialty — 0.0%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		25,000		24,441

Security Description	Principal Amount(16)		Value (Note 2)
Chemicals-Specialty (continued)
Methanex Corp. Senior Notes 5.65% due 12/01/2044	$	10,000	$	9,631
				34,072
Cruise Lines — 0.0%
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028*		5,000		4,805
Diversified Banking Institutions — 0.2%
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023		200,000		193,166
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021		10,000		9,553
Electronic Components-Misc. — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		35,000		34,913
Medical-Drugs — 0.1%
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022*		35,000		36,400
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021		5,000		4,992
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		40,000		38,636
				80,028
Medical-Generic Drugs — 0.1%
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022		20,000		19,866
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		20,000		19,701
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		25,000		25,019
Mylan NV Company Guar. Notes 3.95% due 06/15/2026		8,000		7,567
				72,153
Metal-Iron — 0.1%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		70,000		76,713
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039		5,000		5,858
				82,571

55

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027	$	60,000	$	58,432
Encana Corp. Senior Notes 3.90% due 11/15/2021		25,000		25,107
				83,539
Oil Companies-Integrated — 0.1%
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		29,000		27,671
YPF SA Senior Notes 16.50% due 05/09/2022*(3)	ARS	1,419,989		17,883
				45,554
Pipelines — 0.0%
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038		10,000		10,181
TransCanada PipeLines, Ltd. Senior Notes 6.10% due 06/01/2040		5,000		5,750
				15,931
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		40,000		43,459
Telephone-Integrated — 0.0%
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036		25,000		30,160
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024*		20,000		20,550
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		25,000		28,845
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		20,000		19,250
Nokia OYJ Senior Notes 6.63% due 05/15/2039		20,000		21,550
				40,800
Total Foreign Corporate Bonds & Notes (cost $1,076,318)				985,412
MUNICIPAL BONDS & NOTES — 0.3%
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		15,000		14,195

Security Description	Principal Amount(16)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029	$	25,000	$	24,781
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		45,000		57,200
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029		15,000		16,025
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033		65,000		70,697
State of California General Obligation Bonds 7.63% due 03/01/2040		35,000		50,965
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		60,000		60,690
Total Municipal Bonds & Notes (cost $296,473)				294,553
U.S. GOVERNMENT AGENCIES — 16.9%
Federal Home Loan Mtg. Corp. — 4.8%
2.50% due 01/01/2028		4,666		4,532
2.50% due 04/01/2028		15,691		15,243
3.00% due 08/01/2027		4,896		4,843
3.00% due October TBA		900,000		861,105
3.50% due 03/01/2042		6,781		6,726
3.50% due 08/01/2042		34,265		33,989
3.50% due 09/01/2043		23,289		23,101
3.50% due 10/01/2048		700,000		689,393
4.00% due 03/01/2023		641		654
4.00% due 10/01/2043		30,280		30,743
4.00% due October TBA		1,900,000		1,918,622
4.50% due 01/01/2039		920		955
4.50% due October TBA		200,000		206,414
5.00% due 05/01/2020		12,739		12,810
5.00% due 05/01/2034		15,780		16,775
5.50% due 07/01/2034		5,010		5,420
5.50% due 05/01/2037		1,834		1,976
6.00% due 08/01/2026		11,995		13,032
6.50% due 05/01/2029		1,024		1,133
7.50% due 08/01/2023		37		37
Federal Home Loan Mtg. Corp. FRS 3.99% (6 ML+1.49%) due 02/01/2037		1,407		1,448
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(7)(8)		70,000		69,826
Series 2012-K706, Class B 4.17% due 11/25/2044*(7)(8)		60,000		59,913

56

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Series 2010-K8, Class B 5.44% due 09/25/2043*(7)(8)	$	80,000	$	82,339
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.74% due 03/25/2027(7)(8)(9)		318,475		13,873
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Trust FRS Series 2018-DNA3, Class M1 2.88% (1 ML + 0.75%) due 09/25/2048*		75,000		75,146
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(8)		68,000		66,364
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043*		29,564		29,910
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5)		3,251		3,109
Series 3883, Class PB 3.00% due 05/15/2041(5)		20,910		20,520
Series 1577, Class PK 6.50% due 09/15/2023(5)		1,764		1,839
Series 1226, Class Z 7.75% due 03/15/2022(5)		220		231
				4,272,021
Federal National Mtg. Assoc. — 8.5%
2.50% due 02/01/2043		68,141		63,392
2.50% due 03/01/2043		131,414		122,256
2.64% due 03/01/2027		28,016		26,620
2.78% due 03/01/2027		62,477		59,818
2.88% due 11/01/2027		130,111		123,245
2.97% due 06/01/2027		107,595		103,876
2.97% due 06/01/2030		124,000		114,638
3.00% due 07/01/2027		90,000		86,152
3.00% due 12/01/2027		8,969		8,891
3.00% due 01/01/2028		9,246		9,188
3.00% due October TBA		100,000		98,759
3.16% due 08/01/2027		125,000		121,207
3.50% due 11/01/2047		490,554		483,012
3.50% due 03/01/2048		175,000		172,309
3.50% due October TBA		4,025,000		3,960,716
4.00% due 11/01/2040		13,659		13,897
4.00% due 12/01/2040		35,641		36,262
4.00% due 11/01/2041		4,204		4,283

Security Description	Principal Amount(16)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
4.00% due 01/01/2042	$	9,418	$	9,582
4.00% due 11/01/2043		17,693		17,988
4.00% due 12/01/2043		10,671		10,887
4.00% due October TBA		500,000		504,883
4.50% due 01/01/2039		2,535		2,639
4.50% due 06/01/2039		29,801		30,873
4.50% due 09/01/2039		6,959		7,247
4.50% due 05/01/2041		6,630		6,898
5.00% due 06/01/2019		164		169
5.00% due 03/01/2020		1,043		1,076
5.00% due 05/01/2035		1,995		2,117
5.00% due 07/01/2040		41,355		43,997
5.00% due October TBA		300,000		314,908
5.50% due 05/01/2020		8,734		8,792
5.50% due 06/01/2020		5,827		5,861
5.50% due 12/01/2029		1,864		1,989
5.50% due 06/01/2035		111,525		120,490
5.50% due 06/01/2036		56,662		61,128
5.50% due 08/01/2037		10,005		10,788
5.50% due 06/01/2038		7,924		8,552
6.00% due 06/01/2021		19,053		19,311
6.00% due 12/01/2033		6,725		7,403
6.00% due 05/01/2034		5,431		5,969
6.00% due 08/01/2034		1,149		1,262
6.00% due 11/01/2038		1,503		1,655
7.00% due 06/01/2037		11,984		13,425
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.77% (1 ML+3.55%) due 07/25/2029(5)		30,000		32,751
Series 2016-C07, Class 2M2 6.57% (1 ML+4.35%) due 05/25/2029(5)		60,000		67,118
Federal National Mtg. Assoc. FRS 3.64% (12 ML+1.82%) due 10/01/2040		2,414		2,519
3.79% (12 ML+1.57%) due 05/01/2037		2,227		2,318
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5)		5,725		5,481
Series 2012-21, Class PQ 2.00% due 09/25/2041(5)		18,757		17,576
Series 2012-18, Class GA 2.00% due 12/25/2041(5)		36,330		34,130
Series 2012-75, Class KC 2.50% due 12/25/2041(5)		38,539		36,928
Series 2016-11, Class GA 2.50% due 03/25/2046(5)		31,976		30,649
Series 2015-48, Class QB 3.00% due 02/25/2043(5)		49,543		48,394
Series 2017-72, Class B 3.00% due 09/25/2047(5)		44,793		43,658
Series 2017-72, Class CD 3.00% due 09/25/2047(5)		45,222		44,075

57

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Series 2017-96, Class PA 3.00% due 12/25/2054(5)	$	53,807	$	52,453
Series 2012-52, Class PA 3.50% due 05/25/2042(5)		20,662		20,688
Series 2018-38, Class PC 3.50% due 03/25/2045(5)		52,109		52,143
Series 2018-80, Class GD 3.50% due 12/25/2047(5)		54,000		53,536
Series 2018-23, Class LA 3.50% due 04/25/2048(5)		41,780		41,601
Series 2018-70, Class HA 3.50% due 10/25/2056(5)		55,440		55,215
				7,469,643
Government National Mtg. Assoc. — 3.6%
3.00% due October TBA		500,000		484,219
3.50% due October TBA		1,200,000		1,193,203
4.00% due 07/15/2041		23,374		23,921
4.00% due 08/15/2041		7,708		7,865
4.00% due 10/15/2041		15,422		15,782
4.00% due October TBA		700,000		711,711
4.50% due 06/15/2041		122,235		127,521
4.50% due October TBA		500,000		516,702
6.00% due 11/15/2028		16,347		17,851
7.00% due 07/15/2033		7,467		8,321
9.00% due 11/15/2021		76		79
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(5)		55,526		53,025
Series 2005-74, Class HB 7.50% due 09/16/2035(5)		636		698
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		4,690		5,210
				3,166,108
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		10,000		9,998
Total U.S. Government Agencies (cost $15,014,453)				14,917,770
U.S. GOVERNMENT TREASURIES — 7.2%
United States Treasury Bonds — 1.0%
2.50% due 02/15/2045		5,000		4,379
2.88% due 11/15/2046		70,000		65,833
3.00% due 05/15/2045		58,000		55,965
3.00% due 11/15/2045		145,000		139,840
3.00% due 02/15/2048		175,000		168,417
3.63% due 08/15/2043		160,000		171,694
3.63% due 02/15/2044		95,000		102,051
3.75% due 11/15/2043		140,000		153,295
				861,474

Security Description	Principal Amount(16)		Value (Note 2)
United States Treasury Notes — 6.2%
0.38% due 07/15/2027 TIPS(11)(12)	$	1,009,596	$	964,480
1.13% due 08/31/2021		378,000		359,484
1.13% due 09/30/2021		801,000		760,700
1.25% due 10/31/2021		313,000		297,925
1.50% due 07/15/2020		375,000		366,474
1.88% due 02/28/2022		384,000		371,175
1.88% due 03/31/2022		1,019,000		984,051
2.00% due 02/15/2023		520,000		499,972
2.00% due 02/15/2025(13)		245,000		230,740
2.88% due 05/31/2025		455,000		451,232
2.88% due 05/15/2028		220,000		216,683
				5,502,916
Total U.S. Government Treasuries (cost $6,611,845)				6,364,390
FOREIGN GOVERNMENT OBLIGATIONS — 0.5%
Sovereign — 0.5%
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047*		200,000		191,000
Government of Romania Senior Notes 6.13% due 01/22/2044		62,000		69,905
Republic of Panama Senior Notes 4.30% due 04/29/2053		200,000		192,500
Total Foreign Government Obligations (cost $461,183)				453,405
Total Long-Term Investment Securities (cost $83,335,188)				95,679,441
SHORT-TERM INVESTMENT SECURITIES — 1.1%
Foreign Government Obligations — 0.9%
Government of Egypt Bills 16.77% due 03/05/2019	EGP	300,000		15,465
Government of Egypt Bills 17.41% due 10/16/2018	EGP	775,000		42,981
Government of Japan Bills (0.16)% due 11/12/2018	JPY	82,750,000		728,413
				786,859
U.S. Government Agencies — 0.2%
Federal Home Loan Bank 1.88% due 10/01/2018		200,000		200,000
Total Short-Term Investment Securities (cost $1,006,381)				986,859
REPURCHASE AGREEMENTS — 2.2%
Bank of America Securities LLC Joint Repurchase Agreement(14)		370,000		370,000
Barclays Capital, Inc. Joint Repurchase Agreement(14)		120,000		120,000
BNP Paribas SA Joint Repurchase Agreement(14)		720,000		720,000

58

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Deutsche Bank AG Joint Repurchase Agreement(14)	$	130,000		$	130,000
RBS Securities, Inc. Joint Repurchase Agreement(14)		580,000			580,000
Total Repurchase Agreements (cost $1,920,000)					1,920,000
TOTAL INVESTMENTS (cost $86,261,569)(15)		111.9	%		98,586,300
Liabilities in excess of other assets		(11.9	)		(10,491,537	)
NET ASSETS		100.0	%	$	88,094,763

†  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, 2018, the aggregate value of these securities was $11,220,032 representing 12.7% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Securities 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, 2018, 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	$	3,361	$	840.18		0.00	%

(3)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $482,393 representing 0.5% of net assets.

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

(5)  Collateralized Mortgage Obligation

(6)  Collateralized Loan Obligation

(7)  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.

(8)  Commercial Mortgage Backed Security

(9)  Interest Only

(10)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2018.

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

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

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

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

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

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

ARS — Argentina Peso

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EGP — Egyptian Pound

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, 2018 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 — 1Year US Treasury Yield Curve Rate

59

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	4	Long	Canada 10 Year Bonds	December 2018	$	4,107,344	$	4,106,995	$	(349	)
	3	Long	Long Gilt Future	December 2018		472,655		472,900		245
	5	Long	E-Mini Russell 2000 Index	December 2018		428,920		425,200		(3,720	)
	4	Short	U.S. Treasury 10 Year Notes	December 2018		480,172		475,125		5,047
	24	Short	U.S. Treasury 10 Year Ultra Bonds	December 2018		3,065,596		3,024,000		41,596
	3	Long	U.S. Treasury 2 Year Notes	December 2018		632,015		632,203		188
	6	Long	U.S. Treasury 5 Year Notes	December 2018		679,742		674,859		(4,883	)
	11	Long	U.S. Treasury Ultra Bonds	December 2018		1,745,967		1,697,094		(48,873	)
									$	(10,749	)

*  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
HSBC Bank USA	EUR	402,000	USD	473,652	10/31/2018	$	5,853	$	—
JPMorgan Chase Bank	JPY	82,750,000	USD	752,218	11/13/2018		21,701		—
Net Unrealized Appreciation (Depreciation)						$	27,554	$	—

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	200	11/14/2026	1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually	1.63%/Annually	$	—		$	16,670
USD	340	12/20/2047	USD-LIBOR-BBA/Quarterly	2.75%/Semi-annually		(7,435	)		32,862
					$	(7,435	)	$	49,532

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

OIS — Overnight Index Swap

USD — United States Dollar

60

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	87,885	$	—	$	3,361	$	91,246
Other Industries		50,815,201		—		—		50,815,201
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		1		1
Other Industries		—		900,515		—		900,515
Asset Backed Securities:
Diversified Financial Services		—		11,700,133		47,964		11,748,097
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		280		3		283
Other Industries		—		9,108,568		—		9,108,568
Foreign Corporate Bonds & Notes		—		985,412		—		985,412
Municipal Bonds & Notes		—		294,553		—		294,553
U.S. Government Agencies		—		14,917,770		—		14,917,770
U.S. Government Treasuries		—		6,364,390		—		6,364,390
Foreign Government Obligations		—		453,405		—		453,405
Short-Term Investment Securities		—		986,859		—		986,859
Repurchase Agreement		—		1,920,000		—		1,920,000
Total Investments at Value	$	50,903,086	$	47,631,885	$	51,329	$	98,586,300
Other Financial Instruments:†
Futures Contracts	$	47,076	$	—	$	—	$	47,076
Forward Foreign Currency Contracts		—		27,554		—		27,554
Centrally Cleared Interest Rate Swap Contracts		—		49,532		—		49,532
Total Other Financial Instruments	$	47,076	$	77,086	$	—	$	124,162
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	57,825	$	—	$	—	$	57,825

*  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

61

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Diversified Financial Services	22.6	%
Federal National Mtg. Assoc.	14.6
Federal Home Loan Mtg. Corp.	7.2
United States Treasury Notes	6.3
Government National Mtg. Assoc.	6.1
Diversified Banking Institutions	4.1
Repurchase Agreements	3.1
United States Treasury Bonds	2.7
E-Commerce/Products	2.3
Applications Software	2.1
Web Portals/ISP	2.1
Electronic Components-Semiconductors	2.0
Finance-Credit Card	1.8
Medical-HMO	1.6
Computers	1.6
Foreign Government Obligations	1.5
Medical-Drugs	1.3
Tobacco	1.3
Sovereign	1.1
Medical-Biomedical/Gene	1.1
Cable/Satellite TV	1.1
Diversified Manufacturing Operations	1.0
Electric-Integrated	1.0
Retail-Restaurants	1.0
Banks-Commercial	1.0
Real Estate Investment Trusts	1.0
Beverages-Non-alcoholic	0.8
Pharmacy Services	0.8
Telephone-Integrated	0.8
Consulting Services	0.7
Enterprise Software/Service	0.7
Oil Companies-Exploration & Production	0.7
Transport-Rail	0.7
Electronic Forms	0.7
Finance-Other Services	0.7
Aerospace/Defense-Equipment	0.6
Multimedia	0.6
Pipelines	0.6
Municipal Bonds & Notes	0.6
Banks-Super Regional	0.5
Electronic Components-Misc.	0.5
Internet Content-Entertainment	0.5
Aerospace/Defense	0.5
Entertainment Software	0.5
Insurance-Multi-line	0.5
Commercial Services-Finance	0.5
Medical Instruments	0.5
Athletic Footwear	0.5
Commercial Services	0.4
E-Commerce/Services	0.4
Coatings/Paint	0.4
Electric-Generation	0.4
Insurance-Property/Casualty	0.4
Containers-Metal/Glass	0.4
Broadcast Services/Program	0.3
Semiconductor Equipment	0.3
Diagnostic Equipment	0.3
Therapeutics	0.3
Industrial Gases	0.3
Medical-Hospitals	0.3

Cruise Lines	0.3	%
Cosmetics & Toiletries	0.3
Airlines	0.3
Brewery	0.3
Auto/Truck Parts & Equipment-Original	0.3
Finance-Consumer Loans	0.3
Medical Information Systems	0.3
Medical-Generic Drugs	0.2
Finance-Investment Banker/Broker	0.2
Food-Catering	0.2
Computer Services	0.2
Cellular Telecom	0.2
Auto-Cars/Light Trucks	0.2
Industrial Automated/Robotic	0.2
Beverages-Wine/Spirits	0.2
Medical Products	0.2
Building Products-Cement	0.2
Computer Software	0.2
Web Hosting/Design	0.2
Retail-Discount	0.2
Computer Aided Design	0.2
U.S. Government Agencies	0.2
Retail-Gardening Products	0.2
Distribution/Wholesale	0.2
Metal-Iron	0.2
Independent Power Producers	0.2
Insurance-Life/Health	0.1
Food-Misc./Diversified	0.1
Oil Refining & Marketing	0.1
Computers-Memory Devices	0.1
Veterinary Diagnostics	0.1
Steel-Producers	0.1
Building & Construction Products-Misc.	0.1
Rental Auto/Equipment	0.1
Data Processing/Management	0.1
Chemicals-Specialty	0.1
Oil Companies-Integrated	0.1
Engineering/R&D Services	0.1
Wireless Equipment	0.1
Music	0.1
Insurance Brokers	0.1
Gas-Distribution	0.1
Building-Residential/Commercial	0.1
Television	0.1
Food-Wholesale/Distribution	0.1
Electric-Distribution	0.1
Medical-Wholesale Drug Distribution	0.1
Transport-Services	0.1
Office Automation & Equipment	0.1
	118.5	%

*  Calculated as a percentage of net assets

62

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Credit Quality†#
Aaa	60.2	%
Aa	0.8
A	6.9
Baa	13.8
Ba	4.0
B	0.6
Caa	0.9
Ca	0.2
Not Rated##	12.6
	100.0	%

†  Source: Moody's

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

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

63

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 31.6%
Aerospace/Defense — 0.4%
Boeing Co.		614	$	228,347
Aerospace/Defense-Equipment — 0.4%
L3 Technologies, Inc.		1,140		242,387
Airlines — 0.2%
United Continental Holdings, Inc.†		1,376		122,547
Applications Software — 1.9%
Microsoft Corp.		7,049		806,194
salesforce.com, Inc.†		2,298		365,451
				1,171,645
Athletic Footwear — 0.5%
NIKE, Inc., Class B		3,213		272,205
Auto/Truck Parts & Equipment-Original — 0.3%
Aptiv PLC		1,898		159,242
Beverages-Non-alcoholic — 0.8%
Coca-Cola Co.		7,752		358,065
Monster Beverage Corp.†		2,339		136,317
				494,382
Broadcast Services/Program — 0.1%
Discovery, Inc., Class C†		2,490		73,654
Building Products-Cement — 0.2%
Vulcan Materials Co.		1,013		112,646
Cable/Satellite TV — 0.3%
Liberty Broadband Corp., Class C†		1,915		161,435
Coatings/Paint — 0.3%
Sherwin-Williams Co.		417		189,823
Commercial Services — 0.4%
CoStar Group, Inc.†		359		151,082
ServiceMaster Global Holdings, Inc.†		1,732		107,436
				258,518
Commercial Services-Finance — 0.3%
Worldpay, Inc., Class A†		1,529		154,842
Computer Aided Design — 0.2%
Autodesk, Inc.†		670		104,594
Computer Services — 0.2%
Amdocs, Ltd.		2,138		141,065
Computer Software — 0.2%
SS&C Technologies Holdings, Inc.		1,955		111,103
Computers — 1.5%
Apple, Inc.		3,888		877,677
Consulting Services — 0.7%
Gartner, Inc.†		1,936		306,856
Verisk Analytics, Inc.†		961		115,849
				422,705
Containers-Metal/Glass — 0.4%
Ball Corp.		5,171		227,472
Cosmetics & Toiletries — 0.3%
Estee Lauder Cos., Inc., Class A		1,269		184,411

Security Description	Shares		Value (Note 2)
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		3,263	$	187,394
Diagnostic Equipment — 0.3%
Thermo Fisher Scientific, Inc.		762		185,989
Distribution/Wholesale — 0.2%
Fastenal Co.		1,636		94,921
Diversified Manufacturing Operations — 1.0%
A.O. Smith Corp.		2,438		130,116
Illinois Tool Works, Inc.		1,652		233,130
Parker-Hannifin Corp.		1,428		262,652
				625,898
Drug Delivery Systems — 0.0%
DexCom, Inc.†		55		7,867
E-Commerce/Products — 2.2%
Amazon.com, Inc.†		612		1,225,836
Wayfair, Inc., Class A†		763		112,672
				1,338,508
E-Commerce/Services — 0.4%
Booking Holdings, Inc.†		128		253,952
Electronic Components-Misc. — 0.4%
Flex, Ltd.†		10,889		142,864
Sensata Technologies Holding PLC†		2,486		123,181
				266,045
Electronic Components-Semiconductors — 1.6%
Microchip Technology, Inc.		2,546		200,905
NVIDIA Corp.		1,432		402,421
Texas Instruments, Inc.		3,459		371,116
				974,442
Electronic Forms — 0.7%
Adobe Systems, Inc.†		1,473		397,636
Enterprise Software/Service — 0.7%
Tyler Technologies, Inc.†		720		176,443
Ultimate Software Group, Inc.†		704		226,822
				403,265
Entertainment Software — 0.5%
Activision Blizzard, Inc.		3,576		297,487
Finance-Consumer Loans — 0.2%
Synchrony Financial		3,436		106,791
Finance-Credit Card — 1.7%
Mastercard, Inc., Class A		2,099		467,258
Visa, Inc., Class A		3,612		542,125
				1,009,383
Finance-Investment Banker/Broker — 0.2%
TD Ameritrade Holding Corp.		2,861		151,147
Finance-Other Services — 0.4%
CME Group, Inc.		632		107,573
Intercontinental Exchange, Inc.		1,774		132,855
				240,428
Food-Catering — 0.2%
Aramark		3,300		141,966

64

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Independent Power Producers — 0.2%
NRG Energy, Inc.		2,505	$	93,687
Industrial Automated/Robotic — 0.2%
Cognex Corp.		2,248		125,483
Industrial Gases — 0.3%
Air Products & Chemicals, Inc.		1,185		197,954
Insurance-Property/Casualty — 0.4%
Progressive Corp.		3,356		238,410
Internet Content-Entertainment — 0.5%
Facebook, Inc., Class A†		1,839		302,442
Medical Information Systems — 0.2%
athenahealth, Inc.†		790		105,544
Medical Instruments — 0.4%
Boston Scientific Corp.†		6,009		231,347
Medical-Biomedical/Gene — 0.9%
AnaptysBio, Inc.†		1,067		106,454
Celgene Corp.†		2,081		186,229
Gilead Sciences, Inc.		265		20,461
Insmed, Inc.†		2,550		51,561
Regeneron Pharmaceuticals, Inc.†		380		153,535
				518,240
Medical-Drugs — 1.0%
Bristol-Myers Squibb Co.		3,262		202,505
Eli Lilly & Co.		2,157		231,467
Global Blood Therapeutics, Inc.†		621		23,598
Merck & Co., Inc.		2,487		176,428
				633,998
Medical-Generic Drugs — 0.1%
Mylan NV†		2,189		80,117
Medical-HMO — 0.9%
Humana, Inc.		857		290,112
UnitedHealth Group, Inc.		1,033		274,819
				564,931
Multimedia — 0.2%
Liberty Media Corp. - Liberty Formula One, Series C†		3,910		145,413
Oil Companies-Exploration & Production — 0.2%
Anadarko Petroleum Corp.		1,356		91,408
Real Estate Investment Trusts — 0.5%
American Tower Corp.		1,634		237,420
Invitation Homes, Inc.		2,375		54,411
				291,831
Retail-Gardening Products — 0.2%
Tractor Supply Co.		1,049		95,333
Retail-Restaurants — 0.9%
Dunkin' Brands Group, Inc.		1,021		75,268
McDonald's Corp.		1,189		198,908
Starbucks Corp.		4,502		255,894
				530,070

Security Description	Shares/ Principal Amount(16)		Value (Note 2)
Semiconductor Equipment — 0.3%
Lam Research Corp.		1,356	$	205,705
Television — 0.0%
ION Media Networks, Inc.†(1)(9)(13)		10		8,402
Therapeutics — 0.3%
Neurocrine Biosciences, Inc.†		1,529		187,991
Sarepta Therapeutics, Inc.†		99		15,989
				203,980
Tobacco — 0.6%
Altria Group, Inc.		6,043		364,453
Transport-Rail — 0.4%
CSX Corp.		3,221		238,515
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc.†		316		11,025
Web Hosting/Design — 0.2%
GoDaddy, Inc., Class A†		1,326		110,575
Web Portals/ISP — 2.1%
Alphabet, Inc., Class C†		1,069		1,275,819
Total Common Stocks (cost $13,885,029)				19,058,501
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.5%
Banks-Commercial — 0.8%
Banco Bilbao Vizcaya Argentaria SA 7.00% due 02/19/2019(2)	EUR	200,000		236,469
Banco de Sabadell SA 6.13% due 11/23/2022(2)	EUR	200,000		229,307
				465,776
Diversified Banking Institutions — 0.7%
Credit Agricole SA 8.13% due 12/23/2025*(2)		200,000		219,994
Credit Suisse Group AG 6.25% due 12/18/2024*(2)		200,000		197,250
				417,244
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00% due †(1)(9)		16,000		2
Total Preferred Securities/Capital Securities (cost $922,524)				883,022
ASSET BACKED SECURITIES — 22.6%
Diversified Financial Services — 22.6%
ALM XVI, Ltd./ALM XVI LLC FRS Series 2015-16A, Class AAR2 3.54% (3 ML+0.90%) due 07/15/2027*(5)		250,000		249,875
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.39% (1 ML+0.17%) due 01/25/2037(4)		30,625		29,856

65

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020	$	2,179	$	2,179
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.59% (3 ML+1.25%) due 07/25/2029*(5)		250,000		249,972
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.34% (3 ML+1.00%) due 07/28/2028*(5)		250,000		249,871
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(3)(4)		31,318		31,100
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(3)(4)		39,095		38,414
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(3)(4)		16,337		16,202
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.79% (1 ML+1.58%) due 10/25/2034(9)		16,441		16,533
Atrium XII FRS Series 12A, Class AR 3.18% (3 ML+0.83%) due 04/22/2027*(5)		250,000		248,785
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.45% (3 ML+1.12%) due 01/18/2025*(5)		147,480		147,405
Babson CLO, Ltd. FRS Series 2016-2A, Class A 3.80% (3 ML+1.45%) due 07/20/2028*(5)		250,000		249,938
BANK VRS Series 2017-BNK8, Class XA 0.89% due 11/15/2050(3)(6)(7)		996,911		54,279
Barclays Commercial Mtg. Securities Trust Series 2017-C1, Class A4 3.67% due 02/15/2050(6)		63,000		62,200
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3)		122,138		121,010
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3)		82,835		82,105
Bayview Opportunity Master Fund Trust VRS Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(3)(8)		35,784		35,611

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Bayview Opportunity Master Fund Trust VRS Series 2017-RN8, Class A1 3.35% due 11/28/2032*(3)(8)	$	28,258	$	28,125
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(3)		74,303		73,794
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(3)		75,758		75,284
Bayview Opportunity Master Fund Trust VRS Series 2018-RN2, Class A1 3.60% due 02/25/2033*(3)(8)		43,651		43,333
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(3)		75,593		75,799
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3)		89,756		89,936
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.01% (1 ML+0.85%) due 08/15/2036*(6)		152,000		152,000
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.92% due 02/25/2036(3)(4)		100,877		94,318
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.67% due 01/15/2051(3)(6)(7)		210,623		8,061
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(3)(6)(7)		370,789		14,261
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		10,208		10,082
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.12% (3 ML+0.78%) due 04/27/2027*(5)		250,000		248,259
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1AR 3.44% (3 ML+1.10%) due 10/15/2030*(5)		250,000		249,847
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 3.44% (3 ML+1.10%) due 01/25/2026*(5)		220,545		220,502
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.16% (3 ML+1.05%) due 04/24/2030*(5)		250,000		249,193

66

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023*	$	16,704	$	16,590
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(4)		114,891		113,455
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6)		122,000		122,315
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.94% (1 Yr USTYCR+2.40%) due 03/25/2036(4)		54,300		53,049
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(9)		54,726		54,441
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(3)(4)		78,372		77,838
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(3)(4)		40,253		39,943
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(3)(4)		63,966		63,628
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6)		125,105		122,190
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6)		140,000		140,842
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6)		155,000		154,298
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6)		150,000		152,468
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6)		65,000		66,354
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6)		195,000		202,060
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		40,936		36,044
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.95% due 06/15/2057(3)(6)(7)		1,206,845		47,519
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(6)		125,000		125,486
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(4)		49,256		48,024

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(3)(4)	$	59,079	$	58,552
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(3)(4)		50,555		50,205
Deephaven Residential Mtg. Trust VRS Series 2017-1A, Class 1A 2.73% due 12/26/2046*(3)(4)		37,130		36,989
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(9)		59,850		59,474
Dryden Senior Loan Fund FRS Series 2014-33A, Class AR 3.77% (3 ML+1.43%) due 10/15/2028*(5)		250,000		250,372
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.80% due 05/25/2035(3)(4)		82,981		83,160
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 3.56% (3 ML+1.22%) due 07/24/2030*(5)		250,000		249,951
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6)		125,000		121,727
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6)		30,445		33,313
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6)		100,000		100,317
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6)		146,000		146,067
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		140,000		142,977
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.81% due 03/25/2047(3)(4)		24,254		22,099
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.91% due 04/25/2036(3)(4)		7,005		6,268
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019*		6,059		6,059
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.76% (1 ML+0.54%) due 05/25/2035(4)		63,843		63,478

67

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6)	$	68,000	$	69,949
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)		65,000		65,611
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(6)		122,000		118,614
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(8)		137,081		136,704
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025*(9)		100,000		99,433
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 2.99% (1 ML+1.75%) due 10/01/2022*(4)		45,440		45,238
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.81% (1 ML+1.55%) due 02/01/2023*(4)		69,387		68,264
LSTAR Securities Investment, Ltd. FRS Series 2017-8, Class A 3.91% (1 ML+1.65%) due 11/01/2022*(4)		49,818		49,806
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(5)		250,000		249,972
Madison Park Funding XIV, Ltd. FRS Series 2014-14A, Class A1R 3.47% (3 ML+1.12%) due 07/20/2026*(5)		250,000		249,916
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.54% due 02/25/2035(3)(4)		15,664		16,227
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.88% due 12/25/2034(3)(4)		27,420		28,087
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(8)		90,271		89,334
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.25% due 12/15/2047(3)(6)(7)		347,507		13,785

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.61% due 06/15/2050(3)(6)(7)	$	123,910	$	10,608
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(6)		105,000		105,605
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)		35,536		28,297
MortgageIT Trust FRS Series 2005-4, Class A1 2.50% (1 ML+0.28%) due 10/25/2035(4)		122,254		120,882
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049*		57,000		56,513
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051*		100,000		98,959
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.72% (1 ML+1.50%) due 06/25/2057*(4)		109,181		111,961
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(4)		87,635		87,490
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(4)		76,096		75,729
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(4)		144,802		145,210
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(4)		143,175		143,969
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(4)		116,784		117,281
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(4)		92,187		92,621
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3)(4)		121,603		121,971
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A 4.00% due 12/25/2057*(3)		87,750		88,134

68

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(4)	$	26,034	$	25,010
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*		110,000		108,966
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		87,539		87,069
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023*		85,520		85,000
Oaktree EIF II Series A1, Ltd. FRS Series 2017-IIIA, Class A2 3.79% (3 ML+1.45%) due 07/17/2029*(5)		250,000		249,241
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.19% (3 ML+0.85%) due 04/17/2027*(5)		215,000		214,430
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		139,000		136,621
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		76,800		77,205
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.32% (1 ML+0.10%) due 02/25/2037(9)		37,287		23,386
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.24% (3 ML+1.05%) due 04/30/2027*(5)		250,000		249,619
Prosper Marketplace Issuance Trust Series 2017-3A, Class A 2.36% due 11/15/2023*		37,148		37,045
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4)		3,718		3,578
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.35% (1 ML+0.13%) due 05/25/2037(9)		94,200		71,757
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(9)		66,063		66,001
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026*		55,320		54,657
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(9)		30,430		30,337

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Sound Point CLO XVIII, Ltd. FRS Series 2017-4A Class A1 3.47% (3 ML+1.12%) due 01/21/2031*(5)	$	250,000	$	248,976
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.47% (1 ML+0.25%) due 11/25/2036(9)		200,000		185,811
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		145,000		142,070
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029*		100,000		99,729
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(3)		69,963		68,258
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3)		58,715		57,532
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3)		148,884		145,767
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3)		70,941		69,609
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(3)		103,772		100,853
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(3)		78,087		76,053
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.82% (1 ML+0.60%) due 02/25/2057*		100,410		100,500
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(5)		250,000		249,963
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(8)		50,721		50,278
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6)		80,000		79,133
VOLT LXIII LLC VRS Series NP10, Class A1 3.00% due 10/25/2047*(3)		60,917		60,235
VOLT LXIV LLC VRS Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(3)(8)		108,104		107,443
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048(8)		81,839		81,657

69

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.23% (3 ML+0.90%) due 01/18/2029*(5)	$	250,000	$	249,056
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.30% due 09/15/2057(3)(6)(7)		977,361		45,954
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		105,000		105,991
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(3)(6)		10,000		9,364
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.78% due 01/25/2035(3)(4)		76,121		77,176
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.93% due 03/25/2035(3)(4)		54,513		55,722
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.20% due 11/25/2034(3)(4)		2,627		2,662
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(3)(4)		30,473		30,342
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(9)		49,625		47,635
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		85,000		84,396
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(3)(6)(7)		443,860		7,027
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		145,280		147,999
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		55,111		56,482
Total Asset Backed Securities (cost $13,709,555)				13,655,446
U.S. CORPORATE BONDS & NOTES — 16.9%
Aerospace/Defense — 0.1%
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052		74,000		70,451

Security Description	Principal Amount(16)		Value (Note 2)
Aerospace/Defense-Equipment — 0.2%
United Technologies Corp. Senior Notes 3.65% due 08/16/2023	$	115,000	$	114,489
United Technologies Corp. Senior Notes 3.95% due 08/16/2025		30,000		29,858
United Technologies Corp. Senior Notes 4.63% due 11/16/2048		5,000		5,028
				149,375
Agricultural Chemicals — 0.0%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		10,000		8,850
Airlines — 0.1%
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		15,000		14,812
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023		25,000		24,556
				39,368
Applications Software — 0.2%
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		45,000		43,041
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		35,000		34,241
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023		20,000		19,855
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028		15,000		14,872
				112,009
Auto-Cars/Light Trucks — 0.2%
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		10,000		8,907
General Motors Co. Senior Notes 5.40% due 04/01/2048		25,000		23,337
General Motors Co. Senior Notes 5.95% due 04/01/2049		15,000		14,899
General Motors Co. Senior Notes 6.75% due 04/01/2046		50,000		54,120
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		35,000		34,039
				135,302

70

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		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	$	35,000	$	34,570
Banks-Super Regional — 0.5%
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		30,000		27,918
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		20,000		18,559
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		130,000		126,883
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		85,000		81,556
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		25,000		23,549
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		25,000		27,616
				306,081
Beverages-Wine/Spirits — 0.2%
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		50,000		47,789
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		5,000		4,821
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		30,000		28,071
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047		5,000		4,666
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025		39,000		39,952
				125,299
Brewery — 0.3%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		40,000		38,868
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024		35,000		34,635
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		45,000		38,980
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		10,000		9,687

Security Description	Principal Amount(16)		Value (Note 2)
Brewery (continued)
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058	$	40,000	$	38,826
				160,996
Broadcast Services/Program — 0.2%
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020*		49,000		48,502
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		36,000		35,307
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025*		19,000		18,540
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		15,000		15,395
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		25,000		26,658
				144,402
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		55,000		56,237
Building-Residential/Commercial — 0.1%
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		40,000		39,300
Cable/Satellite TV — 0.8%
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022		25,000		25,419
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		90,000		91,388
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048		45,000		45,028
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		50,000		53,749

71

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027	$	5,000	$	4,400
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		5,000		4,172
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052		15,000		13,302
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		20,000		19,606
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		45,000		42,585
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		10,000		9,075
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		41,000		41,871
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		45,000		38,403
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		45,000		45,433
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		65,000		66,343
				500,774
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		10,000		10,375
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		50,000		51,875
				62,250
Chemicals-Specialty — 0.0%
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028		10,000		10,089
Coatings/Paint — 0.1%
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		15,000		14,407
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027		40,000		38,066
				52,473
Commercial Services-Finance — 0.2%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		20,000		19,684

Security Description	Principal Amount(16)		Value (Note 2)
Commercial Services-Finance (continued)
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023	$	110,000	$	109,789
				129,473
Computers — 0.1%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		15,000		13,458
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		9,590
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045		20,000		20,552
				43,600
Computers-Memory Devices — 0.1%
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026		75,000		72,531
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		20,000		20,039
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		35,000		35,219
				55,258
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,261
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		10,000		9,695
				18,956
Diversified Banking Institutions — 2.8%
Bank of America Corp. Senior Notes 2.25% due 04/21/2020		160,000		157,955
Bank of America Corp. Senior Notes 3.37% due 01/23/2026		105,000		100,978
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		70,000		67,381
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		40,000		39,041
Bank of America Corp. Senior Notes 4.44% due 01/20/2048		35,000		34,797
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		95,000		95,538

72

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022	$	25,000	$	24,040
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		45,000		42,003
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024		80,000		80,636
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028		20,000		18,805
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029		20,000		19,630
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		80,000		79,076
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		7,000		7,064
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046		15,000		14,631
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		53,000		52,457
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022		25,000		24,380
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		85,000		82,125
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028		10,000		9,518
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029		30,000		28,617
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038		5,000		4,635
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029		20,000		19,707
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		30,000		30,617
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		55,000		66,106
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		39,000		46,915
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		30,000		29,250

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025	$	95,000	$	92,054
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		33,000		32,708
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		50,000		47,360
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023		30,000		30,598
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		40,000		39,945
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		10,000		11,543
Morgan Stanley Senior Notes 2.50% due 04/21/2021		30,000		29,312
Morgan Stanley Senior Notes 2.63% due 11/17/2021		15,000		14,585
Morgan Stanley Senior Notes 3.13% due 07/27/2026		25,000		23,291
Morgan Stanley Senior Notes 3.59% due 07/22/2028		105,000		99,623
Morgan Stanley Senior Notes 3.63% due 01/20/2027		40,000		38,411
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		40,000		38,393
Morgan Stanley Senior Notes 4.00% due 07/23/2025		20,000		19,933
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		1,000		992
				1,694,650
Diversified Manufacturing Operations — 0.0%
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		25,000		24,707
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024		15,000		14,472
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037		55,000		53,848
				68,320

73

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Distribution — 0.1%
Sempra Energy Senior Notes 2.40% due 02/01/2020	$	35,000	$	34,564
Electric-Generation — 0.1%
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		5,000		4,872
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026*		40,000		40,450
				45,322
Electric-Integrated — 1.0%
AES Corp. Senior Notes 4.00% due 03/15/2021		5,000		4,987
AES Corp. Senior Notes 4.88% due 05/15/2023		8,000		8,070
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028		25,000		23,669
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		30,000		29,526
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		50,000		43,451
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047		15,000		13,429
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046		15,000		13,699
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		4,859
Exelon Corp. Senior Notes 2.85% due 06/15/2020		50,000		49,560
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		10,000		10,155
Georgia Power Co. Senior Notes 2.00% due 09/08/2020		120,000		116,995
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		30,000		29,098
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026		5,000		4,554
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027		100,000		91,423
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024		10,000		9,543

Security Description	Principal Amount(16)		Value (Note 2)
Electric-Integrated (continued)
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034	$	50,000	$	56,832
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021		10,000		10,004
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028		15,000		14,940
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064		45,000		41,247
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025		10,000		9,935
Southern California Edison Co. 1st Mtg. Notes 4.13% due 03/01/2048		5,000		4,779
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		9,606
Southern Co. Senior Notes 3.25% due 07/01/2026		30,000		27,980
				628,341
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		10,000		11,307
Electronic Components-Semiconductors — 0.4%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020		80,000		79,061
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025		20,000		18,581
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024		105,000		102,017
Intel Corp. Senior Notes 4.10% due 05/19/2046		25,000		24,716
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023*		35,000		34,783
				259,158
Electronic Measurement Instruments — 0.0%
Fortive Corp. Senior Notes 2.35% due 06/15/2021		30,000		29,066
Engineering/R&D Services — 0.1%
Fluor Corp. Senior Notes 4.25% due 09/15/2028		50,000		48,965

74

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Enterprise Software/Service — 0.0%
Oracle Corp. Senior Notes 4.00% due 11/15/2047	$	20,000	$	18,991
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 7.25% due 09/25/2023		45,000		47,700
Finance-Credit Card — 0.1%
American Express Co. Senior Notes 3.40% due 02/27/2023		45,000		44,291
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(9)		19,000		532
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(9)		21,000		2
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(9)		26,000		3
				537
Finance-Other Services — 0.3%
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050*		160,000		155,685
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		30,000		26,496
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029		55,000		54,908
				81,404
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		40,000		39,061
Gas-Distribution — 0.1%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		35,000		34,737
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026		5,000		4,963
				39,700
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		25,000		24,323
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		19,435
				43,758

Security Description	Principal Amount(16)		Value (Note 2)
Insurance-Life/Health — 0.1%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025	$	40,000	$	40,900
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020*		45,000		44,363
				85,263
Insurance-Multi-line — 0.5%
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021		270,000		270,519
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023		20,000		17,300
				287,819
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		7,000		10,750
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		20,600
Medical Information Systems — 0.1%
IQVIA, Inc. Company Guar. Notes 4.88% due 05/15/2023*		40,000		40,200
Medical Instruments — 0.1%
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028		45,000		44,461
Medical Products — 0.2%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		80,000		77,294
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027		50,000		47,812
				125,106
Medical-Biomedical/Gene — 0.2%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		30,000		29,135
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		2,000		1,986
Celgene Corp. Senior Notes 4.63% due 05/15/2044		20,000		18,821
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		25,000		24,877

75

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047	$	80,000	$	75,792
				150,611
Medical-Drugs — 0.1%
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		60,000		59,912
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028*		15,000		14,582
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048*		15,000		13,862
				28,444
Medical-HMO — 0.7%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		20,000		19,163
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		24,494
Anthem, Inc. Senior Notes 3.65% due 12/01/2027		45,000		42,750
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		48,859
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025*		30,000		29,914
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028*		160,000		159,534
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023		30,000		30,061
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		40,000		40,190
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048		10,000		10,037
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		10,000		10,702
				415,704
Medical-Hospitals — 0.3%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		25,000		24,313
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		10,000		9,497

Security Description	Principal Amount(16)		Value (Note 2)
Medical-Hospitals (continued)
Dignity Health Sec. Notes 2.64% due 11/01/2019	$	160,000	$	159,003
				192,813
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		35,000		33,487
Multimedia — 0.4%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		50,000		61,600
Viacom, Inc. Senior Notes 4.25% due 09/01/2023		100,000		100,682
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		20,000		17,454
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027		60,000		57,394
				237,130
Music — 0.1%
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024*		45,000		43,875
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		35,000		32,015
Oil Companies-Exploration & Production — 0.4%
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		15,397
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		5,000		5,088
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		16,000		16,232
Hess Corp. Senior Notes 4.30% due 04/01/2027		35,000		33,939
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		45,000		50,673
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025		10,000		9,775
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		40,000		40,150
SM Energy Co. Senior Notes 6.13% due 11/15/2022		25,000		25,750

76

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024	$	25,000	$	25,125
				222,129
Oil Refining & Marketing — 0.1%
Andeavor Senior Notes 3.80% due 04/01/2028		20,000		19,018
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028		25,000		24,657
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		35,000		33,271
				76,946
Pharmacy Services — 0.8%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		275,000		272,447
CVS Health Corp. Senior Notes 3.13% due 03/09/2020		85,000		85,012
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		9,000		8,869
CVS Health Corp. Senior Notes 4.10% due 03/25/2025		60,000		59,839
CVS Health Corp. Senior Notes 5.05% due 03/25/2048		25,000		25,571
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		35,000		35,981
				487,719
Pipelines — 0.6%
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027		40,000		39,084
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		9,750
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		5,075
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023		15,000		15,119
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023		20,000		20,296
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028		25,000		25,690

Security Description	Principal Amount(16)		Value (Note 2)
Pipelines (continued)
MPLX LP Senior Notes 4.00% due 03/15/2028	$	20,000	$	19,236
MPLX LP Senior Notes 4.13% due 03/01/2027		25,000		24,350
MPLX LP Senior Notes 4.70% due 04/15/2048		10,000		9,319
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,010
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		15,000		14,551
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		45,000		43,136
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028*		10,000		9,446
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028		10,000		9,771
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028		40,000		39,292
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028		45,000		43,166
				332,291
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		15,000		15,044
Real Estate Investment Trusts — 0.5%
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023		30,000		28,910
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		15,000		14,254
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044*		90,000		89,819
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047*		85,000		83,348
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*		60,000		59,129
				275,460

77

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		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	$	30,000	$	30,600
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		25,000		24,719
				55,319
Retail-Building Products — 0.0%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		20,000		17,284
Retail-Discount — 0.2%
Walmart, Inc. Senior Notes 3.40% due 06/26/2023		110,000		110,479
Retail-Restaurants — 0.1%
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		35,000		34,702
Starbucks Corp. Senior Notes 3.80% due 08/15/2025		25,000		24,835
Starbucks Corp. Senior Notes 4.00% due 11/15/2028		15,000		14,958
				74,495
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025		15,000		14,288
Telephone-Integrated — 0.7%
AT&T, Inc. Senior Notes 4.10% due 02/15/2028*		35,000		33,979
AT&T, Inc. Senior Notes 4.25% due 03/01/2027		15,000		14,806
AT&T, Inc. Senior Notes 4.30% due 02/15/2030*		62,000		59,625
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		15,000		14,014
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		50,000		45,682
AT&T, Inc. Senior Notes 5.25% due 03/01/2037		15,000		14,950
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		31,000		29,543

Security Description	Principal Amount(16)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034	$	50,000	$	48,759
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		35,000		34,712
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		35,000		33,284
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		39,000		36,664
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		5,000		4,988
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		25,000		25,083
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		30,000		31,985
				428,074
Tobacco — 0.7%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022		95,000		92,904
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		20,000		17,494
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		230,000		225,392
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024*		30,000		28,594
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		60,000		55,820
				420,204
Transport-Rail — 0.2%
CSX Corp. Senior Notes 3.25% due 06/01/2027		75,000		71,076
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038		60,000		61,023
				132,099
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048		20,000		18,148
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045		15,000		15,020
				33,168

78

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Veterinary Diagnostics — 0.1%
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021*	$	30,000	$	30,028
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023*		30,000		30,122
				60,150
Total U.S. Corporate Bonds & Notes (cost $10,393,672)				10,206,510
FOREIGN CORPORATE BONDS & NOTES — 2.5%
Banks-Commercial — 0.1%
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020		95,000		93,099
Cellular Telecom — 0.1%
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028		75,000		73,892
Chemicals-Diversified — 0.0%
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055		20,000		17,974
Chemicals-Specialty — 0.1%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		35,000		34,217
Methanex Corp. Senior Notes 5.65% due 12/01/2044		10,000		9,631
				43,848
Cruise Lines — 0.0%
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028*		5,000		4,805
Diversified Banking Institutions — 0.6%
BNP Paribas SA Senior Notes 3.38% due 01/09/2025*		200,000		189,331
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023		200,000		193,166
				382,497
Electric-Generation — 0.3%
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039*		200,000		193,376
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021		15,000		14,330

Security Description	Principal Amount(16)		Value (Note 2)
Electronic Components-Misc. — 0.1%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*	$	40,000	$	39,900
Medical-Drugs — 0.2%
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022*		40,000		41,600
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021		5,000		4,992
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		50,000		48,295
				94,887
Medical-Generic Drugs — 0.1%
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022		20,000		19,866
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		20,000		19,701
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		30,000		30,023
Mylan NV Company Guar. Notes 3.95% due 06/15/2026		13,000		12,297
				81,887
Metal-Iron — 0.2%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		75,000		82,192
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039		10,000		11,715
				93,907
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		65,000		63,302
Encana Corp. Senior Notes 3.90% due 11/15/2021		30,000		30,128
				93,430
Oil Companies-Integrated — 0.1%
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		34,000		32,443
YPF SA Senior Notes 16.50% due 05/09/2022*(9)	ARS	1,657,987		20,880
				53,323

79

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Pipelines — 0.0%
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038	$	15,000	$	15,272
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		50,000		54,324
Telephone-Integrated — 0.1%
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036		30,000		36,192
Television — 0.1%
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024*		30,000		30,825
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		34,614
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		25,000		24,062
Nokia OYJ Senior Notes 6.63% due 05/15/2039		20,000		21,550
				45,612
Total Foreign Corporate Bonds & Notes (cost $1,618,151)				1,497,994
MUNICIPAL BONDS & NOTES — 0.6%
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		15,000		14,195
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029		30,000		29,737
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		60,000		76,267
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029		20,000		21,367
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033		75,000		81,573
State of California General Obligation Bonds 7.63% due 03/01/2040		40,000		58,246
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		65,000		65,747
Total Municipal Bonds & Notes (cost $349,011)				347,132

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES — 27.9%
Federal Home Loan Mtg. Corp. — 7.2%
2.50% due 01/01/2028	$	10,886	$	10,576
2.50% due 04/01/2028		26,899		26,131
3.00% due 08/01/2027		38,856		38,532
3.00% due October TBA		600,000		574,070
3.50% due 03/01/2042		10,595		10,510
3.50% due 08/01/2042		59,965		59,481
3.50% due 09/01/2043		41,920		41,582
3.50% due 10/01/2048		800,000		787,877
4.00% due 03/01/2023		1,282		1,309
4.00% due 09/01/2040		4,141		4,196
4.00% due 10/01/2043		60,560		61,486
4.00% due October TBA		1,800,000		1,817,642
4.50% due 01/01/2039		1,794		1,861
4.50% due October TBA		400,000		412,828
5.00% due 12/01/2020		2,247		2,266
5.00% due 05/01/2021		23,101		23,458
5.00% due 07/01/2021		6,613		6,650
5.00% due 05/01/2034		29,241		31,096
5.50% due 05/01/2037		5,751		6,197
5.50% due 06/01/2037		3,150		3,412
6.50% due 05/01/2029		1,536		1,700
6.50% due 07/01/2035		1,724		1,907
Federal Home Loan Mtg. Corp. FRS 3.99% (6 ML+1.49%) due 02/01/2037		2,558		2,633
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(3)(6)		80,000		79,801
Series 2012-K706, Class B 4.17% due 11/25/2044*(3)(6)		70,000		69,899
Series 2010-K8, Class B 5.44% due 09/25/2043*(3)(6)		90,000		92,631
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(6)		79,000		77,099
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.74% due 03/25/2027(3)(6)(7)		373,213		16,258
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043*		29,564		29,910
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4)		6,286		6,011
Series 3883, Class PB 3.00% due 05/15/2041(4)		23,858		23,413

80

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Series 1577, Class PK 6.50% due 09/15/2023(4)	$	2,646	$	2,758
Series 1226, Class Z 7.75% due 03/15/2022(4)		314		331
				4,325,511
Federal National Mtg. Assoc. — 14.6%
2.50% due 04/01/2028		43,503		42,294
2.50% due 02/01/2043		68,141		63,392
2.50% due 03/01/2043		130,344		121,261
2.64% due 03/01/2027		37,355		35,493
2.66% due 03/01/2027		410,000		386,194
2.78% due 03/01/2027		77,352		74,060
2.88% due 11/01/2027		160,000		151,556
3.00% due 07/01/2027		110,000		105,297
3.00% due 10/01/2027		16,629		16,524
3.00% due 12/01/2027		10,763		10,669
3.00% due 01/01/2028		24,656		24,501
3.16% due 08/01/2027		150,000		145,448
3.50% due 11/01/2047		686,775		676,217
3.50% due 12/01/2047		377,940		372,130
3.50% due 03/01/2048		599,999		590,775
3.50% due October TBA		4,025,000		3,960,716
4.00% due 11/01/2025		5,227		5,351
4.00% due 09/01/2040		3,822		3,889
4.00% due 12/01/2040		80,193		81,589
4.00% due 11/01/2041		6,925		7,054
4.00% due 01/01/2042		18,836		19,164
4.00% due 12/01/2043		21,875		22,318
4.00% due October TBA		550,000		555,371
4.50% due 01/01/2039		5,070		5,279
4.50% due 09/01/2039		13,049		13,588
4.50% due 09/01/2040		25,453		26,487
4.50% due 05/01/2041		12,339		12,838
5.00% due 06/01/2019		500		515
5.00% due 05/01/2035		270		286
5.00% due 07/01/2040		19,135		20,357
5.00% due October TBA		300,000		314,908
5.50% due 10/01/2021		4,059		4,127
5.50% due 06/01/2022		1,945		1,980
5.50% due 12/01/2029		3,852		4,110
5.50% due 05/01/2034		13,103		14,020
5.50% due 08/01/2037		20,010		21,575
5.50% due 06/01/2038		4,953		5,345
6.00% due 06/01/2026		11,524		12,442
6.00% due 04/01/2027		57,500		62,093
6.00% due 12/01/2033		18,340		20,190
6.00% due 05/01/2034		11,459		12,594
6.50% due 06/01/2035		36,611		40,138
6.50% due 10/01/2037		2,490		2,730
7.00% due 06/01/2037		12,457		13,954
Federal National Mtg. Assoc. FRS 3.90% (12 ML+1.57%) due 05/01/2037		3,950		4,113
4.55% (12 ML+1.82%) due 10/01/2040		4,608		4,809

Security Description	Principal Amount(16)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.77% (1 ML+3.55%) due 07/25/2029(4)	$	35,000	$	38,210
Series 2016-C07, Class 2M2 6.57% (1 ML+4.35%) due 05/25/2029(4)		70,143		78,464
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4)		8,302		7,948
Series 2012-21, Class PQ 2.00% due 09/25/2041(4)		20,462		19,174
Series 2012-18, Class GA 2.00% due 12/25/2041(4)		40,871		38,397
Series 2012-75, Class KC 2.50% due 12/25/2041(4)		44,248		42,399
Series 2016-11, Class GA 2.50% due 03/25/2046(4)		37,790		36,221
Series 2015-48, Class QB 3.00% due 02/25/2043(4)		55,913		54,616
Series 2017-72, Class B 3.00% due 09/25/2047(4)		52,937		51,596
Series 2017-72, Class CD 3.00% due 09/25/2047(4)		52,760		51,421
Series 2017-96, Class PA 3.00% due 12/25/2054(4)		58,291		56,824
Series 2012-52, Class PA 3.50% due 05/25/2042(4)		24,106		24,136
Series 2018-38, Class PC 3.50% due 03/25/2045(4)		58,864		58,902
Series 2018-80, Class GD 3.50% due 12/25/2047(4)		61,000		60,476
Series 2018-23, Class LA 3.50% due 04/25/2048(4)		48,083		47,877
Series 2018-70, Class HA 3.50% due 10/25/2056(4)		59,135		58,895
				8,815,297
Government National Mtg. Assoc. — 6.1%
3.00% due October TBA		700,000		677,906
3.50% due October TBA		1,500,000		1,491,504
4.00% due 09/15/2040		13,884		14,212
4.00% due 11/15/2040		61,025		62,468
4.00% due October TBA		500,000		508,496
4.50% due 02/15/2039		6,616		6,905
4.50% due 08/15/2041		119,603		124,770
4.50% due October TBA		600,000		620,043
5.50% due 05/15/2036		7,409		7,944
6.00% due 09/15/2032		8,956		9,847
6.00% due 12/15/2033		32,086		35,710
7.00% due 07/15/2033		7,743		8,628
7.00% due 11/15/2033		8,733		9,827
8.00% due 11/15/2031		2,974		2,999
9.00% due 11/15/2021		82		85
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4)		61,269		58,509

81

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
Series 2005-74, Class HA 7.50% due 09/16/2035(4)	$	91	$	98
Series 2005-74, Class HB 7.50% due 09/16/2035(4)		6,354		6,972
				3,646,923
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		25,000		24,995
Total U.S. Government Agencies (cost $16,944,350)				16,812,726
U.S. GOVERNMENT TREASURIES — 9.0%
United States Treasury Bonds — 2.7%
2.50% due 02/15/2045(10)		213,000		186,550
2.88% due 11/15/2046		228,000		214,427
3.00% due 11/15/2045		170,000		163,950
3.00% due 02/15/2047		108,000		104,081
3.00% due 02/15/2048		220,000		211,724
3.63% due 08/15/2043		100,000		107,309
3.63% due 02/15/2044		205,000		220,215
3.75% due 11/15/2043		140,000		153,294
5.00% due 05/15/2037		204,000		258,156
				1,619,706
United States Treasury Notes — 6.3%
0.38% due 07/15/2027 TIPS(11)(12)		1,164,126		1,112,104
1.25% due 10/31/2021		418,000		397,867
1.38% due 05/31/2021		680,000		653,969
1.88% due 11/30/2021		525,000		508,983
2.00% due 02/15/2023		240,000		230,756
2.88% due 05/31/2025		645,000		639,659
2.88% due 05/15/2028		250,000		246,231
				3,789,569
Total U.S. Government Treasuries (cost $5,603,278)				5,409,275
FOREIGN GOVERNMENT OBLIGATIONS — 1.1%
Sovereign — 1.1%
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047*		200,000		191,000
Government of Romania Senior Notes 6.13% due 01/22/2044		70,000		78,925
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047*		200,000		192,660
Republic of Panama Senior Notes 4.30% due 04/29/2053		220,000		211,750
Total Foreign Government Obligations (cost $686,420)				674,335
Total Long-Term Investment Securities (cost $64,111,990)				68,544,941

Security Description	Principal Amount(16)			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 1.7%
Foreign Government Obligations — 1.5%
Government of Egypt Bills 17.41% due 10/16/2018	EGP	900,000		$	49,913
Government of Egypt Bills 16.77% due 03/05/2019	EGP	325,000			16,754
Government of Japan Bills (0.16)% due 08/13/2018	JPY	96,350,000			848,128
					914,795
U.S. Government Agencies — 0.2%
Federal Home Loan Bank 1.88% due 10/01/2018		100,000			100,000
Total Short-Term Investment Securities (cost $1,037,489)					1,014,795
REPURCHASE AGREEMENTS — 3.1%
Bank of America Securities LLC Joint Repurchase Agreement(14)		365,000			365,000
Barclays Capital, Inc. Joint Repurchase Agreement(14)		120,000			120,000
BNP Paribas SA Joint Repurchase Agreement(14)		700,000			700,000
Deutsche Bank AG Joint Repurchase Agreement(14)		125,000			125,000
RBS Securities, Inc. Joint Repurchase Agreement(14)		570,000			570,000
Total Repurchase Agreements (cost $1,880,000)					1,880,000
TOTAL INVESTMENTS (cost $67,029,479)(15)		118.5	%		71,439,736
Liabilities in excess of other assets		(18.5	)		(11,131,362	)
NET ASSETS		100.0	%	$	60,308,374

†  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, 2018, the aggregate value of these securities was $13,722,669 representing 22.8% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

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

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

(3)  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.

(4)  Collateralized Mortgage Obligation

82

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

(5)  Collateralized Loan Obligation

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

(8)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2018.

(9)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $684,629 representing 1.1% of net assets.

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

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

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

(13)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2018, the Portfolio held the following restricted securities:

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		10	$	0	$	8,402	$	840.18		0.00	%

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

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

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

ARS — Argentine Peso

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EGP — Egyptian Pound

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, 2018 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

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	5	Long	Canada 10 Year Bonds	December 2018	$	513,975	$	513,374	$	(601	)
	3	Long	Long Gilt Future	December 2018		473,387		472,900		(487	)
	13	Short	U.S. Treasury 10 Year Notes	December 2018		1,560,562		1,544,156		16,406
	27	Short	U.S. Treasury 10 Year Ultra Bonds	December 2018		3,448,796		3,402,000		46,796
	6	Long	U.S. Treasury 2 Year Notes	December 2018		1,264,015		1,264,406		391
	26	Long	U.S. Treasury 5 Year Notes	December 2018		2,945,281		2,924,390		(20,891	)
	8	Long	U.S. Treasury Ultra Bonds	December 2018		1,266,314		1,234,250		(32,064	)
									$	9,550

*  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.

83

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
HSBC Bank USA	EUR	405,000	USD	477,186	10/31/2018	$	5,896	$	—
JPMorgan Chase Bank	JPY	96,350,000	USD	875,845	11/13/2018		25,268		—
Net Unrealized Appreciation (Depreciation)						$	31,164	$	—

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	1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually		1.63%/Annually	$	—		$	20,004
USD	395	12/20/2047	USD-LIBOR-BBA/Quarterly	2.75%/Semi-annually			(8,638	)		38,179
						$	(8,638	)	$	58,183

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

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 September 30, 2018 (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	$	—	$	—	$	8,402	$	8,402
Other Industries		19,050,099		—		—		19,050,099
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		2		2
Other Industries		—		883,020		—		883,020
Asset Backed Securities		—		13,655,446		—		13,655,446
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		532		5		537
Other Industries		—		10,205,973		—		10,205,973
Foreign Corporate Bonds & Notes		—		1,497,994		—		1,497,994
Municipal Bond & Notes		—		347,132		—		347,132
U.S. Government Agencies		—		16,812,726		—		16,812,726
U.S. Government Treasuries		—		5,409,275		—		5,409,275
Foreign Government Obligations		—		674,335		—		674,335
Short-Term Investment Securities		—		1,014,795		—		1,014,795
Repurchase Agreements		—		1,880,000		—		1,880,000
Total Investments at Value	$	19,050,099	$	52,381,228	$	8,409	$	71,439,736

84

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Other Financial Instruments:†
Futures Contracts	$	63,593	$	—	$	—	$	63,593
Forward Foreign Currency Contracts		—		31,164		—		31,164
Centrally Cleared Interest Rate Swap Contracts		—		58,183		—		58,183
Total Other Financial Instruments	$	63,593	$	89,347	$	—	$	152,940
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	54,043	$	—	$	—	$	54,043

*   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

85

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Diversified Financial Services	27.9	%
Federal National Mtg. Assoc.	17.2
United States Treasury Notes	11.2
Federal Home Loan Mtg. Corp.	9.4
Government National Mtg. Assoc.	8.3
Diversified Banking Institutions	5.9
United States Treasury Bonds	3.1
Repurchase Agreements	2.7
Foreign Government Obligations	1.9
Sovereign	1.4
Medical-HMO	1.4
Electronic Components-Semiconductors	1.3
Electric-Integrated	1.3
E-Commerce/Products	1.3
Applications Software	1.2
Tobacco	1.2
Cable/Satellite TV	1.1
Web Portals/ISP	1.1
Pharmacy Services	1.0
Finance-Credit Card	1.0
Telephone-Integrated	1.0
Medical-Drugs	0.8
Real Estate Investment Trusts	0.8
Computers	0.8
Banks-Commercial	0.8
Pipelines	0.7
Oil Companies-Exploration & Production	0.7
Municipal Bonds & Notes	0.7
Retail-Restaurants	0.7
Medical-Biomedical/Gene	0.6
Banks-Super Regional	0.6
Multimedia	0.6
Insurance-Multi-line	0.6
Diversified Manufacturing Operations	0.6
Transport-Rail	0.6
Finance-Other Services	0.5
Aerospace/Defense-Equipment	0.5
Electric-Generation	0.5
Beverages-Non-alcoholic	0.4
Medical-Hospitals	0.4
Commercial Services-Finance	0.4
Consulting Services	0.4
Aerospace/Defense	0.4
Broadcast Services/Program	0.4
Medical-Generic Drugs	0.4
Enterprise Software/Service	0.3
Electronic Forms	0.3
Brewery	0.3
Electronic Components-Misc.	0.3
Medical Instruments	0.3
Auto-Cars/Light Trucks	0.3
Coatings/Paint	0.3
Internet Content-Entertainment	0.3
Beverages-Wine/Spirits	0.3
Medical Products	0.3
Entertainment Software	0.3
Cellular Telecom	0.2
Athletic Footwear	0.2
Retail-Discount	0.2
E-Commerce/Services	0.2

Commercial Services	0.2	%
Insurance-Property/Casualty	0.2
Containers-Metal/Glass	0.2
Metal-Iron	0.2
Diagnostic Equipment	0.2
Finance-Consumer Loans	0.2
Airlines	0.2
Semiconductor Equipment	0.2
Insurance-Life/Health	0.2
Medical Information Systems	0.2
Therapeutics	0.2
Cruise Lines	0.2
Industrial Gases	0.2
Food-Misc./Diversified	0.2
Oil Refining & Marketing	0.2
Cosmetics & Toiletries	0.2
Computers-Memory Devices	0.1
Steel-Producers	0.1
Auto/Truck Parts & Equipment-Original	0.1
Veterinary Diagnostics	0.1
Finance-Investment Banker/Broker	0.1
Computer Services	0.1
Food-Catering	0.1
Building & Construction Products-Misc.	0.1
Rental Auto/Equipment	0.1
Data Processing/Management	0.1
Chemicals-Specialty	0.1
Oil Companies-Integrated	0.1
Industrial Automated/Robotic	0.1
Engineering/R&D Services	0.1
Music	0.1
Building Products-Cement	0.1
Computer Software	0.1
Web Hosting/Design	0.1
Wireless Equipment	0.1
Computer Aided Design	0.1
Distribution/Wholesale	0.1
Gas-Distribution	0.1
Building-Residential/Commercial	0.1
Food-Wholesale/Distribution	0.1
Independent Power Producers	0.1
Retail-Gardening Products	0.1
Electric-Distribution	0.1
Insurance Brokers	0.1
Medical-Wholesale Drug Distribution	0.1
Transport-Services	0.1
Office Automation & Equipment	0.1
Electronic Measurement Instruments	0.1
Television	0.1
	126.4	%

*  Calculated as a percentage of net assets

86

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Credit Quality†#
Aaa	61.5	%
Aa	1.2
A	6.9
Baa	13.4
Ba	3.8
B	1.0
Caa	0.9
Ca	0.2
Not Rated##	11.1
	100.0	%

†  Source: Moody's

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

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

87

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 16.3%
Aerospace/Defense — 0.2%
Boeing Co.		255	$	94,834
Aerospace/Defense-Equipment — 0.2%
L3 Technologies, Inc.		497		105,672
Airlines — 0.1%
United Continental Holdings, Inc.†		571		50,853
Applications Software — 1.0%
Microsoft Corp.		2,963		338,878
salesforce.com, Inc.†		951		151,238
				490,116
Athletic Footwear — 0.2%
NIKE, Inc., Class B		1,401		118,693
Auto/Truck Parts & Equipment-Original — 0.1%
Aptiv PLC		788		66,113
Beverages-Non-alcoholic — 0.4%
Coca-Cola Co.		3,219		148,686
Monster Beverage Corp.†		972		56,648
				205,334
Broadcast Services/Program — 0.1%
Discovery, Inc., Class C†		1,059		31,325
Building Products-Cement — 0.1%
Vulcan Materials Co.		421		46,815
Cable/Satellite TV — 0.1%
Liberty Broadband Corp., Class C†		796		67,103
Coatings/Paint — 0.2%
Sherwin-Williams Co.		173		78,751
Commercial Services — 0.2%
CoStar Group, Inc.†		148		62,284
ServiceMaster Global Holdings, Inc.†		713		44,228
				106,512
Commercial Services-Finance — 0.1%
Worldpay, Inc., Class A†		635		64,306
Computer Aided Design — 0.1%
Autodesk, Inc.†		275		42,930
Computer Services — 0.1%
Amdocs, Ltd.		883		58,260
Computer Software — 0.1%
SS&C Technologies Holdings, Inc.		812		46,146
Computers — 0.7%
Apple, Inc.		1,598		360,732
Consulting Services — 0.4%
Gartner, Inc.†		806		127,751
Verisk Analytics, Inc.†		392		47,256
				175,007
Containers-Metal/Glass — 0.2%
Ball Corp.		2,174		95,634
Cosmetics & Toiletries — 0.2%
Estee Lauder Cos., Inc., Class A		528		76,729

Security Description	Shares		Value (Note 2)
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		1,369	$	78,622
Diagnostic Equipment — 0.2%
Thermo Fisher Scientific, Inc.		304		74,200
Distribution/Wholesale — 0.1%
Fastenal Co.		689		39,976
Diversified Manufacturing Operations — 0.5%
A.O. Smith Corp.		1,016		54,224
Illinois Tool Works, Inc.		687		96,950
Parker-Hannifin Corp.		594		109,254
				260,428
Drug Delivery Systems — 0.0%
DexCom, Inc.†		23		3,290
E-Commerce/Products — 1.2%
Amazon.com, Inc.†		259		518,777
Wayfair, Inc., Class A†		316		46,664
				565,441
E-Commerce/Services — 0.2%
Booking Holdings, Inc.†		54		107,136
Electronic Components-Misc. — 0.2%
Flex, Ltd.†		4,482		58,804
Sensata Technologies Holding PLC†		1,036		51,334
				110,138
Electronic Components-Semiconductors — 0.8%
Microchip Technology, Inc.		1,051		82,934
NVIDIA Corp.		594		166,926
Texas Instruments, Inc.		1,447		155,249
				405,109
Electronic Forms — 0.3%
Adobe Systems, Inc.†		609		164,400
Enterprise Software/Service — 0.3%
Tyler Technologies, Inc.†		297		72,783
Ultimate Software Group, Inc.†		291		93,757
				166,540
Entertainment Software — 0.3%
Activision Blizzard, Inc.		1,480		123,121
Finance-Consumer Loans — 0.1%
Synchrony Financial		1,427		44,351
Finance-Credit Card — 0.9%
Mastercard, Inc., Class A		871		193,893
Visa, Inc., Class A		1,499		224,985
				418,878
Finance-Investment Banker/Broker — 0.1%
TD Ameritrade Holding Corp.		1,178		62,234
Finance-Other Services — 0.2%
CME Group, Inc.		262		44,595
Intercontinental Exchange, Inc.		738		55,269
				99,864
Food-Catering — 0.1%
Aramark		1,317		56,657

88

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Independent Power Producers — 0.1%
NRG Energy, Inc.		1,041	$	38,933
Industrial Automated/Robotic — 0.1%
Cognex Corp.		933		52,080
Industrial Gases — 0.2%
Air Products & Chemicals, Inc.		492		82,189
Insurance-Property/Casualty — 0.2%
Progressive Corp.		1,396		99,172
Internet Content-Entertainment — 0.3%
Facebook, Inc., Class A†		763		125,483
Medical Information Systems — 0.1%
athenahealth, Inc.†		325		43,420
Medical Instruments — 0.2%
Boston Scientific Corp.†		2,586		99,561
Medical-Biomedical/Gene — 0.4%
AnaptysBio, Inc.†		433		43,200
Celgene Corp.†		849		75,977
Gilead Sciences, Inc.		110		8,493
Insmed, Inc.†		1,049		21,211
Regeneron Pharmaceuticals, Inc.†		164		66,263
				215,144
Medical-Drugs — 0.5%
Bristol-Myers Squibb Co.		1,342		83,311
Eli Lilly & Co.		887		95,184
Global Blood Therapeutics, Inc.†		253		9,614
Merck & Co., Inc.		1,023		72,572
				260,681
Medical-Generic Drugs — 0.1%
Mylan NV†		899		32,903
Medical-HMO — 0.5%
Humana, Inc.		362		122,544
UnitedHealth Group, Inc.		426		113,333
				235,877
Multimedia — 0.1%
Liberty Media Corp. - Liberty Formula One, Series C†		1,625		60,434
Oil Companies-Exploration & Production — 0.1%
Anadarko Petroleum Corp.		563		37,952
Real Estate Investment Trusts — 0.2%
American Tower Corp.		675		98,078
Invitation Homes, Inc.		987		22,612
				120,690
Retail-Gardening Products — 0.1%
Tractor Supply Co.		385		34,989
Retail-Restaurants — 0.5%
Dunkin' Brands Group, Inc.		429		31,626
McDonald's Corp.		493		82,474
Starbucks Corp.		1,955		111,122
				225,222
Semiconductor Equipment — 0.2%
Lam Research Corp.		567		86,014

Security Description	Shares/ Principal Amount(12)		Value (Note 2)
Television — 0.0%
ION Media Networks, Inc.†(1)(10)(13)		4	$	3,361
Therapeutics — 0.2%
Neurocrine Biosciences, Inc.†		625		76,844
Sarepta Therapeutics, Inc.†		41		6,622
				83,466
Tobacco — 0.3%
Altria Group, Inc.		2,509		151,318
Transport-Rail — 0.2%
CSX Corp.		1,330		98,486
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc.†		133		4,640
Web Hosting/Design — 0.1%
GoDaddy, Inc., Class A†		550		45,864
Web Portals/ISP — 1.1%
Alphabet, Inc., Class C†		444		529,901
Total Common Stocks (cost $5,812,883)				7,930,030
PREFERRED SECURITIES/CAPITAL SECURITIES — 2.0%
Banks-Commercial — 0.5%
Banco de Sabadell SA 6.13% due 11/23/2022(2)	EUR	200,000		229,307
Diversified Banking Institutions — 1.5%
Credit Agricole SA 8.13% due 12/23/2025(2)		200,000		219,994
Credit Suisse Group AG 6.25% due 12/18/2024(2)		275,000		271,219
UniCredit SpA 6.63% due 06/03/2023(2)	EUR	200,000		229,308
				720,521
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(10)		8,000		1
Total Preferred Securities/Capital Securities (cost $935,616)				949,829
ASSET BACKED SECURITIES — 27.9%
Diversified Financial Services — 27.9%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.23% (1 ML+0.17%) due 01/25/2037(4)		36,641		35,721
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		1,017		1,017
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.59% (3 ML+1.25%) due 07/25/2029*(5)		250,000		249,972

89

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.34% (3 ML+1.00%) due 07/28/2028*(5)	$	250,000	$	249,871
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(3)(4)		39,095		38,414
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(3)(4)		31,318		31,100
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(3)(4)		16,337		16,202
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.64% (1 ML+1.58%) due 10/25/2034(10)		3,288		3,307
Atrium XII FRS Series 12A, Class AR 3.18% (3 ML+0.83%) due 04/22/2027*(5)		250,000		248,785
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.45% (3 ML+1.12%) due 01/18/2025*(5)		147,480		147,405
BANK VRS Series 2017-BNK8, Class XA 0.89% due 11/15/2050(3)(6)(7)		996,911		54,279
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3)		122,138		121,010
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3)		82,835		82,105
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(8)		35,784		35,611
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(8)		29,671		29,531
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(3)		74,303		73,794
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(3)		75,758		75,284
Bayview Opportunity Master Fund Trust Series 2018-RN2, Class A1 3.60% due 02/25/2033*(8)		43,651		43,333

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(3)	$	75,593	$	75,799
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3)		93,496		93,683
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.01% (1 ML+0.85%) due 08/15/2036*(6)		153,000		153,000
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.92% due 02/25/2036(3)(4)		119,883		112,088
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.67% due 01/15/2051(3)(6)(7)		212,620		8,138
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(3)(6)(7)		370,789		14,261
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		12,250		12,098
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.12% (3 ML+0.78%) due 04/27/2027*(5)		250,000		248,259
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1AR 3.44% (3 ML+1.10%) due 10/15/2030*(5)		250,000		249,847
CBAM CLO Management LLC FRS Series 2017-3A, Class A 3.57% (3 ML+1.23%) due 10/17/2029*(5)		250,000		250,207
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 3.44% (3 ML+1.10%) due 01/25/2026*(5)		220,545		220,502
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.16% (3 ML+1.05%) due 04/24/2030*(5)		250,000		249,193
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023*		16,704		16,590
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(4)		114,891		113,455
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6)		120,000		120,309

90

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(6)	$	75,000	$	76,701
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.94% (1 Yr USTYCR+2.40%) due 03/25/2036(4)		59,956		58,575
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(10)		54,726		54,441
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(3)(4)		40,253		39,943
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(3)(4)		63,966		63,628
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6)		110,000		107,437
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6)		155,000		155,932
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6)		155,059		154,357
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6)		149,000		151,451
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6)		75,000		76,562
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		44,715		39,371
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.95% due 06/15/2057(3)(6)(7)		1,197,349		47,145
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(6)		125,000		125,486
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(4)		49,256		48,024
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(3)(4)		50,554		50,204
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(3)(4)		59,079		58,552
Deephaven Residential Mtg. Trust VRS Series 2017-1A, Class 1A 2.73% due 12/26/2046*(3)(4)		37,130		36,989

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(10)	$	59,850	$	59,474
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.80% due 05/25/2035(3)(4)		92,465		92,664
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 3.56% (3 ML+1.22%) due 07/24/2030*(5)		250,000		249,951
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6)		160,000		155,810
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6)		40,000		43,768
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6)		100,000		100,317
GS Mtg. Securities Trust Series 2017-CS5, Class A4 3.67% due 03/10/2050(6)		35,124		34,916
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6)		145,000		145,066
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		140,000		142,977
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.81% due 03/25/2047(3)(4)		24,254		22,099
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.91% due 04/25/2036(3)(4)		8,406		7,521
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019*		6,059		6,059
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.60% (1 ML+0.54%) due 05/25/2035(4)		66,883		66,500
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)		64,000		64,601
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(6)		125,000		121,531
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(8)		137,081		136,704
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025*(10)		100,000		99,433

91

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.63% (1 ML+1.55%) due 02/01/2023*(4)	$	69,387	$	68,264
LSTAR Securities Investment, Ltd. FRS Series 2017-8, Class A 3.73% (1 ML+1.65%) due 11/01/2022*(4)		49,818		49,806
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 3.83% (1 ML+1.75%) due 09/01/2022*(1)(4)		47,934		47,964
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.83% (1 ML+1.75%) due 10/01/2022*(4)		46,549		46,341
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(5)		250,000		249,972
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 3.84% (3 ML+1.50%) due 07/25/2026*(5)		250,000		249,834
Marlette Funding Trust Series 2017-3A, Class A 2.36% due 12/15/2024*(10)		45,983		45,819
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.54% due 02/25/2035(3)(4)		14,918		15,455
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.88% due 12/25/2034(3)(4)		29,082		29,789
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(8)		91,131		90,185
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.25% due 12/15/2047(3)(6)(7)		347,507		13,785
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(6)		25,000		25,502
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.61% due 06/15/2050(3)(6)(7)		128,866		11,033
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(6)		105,000		105,605

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)	$	32,693	$	26,033
MortgageIT Trust FRS Series 2005-4, Class A1 2.62% (1 ML+0.28%) due 10/25/2035(4)		127,484		126,053
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049*		57,500		57,009
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051*		100,000		98,959
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A 4.00% due 12/25/2057*(3)		87,750		88,134
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.56% (1 ML+1.50%) due 06/25/2057*(4)		109,894		112,693
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(4)		84,714		84,574
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(4)		76,165		75,798
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(4)		146,155		146,567
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(4)		146,584		147,397
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(4)		116,784		117,281
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(4)		92,187		92,621
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3)		121,603		121,971
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(4)		12,683		12,185
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*		110,000		108,966

92

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*	$	87,539	$	87,069
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023*		85,520		85,000
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class AR 3.48% (3 ML+1.13%) due 07/20/2026*(5)		250,000		250,024
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.19% (3 ML+0.85%) due 04/17/2027*(5)		215,000		214,430
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		138,000		135,638
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		76,800		77,205
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.32% (1 ML+0.10%) due 02/25/2037(10)		45,056		28,258
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.24% (3 ML+1.05%) due 04/30/2027*(5)		250,000		249,619
Prosper Marketplace Issuance Trust Series 2017-3A, Class A 2.36% due 11/15/2023*		37,148		37,045
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4)		1,627		1,565
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.19% (1 ML+0.13%) due 05/25/2037(10)		109,327		83,280
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(10)		66,063		66,001
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026*		55,320		54,657
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(10)		30,430		30,337
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.31% (1 ML+0.25%) due 11/25/2036(10)		195,000		181,166
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		145,000		142,070

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029*	$	100,000	$	99,729
TICP CLO III-2 Ltd FRS Series 2018-3R, Class A 3.20% (3ML + 0.84%) due 04/20/2028*(5)		250,000		248,408
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(3)		67,272		65,632
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3)		58,715		57,532
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3)		150,942		147,782
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3)		70,941		69,609
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(3)		104,576		101,635
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(3)		78,087		76,053
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.82% (1 ML+0.60%) due 02/25/2057*		100,410		100,500
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(5)		250,000		249,963
Tryon Park CLO, Ltd. FRS Series 2013-1A, Class A1SR 3.24% (3 ML+0.89%) due 04/15/2029*(5)		405,000		403,000
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(8)		50,721		50,278
VOLT LX LLC Series 2017-NPL7, Class A1 3.25% due 06/25/2047*(8)(10)		44,708		44,411
VOLT LXIII LLC Series NP10, Class A1 3.00% due 10/25/2047*(8)		60,917		60,235
VOLT LXIV LLC VRS Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(8)		108,104		107,443
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(8)		81,839		81,657
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.23% (3 ML+0.90%) due 01/18/2029*(5)		250,000		249,056

93

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.30% due 09/15/2057(3)(6)(7)	$	977,361	$	45,954
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		80,000		80,755
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(3)(6)		10,000		9,364
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.78% due 01/25/2035(3)(4)		82,464		83,607
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.93% due 03/25/2035(3)(4)		57,082		58,348
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.20% due 11/25/2034(3)(4)		1,266		1,283
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(3)(4)		32,378		32,239
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(10)		49,625		47,635
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		85,000		84,396
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(3)(6)(7)		501,880		7,946
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		145,000		147,714
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(6)		130,000		132,755
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		60,000		61,492
Total Asset Backed Securities (cost $13,592,108)				13,563,729
U.S. CORPORATE BONDS & NOTES — 21.2%
Aerospace/Defense — 0.2%
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052		80,000		76,163

Security Description	Principal Amount(12)		Value (Note 2)
Aerospace/Defense-Equipment — 0.3%
United Technologies Corp. Senior Notes 2.80% due 05/04/2024	$	5,000	$	4,741
United Technologies Corp. Senior Notes 3.65% due 08/16/2023		110,000		109,511
United Technologies Corp. Senior Notes 3.95% due 08/16/2025		30,000		29,858
United Technologies Corp. Senior Notes 4.63% due 11/16/2048		5,000		5,028
				149,138
Agricultural Chemicals — 0.0%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		10,000		8,850
Airlines — 0.1%
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		15,000		14,812
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023		25,000		24,556
				39,368
Applications Software — 0.2%
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		40,000		38,259
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		35,000		34,241
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023		20,000		19,855
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028		15,000		14,872
				107,227
Auto-Cars/Light Trucks — 0.3%
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		10,000		8,907
General Motors Co. Senior Notes 5.40% due 04/01/2048		25,000		23,336
General Motors Co. Senior Notes 5.95% due 04/01/2049		20,000		19,866
General Motors Co. Senior Notes 6.75% due 04/01/2046		45,000		48,708
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		40,000		38,902
				139,719

94

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		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	$	40,000	$	39,508
Banks-Super Regional — 0.6%
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		30,000		27,919
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		25,000		23,199
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		130,000		126,883
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		90,000		86,353
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		25,000		23,549
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		20,000		20,263
				308,166
Beverages-Wine/Spirits — 0.3%
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		45,000		43,010
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		10,000		9,643
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		30,000		28,071
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047		5,000		4,665
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025		39,000		39,952
				125,341
Brewery — 0.3%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		35,000		34,009
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		5,000		5,007
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024		35,000		34,636

Security Description	Principal Amount(12)		Value (Note 2)
Brewery (continued)
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042	$	45,000	$	38,980
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		10,000		9,687
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058		40,000		38,826
				161,145
Broadcast Services/Program — 0.3%
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020*		49,000		48,502
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		36,000		35,308
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025*		19,000		18,540
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		15,000		15,395
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		20,000		21,326
				139,071
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		55,000		56,237
Building-Residential/Commercial — 0.1%
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		40,000		39,300
Cable/Satellite TV — 1.0%
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		80,000		81,234
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048		45,000		45,028
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		55,000		59,124
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		10,000		8,344

95

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052	$	15,000	$	13,302
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		30,000		29,409
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		40,000		37,854
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		10,000		9,075
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		45,000		45,956
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		50,000		42,670
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		45,000		45,433
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		70,000		71,446
				488,875
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		5,000		5,188
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		45,000		46,687
				51,875
Chemicals-Specialty — 0.0%
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028		10,000		10,089
Coatings/Paint — 0.1%
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		15,000		14,407
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027		40,000		38,066
				52,473
Commercial Services-Finance — 0.3%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		20,000		19,684
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		110,000		109,789
				129,473

Security Description	Principal Amount(12)		Value (Note 2)
Computers — 0.1%
Apple, Inc. Senior Notes 3.45% due 02/09/2045	$	15,000	$	13,458
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		9,590
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045		20,000		20,552
				43,600
Computers-Memory Devices — 0.1%
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026		75,000		72,531
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		20,000		20,039
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		35,000		35,219
				55,258
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,261
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		10,000		9,695
				18,956
Diversified Banking Institutions — 3.6%
Bank of America Corp. Senior Notes 2.25% due 04/21/2020		160,000		157,955
Bank of America Corp. Senior Notes 3.12% due 01/20/2023		15,000		14,731
Bank of America Corp. Senior Notes 3.37% due 01/23/2026		115,000		110,595
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		75,000		72,194
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		45,000		43,922
Bank of America Corp. Senior Notes 4.44% due 01/20/2048		30,000		29,826
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		100,000		100,566
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		4,000		4,626

96

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022	$	25,000	$	24,040
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		50,000		46,670
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024		80,000		80,636
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028		20,000		18,805
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029		20,000		19,630
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		85,000		84,018
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		7,000		7,064
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046		10,000		9,754
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		55,000		54,437
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022		35,000		34,132
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		35,000		33,816
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		60,000		58,119
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038		95,000		88,058
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029		40,000		39,414
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		35,000		35,720
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		55,000		66,106
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		50,000		48,449
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		15,000		14,867

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029	$	50,000	$	47,360
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023		30,000		30,598
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		40,000		39,945
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029		50,000		49,153
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		17,314
Morgan Stanley Senior Notes 2.50% due 04/21/2021		25,000		24,426
Morgan Stanley Senior Notes 2.63% due 11/17/2021		40,000		38,893
Morgan Stanley Senior Notes 3.13% due 07/27/2026		11,000		10,248
Morgan Stanley Senior Notes 3.59% due 07/22/2028		105,000		99,623
Morgan Stanley Senior Notes 3.63% due 01/20/2027		15,000		14,404
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		40,000		38,393
Morgan Stanley Senior Notes 4.00% due 07/23/2025		50,000		49,833
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		2,000		1,985
				1,760,325
Diversified Manufacturing Operations — 0.1%
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		25,000		24,707
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024		15,000		14,472
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037		55,000		53,848
				68,320
Electric-Distribution — 0.1%
Sempra Energy Senior Notes 2.40% due 02/01/2020		35,000		34,564

97

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Generation — 0.1%
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046	$	5,000	$	4,872
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026*		40,000		40,450
				45,322
Electric-Integrated — 1.3%
AES Corp. Senior Notes 4.00% due 03/15/2021		5,000		4,987
AES Corp. Senior Notes 4.88% due 05/15/2023		10,000		10,087
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028		25,000		23,669
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		30,000		29,526
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		50,000		43,451
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047		15,000		13,429
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046		15,000		13,699
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		4,859
Exelon Corp. Senior Notes 2.85% due 06/15/2020		50,000		49,560
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		10,000		10,155
Georgia Power Co. Senior Notes 2.00% due 09/08/2020		120,000		116,995
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		30,000		29,098
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026		5,000		4,554
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027		100,000		91,423
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024		10,000		9,543
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034		50,000		56,832

Security Description	Principal Amount(12)		Value (Note 2)
Electric-Integrated (continued)
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021	$	10,000	$	10,004
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028		15,000		14,940
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064		45,000		41,247
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025		10,000		9,935
Southern California Edison Co. 1st Mtg. Notes 4.13% due 03/01/2048		5,000		4,780
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		9,606
Southern Co. Senior Notes 3.25% due 07/01/2026		30,000		27,980
				630,359
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		10,000		11,307
Electronic Components-Semiconductors — 0.5%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020		80,000		79,061
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025		20,000		18,581
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024		105,000		102,017
Intel Corp. Senior Notes 4.10% due 05/19/2046		25,000		24,716
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023*		35,000		34,783
				259,158
Electronic Measurement Instruments — 0.1%
Fortive Corp. Senior Notes 2.35% due 06/15/2021		30,000		29,066
Engineering/R&D Services — 0.1%
Fluor Corp. Senior Notes 4.25% due 09/15/2028		50,000		48,965

98

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Enterprise Software/Service — 0.0%
Oracle Corp. Senior Notes 4.00% due 11/15/2047	$	20,000	$	18,991
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 7.25% due 09/25/2023		45,000		47,700
Finance-Credit Card — 0.1%
American Express Co. Senior Notes 3.40% due 02/27/2023		50,000		49,212
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(10)		10,000		280
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(10)		9,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(10)		11,000		1
				282
Finance-Other Services — 0.3%
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050*		160,000		155,685
Food-Misc./Diversified — 0.2%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		30,000		26,496
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029		55,000		54,908
				81,404
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		40,000		39,061
Gas-Distribution — 0.1%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		35,000		34,737
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026		5,000		4,963
				39,700
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		14,594
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		19,435
				34,029

Security Description	Principal Amount(12)		Value (Note 2)
Insurance-Life/Health — 0.2%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025	$	40,000	$	40,900
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020*		45,000		44,363
				85,263
Insurance-Multi-line — 0.6%
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021		270,000		270,519
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023		20,000		17,300
				287,819
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		7,000		10,750
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		20,600
Machinery-Electrical — 0.0%
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026*		10,000		10,037
Medical Information Systems — 0.1%
IQVIA, Inc. Company Guar. Notes 4.88% due 05/15/2023*		40,000		40,200
Medical Instruments — 0.1%
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028		45,000		44,461
Medical Products — 0.3%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		80,000		77,294
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027		50,000		47,812
				125,106
Medical-Biomedical/Gene — 0.2%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		30,000		29,135
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		2,000		1,986
Celgene Corp. Senior Notes 4.63% due 05/15/2044		20,000		18,821

99

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022	$	25,000	$	24,877
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047		50,000		47,370
				122,189
Medical-Drugs — 0.1%
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		60,000		59,912
Medical-Generic Drugs — 0.1%
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028*		15,000		14,582
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048*		15,000		13,862
				28,444
Medical-HMO — 0.9%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		20,000		19,163
Anthem, Inc. Senior Notes 3.65% due 12/01/2027		60,000		57,000
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		48,859
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		10,000		10,366
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025*		30,000		29,914
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028*		160,000		159,534
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023		30,000		30,061
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		40,000		40,190
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048		10,000		10,037
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		10,000		10,702
				415,826
Medical-Hospitals — 0.4%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		25,000		24,312

Security Description	Principal Amount(12)		Value (Note 2)
Medical-Hospitals (continued)
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023	$	15,000	$	14,246
Dignity Health Sec. Notes 2.64% due 11/01/2019		160,000		159,003
				197,561
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		35,000		33,487
Multimedia — 0.5%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		50,000		61,600
Viacom, Inc. Senior Notes 4.25% due 09/01/2023		100,000		100,682
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		15,000		13,091
Viacom, Inc. Senior Notes 4.85% due 12/15/2034		5,000		4,729
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027		60,000		57,394
				237,496
Music — 0.1%
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024*		50,000		48,750
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		35,000		32,015
Oil Companies-Exploration & Production — 0.4%
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		10,000		10,265
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		5,000		5,088
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		16,000		16,232
Hess Corp. Senior Notes 4.30% due 04/01/2027		25,000		24,242
Hess Corp. Senior Notes 6.00% due 01/15/2040		5,000		5,190
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		45,000		50,673

100

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025	$	10,000	$	9,775
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		40,000		40,150
SM Energy Co. Senior Notes 6.13% due 11/15/2022		25,000		25,750
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		25,000		25,125
				212,490
Oil Refining & Marketing — 0.2%
Andeavor Senior Notes 3.80% due 04/01/2028		20,000		19,018
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028		25,000		24,657
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		35,000		33,271
				76,946
Pharmacy Services — 1.0%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		266,000		263,531
CVS Health Corp. Senior Notes 3.13% due 03/09/2020		80,000		80,011
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		23,000		22,665
CVS Health Corp. Senior Notes 4.10% due 03/25/2025		65,000		64,826
CVS Health Corp. Senior Notes 5.05% due 03/25/2048		30,000		30,685
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		35,000		35,981
				497,699
Pipelines — 0.7%
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027		40,000		39,084
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		9,750
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		5,075

Security Description	Principal Amount(12)		Value (Note 2)
Pipelines (continued)
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023	$	15,000	$	15,119
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023		20,000		20,296
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028		25,000		25,690
MPLX LP Senior Notes 4.00% due 03/15/2028		20,000		19,236
MPLX LP Senior Notes 4.13% due 03/01/2027		25,000		24,350
MPLX LP Senior Notes 4.70% due 04/15/2048		10,000		9,319
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,010
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		15,000		14,551
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		45,000		43,137
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028*		10,000		9,446
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028		10,000		9,771
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028		45,000		44,203
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028		45,000		43,166
				337,203
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		20,000		20,058
Real Estate Investment Trusts — 0.6%
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023		30,000		28,910
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		10,000		9,503
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044*		100,000		99,799
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047*		85,000		83,347

101

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*	$	70,000	$	68,984
				290,543
Rental Auto/Equipment — 0.1%
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		30,000		30,600
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		25,000		24,719
				55,319
Retail-Building Products — 0.0%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		20,000		17,284
Retail-Discount — 0.2%
Walmart, Inc. Senior Notes 3.40% due 06/26/2023		110,000		110,479
Retail-Restaurants — 0.2%
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		35,000		34,702
Starbucks Corp. Senior Notes 3.80% due 08/15/2025		25,000		24,835
Starbucks Corp. Senior Notes 4.00% due 11/15/2028		15,000		14,958
				74,495
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025		15,000		14,287
Telephone-Integrated — 0.9%
AT&T, Inc. Senior Notes 4.10% due 02/15/2028*		70,000		67,958
AT&T, Inc. Senior Notes 4.25% due 03/01/2027		15,000		14,806
AT&T, Inc. Senior Notes 4.30% due 02/15/2030*		41,000		39,430
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		3,000		2,584
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		5,000		4,671
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		50,000		45,682

Security Description	Principal Amount(12)		Value (Note 2)
Telephone-Integrated (continued)
AT&T, Inc. Senior Notes 5.25% due 03/01/2037	$	15,000	$	14,950
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		14,000		13,342
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		60,000		58,511
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		15,000		14,876
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		25,000		23,774
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		41,000		38,545
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		10,000		9,975
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		25,000		25,083
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		45,000		47,978
				422,165
Tobacco — 0.9%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022		100,000		97,794
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		20,000		17,494
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		240,000		235,192
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024*		35,000		33,360
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		55,000		51,168
				435,008
Transport-Rail — 0.3%
CSX Corp. Senior Notes 3.25% due 06/01/2027		80,000		75,814
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038		65,000		66,108
				141,922
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048		20,000		18,148

102

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		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	$	15,020
				33,168
Veterinary Diagnostics — 0.1%
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021*		30,000		30,028
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023*		30,000		30,122
				60,150
Total U.S. Corporate Bonds & Notes (cost $10,476,698)				10,289,652
FOREIGN CORPORATE BONDS & NOTES — 3.1%
Banks-Commercial — 0.2%
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020		95,000		93,099
Cellular Telecom — 0.1%
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028		75,000		73,892
Chemicals-Diversified — 0.0%
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055		20,000		17,974
Chemicals-Specialty — 0.1%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		35,000		34,217
Methanex Corp. Senior Notes 5.65% due 12/01/2044		10,000		9,631
				43,848
Cruise Lines — 0.0%
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028*		5,000		4,805
Diversified Banking Institutions — 0.8%
BNP Paribas SA Senior Notes 3.38% due 01/09/2025*		200,000		189,331
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023		200,000		193,166
				382,497
Electric-Generation — 0.4%
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039*		200,000		193,376

Security Description	Principal Amount(12)		Value (Note 2)
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021	$	15,000	$	14,330
Electronic Components-Misc. — 0.1%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		40,000		39,900
Medical-Drugs — 0.2%
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022*		40,000		41,600
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021		10,000		9,984
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		50,000		48,295
				99,879
Medical-Generic Drugs — 0.2%
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022		20,000		19,866
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		20,000		19,701
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		30,000		30,022
Mylan NV Company Guar. Notes 3.95% due 06/15/2026		8,000		7,568
				77,157
Metal-Iron — 0.2%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		75,000		82,192
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039		10,000		11,715
				93,907
Oil Companies-Exploration & Production — 0.2%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		65,000		63,302
Encana Corp. Senior Notes 3.90% due 11/15/2021		30,000		30,128
				93,430
Oil Companies-Integrated — 0.1%
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		34,000		32,442
YPF SA Senior Notes 16.50% due 05/09/2022*(10)	ARS	1,676,987		21,120
				53,562

103

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Pipelines — 0.0%
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038	$	15,000	$	15,272
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		50,000		54,324
Telephone-Integrated — 0.1%
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036		30,000		36,192
Television — 0.1%
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024*		25,000		25,688
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		34,614
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		25,000		24,062
Nokia OYJ Senior Notes 6.63% due 05/15/2039		20,000		21,550
				45,612
Total Foreign Corporate Bonds & Notes (cost $1,614,324)				1,493,358
MUNICIPAL BONDS & NOTES — 0.7%
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		15,000		14,195
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029		30,000		29,737
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		60,000		76,267
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029		15,000		16,025
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033		70,000		76,135
State of California General Obligation Bonds 7.55% due 04/01/2039		40,000		58,383
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		65,000		65,748
Total Municipal Bonds & Notes (cost $331,316)				336,490

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES — 34.9%
Federal Home Loan Mtg. Corp. — 9.4%
2.50% due 01/01/2028	$	6,221	$	6,043
2.50% due 04/01/2028		13,449		13,066
3.00% due 08/01/2027		6,120		6,054
3.00% due 10/01/2042		16,579		16,018
3.00% due 11/01/2042		6,449		6,231
3.00% due 02/01/2043		27,195		26,254
3.00% due 08/01/2043		56,105		54,168
3.00% due October TBA		500,000		478,392
3.50% due 02/01/2042		7,102		7,041
3.50% due 03/01/2042		4,238		4,204
3.50% due 09/01/2043		23,289		23,101
3.50% due October TBA		1,000,000		984,219
Federal Home Loan Mtg. Corp. FRS 3.99% (6 ML+1.49%) due 02/01/2037		1,215		1,251
Federal Home Loan Mtg. Corp. 4.00% due 03/01/2023		641		654
4.00% due 10/01/2043		11,646		11,824
4.00% due October TBA		2,100,000		2,120,583
4.50% due 01/01/2039		813		843
4.50% due October TBA		300,000		309,621
5.00% due 12/01/2020		728		748
5.00% due 07/01/2021		3,669		3,703
5.00% due 05/01/2034		9,920		10,559
5.50% due 07/01/2034		5,845		6,324
5.50% due 07/01/2035		5,962		6,458
5.50% due 04/01/2037		2,132		2,302
5.50% due 05/01/2037		2,022		2,178
5.50% due 08/01/2037		11,952		12,957
6.50% due 05/01/2029		2,053		2,271
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(3)(6)		90,000		89,777
Series 2012-K706, Class B 4.17% due 11/25/2044*(3)(6)		75,000		74,891
Series 2010-K8, Class B 5.44% due 09/25/2043*(3)(6)		100,000		102,923
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs Series K064, Class X1 0.74% due 03/25/2027 VRS (3)(6)(7)		378,190		16,474
Series K068, Class A2 3.24% due 08/25/2027(6)		82,000		80,027
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043*(4)		29,564		29,910
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4)		867		829

104

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Series 3883, Class PB 3.00% due 05/15/2041(4)	$	24,133	$	23,682
Series 1577, Class PK 6.50% due 09/15/2023(4)		4,233		4,413
Series 1226, Class Z 7.75% due 03/15/2022(4)		439		463
				4,540,456
Federal National Mtg. Assoc. — 17.2%
2.50% due 02/01/2043		136,282		126,785
2.50% due 03/01/2043		131,414		122,256
2.64% due 03/01/2027		37,355		35,493
2.66% due 03/01/2027		210,000		197,665
2.78% due 03/01/2027		75,369		72,161
2.88% due 11/01/2027		155,111		146,925
2.97% due 06/01/2027		132,048		127,484
3.00% due 07/01/2027		110,000		105,297
3.00% due 01/01/2028		9,246		9,188
3.00% due October TBA		125,000		123,449
3.16% due 08/01/2027		150,000		145,448
3.50% due 11/01/2047		784,885		772,818
3.50% due October TBA		4,725,000		4,649,537
3.64% (12 ML+1.82%) due 10/01/2040 FRS		2,194		2,290
3.79% (12 ML+1.57%) due 05/01/2037 FRS		1,939		2,019
4.00% due 11/01/2040		54,636		55,587
4.00% due 11/01/2041		2,720		2,771
4.00% due 10/01/2043		47,770		48,399
4.00% due 11/01/2043		6,319		6,424
4.00% due 12/01/2043		32,546		33,204
4.50% due 01/01/2039		2,028		2,112
4.50% due 06/01/2039		29,801		30,873
4.50% due 05/01/2041		6,446		6,706
5.00% due 06/01/2019		250		258
5.00% due 07/01/2040		19,993		21,271
5.50% due 06/01/2020		25,843		26,067
5.50% due 07/01/2020		3,400		3,417
5.50% due 03/01/2021		6,771		6,862
5.50% due 04/01/2021		6,269		6,347
5.50% due 06/01/2021		28,406		28,790
5.50% due 10/01/2021		13,164		13,345
5.50% due 12/01/2021		33,082		33,559
5.50% due 06/01/2022		36,080		36,637
5.50% due 12/01/2029		1,243		1,326
5.50% due 05/01/2034		2,601		2,783
5.50% due 08/01/2037		6,670		7,192
5.50% due 06/01/2038		594		641
5.50% due October TBA		200,000		213,422
6.00% due 06/01/2026		11,524		12,443
6.00% due 03/01/2027		15,457		16,691
6.00% due 12/01/2033		1,629		1,793
6.00% due 05/01/2034		6,517		7,162
6.00% due 08/01/2034		535		588
6.00% due 06/01/2040		3,371		3,712
6.00% due October TBA		300,000		324,082

Security Description	Principal Amount(12)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
6.50% due 11/01/2035	$	2,927	$	3,213
6.50% due 10/01/2037		1,415		1,552
7.00% due 06/01/2037		12,457		13,954
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.61% (1 ML+3.55%) due 07/25/2029(4)		35,000		38,210
Series 2016-C07, Class 2M2 6.41% (1 ML+4.35%) due 05/25/2029(4)		70,142		78,463
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4)		5,725		5,481
Series 2012-21, Class PQ 2.00% due 09/25/2041(4)		20,462		19,174
Series 2012-18, Class GA 2.00% due 12/25/2041(4)		40,871		38,397
Series 2012-75, Class KC 2.50% due 12/25/2041(4)		44,248		42,399
Series 2016-11, Class GA 2.50% due 03/25/2046(4)		37,790		36,221
Series 2015-48, Class QB 3.00% due 02/25/2043(4)		56,620		55,307
Series 2017-72, Class B 3.00% due 09/25/2047(4)		52,937		51,596
Series 2017-72, Class CD 3.00% due 09/25/2047(4)		52,760		51,421
Series 2017-96, Class PA 3.00% due 12/25/2054(4)		62,775		61,195
Series 2012-52, Class PA 3.50% due 05/25/2042(4)		24,106		24,136
Series 2018-80, Class GD 3.50% due 12/25/2047(4)		61,000		60,476
Series 2018-70, Class HA 3.50% due 10/25/2056(4)		59,135		58,895
Series 2018-38, Class PC 3.50% due 03/25/2045(4)		58,864		58,902
Series 2018-23, Class LA 3.50% due 04/25/2048(4)		48,083		47,877
				8,340,148
Government National Mtg. Assoc. — 8.3%
3.00% due October TBA		700,000		677,906
3.50% due October TBA		1,400,000		1,392,070
4.00% due 10/15/2040		20,169		20,824
4.00% due 02/15/2041		10,816		11,069
4.00% due 09/15/2041		12,996		13,301
4.00% due 10/15/2041		8,887		9,091
4.00% due October TBA		500,000		508,496
4.50% due 06/15/2041		144,506		150,754
4.50% due October TBA		600,000		620,043
5.00% due 01/15/2033		1,447		1,533
5.00% due 01/15/2040		47,490		50,625
5.00% due October TBA		300,000		312,295
5.50% due 04/15/2036		81,625		87,827
6.00% due 02/15/2033		15,484		16,730

105

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
6.50% due 07/15/2028	$	61,307	$	67,261
6.50% due 08/15/2028		4,021		4,412
6.50% due 09/15/2028		7,796		8,577
6.50% due 11/15/2028		10,426		11,439
7.00% due 01/15/2033		5,464		6,164
7.00% due 05/15/2033		7,511		8,437
7.00% due 11/15/2033		3,414		3,842
8.00% due 02/15/2030		1,241		1,283
9.00% due 11/15/2021		92		96
Government National Mtg. Assoc. REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4)		61,269		58,509
Series 2005-74, Class HA 7.50% due 09/16/2035(4)		196		210
Series 2005-74, Class HB 7.50% due 09/16/2035(4)		2,330		2,557
Series 2005-74, Class HC 7.50% due 09/16/2035(4)		1,663		1,847
				4,047,198
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		12,000		11,998
Total U.S. Government Agencies (cost $17,055,820)				16,939,800
U.S. GOVERNMENT TREASURIES — 14.3%
United States Treasury Bonds — 3.1%
2.50% due 02/15/2045(14)		150,000		131,373
3.00% due 05/15/2045(9)		370,000		357,021
3.00% due 11/15/2045		202,000		194,812
3.00% due 02/15/2048		175,000		168,417
3.63% due 08/15/2043		105,000		112,674
3.63% due 02/15/2044		105,000		112,793
3.75% due 11/15/2043		105,000		114,971
5.00% due 05/15/2037		256,000		323,960
				1,516,021
United States Treasury Notes — 11.2%
0.38% due 07/15/2027 TIPS(11)		1,174,428		1,121,946
1.88% due 11/30/2021		1,315,000		1,274,882
1.88% due 02/28/2022		487,000		470,735
2.00% due 02/15/2023		230,000		221,141
2.00% due 02/15/2025		675,000		635,713
2.13% due 07/31/2024		665,000		634,477
2.88% due 05/31/2025		840,000		833,044
2.88% due 05/15/2028		245,000		241,306
				5,433,244
Total U.S. Government Treasuries (cost $7,175,388)				6,949,265
FOREIGN GOVERNMENT OBLIGATIONS — 1.4%
Sovereign — 1.4%
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047*		200,000		191,000

Security Description	Principal Amount(12)			Value (Note 2)
Sovereign (continued)
Government of Romania Senior Notes 6.13% due 01/22/2044	$	70,000		$	78,925
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047*		200,000			192,660
Republic of Panama Senior Notes 4.30% due 04/29/2053		221,000			212,713
Total Foreign Government Obligations (cost $686,715)					675,298
Total Long-Term Investment Securities (cost $57,680,868)					59,127,451
SHORT-TERM INVESTMENT SECURITIES — 1.9%
Foreign Government Obligations — 1.9%
Government of Egypt Bills 16.77% due 03/05/2019	EGP	325,000			16,755
Government of Egypt Bills 17.41% due 10/16/2018	EGP	900,000			49,913
Government of Japan Bills (0.16)% due 11/12/2018	JPY	96,100,000			845,927
Total Short-Term Investment Securities (cost $935,231)					912,595
REPURCHASE AGREEMENTS — 2.7%
Bank of America Securities LLC Joint Repurchase Agreement(15)		255,000			255,000
Barclays Capital, Inc. Joint Repurchase Agreement(15)		85,000			85,000
BNP Paribas SA Joint Repurchase Agreement(15)		490,000			490,000
Deutsche Bank AG Joint Repurchase Agreement(15)		90,000			90,000
RBS Securities, Inc. Joint Repurchase Agreement(15)		400,000			400,000
Total Repurchase Agreements (cost $1,320,000)					1,320,000
TOTAL INVESTMENTS (cost $59,936,099)(16)		126.4	%		61,360,046
Liabilities in excess of other assets		(26.4	)		(12,801,298	)
NET ASSETS		100.0	%	$	48,558,748

†  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, 2018, the aggregate value of these securities was $13,277,621 representing 27.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

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

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

106

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

(3)  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.

(4)  Collateralized Mortgage Obligation

(5)  Collateralized Loan Obligation

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

(8)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2018.

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

(10)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $768,326 representing 1.6% of net assets.

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

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

(13)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2018, the Portfolio held the following restricted securities:

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		4	$	0	$	3,361	$	840.18		0.01	%

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

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

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

ARS — Argentine Peso

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EGP — Egyptian Pound

EUR — Euro Currency

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, 2018 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

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	5	Long	Canadian 10 Year Bond	December 2018	$	513,976	$	513,374	$	(602	)
	3	Long	Long Gilt Future	December 2018		473,386		472,900		(486	)
	7	Long	U.S. Treasury 2 Year Notes	December 2018		1,474,672		1,475,141		469
	23	Long	U.S. Treasury 5 Year Notes	December 2018		2,605,508		2,586,961		(18,547	)
	25	Short	U.S. Treasury 10 Year Notes	December 2018		3,001,086		2,969,531		31,555
	27	Short	U.S. Treasury 10 Year Ultra Bonds	December 2018		3,448,796		3,402,000		46,796
	8	Long	U.S. Treasury Ultra Bonds	December 2018		1,261,965		1,234,250		(27,715	)
									$	31,470

*  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

107

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
HSBC Bank USA	EUR	402,000	USD	473,652	10/31/2018	$	5,853	$	—
JPMorgan Chase Bank	JPY	96,100,000	USD	873,573	11/13/2018		25,202		—
Net Unrealized Appreciation (Depreciation)						$	31,055	$	—

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)
			1 Year USD Federal Funds —
USD	355	09/29/2026	H.15-OIS-Compound/Annually	1.00%/Annually	$	8,608		$	36,405
USD	295	12/20/2047	USD-LIBOR-BBA/Quarterly	2.75%/Semi-annually		(6,451	)		28,513
					$	2,157		$	64,918

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

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, 2018 (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	$	—	$	—	$	3,361	$	3,361
Other Industries		7,926,669		—		—		7,926,669
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		1		1
Other Industries		—		949,828		—		949,828
Asset Backed Securities:
Diversified Financial Services		—		13,515,765		47,964		13,563,729
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		280		2		282
Other Industries		—		10,289,370		—		10,289,370
Foreign Corporate Bonds & Notes		—		1,493,358		—		1,493,358
Municipal Bond & Notes		—		336,490		—		336,490
U.S. Government Agencies		—		16,939,800		—		16,939,800
U.S. Government Treasuries		—		6,949,265		—		6,949,265
Foreign Government Obligations		—		675,298		—		675,298
Short-Term Investment Securities		—		912,595		—		912,595
Repurchase Agreements		—		1,320,000		—		1,320,000
Total Investments at Value	$	7,926,669	$	53,382,049	$	51,328	$	61,360,046

108

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Other Financial Instruments:†
Futures Contracts	$	78,820	$	—	$	—	$	78,820
Forward Foreign Currency Contracts		—		31,055		—		31,055
Centrally Cleared Interest Rate Swap Contracts		—		64,918		—		64,918
Total Other Financial Instruments	$	78,820	$	95,973	$	—	$	174,793
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	47,350	$	—	$	—	$	47,350

*  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

109

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Commercial Paper	7.9	%
Medical-Drugs	4.7
United States Treasury Notes	4.4
Diversified Banking Institutions	4.4
Aerospace/Defense	2.4
Web Portals/ISP	2.4
Real Estate Investment Trusts	2.1
Banks-Commercial	2.0
Medical-HMO	1.9
Electronic Components-Semiconductors	1.9
Applications Software	1.9
Repurchase Agreements	1.8
Computers	1.7
Oil Companies-Exploration & Production	1.7
Telephone-Integrated	1.7
Electric-Integrated	1.6
Diversified Financial Services	1.6
Beverages-Non-alcoholic	1.5
Computer Services	1.4
Networking Products	1.3
E-Commerce/Products	1.3
Federal National Mtg. Assoc.	1.3
Oil Companies-Integrated	1.3
Medical-Biomedical/Gene	1.2
Insurance-Life/Health	1.2
Exchange-Traded Funds	1.2
Retail-Building Products	1.2
Pipelines	1.2
Insurance-Multi-line	1.1
Apparel Manufacturers	1.1
United States Treasury Bonds	1.1
Enterprise Software/Service	1.1
Food-Misc./Diversified	1.0
Auto-Cars/Light Trucks	1.0
Chemicals-Diversified	0.9
Oil Refining & Marketing	0.9
Banks-Super Regional	0.9
Retail-Apparel/Shoe	0.8
Airlines	0.8
Multimedia	0.8
Cosmetics & Toiletries	0.8
Medical Products	0.8
Commercial Services-Finance	0.8
Internet Content-Entertainment	0.6
Government National Mtg. Assoc.	0.6
Cruise Lines	0.6
Hotels/Motels	0.6
Non-Hazardous Waste Disposal	0.6
Data Processing/Management	0.5
Casino Hotels	0.5
Building-Residential/Commercial	0.5
Instruments-Controls	0.5
Auto/Truck Parts & Equipment-Original	0.5
Oil-Field Services	0.5
Food-Retail	0.5
Finance-Credit Card	0.4
Retail-Drug Store	0.4
Import/Export	0.4
Investment Management/Advisor Services	0.4
Electronic Measurement Instruments	0.4

Computers-Memory Devices	0.4	%
Retail-Jewelry	0.4
Computer Data Security	0.4
Medical-Wholesale Drug Distribution	0.4
Food-Wholesale/Distribution	0.4
Transport-Rail	0.4
Semiconductor Equipment	0.4
Containers-Paper/Plastic	0.4
Finance-Investment Banker/Broker	0.3
Steel-Producers	0.3
Electronic Components-Misc.	0.3
Internet Security	0.3
Real Estate Operations & Development	0.3
Cellular Telecom	0.3
Engines-Internal Combustion	0.3
Medical Instruments	0.3
Independent Power Producers	0.3
Diversified Manufacturing Operations	0.3
Finance-Auto Loans	0.3
Building-Heavy Construction	0.3
Chemicals-Specialty	0.3
Computer Aided Design	0.3
Distribution/Wholesale	0.3
Tobacco	0.3
Finance-Leasing Companies	0.3
Brewery	0.3
Auto-Heavy Duty Trucks	0.3
Insurance-Reinsurance	0.3
Metal-Diversified	0.2
Building & Construction-Misc.	0.2
Cable/Satellite TV	0.2
Building & Construction Products-Misc.	0.2
Machinery-Electrical	0.2
Internet Infrastructure Software	0.2
Retail-Discount	0.2
Industrial Automated/Robotic	0.2
Internet Application Software	0.2
Food-Confectionery	0.2
Transactional Software	0.2
Gold Mining	0.2
Diversified Minerals	0.2
Real Estate Management/Services	0.2
Paper & Related Products	0.2
Gas-Distribution	0.2
Industrial Gases	0.2
Television	0.2
Machine Tools & Related Products	0.2
Commercial Services	0.2
Dialysis Centers	0.2
Audio/Video Products	0.2
Semiconductor Components-Integrated Circuits	0.2
Electric Products-Misc.	0.2
Radio	0.2
Finance-Other Services	0.1
Electric-Distribution	0.1
Dental Supplies & Equipment	0.1
Medical-Hospitals	0.1
Rental Auto/Equipment	0.1
Office Supplies & Forms	0.1
Human Resources	0.1

110

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Industry Allocation* (continued)
Water Treatment Systems	0.1	%
Metal Processors & Fabrication	0.1
Airport Development/Maintenance	0.1
Transport-Services	0.1
Medical Labs & Testing Services	0.1
Decision Support Software	0.1
Private Equity	0.1
Travel Services	0.1
Consulting Services	0.1
Banks-Fiduciary	0.1
Finance-Mortgage Loan/Banker	0.1
Office Automation & Equipment	0.1
Insurance-Property/Casualty	0.1
Chemicals-Plastics	0.1
Energy-Alternate Sources	0.1
Internet Content-Information/News	0.1
Petrochemicals	0.1
Retail-Restaurants	0.1
Professional Sports	0.1
Food-Flour & Grain	0.1
Pharmacy Services	0.1
Fisheries	0.1
Metal-Iron	0.1
Funeral Services & Related Items	0.1
Beverages-Wine/Spirits	0.1
Municipal Bonds & Notes	0.1
Chemicals-Fibers	0.1
Finance-Commercial	0.1
Gambling (Non-Hotel)	0.1
Oil & Gas Drilling	0.1
Broadcast Services/Program	0.1
Insurance-Mutual	0.1
Publishing-Newspapers	0.1
Telecom Services	0.1
Advertising Agencies	0.1
Theaters	0.1
Agricultural Chemicals	0.1
Satellite Telecom	0.1
	101.3	%

*  Calculated as a percentage of net assets

111

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 74.8%
Aerospace/Defense — 2.4%
Boeing Co.		5,568	$	2,070,739
Lockheed Martin Corp.		1,674		579,137
Northrop Grumman Corp.		2,457		779,778
Raytheon Co.		2,344		484,411
Teledyne Technologies, Inc.†		256		63,150
				3,977,215
Aerospace/Defense-Equipment — 0.0%
L3 Technologies, Inc.		225		47,840
Airlines — 0.8%
Azul SA ADR†		2,395		42,607
Copa Holdings SA, Class A		724		57,804
Delta Air Lines, Inc.		12,679		733,227
easyJet PLC		8,833		151,280
International Consolidated Airlines Group SA		27,008		232,109
Japan Airlines Co., Ltd.		2,600		93,455
				1,310,482
Airport Development/Maintenance — 0.1%
Aena SME SA*		1,152		199,961
Apparel Manufacturers — 1.1%
Hermes International		408		270,298
JNBY Design, Ltd.		33,500		59,397
Kering SA		144		77,192
Michael Kors Holdings, Ltd.†		5,940		407,246
Moncler SpA		3,172		136,634
PVH Corp.		3,100		447,640
Ralph Lauren Corp.		772		106,189
VF Corp.		4,044		377,912
				1,882,508
Applications Software — 1.8%
Intuit, Inc.		3,724		846,838
Microsoft Corp.		12,866		1,471,484
Nuance Communications, Inc.†		7,934		137,417
Red Hat, Inc.†		3,261		444,409
				2,900,148
Audio/Video Products — 0.2%
Sony Corp.		4,100		251,369
Auto-Cars/Light Trucks — 0.9%
Brilliance China Automotive Holdings, Ltd.		60,000		97,032
Fiat Chrysler Automobiles NV†		9,057		159,249
Ford Motor Co.		58,187		538,230
Peugeot SA		8,959		241,635
Suzuki Motor Corp.		500		28,639
Toyota Motor Corp.		7,200		449,604
				1,514,389
Auto-Heavy Duty Trucks — 0.2%
Volvo AB, Class B		14,794		261,509
Auto/Truck Parts & Equipment-Original — 0.4%
Allison Transmission Holdings, Inc.		5,656		294,169
Faurecia SA		3,359		202,174
Visteon Corp.†		1,197		111,201
WABCO Holdings, Inc.†		810		95,532
				703,076

Security Description	Shares		Value (Note 2)
Banks-Commercial — 1.9%
ABN AMRO Group NV CVA*		8,265	$	225,028
Abu Dhabi Commercial Bank PJSC		38,521		83,167
China Construction Bank Corp.		153,000		133,683
CIT Group, Inc.		4,916		253,715
Credicorp, Ltd.		351		78,301
DNB ASA		9,969		209,761
First Abu Dhabi Bank PJSC		12,285		47,829
First Hawaiian, Inc.		2,366		64,261
Gentera SAB de CV		93,844		94,927
Grupo Financiero Banorte SAB de CV, Class O		11,822		85,522
Hang Seng Bank, Ltd.		7,800		211,830
HDFC Bank, Ltd.		3,259		90,298
Itau Unibanco Holding SA ADR		12,319		135,263
Popular, Inc.		1,154		59,143
Regions Financial Corp.		28,230		518,020
Resona Holdings, Inc.		43,200		242,691
Sberbank of Russia PJSC ADR		4,251		53,903
Sumitomo Mitsui Trust Holdings, Inc.		1,900		78,194
Swedbank AB, Class A		9,834		243,764
Synovus Financial Corp.		1,603		73,401
United Overseas Bank, Ltd.		6,800		134,702
				3,117,403
Banks-Fiduciary — 0.1%
Northern Trust Corp.		1,625		165,961
Banks-Super Regional — 0.8%
Capital One Financial Corp.		4,809		456,519
Fifth Third Bancorp		13,510		377,199
US Bancorp		9,662		510,250
				1,343,968
Beverages-Non-alcoholic — 1.5%
Coca-Cola Amatil, Ltd.		13,136		92,675
Coca-Cola Co.		22,677		1,047,450
Coca-Cola European Partners PLC		218		9,912
Grape King Bio, Ltd.		9,000		63,227
Keurig Dr Pepper, Inc.		1,745		40,432
PepsiCo, Inc.		11,508		1,286,594
				2,540,290
Brewery — 0.2%
Kirin Holdings Co., Ltd.		2,100		53,803
Molson Coors Brewing Co., Class B		4,172		256,578
				310,381
Building & Construction Products-Misc. — 0.1%
China National Building Material Co., Ltd.		42,000		37,288
Owens Corning		3,626		196,783
				234,071
Building & Construction-Misc. — 0.2%
China State Construction International Holdings, Ltd.		74,000		78,175
CIMIC Group, Ltd.		1,502		55,763
CTCI Corp.		47,000		75,580
HOCHTIEF AG		212		35,149
Taisei Corp.		3,300		150,449
				395,116

112

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building Products-Cement — 0.0%
West China Cement, Ltd.		184,000	$	34,551
Building-Heavy Construction — 0.3%
ACS Actividades de Construccion y Servicios SA		4,439		189,045
Vinci SA		2,318		220,742
				409,787
Building-Residential/Commercial — 0.4%
Berkeley Group Holdings PLC		846		40,568
Persimmon PLC		7,656		235,999
Taylor Wimpey PLC		95,960		214,878
Toll Brothers, Inc.		5,415		178,857
				670,302
Casino Hotels — 0.4%
Caesars Entertainment Corp.†		303		3,106
Crown Resorts, Ltd.		7,990		79,068
Galaxy Entertainment Group, Ltd.		31,000		196,612
Las Vegas Sands Corp.		5,509		326,849
MGM China Holdings, Ltd.		44,000		69,695
				675,330
Casino Services — 0.0%
Aristocrat Leisure, Ltd.		1,617		33,242
Cellular Telecom — 0.2%
Advanced Info Service PCL		11,300		70,232
China Mobile, Ltd.		12,000		118,262
NTT DOCOMO, Inc.		5,600		150,572
				339,066
Chemicals-Diversified — 0.9%
Arkema SA		1,137		140,856
BASF SE		2,893		257,125
Celanese Corp., Series A		1,874		213,636
Covestro AG*		3,053		247,632
Evonik Industries AG		3,501		125,400
Huntsman Corp.		9,170		249,699
Mitsubishi Chemical Holdings Corp.		13,500		129,214
Mitsubishi Gas Chemical Co., Inc.		2,500		53,226
Sasol, Ltd.		3,324		128,701
				1,545,489
Chemicals-Fibers — 0.1%
Indorama Ventures PCL†		50,700		92,495
Chemicals-Plastics — 0.1%
Formosa Plastics Corp.		19,000		72,806
Mexichem SAB de CV		19,533		66,874
				139,680
Chemicals-Specialty — 0.2%
Cabot Corp.		1,141		71,563
Univar, Inc.†		1,660		50,896
W.R. Grace & Co.		2,096		149,780
				272,239
Commercial Services — 0.1%
CoreLogic, Inc.†		1,002		49,509
ServiceMaster Global Holdings, Inc.†		1,858		115,252
				164,761

Security Description	Shares		Value (Note 2)
Commercial Services-Finance — 0.7%
Automatic Data Processing, Inc.		3,715	$	559,702
FleetCor Technologies, Inc.†		1,400		318,976
Total System Services, Inc.		2,624		259,094
				1,137,772
Communications Software — 0.0%
Avaya Holdings Corp.†		593		13,129
Computer Aided Design — 0.3%
Cadence Design Systems, Inc.†		4,565		206,886
Synopsys, Inc.†		2,324		229,169
				436,055
Computer Data Security — 0.4%
Check Point Software Technologies, Ltd.†		694		81,663
Fortinet, Inc.†		5,997		553,343
				635,006
Computer Services — 1.4%
Amdocs, Ltd.		2,781		183,490
Capgemini SE		1,267		159,462
Cognizant Technology Solutions Corp., Class A		6,640		512,276
Dell Technologies, Inc., Class V†		3,416		331,762
Fujitsu, Ltd.		100		7,125
Infosys, Ltd.		7,512		75,825
International Business Machines Corp.		5,068		766,332
Leidos Holdings, Inc.		1,492		103,187
NTT Data Corp.		16,100		222,895
				2,362,354
Computer Software — 0.0%
DuzonBizon Co, Ltd.		889		48,968
Computers — 1.6%
Apple, Inc.		9,779		2,207,512
HP, Inc.		19,669		506,870
				2,714,382
Computers-Memory Devices — 0.4%
NetApp, Inc.		7,256		623,218
Consulting Services — 0.1%
Booz Allen Hamilton Holding Corp.		3,275		162,538
Containers-Paper/Plastic — 0.3%
Berry Global Group, Inc.†		3,673		177,737
Packaging Corp. of America		2,461		269,947
Sealed Air Corp.		1,461		58,659
				506,343
Cosmetics & Toiletries — 0.8%
Estee Lauder Cos., Inc., Class A		3,466		503,679
Kao Corp.		1,300		104,966
L'Oreal SA		708		170,734
LG Household & Health Care, Ltd.		53		60,967
Natura Cosmeticos SA		7,288		51,215
Pola Orbis Holdings, Inc.		2,200		80,356
Procter & Gamble Co.		3,318		276,157
				1,248,074

113

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Cruise Lines — 0.6%
Carnival Corp.		7,203	$	459,335
Royal Caribbean Cruises, Ltd.		3,976		516,642
				975,977
Data Processing/Management — 0.4%
Broadridge Financial Solutions, Inc.		1,685		222,336
Dun & Bradstreet Corp.		1,246		177,567
Fidelity National Information Services, Inc.		2,843		310,086
				709,989
Decision Support Software — 0.1%
MSCI, Inc.		1,044		185,216
Dental Supplies & Equipment — 0.1%
DENTSPLY SIRONA, Inc.		6,172		232,931
Dialysis Centers — 0.2%
Fresenius Medical Care AG & Co. KGaA		2,522		259,377
Distribution/Wholesale — 0.3%
HD Supply Holdings, Inc.†		2,345		100,342
KAR Auction Services, Inc.		2,810		167,729
LKQ Corp.†		4,489		142,167
				410,238
Diversified Banking Institutions — 4.1%
Citigroup, Inc.		28,579		2,050,257
Goldman Sachs Group, Inc.		1,802		404,080
HSBC Holdings PLC		4,685		40,901
JPMorgan Chase & Co.		23,784		2,683,787
Lloyds Banking Group PLC		72,154		55,741
Macquarie Group, Ltd.		2,972		270,773
Mizuho Financial Group, Inc.		162,500		283,467
Morgan Stanley		15,149		705,489
Sumitomo Mitsui Financial Group, Inc.		7,800		314,828
				6,809,323
Diversified Financial Services — 0.1%
CTBC Financial Holding Co., Ltd.		78,000		58,756
Edelweiss Financial Services, Ltd.		14,338		38,075
Hana Financial Group, Inc.		2,184		87,715
				184,546
Diversified Manufacturing Operations — 0.3%
Ingersoll-Rand PLC		4,638		474,467
Diversified Minerals — 0.2%
Anglo American PLC		9,876		221,791
BHP Billiton, Ltd.		3,296		82,507
				304,298
E-Commerce/Products — 1.3%
Alibaba Group Holding, Ltd. ADR†		2,472		407,287
Amazon.com, Inc.†		838		1,678,514
				2,085,801
E-Commerce/Services — 0.0%
Cafe24 Corp.†		405		54,621

Security Description	Shares		Value (Note 2)
Electric Products-Misc. — 0.2%
AMETEK, Inc.		2,776	$	219,637
Brother Industries, Ltd.		1,400		27,650
				247,287
Electric-Distribution — 0.1%
CenterPoint Energy, Inc.		8,296		229,384
Electric-Generation — 0.0%
Engie SA		5,031		73,979
Vistra Energy Corp. CVR†(1)		1,362		1,022
				75,001
Electric-Integrated — 1.4%
AES Corp.		12,888		180,432
Ameren Corp.		3,549		224,368
American Electric Power Co., Inc.		2,568		182,020
CLP Holdings, Ltd.		18,500		216,588
CMS Energy Corp.		5,274		258,426
Endesa SA		3,482		75,236
Enel SpA		49,618		254,171
Entergy Corp.		5,591		453,598
Evergy, Inc.		2,138		117,419
OGE Energy Corp.		3,793		137,761
Pinnacle West Capital Corp.		1,721		136,269
				2,236,288
Electric-Transmission — 0.0%
KEC International, Ltd.		9,253		37,847
Electronic Components-Misc. — 0.3%
Elite Material Co., Ltd.		12,000		33,800
Hoya Corp.		4,500		267,338
Jabil, Inc.		2,501		67,727
nVent Electric PLC		2,994		81,317
				450,182
Electronic Components-Semiconductors — 1.8%
MediaTek, Inc.		15,000		121,099
NVIDIA Corp.		7,181		2,018,005
Samsung Electronics Co., Ltd.		8,582		359,372
Samsung Electronics Co., Ltd. (Preference Shares)		2,287		78,037
Texas Instruments, Inc.		3,556		381,523
				2,958,036
Electronic Measurement Instruments — 0.4%
Agilent Technologies, Inc.		6,955		490,605
Keysight Technologies, Inc.†		2,549		168,948
				659,553
Energy-Alternate Sources — 0.1%
Canvest Environmental Protection Group Co., Ltd.		159,000		82,665
China Everbright Greentech, Ltd.*		54,000		46,079
				128,744
Engineering/R&D Services — 0.0%
AECOM†		2,107		68,815
Engines-Internal Combustion — 0.3%
Cummins, Inc.		3,437		502,043

114

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Enterprise Software/Service — 1.0%
Black Knight, Inc.†		1,936	$	100,575
CA, Inc.		5,041		222,560
Oracle Corp.		26,190		1,350,357
				1,673,492
Entertainment Software — 0.0%
Nexon Co., Ltd.†		2,000		26,140
Finance-Auto Loans — 0.2%
Ally Financial, Inc.		9,271		245,218
Santander Consumer USA Holdings, Inc.		4,859		97,374
				342,592
Finance-Commercial — 0.1%
Larsen & Toubro Infotech, Ltd.*		2,805		75,455
Finance-Credit Card — 0.4%
Discover Financial Services		5,216		398,763
Mastercard, Inc., Class A		1,509		335,919
				734,682
Finance-Investment Banker/Broker — 0.3%
Daiwa Securities Group, Inc.		5,300		32,242
E*TRADE Financial Corp.†		9,507		498,072
				530,314
Finance-Leasing Companies — 0.2%
Chailease Holding Co., Ltd.		21,660		75,906
ORIX Corp.		16,100		261,012
				336,918
Finance-Mortgage Loan/Banker — 0.1%
Housing Development Finance Corp., Ltd.		4,878		117,761
Finance-Other Services — 0.1%
BGC Partners, Inc., Class A		6,355		75,116
Deutsche Boerse AG		288		38,588
Hong Kong Exchanges & Clearing, Ltd.		1,700		48,643
London Stock Exchange Group PLC		1,031		61,627
				223,974
Fisheries — 0.1%
Marine Harvest ASA		4,550		105,410
Food-Confectionery — 0.2%
Hershey Co.		3,189		325,278
Food-Flour & Grain — 0.1%
Gruma SAB de CV, Class B		9,003		114,455
Food-Meat Products — 0.0%
WH Group, Ltd.*		68,500		48,214
Food-Misc./Diversified — 0.9%
Associated British Foods PLC		4,176		124,645
Conagra Brands, Inc.		7,511		255,148
Ingredion, Inc.		1,226		128,681
Mondelez International, Inc., Class A		16,550		710,988
Nestle SA		2,228		185,750
Pinnacle Foods, Inc.		2,411		156,257
				1,561,469

Security Description	Shares		Value (Note 2)
Food-Retail — 0.5%
Dino Polska SA†*		2,627	$	70,969
J Sainsbury PLC		49,172		206,244
Koninklijke Ahold Delhaize NV		11,030		252,926
WM Morrison Supermarkets PLC		7,076		23,924
Woolworths Group, Ltd.		9,439		191,590
				745,653
Food-Wholesale/Distribution — 0.4%
Sysco Corp.		8,294		607,535
Funeral Services & Related Items — 0.0%
Fu Shou Yuan International Group, Ltd.		44,000		34,342
Gas-Distribution — 0.2%
Atmos Energy Corp.		965		90,623
UGI Corp.		3,935		218,314
				308,937
Gold Mining — 0.2%
Newmont Mining Corp.		8,100		244,620
Royal Gold, Inc.		802		61,802
				306,422
Hazardous Waste Disposal — 0.0%
Tervita Corp.†		10		69
Hotels/Motels — 0.5%
Extended Stay America, Inc.		5,535		111,973
Hilton Worldwide Holdings, Inc.		4,564		368,680
Hyatt Hotels Corp., Class A		1,439		114,530
Wyndham Worldwide Corp.†		6,635		287,694
				882,877
Human Resources — 0.1%
ManpowerGroup, Inc.		1,783		153,267
Randstad NV		1,099		58,670
				211,937
Import/Export — 0.4%
ITOCHU Corp.		13,000		237,986
Marubeni Corp.		25,500		233,410
Mitsui & Co., Ltd.		13,000		231,178
				702,574
Independent Power Producers — 0.2%
NRG Energy, Inc.		10,206		381,704
Industrial Automated/Robotic — 0.2%
Rockwell Automation, Inc.		2,003		375,603
Industrial Gases — 0.2%
Air Products & Chemicals, Inc.		1,845		308,207
Instruments-Controls — 0.5%
Honeywell International, Inc.		4,636		771,430
Instruments-Scientific — 0.0%
Waters Corp.†		357		69,501
Insurance-Life/Health — 1.1%
AIA Group, Ltd.		16,600		148,223
Athene Holding, Ltd., Class A†		2,595		134,058
Aviva PLC		41,600		265,414
Cathay Financial Holding Co., Ltd.		48,000		82,533

115

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Life/Health (continued)
Discovery, Ltd.		5,416	$	65,109
Legal & General Group PLC		76,805		262,482
Lincoln National Corp.		3,433		232,277
Principal Financial Group, Inc.		2,898		169,794
Prudential Financial, Inc.		5,184		525,243
				1,885,133
Insurance-Multi-line — 1.1%
Aegon NV		2,903		18,835
Allianz SE		1,701		379,190
American Financial Group, Inc.		819		90,884
Assurant, Inc.		1,675		180,816
Hartford Financial Services Group, Inc.		6,696		334,532
Loews Corp.		4,897		245,976
MetLife, Inc.		9,450		441,504
Ping An Insurance Group Co. of China, Ltd.		18,500		187,875
				1,879,612
Insurance-Property/Casualty — 0.1%
DB Insurance Co., Ltd.		1,247		81,841
Hyundai Marine & Fire Insurance Co., Ltd.		1,550		58,618
				140,459
Insurance-Reinsurance — 0.2%
Axis Capital Holdings, Ltd.		947		54,651
Muenchener Rueckversicherungs- Gesellschaft AG		524		116,051
RenaissanceRe Holdings, Ltd.		573		76,541
				247,243
Internet Application Software — 0.2%
Tencent Holdings, Ltd.		8,200		338,544
Internet Content-Entertainment — 0.6%
Facebook, Inc., Class A†		6,383		1,049,748
Internet Content-Information/News — 0.1%
Naspers, Ltd., Class N		593		127,968
Internet Infrastructure Software — 0.2%
F5 Networks, Inc.†		1,914		381,690
Internet Security — 0.3%
Palo Alto Networks, Inc.†		2,431		547,607
Investment Management/Advisor Services — 0.4%
Ameriprise Financial, Inc.		3,013		444,900
Partners Group Holding AG		271		214,972
Schroders PLC		486		19,605
				679,477
Machine Tools & Related Products — 0.2%
Sandvik AB		15,085		267,756
Machinery-Electrical — 0.2%
BWX Technologies, Inc.		1,902		118,951
Hitachi, Ltd.		8,200		278,578
				397,529

Security Description	Shares		Value (Note 2)
Machinery-Pumps — 0.0%
Gardner Denver Holdings, Inc.†		2,297	$	65,097
Medical Instruments — 0.3%
Boston Scientific Corp.†		13,451		517,863
Medical Labs & Testing Services — 0.1%
Charles River Laboratories International, Inc.†		1,122		150,954
Fleury SA		7,817		41,228
				192,182
Medical Products — 0.7%
ABIOMED, Inc.†		1,227		551,843
Baxter International, Inc.		6,359		490,215
Coloplast A/S, Class B		126		12,885
Hill-Rom Holdings, Inc.		679		64,098
Koninklijke Philips NV		383		17,447
Siemens Healthineers AG†*		1,178		51,802
				1,188,290
Medical-Biomedical/Gene — 1.2%
Amgen, Inc.		3,870		802,212
Biogen, Inc.†		814		287,595
Celgene Corp.†		2,314		207,080
Concordia International Corp.†		53		1,066
Gilead Sciences, Inc.		5,849		451,601
Vertex Pharmaceuticals, Inc.†		1,275		245,744
				1,995,298
Medical-Drugs — 4.5%
AbbVie, Inc.		4,644		439,230
Allergan PLC		751		143,050
Astellas Pharma, Inc.		15,900		277,361
Aurobindo Pharma, Ltd.		4,527		46,400
Bristol-Myers Squibb Co.		13,072		811,510
China Traditional Chinese Medicine Holdings Co., Ltd.		102,000		69,317
Eli Lilly & Co.		8,286		889,171
GlaxoSmithKline PLC		18,987		380,322
Ipsen SA		440		73,973
Johnson & Johnson		8,330		1,150,956
Merck & Co., Inc.		12,858		912,147
Novartis AG		6,002		516,170
Pfizer, Inc.		11,221		494,509
Roche Holding AG		2,015		488,146
Shionogi & Co., Ltd.		3,700		241,760
Taisho Pharmaceutical Holdings Co., Ltd.		100		12,225
UCB SA		1,910		171,643
Zoetis, Inc.		3,161		289,421
				7,407,311
Medical-HMO — 1.8%
Anthem, Inc.		3,645		998,912
Centene Corp.†		2,747		397,711
Cigna Corp.		3,291		685,351
Humana, Inc.		1,874		634,386
WellCare Health Plans, Inc.†		1,017		325,938
				3,042,298

116

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Hospitals — 0.0%
Bangkok Chain Hospital PCL		82,300	$	52,933
Medical-Wholesale Drug Distribution — 0.4%
Alfresa Holdings Corp.		3,200		85,619
McKesson Corp.		3,712		492,397
Medipal Holdings Corp.		2,700		56,343
				634,359
Metal Processors & Fabrication — 0.1%
SKF AB, Class B		5,796		114,356
Skipper, Ltd.		21,912		30,092
				144,448
Metal-Diversified — 0.2%
Boliden AB		1,410		39,330
Rio Tinto PLC		6,376		322,447
South32, Ltd.		6,595		18,687
				380,464
Metal-Iron — 0.1%
Vale SA ADR		6,915		102,619
Multimedia — 0.8%
Pearson PLC		10,693		124,041
Twenty-First Century Fox, Inc., Class B		4,855		222,456
Walt Disney Co.		7,739		904,999
				1,251,496
Networking Products — 1.3%
Cisco Systems, Inc.		44,372		2,158,698
Non-Hazardous Waste Disposal — 0.5%
China Water Affairs Group, Ltd.		98,000		109,788
Republic Services, Inc.		2,412		175,256
Sunny Friend Environmental Technology Co., Ltd.		12,000		87,643
Waste Management, Inc.		4,048		365,777
				738,464
Office Automation & Equipment — 0.1%
Zebra Technologies Corp., Class A†		796		140,757
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		2,032		220,167
Oil Companies-Exploration & Production — 1.3%
CNOOC, Ltd.		80,000		158,399
ConocoPhillips		13,301		1,029,497
Geopark, Ltd.†		3,957		80,723
Halcon Resources Corp.†		729		3,259
MWO Holdings LLC†(1)(2)(3)		10		810
Occidental Petroleum Corp.		10,591		870,262
SandRidge Energy, Inc.†		323		3,511
				2,146,461
Oil Companies-Integrated — 1.2%
Eni SpA		16,100		304,358
Equinor ASA†		10,243		288,836
Lukoil PJSC ADR		2,488		190,830
OMV AG		2,039		114,558
Petroleo Brasileiro SA ADR		5,598		67,568
Repsol SA		13,648		271,997

Security Description	Shares		Value (Note 2)
Oil Companies-Integrated (continued)
Royal Dutch Shell PLC, Class B		6,429	$	225,326
TOTAL SA		7,324		474,837
				1,938,310
Oil Field Machinery & Equipment — 0.0%
Hilong Holding, Ltd.		255,000		35,180
Oil Refining & Marketing — 0.9%
Motor Oil Hellas Corinth Refineries SA		3,156		82,446
PBF Energy, Inc., Class A		4,851		242,113
Valero Energy Corp.		10,617		1,207,684
				1,532,243
Oil-Field Services — 0.4%
Halliburton Co.		16,538		670,285
Paper & Related Products — 0.2%
Domtar Corp.		1,678		87,541
Suzano Papel e Celulose SA		4,150		49,407
UPM-Kymmene Oyj		2,962		116,239
				253,187
Petrochemicals — 0.1%
Petronas Chemicals Group Bhd		34,400		77,802
Photo Equipment & Supplies — 0.0%
Sunny Optical Technology Group Co., Ltd.		4,800		55,368
Pipelines — 0.8%
Kinder Morgan, Inc.		28,761		509,933
ONEOK, Inc.		3,874		262,618
Williams Cos., Inc.		18,904		514,000
				1,286,551
Printing-Commercial — 0.0%
Dai Nippon Printing Co., Ltd.		1,200		27,904
Private Equity — 0.1%
3i Group PLC		11,467		140,673
Professional Sports — 0.1%
Madison Square Garden Co., Class A†		366		115,407
Publishing-Newspapers — 0.1%
News Corp., Class A		5,780		76,238
Publishing-Periodicals — 0.0%
Wolters Kluwer NV		582		36,273
Radio — 0.1%
Liberty Media Corp. - Liberty SiriusXM, Series A†		1,789		77,714
Real Estate Investment Trusts — 1.9%
AGNC Investment Corp.		2,410		44,898
American Homes 4 Rent, Class A		4,801		105,094
Apartment Investment & Management Co., Class A		2,193		96,777
Apple Hospitality REIT, Inc.		3,409		59,623
Brandywine Realty Trust		3,896		61,245
Brixmor Property Group, Inc.		8,164		142,952
Douglas Emmett, Inc.		1,661		62,653
Duke Realty Corp.		5,095		144,545
Empire State Realty Trust, Inc., Class A		2,649		44,000
Equity LifeStyle Properties, Inc.		794		76,581

117

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Equity Residential		4,671	$	309,500
Gaming and Leisure Properties, Inc.		2,080		73,320
HCP, Inc.		7,889		207,638
Highwoods Properties, Inc.		1,869		88,329
Hudson Pacific Properties, Inc.		2,055		67,240
Liberty Property Trust		2,035		85,979
Life Storage, Inc.		680		64,709
New Residential Investment Corp.		4,519		80,529
OUTFRONT Media, Inc.		2,287		45,626
Paramount Group, Inc.		3,602		54,354
Park Hotels & Resorts, Inc.		4,341		142,472
Rayonier, Inc.		1,629		55,077
Scentre Group		14,101		40,466
Senior Housing Properties Trust		3,119		54,770
SL Green Realty Corp.		2,041		199,059
Spirit Realty Capital, Inc.		16,349		131,773
Starwood Property Trust, Inc.		4,112		88,490
Stockland		4,433		13,298
Sun Communities, Inc.		849		86,207
Vornado Realty Trust		2,554		186,442
Weyerhaeuser Co.		7,678		247,769
WP Carey, Inc.		682		43,859
				3,205,274
Real Estate Management/Services — 0.2%
CBRE Group, Inc., Class A†		3,953		174,327
Jones Lang LaSalle, Inc.		749		108,096
				282,423
Real Estate Operations & Development — 0.3%
CK Asset Holdings, Ltd.		34,500		258,915
Henderson Land Development Co., Ltd.		12,000		60,319
Kerry Properties, Ltd.		9,500		32,219
Nomura Real Estate Holdings, Inc.		2,100		42,399
Sun Hung Kai Properties, Ltd.		6,000		87,375
Swire Properties, Ltd.		5,000		18,938
				500,165
Rental Auto/Equipment — 0.1%
Ashtead Group PLC		3,332		105,837
Localiza Rent a Car SA		11,268		63,475
				169,312
Retail-Apparel/Shoe — 0.8%
ABC-Mart, Inc.		1,100		61,186
Lululemon Athletica, Inc.†		3,747		608,850
Next PLC		275		19,693
Ross Stores, Inc.		6,604		654,456
Tapestry, Inc.		989		49,717
				1,393,902
Retail-Building Products — 1.2%
Home Depot, Inc.		9,220		1,909,923
Retail-Consumer Electronics — 0.0%
Erajaya Swasembada Tbk PT		258,500		41,633

Security Description	Shares		Value (Note 2)
Retail-Discount — 0.2%
Dollar General Corp.		2,120	$	231,716
Dollar Tree, Inc.†		1,660		135,373
				367,089
Retail-Drug Store — 0.4%
Walgreens Boots Alliance, Inc.		9,518		693,862
Retail-Hypermarkets — 0.0%
Wal-Mart de Mexico SAB de CV		22,936		69,578
Retail-Jewelry — 0.4%
Signet Jewelers, Ltd.		2,640		174,055
Tiffany & Co.		3,736		481,832
				655,887
Retail-Misc./Diversified — 0.0%
Poya International Co., Ltd.		5,040		45,889
Schools — 0.0%
New Oriental Education & Technology Group, Inc. ADR†		793		58,690
Semiconductor Components-Integrated Circuits — 0.2%
Taiwan Semiconductor Manufacturing Co., Ltd.		29,039		249,656
Semiconductor Equipment — 0.4%
Applied Materials, Inc.		5,720		221,078
KLA-Tencor Corp.		3,603		366,461
				587,539
Steel-Producers — 0.3%
ArcelorMittal		8,769		272,858
BlueScope Steel, Ltd.		16,473		202,189
China Oriental Group Co., Ltd.		52,000		41,981
				517,028
Telecom Services — 0.1%
Megacable Holdings SA de CV		14,710		75,861
Telecommunication Equipment — 0.0%
ARRIS International PLC†		2,426		63,052
Telephone-Integrated — 1.6%
BT Group PLC		7,029		20,641
KDDI Corp.		11,200		309,425
Nippon Telegraph & Telephone Corp.		5,800		261,975
Swisscom AG		126		57,184
Verizon Communications, Inc.		38,300		2,044,837
				2,694,062
Television — 0.1%
ProSiebenSat.1 Media SE		5,433		141,110
RTL Group SA		495		35,316
				176,426
Tobacco — 0.3%
Imperial Brands PLC		7,926		275,934
Swedish Match AB		2,823		144,527
				420,461
Transactional Software — 0.2%
Amadeus IT Group SA		3,081		286,247

118

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares/ Principal Amount(18)		Value (Note 2)
COMMON STOCKS (continued)
Transport-Rail — 0.4%
Central Japan Railway Co.		1,300	$	270,709
Kansas City Southern		2,260		256,013
Kyushu Railway Co.		1,700		51,769
				578,491
Transport-Services — 0.1%
Expeditors International of Washington, Inc.		2,628		193,237
Travel Services — 0.1%
TUI AG		8,485		162,904
Vitamins & Nutrition Products — 0.0%
TCI Co, Ltd.		3,000		48,243
Water Treatment Systems — 0.1%
Clean TeQ Holdings, Ltd.†		141,873		55,891
Pentair PLC		3,454		149,731
				205,622
Web Portals/ISP — 2.4%
Alphabet, Inc., Class A†		3,253		3,926,631
Yandex NV, Class A†		1,781		58,577
				3,985,208
Wire & Cable Products — 0.0%
KEI Industries, Ltd.		11,707		57,832
Total Common Stocks (cost $109,730,957)				123,963,979
CONVERTIBLE PREFERRED SECURITIES — 0.0%
Real Estate Investment Trusts — 0.0%
EPR Properties Series C 5.75% (cost $9,209)		505		14,135
PREFERRED SECURITIES — 0.0%
Diversified Banking Institutions — 0.0%
GMAC Capital Trust I FRS Series 2 8.10% (3 ML+5.79%) (cost $14,579)		580		15,254
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.3%
Banks-Super Regional — 0.1%
Fifth Third Bancorp 5.10% due 06/30/2023(4)	$	9,000		8,820
Wells Fargo & Co. Series U 5.88% due 06/15/2025(4)		85,000		89,411
				98,231
Diversified Banking Institutions — 0.1%
Bank of America Corp. Series AA 6.10% due 03/17/2025(4)		61,000		63,897
Bank of America Corp. Series Z 6.50% due 10/23/2024(4)		5,000		5,398
JPMorgan Chase & Co. Series X 6.10% due 10/01/2024(4)		11,000		11,385

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Series Z 5.30% due 05/01/2020(4)	$	52,000	$	53,170
				133,850
Electric-Integrated — 0.0%
NextEra Energy Capital Holdings, Inc. 4.80% due 12/01/2077		25,000		23,563
WEC Energy Group, Inc. FRS 4.43% (3 ML+2.11%) due 05/15/2067		50,000		48,435
				71,998
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. 5.20% due 03/15/2044		37,000		36,815
Insurance-Multi-line — 0.0%
MetLife, Inc. 6.40% due 12/15/2066		45,000		47,700
Insurance-Mutual — 0.0%
Liberty Mutual Group, Inc. FRS 5.24% (3 ML+2.91%) due 03/07/2067*		10,000		9,750
Pipelines — 0.1%
Energy Transfer Partners LP 6.63% due 02/15/2028(4)		70,000		67,025
TransCanada Trust 5.30% due 03/15/2077		40,000		38,050
				105,075
Total Preferred Securities/Capital Securities (cost $490,381)				503,419
ASSET BACKED SECURITIES — 1.4%
Diversified Financial Services — 1.4%
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 2.79% (12 MTA+0.94%) due 06/25/2046(5)		12,639		11,748
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.00% due 11/10/2042*(3)(6)(7)(8)		245,509		2
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.58% due 11/10/2041*(3)(6)(7)(8)		25,976		94
Capmark Mtg. Securities, Inc. VRS Series 1997-C1, Class X 1.51% due 07/15/2029(6)(7)(8)		21,461		318
CD Commercial Mtg. Trust VRS Series 2016-CD1, Class XA 1.56% due 08/10/2049(6)(7)(8)		287,464		23,687
Citigroup Commercial Mtg. Trust VRS Series 2012-GC8, Class XA 1.97% due 09/10/2045*(3)(6)(7)(8)		247,005		13,287
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(8)		50,000		50,493

119

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust VRS Series 2014-GC21, Class C 4.78% due 05/10/2047(7)(8)	$	68,000	$	67,787
Citigroup Commercial Mtg. Trust VRS Series 2013-GC17,Class C 5.26% due 11/10/2046(7)(8)		44,000		45,434
Citigroup Mtg. Loan Trust, Inc. VRS Series 2005-2, Class 1A2A 4.01% due 05/25/2035(5)(7)		25,652		26,289
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.64% due 12/10/2046*(3)(6)(7)(8)		174,669		6
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.11% due 12/10/2047(6)(7)(8)		420,293		17,202
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.24% due 05/10/2047(6)(7)(8)		345,513		13,548
Commercial Mtg. Trust VRS Series 2013-CR11, Class XA 1.27% due 08/10/2050(6)(7)(8)		510,078		18,451
Commercial Mtg. Trust VRS Series 2014-CR20, Class XA 1.28% due 11/10/2047(3)(6)(7)(8)		296,233		13,866
Commercial Mtg. Trust VRS Series 2014-CR18, Class XA 1.31% due 07/15/2047(6)(7)(8)		115,310		4,443
Commercial Mtg. Trust VRS Series 2014-CR19, Class XA 1.34% due 08/10/2047(6)(7)(8)		956,919		40,530
Commercial Mtg. Trust VRS Series 2014-UBS4, Class XA 1.34% due 08/10/2047(6)(7)(8)		340,479		15,542
Commercial Mtg. Trust VRS Series 2013-LC13, Class XA 1.38% due 08/10/2046(6)(7)(8)		293,186		12,438
Commercial Mtg. Trust Series LC6, Class AM 3.28% due 01/10/2046(8)		59,000		58,181
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.61% due 12/10/2047(7)(8)		39,000		37,694
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 08/10/2050(7)(8)		12,000		12,533
Commercial Mtg. Trust VRS Series 2010-C1, Class D 6.31% due 07/10/2046*(3)(7)(8)		41,000		41,778
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 2.22% due 05/15/2038*(3)(6)(7)(8)		10,536		21
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.80% due 02/15/2040*(3)(6)(7)(8)		100,099		503

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.89% due 09/15/2039*(3)(6)(7)(8)	$	3,183	$	0
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class C 4.44% due 04/15/2050(7)(8)		66,000		64,873
CSMC Trust VRS Series 2016-NXSR, Class C 4.51% due 12/15/2049(7)(8)		37,000		36,260
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.52% due 08/10/2044*(7)(8)		100,000		102,761
GMAC Commercial Mtg. Securities, Inc. VRS Series 2005-C1, Class X1 1.18% due 05/10/2043*(3)(6)(7)(8)		11,183		1
GS Mtg. Securities Corp. VRS Series 2015-GC30, Class XA 1.00% due 05/10/2050(6)(7)(8)		401,541		15,341
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.67% due 02/10/2046(6)(7)(8)		800,401		43,301
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(8)		33,000		32,305
GS Mtg. Securities Trust VRS Series 2014-GC22, Class C 4.85% due 06/10/2047(7)(8)		68,000		67,701
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.40% due 09/12/2037*(3)(6)(7)(8)		118,433		158
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-LC11, Class AS 3.22% due 04/15/2046(8)		22,000		21,497
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-LC11, Class C 3.96% due 04/15/2046(7)(8)		69,000		67,487
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-C6, Class AS 4.12% due 05/15/2045(8)		19,000		19,260
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.31% due 05/15/2045(7)(8)		57,000		55,746
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C17, Class XA 0.96% due 01/15/2047(6)(7)(8)		808,547		27,340
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C22, Class C 4.71% due 09/15/2047(7)(8)		19,000		18,407

120

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (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 C15, Class B 4.93% due 11/15/2045(7)(8)	$	38,000	$	39,567
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, ClassC 5.26% due 11/15/2045(7)(8)		55,000		57,143
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.54% due 11/15/2040*(3)(6)(7)(8)		72,338		199
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.32% due 04/15/2041(7)(8)		17,492		17,784
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.54% due 02/25/2035(5)(7)		11,188		11,591
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.00% due 06/12/2043*(3)(6)(7)(8)		39,047		1
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 6.64% due 07/15/2045*(3)(6)(7)(8)		6,514		196
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 7.14% due 05/15/2044*(3)(6)(7)(8)		755		109
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.35% due 08/15/2047(6)(7)(8)		154,141		6,062
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C8, Class B 3.70% due 12/15/2048(7)(8)		19,000		18,576
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C7, Class C 4.25% due 02/15/2046(7)(8)		68,000		66,942
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C18, Class C 4.49% due 10/15/2047(7)(8)		63,000		62,029
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class C 4.61% due 08/15/2047(7)(8)		85,000		83,710
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C12, Class C 4.91% due 10/15/2046(7)(8)		55,000		55,068

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Capital I Trust VRS Series C3, Class D 5.33% due 07/15/2049*(7)(8)	$	43,000	$	44,166
Towd Point Asset Trust FRS Series SL1, Class A 2.82% (1 ML+0.60%) due 01/25/2046*(3)		91,448		90,980
UBS-Barclays Commercial Mtg. Trust VRS Series 2012-C3 Class C 5.21% due 08/10/2049*(7)(8)		25,000		25,291
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C18, Class XC zero coupon due 04/15/2042*(3)(6)(7)(8)		31,448		2
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2005, Class AR19 2.57% (1 ML+0.35%) due 12/25/2045(5)		11,921		11,865
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 3.14% (1 ML+0.92%) due 10/25/2044(5)		35,557		35,732
Wells Fargo Commercial Mtg. Trust Series 2016-BNK1, Class AS 2.81% due 08/15/2049(8)		29,000		26,876
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.36% due 03/15/2045*(6)(7)(8)		244,311		10,170
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.72% due 12/15/2045*(6)(7)(8)		180,705		9,558
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 2.05% due 11/15/2045*(6)(7)(8)		119,326		7,415
WF-RBS Commercial Mtg. Trust Series 2012-C10, Class AS 3.24% due 12/15/2045(8)		23,000		22,610
WF-RBS Commercial Mtg. Trust Series 2013-C11, Class AS 3.31% due 03/15/2045(8)		47,000		46,483
WF-RBS Commercial Mtg. Trust Series 2012-C8, Class AS 3.66% due 08/15/2045(8)		18,000		17,950
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(7)(8)		24,000		24,575

121

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS CMBS 4.3 4.39% due 12/15/2046(7)(8)	$	67,000	$	68,607
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class C 4.53% due 12/15/2045(7)(8)		18,000		17,775
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class C15 4.62% due 08/15/2046(7)(8)		56,000		55,809
WF-RBS Commercial Mtg. Trust VRS Series 2013-C16, Class AS 4.67% due 09/15/2046(7)(8)		20,000		20,780
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.94% due 11/15/2045*(7)(8)		51,000		49,421
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.98% due 06/15/2045*(7)(8)		55,000		50,904
WF-RBS Commercial Mtg. Trust VRS Series 2013-C17, Class C 5.23% due 12/15/2046(7)(8)		59,000		60,392
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.86% due 03/15/2044*(7)(8)		34,000		30,620
Total Asset Backed Securities (cost $3,037,523)				2,245,271
CONVERTIBLE BONDS & NOTES — 0.0%
Cable/Satellite TV — 0.0%
DISH Network Corp. Senior Notes 3.38% due 08/15/2026 (cost $9,288)		10,000		9,538
U.S. CORPORATE BONDS & NOTES — 5.4%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc. Senior Notes 4.65% due 10/01/2028		61,000		61,091
Omnicom Group, Inc. Senior Notes 3.60% due 04/15/2026		15,000		14,247
				75,338
Advertising Sales — 0.0%
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024		2,000		2,022
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025		10,000		10,100
				12,122

Security Description	Principal Amount(18)		Value (Note 2)
Aerospace/Defense — 0.0%
Northrop Grumman Corp. Senior Notes 3.25% due 01/15/2028	$	45,000	$	42,314
Aerospace/Defense-Equipment — 0.0%
L-3 Technologies, Inc. Company Guar. Notes 3.85% due 12/15/2026		5,000		4,810
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026		25,000		25,250
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024		3,000		3,073
TransDigm, Inc. Company Guar. Notes 6.50% due 05/15/2025		5,000		5,094
				38,227
Agricultural Chemicals — 0.1%
CF Industries, Inc. Senior Sec. Notes 4.50% due 12/01/2026*(3)		50,000		49,665
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		15,000		13,275
				62,940
Airlines — 0.0%
Delta Air Lines Pass Through Trust Pass-Through Certs. Series 2009-1, Class A 7.75% due 06/17/2021		1,327		1,386
United Airline Pass-Through Trust Pass-Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024		7,093		7,421
				8,807
Apparel Manufacturers — 0.0%
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024*		10,000		9,719
Applications Software — 0.1%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		20,000		18,441
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028		60,000		59,487
				77,928
Auto-Cars/Light Trucks — 0.1%
BMW US Capital LLC Company Guar. Notes 3.40% due 08/13/2021*(3)		15,000		14,993
BMW US Capital LLC Company Guar. Notes 3.95% due 08/14/2028*(3)		65,000		64,959

122

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
General Motors Financial Co., Inc. Company Guar. Notes 4.00% due 10/06/2026	$	8,000	$	7,517
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025		9,000		8,754
				96,223
Auto-Heavy Duty Trucks — 0.0%
Allison Transmission, Inc. Senior Notes 4.75% due 10/01/2027*		20,000		18,875
Navistar International Corp. Company Guar. Notes 6.63% due 11/01/2025*		25,000		26,000
				44,875
Auto-Truck Trailers — 0.0%
Wabash National Corp. Company Guar. Notes 5.50% due 10/01/2025*		20,000		19,100
Auto/Truck Parts & Equipment-Original — 0.1%
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019		16,000		16,640
Lear Corp. Senior Notes 3.80% due 09/15/2027		43,000		39,921
Tenneco, Inc. Company Guar. Notes 5.38% due 12/15/2024		10,000		9,388
				65,949
Banks-Commercial — 0.0%
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022		2,000		2,040
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023		16,000		16,322
CIT Group, Inc. Senior Notes 5.25% due 03/07/2025		18,000		18,360
				36,722
Banks-Mortgage — 0.0%
Freedom Mtg. Corp. Senior Notes 8.13% due 11/15/2024*		10,000		9,700
Freedom Mtg. Corp. Senior Notes 8.25% due 04/15/2025*		15,000		14,550
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 6.38% due 06/15/2025*		15,000		15,000
				39,250

Security Description	Principal Amount(18)		Value (Note 2)
Batteries/Battery Systems — 0.0%
Energizer Gamma Acquisition, Inc. Senior Sec. Notes 6.38% due 07/15/2026*(3)	$	5,000	$	5,169
Beverages-Non-alcoholic — 0.0%
Keurig Dr Pepper, Inc. Company Guar. Notes 4.60% due 05/25/2028*(3)		56,000		56,273
Brewery — 0.1%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		18,000		17,491
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		53,000		53,600
				71,091
Broadcast Services/Program — 0.1%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Class B 6.50% due 11/15/2022		28,000		28,490
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 7.63% due 03/15/2020		10,000		10,025
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 12/15/2019†(9)(10)		21,000		15,803
Nexstar Broadcasting, Inc. Company Guar. Notes 5.63% due 08/01/2024*		15,000		14,681
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025*		15,000		14,025
				83,024
Building & Construction Products-Misc. — 0.1%
American Woodmark Corp. Company Guar. Notes 4.88% due 03/15/2026*		10,000		9,550
BMC East LLC Senior Sec. Notes 5.50% due 10/01/2024*		25,000		24,156
Builders FirstSource, Inc. Senior Sec. Notes 5.63% due 09/01/2024*		25,000		24,031
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021*		5,000		5,056
Louisiana-Pacific Corp. Senior Notes 4.88% due 09/15/2024		25,000		24,938
Standard Industries, Inc. Senior Notes 5.00% due 02/15/2027*		50,000		47,062
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024*		20,000		19,975

123

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building & Construction Products-Misc. (continued)
USG Corp. Company Guar. Notes 4.88% due 06/01/2027*	$	15,000	$	15,165
USG Corp. Company Guar. Notes 5.50% due 03/01/2025*		10,000		10,188
				180,121
Building & Construction-Misc. — 0.0%
Pisces Midco, Inc. Company Guar. Notes 8.00% due 04/15/2026*		15,000		15,112
TopBuild Corp. Company Guar. Notes 5.63% due 05/01/2026*		15,000		14,662
Weekley Homes LLC/ Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		11,000		10,643
				40,417
Building Products-Cement — 0.0%
US Concrete, Inc. Company Guar. Notes 6.38% due 06/01/2024		20,000		20,234
Building Products-Doors & Windows — 0.0%
Jeld-Wen, Inc. Company Guar. Notes 4.63% due 12/15/2025*		5,000		4,613
Jeld-Wen, Inc. Company Guar. Notes 4.88% due 12/15/2027*		5,000		4,556
				9,169
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024*		30,000		30,591
Building-Heavy Construction — 0.0%
Brand Industrial Services, Inc. Senior Notes 8.50% due 07/15/2025*		20,000		20,558
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023		10,000		9,925
				30,483
Building-Residential/Commercial — 0.1%
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023		25,000		26,595
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022		9,000		9,039
Lennar Corp. Company Guar. Notes 5.88% due 11/15/2024		15,000		15,619

Security Description	Principal Amount(18)		Value (Note 2)
Building-Residential/Commercial (continued)
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026	$	10,000	$	9,950
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032		20,000		21,525
TRI Pointe Group Inc./ TRI Pointe Homes Inc. Company Guar. Notes 5.88% due 06/15/2024		10,000		9,925
				92,653
Cable/Satellite TV — 0.2%
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020		6,000		6,323
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.13% due 05/01/2023*		15,000		15,023
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026*		20,000		19,775
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026*		20,000		20,050
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024*		35,000		35,569
Cequel Communications Holdings I LLC/ Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021*		20,000		20,095
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		12,000		12,185
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047		22,000		20,845
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		28,000		30,100
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022		10,000		12,189

124

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026	$	55,000	$	51,925
Comcast Corp. Company Guar. Notes 4.00% due 11/01/2049		27,000		24,028
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035		10,000		12,067
Cox Communications, Inc. Senior Notes 3.50% due 08/15/2027*		25,000		23,486
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		51,000		49,852
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021		9,000		9,484
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		25,000		22,406
				385,402
Casino Hotels — 0.1%
Boyd Gaming Corp. Company Guar. Notes 6.00% due 08/15/2026		5,000		5,037
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026		5,000		5,144
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023		10,000		10,505
Jack Ohio Finance LLC/ Jack Ohio Finance 1 Corp. Senior Sec. Notes 6.75% due 11/15/2021*		20,000		20,700
Jack Ohio Finance LLC/ Jack Ohio Finance 1 Corp. Sec. Notes 10.25% due 11/15/2022*		25,000		27,505
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021		15,000		15,900
MGM Resorts International Company Guar. Notes 6.75% due 10/01/2020		20,000		21,025
MGM Resorts International Company Guar. Notes 8.63% due 02/01/2019		15,000		15,225
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025*		10,000		9,447
Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp. Company Guar. Notes 5.25% due 05/15/2027*		25,000		23,219
				153,707

Security Description	Principal Amount(18)		Value (Note 2)
Casino Services — 0.0%
Eldorado Resorts, Inc. Company Guar. Notes 7.00% due 08/01/2023	$	5,000	$	5,262
Rivers Pittsburgh Borrower LP/ Rivers Pittsburgh Finance Corp. Senior Sec. Notes 6.13% due 08/15/2021*		20,000		19,950
				25,212
Cellular Telecom — 0.1%
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020		6,000		6,270
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		8,000		8,050
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		15,000		15,562
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		16,000		16,920
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		43,000		46,386
T-Mobile USA, Inc. Company Guar. Notes 4.00% due 04/15/2022		5,000		4,978
T-Mobile USA, Inc. Company Guar. Notes 4.50% due 02/01/2026		5,000		4,772
T-Mobile USA, Inc. Company Guar. Notes 4.75% due 02/01/2028		10,000		9,413
T-Mobile USA, Inc. Company Guar. Notes 5.38% due 04/15/2027		20,000		19,925
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023		5,000		5,140
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025		25,000		26,045
				163,461
Chemicals-Diversified — 0.0%
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022		19,000		19,361
Westlake Chemical Corp. Company Guar. Notes 3.60% due 08/15/2026		31,000		29,154
Westlake Chemical Corp. Company Guar. Notes 4.38% due 11/15/2047		14,000		12,437
				60,952

125

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Chemicals-Specialty — 0.1%
Chemours Co. Company Guar. Notes 5.38% due 05/15/2027	$	10,000	$	9,643
Chemours Co. Company Guar. Notes 6.63% due 05/15/2023		5,000		5,223
Chemours Co. Company Guar. Notes 7.00% due 05/15/2025		10,000		10,605
Cornerstone Chemical Co. Senior Sec. Notes 6.75% due 08/15/2024*		10,000		10,015
GCP Applied Technologies, Inc. Company Guar. Notes 5.50% due 04/15/2026*		35,000		34,431
Huntsman International LLC Company Guar. Notes 4.88% due 11/15/2020		14,000		14,245
Ingevity Corp. Senior Notes 4.50% due 02/01/2026*		20,000		19,069
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028		15,000		15,133
Kraton Polymers LLC/ Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025*		10,000		10,275
PQ Corp. Company Guar. Notes 5.75% due 12/15/2025*		15,000		14,888
Tronox, Inc. Company Guar. Notes 6.50% due 04/15/2026*		10,000		9,625
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*		10,000		10,525
				163,677
Circuit Boards — 0.0%
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025*		20,000		20,050
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027		35,000		33,307
Commercial Services — 0.1%
Ecolab, Inc. Senior Notes 3.25% due 12/01/2027		50,000		47,894
Nielsen Finance LLC/ Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022*		25,000		24,375

Security Description	Principal Amount(18)		Value (Note 2)
Commercial Services (continued)
TMS International Corp. Senior Notes 7.25% due 08/15/2025*	$	15,000	$	15,113
				87,382
Commercial Services-Finance — 0.0%
IHS Markit, Ltd. Senior Notes 4.75% due 08/01/2028		10,000		10,033
Refinitiv US Holdings, Inc. Senior Sec. Notes 6.25% due 05/15/2026*(3)		15,000		15,056
				25,089
Computer Services — 0.0%
Banff Merger Sub, Inc. Senior Notes 9.75% due 09/01/2026*(3)		25,000		25,362
Computer Software — 0.0%
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024*		30,000		29,178
Computers — 0.1%
Apple, Inc. Senior Notes 4.38% due 05/13/2045		28,000		29,113
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 5.45% due 06/15/2023*		55,000		57,840
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 5.88% due 06/15/2021*		5,000		5,150
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 7.13% due 06/15/2024*		35,000		37,544
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046*		8,000		9,958
				139,605
Computers-Memory Devices — 0.0%
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026		50,000		48,354
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 5.13% due 04/01/2025*		5,000		5,035
Consumer Products-Misc. — 0.0%
Spectrum Brands, Inc. Company Guar. Notes 5.75% due 07/15/2025		10,000		10,100

126

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Consumer Products-Misc. (continued)
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024	$	5,000	$	5,100
				15,200
Containers-Metal/Glass — 0.0%
BWAY Holding Co. Senior Sec. Notes 5.50% due 04/15/2024*		15,000		14,756
BWAY Holding Co. Senior Notes 7.25% due 04/15/2025*		35,000		34,122
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		10,000		10,875
				59,753
Containers-Paper/Plastic — 0.1%
Berry Global, Inc. Sec. Notes 4.50% due 02/15/2026*		5,000		4,750
Berry Global, Inc. Sec. Notes 5.13% due 07/15/2023		15,000		15,075
Berry Global, Inc. Sec. Notes 5.50% due 05/15/2022		6,000		6,098
Crown Americas LLC/Crown Americas Capital Corp. VI Company Guar. Notes 4.75% due 02/01/2026*		5,000		4,775
Flex Acquisition Co, Inc. Senior Notes 6.88% due 01/15/2025*		10,000		9,550
Flex Acquisition Co., Inc. Senior Notes 7.88% due 07/15/2026*(3)		10,000		9,875
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031		1,000		1,291
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030		20,000		25,972
				77,386
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		25,000		25,049
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		10,000		10,153
First Data Corp. Sec. Notes 5.75% due 01/15/2024*		25,000		25,406
First Data Corp. Company Guar. Notes 7.00% due 12/01/2023*		15,000		15,619

Security Description	Principal Amount(18)		Value (Note 2)
Data Processing/Management (continued)
Fiserv, Inc. Senior Notes 4.20% due 10/01/2028	$	65,000	$	65,136
				141,363
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc. Senior Notes 6.63% due 05/15/2022*		17,000		16,609
Disposable Medical Products — 0.0%
Sotera Health Holdings LLC Senior Notes 6.50% due 05/15/2023*		10,000		10,300
Distribution/Wholesale — 0.0%
American Builders & Contractors Supply Co., Inc. Senior Notes 5.75% due 12/15/2023*		5,000		5,106
American Builders & Contractors Supply Co., Inc. Company Guar. Notes 5.88% due 05/15/2026*		5,000		5,013
Univar USA, Inc. Company Guar. Notes 6.75% due 07/15/2023*		10,000		10,362
				20,481
Diversified Banking Institutions — 0.2%
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028		10,000		9,522
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		105,000		103,787
Goldman Sachs Group, Inc. Senior Notes 3.85% due 01/26/2027		60,000		58,211
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029		75,000		73,902
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		9,000		10,826
JPMorgan Chase & Co. Senior Notes 3.96% due 11/15/2048		85,000		77,640
				333,888
Diversified Financial Services — 0.0%
CNG Holdings, Inc. Senior Sec. Notes 9.38% due 05/15/2020*		15,000		14,700
E-Commerce/Products — 0.0%
Amazon.com, Inc. Senior Notes 3.15% due 08/22/2027		30,000		28,745

127

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
E-Commerce/Products (continued)
Amazon.com, Inc. Senior Notes 4.05% due 08/22/2047	$	30,000	$	29,552
				58,297
E-Commerce/Services — 0.0%
Match Group, Inc. Senior Notes 5.00% due 12/15/2027*		10,000		9,951
Educational Software — 0.0%
Ascend Learning LLC Senior Notes 6.88% due 08/01/2025*		15,000		15,150
Electric-Distribution — 0.0%
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033		25,000		29,028
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 3.55% due 06/15/2026		13,000		12,244
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026*(3)		15,000		15,169
				27,413
Electric-Integrated — 0.2%
AES Corp. Senior Notes 4.50% due 03/15/2023		5,000		5,013
AES Corp. Senior Notes 4.88% due 05/15/2023		6,000		6,052
AES Corp. Senior Notes 5.13% due 09/01/2027		20,000		20,200
AES Corp. Senior Notes 5.50% due 04/15/2025		30,000		30,750
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035		20,000		23,039
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		25,000		30,264
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037		5,000		6,176
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		10,000		9,794
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027		4,000		3,891

Security Description	Principal Amount(18)		Value (Note 2)
Electric-Integrated (continued)
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047	$	6,000	$	6,104
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*		35,000		38,206
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		10,000		9,699
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037		15,000		18,910
Texas Competitive Electric Holdings Co. LLC/ TCEH Finance, Inc. Escrow Notes 11.50% due 10/01/2020†(3)		11,000		39
Texas-New Mexico Power Co. 1st Mtg. Notes 9.50% due 04/01/2019*		25,000		25,798
				233,935
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022		20,000		20,435
Electronic Components-Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027		46,000		43,306
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023*(3)		40,000		39,752
Qorvo, Inc. Company Guar. Notes 5.50% due 07/15/2026*(3)		5,000		5,087
				88,145
Electronic Measurement Instruments — 0.0%
Itron, Inc. Company Guar. Notes 5.00% due 01/15/2026*		20,000		19,200
Engines-Internal Combustion — 0.0%
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020		30,000		31,725
Enterprise Software/Service — 0.1%
Infor Software Parent LLC/ Infor Software Parent, Inc. Senior Notes 7.13% due 05/01/2021*(10)		25,000		25,219
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020*		7,000		7,096
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022		20,000		20,271

128

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Enterprise Software/Service (continued)
Oracle Corp. Senior Notes 2.65% due 07/15/2026	$	17,000	$	15,778
Oracle Corp. Senior Notes 3.25% due 11/15/2027		13,000		12,509
				80,873
Finance-Auto Loans — 0.1%
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		30,000		30,975
Ally Financial, Inc. Sub. Notes 8.00% due 12/31/2018		14,000		14,140
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020		14,000		14,840
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031		36,000		43,605
Credit Acceptance Corp. Company Guar. Notes 6.13% due 02/15/2021		6,000		6,052
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023		5,000		5,238
				114,850
Finance-Commercial — 0.0%
ASP AMC Merger Sub, Inc. Senior Notes 8.00% due 05/15/2025*		15,000		11,400
Finance-Consumer Loans — 0.0%
TMX Finance LLC/ TitleMax Finance Corp. Senior Sec. Notes 11.13% due 04/01/2023*		10,000		10,000
Finance-Credit Card — 0.0%
Alliance Data Systems Corp. Company Guar. Notes 5.38% due 08/01/2022*		15,000		15,113
Finance-Investment Banker/Broker — 0.0%
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022*		24,000		25,420
Lions Gate Capital Holdings LLC Company Guar. Notes 5.88% due 11/01/2024*		15,000		15,375
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025*		20,000		19,525
				60,320

Security Description	Principal Amount(18)		Value (Note 2)
Finance-Leasing Companies — 0.1%
Air Lease Corp. Senior Notes 3.63% due 04/01/2027	$	15,000	$	13,852
Air Lease Corp. Senior Notes 4.63% due 10/01/2028		50,000		49,277
				63,129
Finance-Mortgage Loan/Banker — 0.0%
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 8.13% due 07/15/2023*(3)		10,000		10,473
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 9.13% due 07/15/2026*(3)		5,000		5,237
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 07/01/2021		25,000		25,030
				40,740
Finance-Other Services — 0.0%
BGC Partners, Inc. Senior Notes 5.13% due 05/27/2021		5,000		5,125
Tempo Acquisition LLC/ Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025*		15,000		14,587
Werner FinCo LP/Werner FinCo, Inc, Company Guar. Notes 8.75% due 07/15/2025*		20,000		19,300
				39,012
Food-Dairy Products — 0.0%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		15,000		14,115
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		60,000		52,992
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 11/01/2026*		48,000		47,040
				100,032
Food-Retail — 0.0%
Fresh Market, Inc. Senior Sec. Notes 9.75% due 05/01/2023*		10,000		7,450
Footwear & Related Apparel — 0.0%
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026*		10,000		9,813

129

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Funeral Services & Related Items — 0.1%
Carriage Services, Inc. Company Guar. Notes 6.63% due 06/01/2026*	$	10,000	$	10,225
Service Corp. International Senior Notes 4.63% due 12/15/2027		15,000		14,397
Service Corp. International Senior Notes 5.38% due 01/15/2022		14,000		14,175
Service Corp. International Senior Notes 5.38% due 05/15/2024		24,000		24,395
				63,192
Gambling (Non-Hotel) — 0.1%
Caesars Resort Collection LLC/CRC Finco, Inc. Company Guar. Notes 5.25% due 10/15/2025*		20,000		19,050
Jacobs Entertainment, Inc. Sec. Notes 7.88% due 02/01/2024*		5,000		5,307
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		40,000		42,350
				66,707
Golf — 0.0%
Constellation Merger Sub, Inc. Senior Notes 8.50% due 09/15/2025*		30,000		28,425
Home Decoration Products — 0.0%
Newell Brands, Inc.. Senior Notes 4.20% due 04/01/2026		30,000		28,533
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Sec. Notes 12.50% due 11/01/2021*		5,000		5,502
Hotels/Motels — 0.1%
Diamond Resorts International, Inc. Senior Sec. Notes 7.75% due 09/01/2023*		10,000		10,250
Diamond Resorts International, Inc. Senior Notes 10.75% due 09/01/2024*		5,000		4,869
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024		5,000		4,839
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp. Company Guar. Notes 4.88% due 04/01/2027		55,000		54,215
Wyndham Hotels & Resorts, Inc. Company Guar. Notes 5.38% due 04/15/2026*(3)		10,000		9,912

Security Description	Principal Amount(18)		Value (Note 2)
Hotels/Motels (continued)
Wyndham Worldwide Corp. Senior Sec. Notes 5.75% due 04/01/2027	$	5,000	$	4,713
				88,798
Independent Power Producers — 0.1%
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026*		10,000		9,263
Calpine Corp. Senior Notes 5.75% due 01/15/2025		20,000		17,700
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,023
GenOn Energy, Inc. Senior Notes 9.88% due 10/15/2020†(9)(10)		20,000		13,500
NRG Energy, Inc. Company Guar. Notes 5.75% due 01/15/2028*		10,000		10,100
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027		15,000		15,750
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026		10,000		10,850
Vistra Energy Corp. Company Guar. Notes 7.63% due 11/01/2024		10,000		10,762
Vistra Energy Corp. Company Guar. Notes 8.13% due 01/30/2026*		10,000		11,012
				101,960
Insurance Brokers — 0.0%
Alliant Holdings Intermediated LLC Senior Notes 8.25% due 08/01/2023*		10,000		10,350
HUB International, Ltd. Senior Notes 7.00% due 05/01/2026*		20,000		20,026
USIS Merger Sub, Inc. Senior Notes 6.88% due 05/01/2025*		10,000		9,975
				40,351
Insurance-Life/Health — 0.1%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		25,000		25,562
OneAmerica Financial Partners, Inc. Senior Notes 7.00% due 10/15/2033*		20,000		23,847
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039*		15,000		19,686
				69,095

130

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Multi-line — 0.0%
Hartford Financial Services Group, Inc. Senior Notes 6.63% due 03/30/2040	$	25,000	$	30,792
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		45,000		69,108
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		25,000		25,268
Internet Content-Entertainment — 0.0%
Netflix, Inc. Senior Notes 4.88% due 04/15/2028*		10,000		9,400
Netflix, Inc. Senior Notes 5.88% due 11/15/2028*		10,000		9,963
				19,363
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Senior Notes 4.60% due 05/15/2028		35,000		34,620
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		15,000		15,450
				50,070
Machinery-Electrical — 0.0%
Cortes NP Acquisition Corp.. Senior Notes 9.25% due 10/15/2024*		10,000		10,400
Vertiv Intermediate Holding Corp. Senior Notes 12.00% due 02/15/2022*(3)(11)		5,000		5,113
				15,513
Machinery-General Industrial — 0.0%
RBS Global, Inc./Rexnord LLC Company Guar. Notes 4.88% due 12/15/2025*		15,000		14,287
Stevens Holding Co, Inc. Company Guar. Notes 6.13% due 10/01/2026*(3)		15,000		15,244
Tennant Co. Company Guar. Notes 5.63% due 05/01/2025		10,000		10,125
				39,656
Marine Services — 0.0%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022		20,000		20,550

Security Description	Principal Amount(18)		Value (Note 2)
Medical Products — 0.1%
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027	$	31,000	$	29,643
Becton Dickinson and Co. Senior Notes 4.67% due 06/06/2047		36,000		35,607
				65,250
Medical-Biomedical/Gene — 0.0%
Amgen, Inc. Senior Notes 2.60% due 08/19/2026		12,000		10,863
Amgen, Inc. Senior Notes 4.66% due 06/15/2051		23,000		22,754
				33,617
Medical-Drugs — 0.1%
AbbVie, Inc. Senior Notes 3.60% due 05/14/2025		4,000		3,871
Bausch Health Cos., Inc. Company Guar. Notes 8.50% due 01/31/2027*		10,000		10,500
Bausch Health Cos., Inc. Company Guar. Notes 9.25% due 04/01/2026*		10,000		10,788
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023*		25,000		22,000
Zoetis, Inc. Senior Notes 3.90% due 08/20/2028		35,000		34,640
				81,799
Medical-HMO — 0.1%
Centene Corp. Senior Notes 4.75% due 05/15/2022		15,000		15,169
Centene Corp. Senior Notes 5.38% due 06/01/2026*		5,000		5,119
Centene Corp. Senior Notes 6.13% due 02/15/2024		15,000		15,750
Halfmoon Parent, Inc. Senior Sec. Notes 3.75% due 07/15/2023*(3)		98,000		97,700
Molina Healthcare, Inc. Company Guar. Notes 4.88% due 06/15/2025*		5,000		4,913
Molina Healthcare, Inc. Company Guar. Notes 5.38% due 11/15/2022		10,000		10,162
UnitedHealth Group, Inc. Senior Notes 3.85% due 06/15/2028		65,000		65,160
WellCare Health Plans, Inc. Senior Notes 5.25% due 04/01/2025		5,000		5,081

131

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-HMO (continued)
WellCare Health Plans, Inc. Senior Notes 5.38% due 08/15/2026*(3)	$	5,000	$	5,088
				224,142
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		35,000		33,239
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022		25,000		14,008
CHS/Community Health Systems, Inc. Sec. Notes 8.13% due 06/30/2024*(3)		22,000		18,290
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024		5,000		5,125
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		30,000		30,862
HCA, Inc. Senior Sec. Notes 5.50% due 06/15/2047		30,000		30,413
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		24,000		24,972
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022		3,000		3,285
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		14,000		14,460
Tenet Healthcare Corp. Senior Notes 8.13% due 04/01/2022		5,000		5,269
				179,923
Medical-Outpatient/Home Medical — 0.0%
Air Medical Group Holdings, Inc. Senior Notes 6.38% due 05/15/2023*		35,000		31,412
Metal Processors & Fabrication — 0.0%
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026*		25,000		24,425
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024*		10,000		10,238
Park-Ohio Industries, Inc. Company Guar. Notes 6.63% due 04/15/2027		10,000		10,250
Zekelman Industries, Inc. Senior Sec. Notes 9.88% due 06/15/2023*		10,000		10,862
				55,775

Security Description	Principal Amount(18)		Value (Note 2)
Metal-Copper — 0.0%
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043	$	5,000	$	4,550
Freeport-McMoRan, Inc. Company Guar. Notes 6.88% due 02/15/2023		15,000		15,975
				20,525
Metal-Diversified — 0.0%
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025*		16,000		15,367
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024*		34,000		34,209
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 11.00% due 05/15/2022*		10,000		10,875
				60,451
Multimedia — 0.0%
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 01/20/2024		20,000		23,654
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 12/01/2045		10,000		15,314
				38,968
Music — 0.0%
WMG Acquisition Corp. Senior Sec. Notes 5.00% due 08/01/2023*		10,000		10,000
WMG Acquisition Corp. Company Guar. Notes 5.50% due 04/15/2026*		5,000		4,963
				14,963
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc. Senior Notes 3.95% due 05/15/2028		45,000		44,724
Wrangler Buyer Corp. Senior Notes 6.00% due 10/01/2025*		20,000		19,200
				63,924
Oil & Gas Drilling — 0.0%
Nabors Industries, Inc. Company Guar. Notes 5.75% due 02/01/2025		15,000		14,380
Oil Companies-Exploration & Production — 0.4%
Alta Mesa Holdings LP/ Alta Mesa Finance Services Corp. Company Guar. Notes 7.88% due 12/15/2024		30,000		28,500
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022		6,000		6,093

132

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021	$	11,000	$	11,141
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		5,000		5,119
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 7.00% due 11/01/2026*(3)		5,000		4,981
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 10.00% due 04/01/2022*		10,000		11,250
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020		10,000		9,550
California Resources Corp. Sec. Notes 8.00% due 12/15/2022*		9,000		8,595
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 01/15/2025		40,000		41,250
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 06/15/2027		5,000		5,100
Comstock Escrow Corp. Senior Notes 9.75% due 08/15/2026*(3)		15,000		14,967
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027		43,000		41,043
Continental Resources, Inc. Company Guar. Notes 3.80% due 06/01/2024		10,000		9,807
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		10,000		10,176
Continental Resources, Inc. Company Guar. Notes 4.90% due 06/01/2044		20,000		19,749
Covey Park Energy LLC/ Covey Park Finance Corp. Company Guar. Notes 7.50% due 05/15/2025*		20,000		20,275
CrownRock LP/CrownRock Finance, Inc. Senior Notes 5.63% due 10/15/2025*		10,000		9,750
Denbury Resources, Inc. Company Guar. Notes 6.38% due 08/15/2021		10,000		9,750
Denbury Resources, Inc. Sec. Notes 7.50% due 02/15/2024*(3)		10,000		10,300
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021*		12,000		12,975

Security Description	Principal Amount(18)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Diamondback Energy, Inc. Company Guar. Notes 4.75% due 11/01/2024	$	5,000	$	5,006
Diamondback Energy, Inc. Company Guar. Notes 5.38% due 05/31/2025		25,000		25,500
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.50% due 01/30/2026*		5,000		5,000
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.75% due 01/30/2028*		20,000		20,000
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 7.75% due 05/15/2026*		10,000		10,237
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 8.00% due 11/29/2024*		10,000		10,075
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Bonds 8.00% due 02/15/2025*		5,000		3,825
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 9.38% due 05/01/2020		5,000		4,963
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Notes 9.38% due 05/01/2024*(3)		13,000		10,725
EQT Corp. Senior Notes 3.90% due 10/01/2027		30,000		28,110
Hess Infrastructure Partners LP/ Hess Infrastructure Partners Finance Corp. Senior Notes 5.63% due 02/15/2026*		25,000		25,250
Indigo Natural Resources LLC Senior Notes 6.88% due 02/15/2026*		20,000		19,350
Jagged Peak Energy LLC Company Guar. Notes 5.88% due 05/01/2026*		15,000		14,925
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		15,000		15,544
Newfield Exploration Co. Senior Notes 5.75% due 01/30/2022		15,000		15,694
Oasis Petroleum, Inc. Company Guar. Notes 6.25% due 05/01/2026*		10,000		10,175
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022		15,000		15,262

133

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023	$	5,000	$	5,088
Range Resources Corp. Company Guar. Notes 5.75% due 06/01/2021		15,000		15,431
SM Energy Co. Senior Notes 5.00% due 01/15/2024		10,000		9,737
SM Energy Co. Senior Notes 6.13% due 11/15/2022		4,000		4,120
SM Energy Co. Senior Notes 6.63% due 01/15/2027		5,000		5,169
SM Energy Co. Senior Notes 6.75% due 09/15/2026		5,000		5,194
Whiting Petroleum Corp. Senior Notes 6.63% due 01/15/2026		15,000		15,600
WPX Energy, Inc. Senior Notes 5.75% due 06/01/2026		10,000		10,125
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		4,000		4,145
WPX Energy, Inc. Senior Notes 8.25% due 08/01/2023		10,000		11,350
				615,971
Oil-Field Services — 0.1%
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026*		20,000		20,549
Chesapeake Oilfield Escrow Notes 6.63% due 11/15/2019†(2)(3)		20,000		2
SESI LLC Company Guar. Notes 7.13% due 12/15/2021		5,000		5,070
SESI LLC Company Guar. Notes 7.75% due 09/15/2024		20,000		20,400
Seventy Seven Energy, Inc. Escrow Notes 6.50% due 07/15/2022†(2)(3)		5,000		1
USA Compression Partners LP/ USA Compression Finance Corp. Senior Notes 6.88% due 04/01/2026*		10,000		10,325
Weatherford International LLC Company Guar. Notes 9.88% due 03/01/2025*		5,000		4,825
				61,172

Security Description	Principal Amount(18)		Value (Note 2)
Paper & Related Products — 0.0%
Georgia-Pacific LLC Senior Notes 7.75% due 11/15/2029	$	10,000	$	13,145
International Paper Co. Senior Notes 8.70% due 06/15/2038		5,000		6,917
Mercer International, Inc. Senior Notes 5.50% due 01/15/2026		5,000		4,900
Mercer International, Inc. Senior Notes 6.50% due 02/01/2024		10,000		10,226
Mercer International, Inc. Senior Notes 7.75% due 12/01/2022		4,000		4,180
				39,368
Pharmacy Services — 0.1%
BioScrip, Inc. Company Guar. Notes 8.88% due 02/15/2021		15,000		14,212
CVS Health Corp. Senior Notes 4.75% due 12/01/2022		2,000		2,072
CVS Health Corp. Senior Notes 4.78% due 03/25/2038		19,000		18,909
CVS Health Corp. Senior Notes 5.05% due 03/25/2048		6,000		6,137
CVS Pass-Through Trust Pass-Through Certs. 7.51% due 01/10/2032*		62,307		72,383
				113,713
Pipelines — 0.3%
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027		40,000		40,150
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025		25,000		26,281
DCP Midstream Operating LP Company Guar. Notes 5.38% due 07/15/2025		5,000		5,094
DCP Midstream Operating LP Company Guar. Notes 6.75% due 09/15/2037*(3)		10,000		10,700
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032		30,000		37,874
Energy Transfer Equity LP Senior Sec. Notes 5.50% due 06/01/2027		5,000		5,189
Energy Transfer Equity LP Senior Sec. Notes 5.88% due 01/15/2024		57,000		59,993

134

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Energy Transfer LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023	$	9,000	$	9,122
Energy Transfer Partners LP Company Guar. Notes 5.20% due 02/01/2022		15,000		15,575
Energy Transfer Partners LP Company Guar. Notes 6.50% due 02/01/2042		6,000		6,589
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048		15,000		14,120
Holly Energy Partners LP/ Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024*		20,000		20,450
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044		4,000		4,106
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032		24,000		30,326
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		35,000		33,953
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027		35,000		35,952
Tallgrass Energy Partners LP/ Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 01/15/2028*		10,000		10,088
Targa Resources Partners LP/ Targa Resources Partners Finance Corp. Company Guar. Notes 5.00% due 01/15/2028*		50,000		48,625
Williams Cos., Inc. Senior Notes 3.60% due 03/15/2022		5,000		4,968
Williams Cos., Inc. Senior Notes 4.30% due 03/04/2024		51,000		51,452
Williams Cos., Inc. Senior Notes 7.75% due 06/15/2031		10,000		12,050
Williams Cos., Inc. Senior Notes 8.75% due 03/15/2032		5,000		6,662
				489,319
Private Equity — 0.0%
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,175

Security Description	Principal Amount(18)		Value (Note 2)
Private Equity (continued)
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020	$	11,000	$	11,200
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 02/01/2022		5,000		5,125
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 6.75% due 02/01/2024		10,000		10,237
				40,737
Publishing-Periodicals — 0.0%
Meredith Corp. Company Guar. Notes 6.88% due 02/01/2026*		20,000		20,500
Quarrying — 0.0%
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024*		20,000		18,525
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.25% due 06/01/2025		10,000		10,162
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		10,000		10,155
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027*		10,000		9,647
				29,964
Radio — 0.1%
CBS Radio, Inc. Company Guar. Notes 7.25% due 11/01/2024*		25,000		24,024
Sirius XM Radio, Inc. Company Guar. Notes 5.00% due 08/01/2027*		60,000		57,733
Sirius XM Radio, Inc. Company Guar. Notes 6.00% due 07/15/2024*		9,000		9,326
Townsquare Media, Inc. Company Guar. Notes 6.50% due 04/01/2023*		5,000		4,625
				95,708
Real Estate Investment Trusts — 0.2%
American Tower Corp. Senior Notes 3.38% due 10/15/2026		25,000		23,284
American Tower Corp. Senior Notes 3.55% due 07/15/2027		20,000		18,689
Crown Castle International Corp. Senior Notes 3.65% due 09/01/2027		26,000		24,428

135

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Crown Castle International Corp. Senior Bonds 3.80% due 02/15/2028	$	20,000	$	18,967
Crown Castle International Corp. Senior Notes 4.75% due 05/15/2047		5,000		4,740
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022		11,000		11,350
Digital Realty Trust LP Company Guar. Notes 4.45% due 07/15/2028		50,000		49,959
Equinix, Inc. Senior Notes 5.38% due 05/15/2027		10,000		10,000
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		20,000		19,350
Hospitality Properties Trust Senior Notes 4.38% due 02/15/2030		18,000		16,505
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025		10,000		9,738
Iron Mountain US Holdings, Inc. Company Guar. Notes 5.38% due 06/01/2026*(3)		10,000		9,400
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027*		15,000		13,762
Iron Mountain, Inc. Company Guar. Notes 5.25% due 03/15/2028*(3)		5,000		4,638
iStar, Inc. Senior Notes 5.25% due 09/15/2022		5,000		4,925
iStar, Inc. Senior Notes 6.00% due 04/01/2022		5,000		5,037
MGM Growth Properties Operating Partnership LP/ MGP Finance Co-Issuer, Inc. Company Guar. Notes 4.50% due 01/15/2028		5,000		4,576
MGM Growth Properties Operating Partnership LP/ MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.63% due 05/01/2024		5,000		5,125
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027		10,000		9,571
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025		15,000		14,364
VEREIT Operating Partnership LP Company Guar. Notes 4.60% due 02/06/2024		25,000		25,083

Security Description	Principal Amount(18)		Value (Note 2)
Real Estate Investment Trusts (continued)
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032	$	20,000	$	25,295
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024		35,000		35,295
				364,081
Real Estate Management/Services — 0.0%
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026		17,000		17,336
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025		13,000		13,509
				30,845
Real Estate Operations & Development — 0.0%
Howard Hughes Corp. Senior Notes 5.38% due 03/15/2025*		25,000		24,750
WeWork Cos., Inc. Company Guar. Notes 7.88% due 05/01/2025*		20,000		19,383
				44,133
Rental Auto/Equipment — 0.0%
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024*		15,000		14,884
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042*		39,000		42,637
				57,521
Research & Development — 0.0%
Jaguar Holding Co. II/ Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023*		10,000		10,075
Resorts/Theme Parks — 0.0%
Boyne USA, Inc. Sec. Notes 7.25% due 05/01/2025*		5,000		5,287
Six Flags Entertainment Corp. Company Guar. Notes 4.88% due 07/31/2024*		20,000		19,500
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027*		20,000		19,800
				44,587
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		3,000		3,077
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024		10,000		9,800

136

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Automobile (continued)
Penske Automotive Group, Inc. Company Guar. Notes 5.50% due 05/15/2026	$	15,000	$	14,583
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022		14,000		14,263
				41,723
Retail-Building Products — 0.0%
Beacon Roofing Supply, Inc. Company Guar. Notes 4.88% due 11/01/2025*		10,000		9,212
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023		10,000		10,350
				19,562
Retail-Discount — 0.0%
Dollar General Corp. Senior Notes 3.25% due 04/15/2023		10,000		9,763
Retail-Drug Store — 0.0%
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023*		20,000		17,925
Walgreens Boots Alliance, Inc. Senior Notes 3.45% due 06/01/2026		20,000		18,979
				36,904
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024		15,000		14,845
Retail-Major Department Stores — 0.0%
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.00% due 10/15/2021*		10,000		6,569
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.75% due 10/15/2021*(12)		5,485		3,616
				10,185
Retail-Pet Food & Supplies — 0.0%
PetSmart, Inc. Company Guar. Notes 7.13% due 03/15/2023*		5,000		3,594
Retail-Regional Department Stores — 0.0%
Neiman-Marcus Group LLC Senior Sec. Notes 7.13% due 06/01/2028		5,000		4,075
Retail-Restaurants — 0.1%
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022		20,000		18,100
Golden Nugget, Inc. Senior Notes 6.75% due 10/15/2024*		20,000		20,288

Security Description	Principal Amount(18)		Value (Note 2)
Retail-Restaurants (continued)
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025*	$	15,000	$	15,724
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027*		10,000		9,613
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.00% due 06/01/2024*		10,000		9,919
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		10,000		9,962
				83,606
Rubber/Plastic Products — 0.0%
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022*		14,000		14,088
Software Tools — 0.0%
VMware, Inc. Senior Notes 3.90% due 08/21/2027		15,000		14,191
Specified Purpose Acquisitions — 0.0%
Trident Merger Sub, Inc. Senior Notes 6.63% due 11/01/2025*		10,000		9,475
Steel-Producers — 0.0%
Big River Steel LLC/BRS Finance Corp. Senior Sec. Notes 7.25% due 09/01/2025*		15,000		15,844
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025		5,000		4,762
Steel Dynamics, Inc. Company Guar. Notes 5.00% due 12/15/2026		5,000		4,975
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		15,315
				40,896
Steel-Specialty — 0.0%
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021		10,000		10,163
Allegheny Technologies, Inc. Senior Notes 7.88% due 08/15/2023		5,000		5,350
				15,513

137

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telecommunication Equipment — 0.0%
Aveta, Inc. Escrow Notes 7.00% due 04/01/2019†(2)(3)	$	31,000	$	0
CommScope Technologies LLC Company Guar. Notes 5.00% due 03/15/2027*		15,000		14,437
CommScope Technologies LLC Company Guar. Notes 6.00% due 06/15/2025*		25,000		25,750
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		20,000		19,900
				60,087
Telephone-Integrated — 0.1%
AT&T, Inc. Senior Notes 4.10% due 02/15/2028*(3)		50,000		48,541
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		5,000		4,568
Frontier Communications Corp. Sec. Notes 8.50% due 04/01/2026*		15,000		14,175
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022		10,000		8,900
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025		5,000		3,899
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028		25,000		25,125
Verizon Communications, Inc. Senior Notes 4.13% due 03/16/2027		5,000		5,023
Windstream Services LLC/ Windstream Finance Corp. Sec. Notes 9.00% due 06/30/2025*(3)		11,000		8,497
				118,728
Television — 0.1%
CBS Corp. Company Guar. Notes 2.90% due 01/15/2027		18,000		16,105
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026		6,000		5,881
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045		21,000		19,837
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026*		5,000		4,956
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024*		30,000		29,362

Security Description	Principal Amount(18)		Value (Note 2)
Television (continued)
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022	$	10,000	$	10,175
				86,316
Theaters — 0.1%
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.75% due 06/15/2025		10,000		9,575
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.88% due 02/15/2022		6,000		6,045
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.88% due 11/15/2026		10,000		9,575
AMC Entertainment Holdings, Inc. Company Guar. Notes 6.13% due 05/15/2027		5,000		4,788
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023		18,000		17,707
Live Nation Entertainment, Inc. Company Guar. Notes 4.88% due 11/01/2024*		5,000		4,900
Live Nation Entertainment, Inc. Company Guar. Notes 5.63% due 03/15/2026*		20,000		20,200
				72,790
Transactional Software — 0.0%
Solera LLC Senior Notes 10.50% due 03/01/2024*		35,000		38,237
Transport-Rail — 0.0%
Watco Cos. LLC/ Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023*		19,000		19,380
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		15,000		15,093
Trucking/Leasing — 0.0%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.40% due 11/15/2026*		16,000		14,893
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc. Senior Notes 4.90% due 08/28/2028*(3)		38,000		38,581
Web Portals/ISP — 0.0%
Alphabet Inc Senior Notes 2.00% due 08/15/2026		35,000		31,541
Total U.S. Corporate Bonds & Notes (cost $8,953,276)				8,942,615

138

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES — 0.6%
Aerospace/Defense — 0.0%
Bombardier, Inc. Senior Notes 7.50% due 12/01/2024*	$	25,000	$	26,375
Bombardier, Inc. Senior Notes 8.75% due 12/01/2021*		5,000		5,516
				31,891
Banks-Commercial — 0.0%
Bank of Montreal Sub. Notes 3.80% due 12/15/2032		10,000		9,343
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019*		10,000		10,206
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026		10,000		10,228
Toronto-Dominion Bank Sub. Notes 3.63% due 09/15/2031		19,000		17,857
				47,634
Building Products-Air & Heating — 0.0%
Johnson Controls International PLC Senior Notes 4.50% due 02/15/2047		35,000		33,571
Building-Residential/Commercial — 0.0%
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022*		6,000		6,000
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025*		10,000		9,700
Mattamy Group Corp. Senior Notes 6.88% due 12/15/2023*		5,000		5,050
				20,750
Cable/Satellite TV — 0.0%
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		1,000		1,029
Videotron, Ltd. Senior Notes 5.13% due 04/15/2027*		30,000		29,400
				30,429
Cellular Telecom — 0.0%
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028		35,000		34,483
Chemicals-Diversified — 0.0%
NOVA Chemicals Corp. Senior Notes 5.25% due 06/01/2027*		12,000		11,175

Security Description	Principal Amount(18)		Value (Note 2)
Chemicals-Diversified (continued)
Trinseo Materials Operating SCA/ Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025*	$	15,000	$	14,461
				25,636
Chemicals-Specialty — 0.0%
Tronox Finance PLC Company Guar. Notes 5.75% due 10/01/2025*		5,000		4,625
Commercial Services — 0.0%
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.00% due 02/01/2025*		10,000		9,800
Commercial Services-Finance — 0.1%
IHS Markit, Ltd. Company Guar. Notes 4.00% due 03/01/2026*		15,000		14,353
IHS Markit, Ltd. Company Guar. Notes 4.75% due 02/15/2025*		60,000		60,872
				75,225
Diversified Minerals — 0.0%
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041*		5,000		5,206
Teck Resources, Ltd. Company Guar. Notes 3.75% due 02/01/2023		5,000		4,900
				10,106
Electric-Integrated — 0.0%
Iberdrola International BV Company Guar. Notes  6.75% due 07/15/2036		10,000		12,057
Electronic Components-Misc. — 0.0%
Legrand France SA Senior Notes 8.50% due 02/15/2025		41,000		50,503
Finance-Consumer Loans — 0.0%
goeasy, Ltd. Company Guar. Notes 7.88% due 11/01/2022*		5,000		5,206
Finance-Other Services — 0.0%
Travelport Corporate Finance PLC Senior Sec. Notes 6.00% due 03/15/2026*		15,000		15,235
Gambling (Non-Hotel) — 0.0%
Great Canadian Gaming Corp. Company Guar. Notes 6.63% due 07/25/2022*	CAD	24,000		19,022
Gold Mining — 0.0%
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022*		10,000		8,725

139

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Gold Mining (continued)
New Gold, Inc. Company Guar. Notes 6.38% due 05/15/2025*	$	5,000	$	4,150
				12,875
Hazardous Waste Disposal — 0.0%
GFL Environmental, Inc. Senior Notes 5.38% due 03/01/2023*		5,000		4,700
Hulk Finance Corp. Senior Notes 7.00% due 06/01/2026*		20,000		19,325
				24,025
Insurance-Reinsurance — 0.1%
Fairfax Financial Holdings, Ltd. Senior Notes 4.85% due 04/17/2028*(3)		55,000		54,224
Machinery-General Industrial — 0.0%
ATS Automation Tooling Systems, Inc. Company Guar. Notes 6.50% due 06/15/2023*		5,000		5,175
Machinery-Pumps — 0.0%
Titan Acquisition, Ltd./ Titan Co-Borrower LLC Senior Notes 7.75% due 04/15/2026*		15,000		13,013
Medical Products — 0.0%
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025*		10,000		8,375
Medical-Drugs — 0.1%
Bausch Health Cos., Inc. Senior Sec. Notes 5.50% due 11/01/2025*		5,000		5,000
Bausch Health Cos., Inc. Company Guar. Notes 5.88% due 05/15/2023*		19,000		18,525
Bausch Health Cos., Inc. Company Guar. Notes 6.13% due 04/15/2025*		20,000		19,000
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022*		5,000		5,200
Bausch Health Cos., Inc. Senior Sec. Notes 7.00% due 03/15/2024*		15,000		15,847
Bausch Health Cos., Inc. Company Guar. Notes 9.00% due 12/15/2025*		10,000		10,763
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023		23,000		21,904

Security Description	Principal Amount(18)		Value (Note 2)
Medical-Drugs (continued)
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026	$	28,000	$	25,805
				122,044
Metal-Copper — 0.0%
HudBay Minerals, Inc. Company Guar. Notes 7.63% due 01/15/2025*		10,000		10,325
Oil & Gas Drilling — 0.1%
Ensco PLC Senior Notes 7.75% due 02/01/2026		10,000		9,925
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024		10,000		9,925
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026*		5,000		5,188
Precision Drilling Corp. Company Guar. Notes 7.13% due 01/15/2026*(3)		10,000		10,275
Transocean Pontus, Ltd. Senior Sec. Notes 6.13% due 08/01/2025*(3)		5,000		5,081
Trinidad Drilling, Ltd. Company Guar. Notes 6.63% due 02/15/2025*		20,000		19,800
				60,194
Oil Companies-Exploration & Production — 0.0%
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*		5,000		4,775
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		5,000		4,550
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025*		10,000		9,900
Seven Generations Energy, Ltd. Company Guar. Notes 5.38% due 09/30/2025*		20,000		19,450
Seven Generations Energy, Ltd. Company Guar. Notes 6.75% due 05/01/2023*		5,000		5,150
Vermilion Energy, Inc. Company Guar. Notes 5.63% due 03/15/2025*		5,000		4,969
				48,794
Oil Companies-Integrated — 0.1%
BP Capital Markets PLC Company Guar. Notes 3.12% due 05/04/2026		20,000		19,071
Equinor ASA Company Guar. Notes 5.10% due 08/17/2040		30,000		33,950
				53,021

140

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil-Field Services — 0.0%
Weatherford International, Ltd. Company Guar. Notes 8.25% due 06/15/2023	$	5,000	$	4,725
Weatherford International, Ltd. Company Guar. Notes 9.88% due 02/15/2024		15,000		14,700
				19,425
Paper & Related Products — 0.0%
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025		15,000		17,363
Pipelines — 0.0%
Enbridge, Inc. Senior Notes 4.25% due 12/01/2026		15,000		15,095
Retail-Convenience Store — 0.0%
Alimentation Couche-Tard, Inc. Company Guar. Notes 3.55% due 07/26/2027*		25,000		23,516
Retail-Restaurants — 0.0%
1011778 BC ULC/ New Red Finance, Inc. Senior Sec. Notes 4.25% due 05/15/2024*		10,000		9,475
1011778 BC ULC/ New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022*		5,000		5,006
1011778 BC ULC/ New Red Finance, Inc. Sec. Notes 5.00% due 10/15/2025*		20,000		19,150
				33,631
Satellite Telecom — 0.1%
Intelsat Connect Finance SA Company Guar. Notes 9.50% due 02/15/2023*(3)		35,000		34,825
Intelsat Jackson Holdings SA Company Guar. Notes 9.75% due 07/15/2025*		25,000		26,469
				61,294
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		10,000		10,865
ArcelorMittal Senior Notes 7.00% due 10/15/2039		17,000		19,760
				30,625
Telephone-Integrated — 0.0%
Koninklijke KPN NV Senior Notes 8.38% due 10/01/2030		5,000		6,446

Security Description	Principal Amount(18)		Value (Note 2)
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022	$	25,000	$	25,688
Total Foreign Corporate Bonds & Notes (cost $1,077,734)				1,071,321
LOANS(13)(14)(15) — 0.1%
Auto-Heavy Duty Trucks — 0.1%
Navistar, Inc. FRS BTL-B 5.64% (1 ML+3.50) due 11/06/2024		29,850		29,943
Building & Construction Products-Misc. — 0.0%
AZEK Co. LLC FRS BTL-B 6.25% (6 ML +3.75%) due 09/30/2020		4,699		4,727
Building-Heavy Construction — 0.0%
Brand Industrial Services, Inc. FRS 1st Lien 6.60% (3 ML+4.25) due 06/21/2024		4,962		4,991
Computer Software — 0.0%
Rackspace Hosting, Inc. FRS BTL-B 5.35% (3 ML+3.00) due 11/03/2023		4,975		4,907
Cosmetics & Toiletries — 0.0%
Revlon Consumer Products Corp. FRS BTL-B 5.81% (1 ML+3.50) due 09/07/2023		19,649		14,954
Diagnostic Kits — 0.0%
Ortho-Clinical Diagnostics SA FRS BTL 5.49% (3 ML+3.25) due 06/30/2025		10,000		10,027
Environmental Consulting & Engineering — 0.0%
Robertshaw US Holding Corp. FRS 1st Lien 5.75% (1 ML+3.50) due 02/28/2025		9,950		9,863
Robertshaw US Holding Corp. FRS 2nd Lien 10.25% (1 ML +8.00%) due 02/27/2026(3)		10,000		9,600
				19,463
Machinery-Pumps — 0.0%
Titan Acquisition, Ltd. FRS BTL-B 5.24% (1 ML+3.00) due 03/28/2025		24,938		24,135

141

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
LOANS(13)(14)(15) (continued)
Oil & Gas Drilling — 0.0%
KCA Deutag US Finance LLC FRS BTL-B 9.14% (3 ML +6.75%) due 03/21/2023	$	10,000	$	9,650
Oil Companies-Exploration & Production — 0.0%
California Resources Corp. FRS BTL 6.96% (1 ML +4.75%) due 11/17/2022		20,000		20,400
Oil-Field Services — 0.0%
FTS International, Inc. FRS BTL 7.17% (1 ML +4.75%) due 04/16/2021		3,491		3,495
Retail-Fabric Store — 0.0%
Jo-Ann Stores LLC FRS 2nd Lien 11.43% (3 ML +9.25%) due 05/21/2024(3)		15,000		14,812
Rubber/Plastic Products — 0.0%
Gates Global LLC FRS BTL-B 5.00% (3 ML +2.75%) due 07/06/2021		6,937		6,976
Telecommunication Equipment — 0.0%
Avaya, Inc. FRS BTL-B 6.41% (1 ML +4.25%) due 12/15/2024		19,838		19,990
Total Loans (cost $192,262)				188,470
MUNICIPAL BONDS & NOTES — 0.1%
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049		25,000		35,136
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040		15,000		16,880
State of California General Obligation Bonds 7.50% due 04/01/2034		30,000		41,482
Total Municipal Bonds & Notes (cost $70,178)				93,498
U.S. GOVERNMENT AGENCIES — 1.9%
Federal Home Loan Mtg. Corp. — 0.0%
5.50% due 06/01/2035		3,289		3,565
7.50% due 10/01/2029		3,514		3,841
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 11.43% (16.95%-1 ML) due 06/15/2034(5)(16)		10,854		12,048

Security Description	Principal Amount(18)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Series 3065, Class DC 13.38% (19.86%-1 ML) due 03/15/2035(5)(16)	$	23,644	$	29,573
Series 3072, Class SM 15.88% (23.80%-1 ML) due 11/15/2035(5)(16)		13,474		18,071
				67,098
Federal National Mtg. Assoc. — 1.3%
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C05, Class 2M1 3.57% (1 ML+1.35%) due 01/25/2029(5)		2,501		2,508
Series 2017-C01, Class 1M2 5.77% (1 ML+3.55%) due 07/25/2029(5)		15,000		16,375
Series 2015-C01, Class 1M2 6.52% (1 ML+4.30%) due 02/25/2025(5)		13,188		14,548
Series 2016-C03, Class 1M2 7.52% (1 ML+5.30%) due 10/25/2028(5)		10,000		11,807
Series 2016-C02, Class 1M2 8.22% (1 ML+6.00%) due 09/25/2028(5)		20,000		23,529
Federal National Mtg. Assoc.
3.00% due 09/01/2046		678,055		649,519
3.00% due 10/01/2046		260,933		249,907
3.50% due 01/01/2047		24,258		23,886
4.00% due 05/01/2019		5,825		5,945
4.00% due 09/01/2020		2,168		2,213
4.00% due October TBA		1,000,000		1,008,163
4.50% due 03/01/2020		985		997
4.50% due 04/01/2020		1,042		1,055
4.50% due 09/01/2020		1,508		1,527
4.50% due 11/01/2020		930		942
5.00% due 03/01/2021		949		977
6.00% due 06/01/2036		1,253		1,377
6.50% due 01/01/2036		12		13
6.50% due 06/01/2036		6,650		7,291
6.50% due 07/01/2036		3,514		3,935
6.50% due 09/01/2036		10,102		11,085
6.50% due 11/01/2036		20,515		22,491
7.00% due 06/01/2033		3,617		3,971
7.00% due 04/01/2035		5,570		6,318
7.50% due 04/01/2024		4,261		4,472
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.38% due 10/25/2041(5)(6)(7)		75,338		1,258
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 13.60% (20.25%-1 ML) due 08/25/2035(5)(16)		6,493		7,664

142

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares/ Principal Amount(18)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Series 2005-122, Class SE 15.34% (23.10%-1 ML) due 11/25/2035(5)(16)	$	7,599	$	9,280
Series 2006-8, Class HP 16.44% (24.57%-1 ML) due 03/25/2036(5)(16)		14,169		19,345
				2,112,398
Government National Mtg. Assoc. — 0.6%
3.50% due October TBA		1,000,000		994,336
6.50% due 08/20/2037		13,865		15,824
6.50% due 09/20/2037		3,358		3,728
				1,013,888
Total U.S. Government Agencies (cost $3,248,602)				3,193,384
U.S. GOVERNMENT TREASURIES — 5.5%
United States Treasury Bonds — 1.1%
2.75% due 08/15/2042(17)		1,630,000		1,509,469
3.00% due 02/15/2047		260,000		250,565
				1,760,034
United States Treasury Notes — 4.4%
1.00% due 08/31/2019		310,000		305,411
1.13% due 12/31/2019		420,000		411,846
1.50% due 05/31/2020		1,370,000		1,341,316
1.63% due 02/15/2026		370,000		335,760
1.88% due 11/30/2021		430,000		416,882
2.00% due 11/30/2020		1,800,000		1,768,148
2.00% due 02/15/2022		510,000		495,238
2.13% due 12/31/2022		480,000		464,419
2.25% due 11/15/2027		730,000		683,291
2.38% due 08/15/2024		120,000		116,039
2.63% due 06/15/2021		1,000,000		993,359
				7,331,709
Total U.S. Government Treasuries (cost $9,223,517)				9,091,743
EXCHANGE-TRADED FUNDS — 1.2%
iShares MSCI Emerging Markets ETF		671		28,799
SPDR S&P 500 ETF Trust		5,834		1,696,060
SPDR S&P MidCap 400 ETF Trust		627		230,398
Total Exchange-Traded funds (cost $1,901,768)				1,955,257
EQUITY CERTIFICATES(3) — 0.3%
Banks-Commercial — 0.1%
Merrill Lynch — Al Rajhi Bank		3,672		84,402
Merrill Lynch — Samba Financial Group		9,135		76,364
				160,766
Beverages-Wine/Spirits — 0.1%
UBS AG — Wuliangye Yibin Co., Ltd.		9,600		94,806
Electronic Components-Misc. — 0.0%
UBS AG — Shengyi Technology Co., Ltd.		35,500		54,329

Security Description	Shares/ Principal Amount(18)		Value (Note 2)
Industrial Audio & Video Products — 0.0%
UBS AG — Hangzhou Hikvision Digital Technology Co., Ltd.		15,200	$	63,490
Lasers-System/Components — 0.0%
UBS AG — Han's Laser Technology Industry Group Co., Ltd.		7,700		47,416
Petrochemicals — 0.0%
Merrill Lynch — Saudi Kayan Petrochemical Co		10,056		44,137
Total Equity Certificates (cost $497,261)				464,944
WARRANTS — 0.0%
Oil Companies-Exploration & Production — 0.0%
Halcon Resources Corp. Expires 09/09/2020 (Strike Price $14.04) (cost $0)		198		20
Total Long-Term Investment Securities (cost $138,456,535)				151,752,848
SHORT-TERM INVESTMENT SECURITIES — 7.9%
Commercial Paper — 7.9%
Atlantic Asset Securization LLC 2.35% due 12/17/2018	$	775,000		770,970
Bedford Row Funding Corp. 2.13% due 10/17/2018*		775,000		774,110
Chevron Corp. 1.99% due 10/01/2018*		775,000		774,864
Collateralized Commercial Paper Co. LLC 2.18% due 10/12/2018		775,000		774,342
Collateralized Commercial Paper II Co. LLC 2.24% due 11/01/2018		800,000		798,325
Danske Corp. 2.27% due 11/02/2018*		750,000		748,363
Liberty Street Funding LLC 2.29% due 11/07/2018*		775,000		773,082
Manhattan Asset Funding Co. LLC 2.17% due 10/02/2018*		775,000		774,816
MetLife Short Term Funding LLC 2.09% due 10/10/2018*		775,000		774,443
Nationwide Building Society 2.28% due 12/03/2018		775,000		771,667
Nestle Finance International, Ltd. 2.07% due 10/01/2018		775,000		774,864
NRW Bank 2.13% due 10/05/2018*		775,000		774,676
Regency Markets No.1 LLC 2.14% due 10/11/2018		775,000		774,390
Simon Property Group 2.07% due 10/15/2018		775,000		774,195
Thunder Bay Funding LLC 2.15% due 11/09/2018		775,000		772,984
Victory Receivables Corp. 2.19% due 11/06/2018		775,000		773,125

143

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(18)			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES (continued)
Commercial Paper (continued)
Walmart, Inc. 2.01% due 10/01/2018*	$	775,000		$	774,862
Total Short-Term Investment Securities (cost $13,156,996)					13,154,078
REPURCHASE AGREEMENTS — 1.8%
Agreement with Bank of America Securities LLC, bearing interest at 1.38%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $3,023,564 collateralized by $3,107,000 of United States Treasury Notes, bearing interest at 1.63% due 07/31/2019 and having an approximate value of $3,082,969. (cost $3,023,000)		3,023,000			3,023,000
TOTAL INVESTMENTS (cost $154,636,531)(19)		101.3	%		167,929,926
Liabilities in excess of other assets		(1.3	)		(2,186,199	)
NET ASSETS		100.0	%	$	165,743,727

†  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, 2018, the aggregate value of these securities was $11,996,254 representing 7.2% 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, 2018, the Portfolio held the following restricted securities:

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Common Stocks
MWO Holdings LLC	08/24/2016		10	$	6,153	$	810	$	81.00		0.00	%
Vistra Energy Corp. CVR	10/06/2016		1,362		0		1,022		0.75		0.00
						$	1,832				0.00	%

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

(3)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $1,385,563 representing 0.8% of net assets.

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

(5)  Collateralized Mortgage Obligation

(6)  Interest Only

(7)  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.

(8)  Commercial Mortgage Backed Security

(9)  Security in default

(10)  Company has filed for bankruptcy protection.

(11)  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.

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

(13)  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.

(14)  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.

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

(16)  Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at September 30, 2018.

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

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

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

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

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

144

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2018 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 MTA — 12 Month USD Treasury Average Index

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	101	Long	E-Mini Russell 2000 Index	December 2018	$	8,694,762	$	8,589,040	$	(105,722	)
	28	Short	S&P 500 E-Mini Index	December 2018		4,050,794		4,086,600		(35,806	)
	9	Long	TOPIX Index	December 2018		1,332,548		1,439,667		107,119
	66	Long	U.S. Treasury 10 Year Notes	December 2018		7,924,430		7,839,563		(84,867	)
	1	Short	U.S. Treasury 10 Year Ultra Notes	December 2018		127,735		126,000		1,735
	5	Long	U.S. Treasury 2 Year Notes	December 2018		1,056,250		1,053,672		(2,578	)
	43	Short	U.S. Treasury 2 Year Notes	December 2018		9,083,078		9,061,578		21,500
	53	Short	U.S. Treasury 5 Year Notes	December 2018		6,002,672		5,961,258		41,414
									$	(57,205	)

*   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.	$	7,998	11/27/2018	(3 Month USD LIBOR-BBA	Citibank U.S. Equity Custom
				plus 37 bps)/Quarterly	Basket(1)/Quarterly	$	—	$	47,484
Citibank N.A.		6,646	11/27/2018	3 Month USD LIBOR-BBA	Russell 1000 Index Total Return/
				plus 35 bps/Quarterly	Quarterly		—		(40,328	)
	Net Unrealized Appreciation (Depreciation)					$	—	$	7,156

BBA — British Banker's Association

LIBOR — London Interbank Offered Rate

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

Common Stocks	Percentage*			Shares		Value
JPMorgan Chase & Co.		2.8	%		52	$	220,687
Alphabet, Inc., Class A		2.5			4		199,872
Apple, Inc.		2.4			23		194,319
Intuit, Inc.		2.2			20		173,883
Humana, Inc.		1.9			12		155,410
TJX Cos., Inc.		1.9			35		149,630
American Express Co.		1.9			37		149,517

145

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Common Stocks	Percentage*			Shares		Value
McDonald's Corp.		1.9	%		24	$	149,517
Danaher Corp.		1.8			35		145,286
Pfizer, Inc.		1.8			84		140,262
Raytheon Co.		1.8			18		139,998
Texas Instruments, Inc.		1.7			34		138,298
Occidental Petroleum Corp.		1.7			44		137,391
Lowe's Cos., Inc.		1.7			31		136,636
Northrop Grumman Corp.		1.6			11		131,800
Exxon Mobil Corp.		1.6			40		129,156
Cognizant Technology Solutions Corp., Class A		1.6			44		126,776
Constellation Brands, Inc., Class A		1.6			15		125,303
Honeywell International, Inc.		1.5			19		122,205
PNC Financial Services Group, Inc.		1.5			24		121,374
American Electric Power Co., Inc.		1.4			43		114,952
eBay, Inc.		1.4			88		109,664
Norfolk Southern Corp.		1.3			16		107,435
Johnson & Johnson		1.3			20		104,337
Microsoft Corp.		1.3			24		103,808
Baxter International, Inc.		1.3			35		102,411
Kimberly-Clark Corp.		1.3			24		102,222
F5 Networks, Inc.		1.2			13		96,593
NetApp, Inc.		1.2			29		93,344
Walt Disney Co.		1.2			21		92,967
Marathon Petroleum Corp.		1.1			30		91,418
Allstate Corp.		1.1			24		89,416
HP, Inc.		1.1			91		88,585
Duke Energy Corp.		1.1			29		87,678
Fidelity National Information Services, Inc.		1.1			21		84,883
Verizon Communications, Inc.		1.0			40		80,727
Sysco Corp.		1.0			29		80,501
Ross Stores, Inc.		1.0			21		77,025
General Dynamics Corp.		0.9			10		75,136
Facebook, Inc., Class A		0.9			12		72,152
Harris Corp.		0.9			11		70,717
Merck & Co., Inc.		0.9			25		68,299
Kinder Morgan, Inc.		0.8			98		65,919
Valero Energy Corp.		0.8			15		64,975
Red Hat, Inc.		0.8			13		64,823
Waste Management, Inc.		0.8			19		64,748
Fiserv, Inc.		0.8			21		64,521
UnitedHealth Group, Inc.		0.8			6		63,615
Worldpay, Inc., Class A		0.8			16		62,632
Zoetis, Inc.		0.8			18		61,273
Total of the 50 largest components in the Citibank U.S. Equity Custom Basket		68.8					5,494,096
Other components in the Citibank U.S. Equity Custom Basket		31.2					2,504,201
Total components in the Citibank U.S. Equity Custom Basket		100.0	%			$	7,998,297

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

146

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	CAD	619,600	USD	469,826	10/17/2018	$	—	$	(10,042	)
	HKD	4,032,700	USD	514,539	11/19/2018		—		(945	)
	USD	121,402	HKD	950,700	11/19/2018		122		—
	USD	693,306	EUR	588,800	12/19/2018		—		(5,199	)
	USD	538,689	GBP	413,600	12/19/2018		2,421		—
							2,543		(16,186	)
Citibank N.A.	CAD	17,600	USD	13,346	10/17/2018		—		(285	)
	USD	240,250	JPY	26,610,000	11/19/2018		—		(5,235	)
	USD	172,956	DKK	1,100,000	12/19/2018		—		(493	)
	USD	308,678	EUR	263,500	12/19/2018		—		(736	)
	USD	772,131	GBP	595,700	12/19/2018		7,218		—
							7,218		(6,749	)
Goldman Sachs International	USD	270,001	EUR	230,400	12/19/2018		—		(742	)
JPMorgan Chase Bank	NOK	450,600	USD	53,824	12/19/2018		—		(1,726	)
	SEK	2,372,900	USD	263,807	12/19/2018		—		(5,017	)
	USD	277,468	AUD	379,000	10/17/2018		—		(3,489	)
	USD	302,731	JPY	33,571,000	11/19/2018		—		(6,237	)
	USD	160,859	SGD	218,600	11/19/2018		—		(788	)
	USD	714,404	CHF	688,100	12/19/2018		—		(8,050	)
	USD	462,781	EUR	394,900	12/19/2018		—		(1,276	)
	USD	293,267	GBP	225,000	12/19/2018		1,098		—
							1,098		(26,583	)
State Street Bank and Trust Co.	USD	12,123	ILS	43,900	10/17/2018		—		(40	)
	USD	216,611	JPY	24,013,100	11/19/2018		—		(4,532	)
							—		(4,572	)
UBS AG	USD	372,096	AUD	508,300	10/17/2018		—		(4,646	)
Net Unrealized Appreciation (Depreciation)						$	10,859	$	(59,478	)

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

147

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	73,979	$	1,022	$	—	$	75,001
Oil Companies-Exploration & Production		2,145,651		—		810		2,146,461
Other Industries		121,742,517		—		—		121,742,517
Convertible Preferred Securities		14,135		—		—		14,135
Preferred Securities		15,254		—		—		15,254
Preferred Securities/Capital Securities		—		503,419		—		503,419
Asset Backed Securities		—		2,245,271		—		2,245,271
Convertible Bonds & Notes		—		9,538		—		9,538
U.S. Corporate Bonds & Notes:
Oil-Field Services		—		61,169		3		61,172
Telecommunication Equipment		—		60,087		0		60,087
Other Industries		—		8,821,356		—		8,821,356
Foreign Corporate Bonds & Notes		—		1,071,321		—		1,071,321
Loans		—		188,470		—		188,470
Municipal Bonds & Notes		—		93,498		—		93,498
U.S. Government Agencies		—		3,193,384		—		3,193,384
U.S. Government Treasuries		—		9,091,743		—		9,091,743
Exchange-Traded Funds		1,955,257		—		—		1,955,257
Equity Certificates		—		464,944		—		464,944
Warrants		20		—		—		20
Short-Term Investment Securities		—		13,154,078		—		13,154,078
Repurchase Agreements		—		3,023,000		—		3,023,000
Total Investments at Value	$	125,946,813	$	41,982,300	$	813	$	167,929,926
Other Financial Instruments:†
Futures Contracts	$	171,768	$	—	$	—	$	171,768
Over the Counter Total Return Swap Contracts		—		47,484		—		47,484
Forward Foreign Currency Contracts		—		10,859		—		10,859
Total Other Financial Instruments	$	171,768	$	58,343	$	—	$	230,111
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	228,973	$	—	$	—	$	228,973
Over the Counter Total Return Swap Contracts		—		40,328		—		40,328
Forward Foreign Currency Contracts		—		59,478		—		59,478
Total Other Financial Instruments	$	228,973	$	99,806	$	—	$	328,779

*  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. Securities currently valued at $20,012,090 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional material transfers between Levels during the reporting period.

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

See Notes to Financial Statements

148

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO PROFILES — September 30, 2018 (unaudited)

Industry Allocation*
E-Commerce/Products	11.9	%
Applications Software	10.1
Medical-HMO	6.2
Finance-Credit Card	6.2
Web Portals/ISP	5.6
Internet Content-Entertainment	4.3
Commercial Services-Finance	4.1
Aerospace/Defense	4.1
E-Commerce/Services	3.9
Medical Products	3.8
Medical-Biomedical/Gene	2.7
Auto-Cars/Light Trucks	2.5
Finance-Investment Banker/Broker	2.4
Internet Application Software	2.1
Casino Hotels	1.8
Medical Instruments	1.7
Retail-Discount	1.6
Data Processing/Management	1.5
Entertainment Software	1.5
Machinery-General Industrial	1.4
Electronic Components-Semiconductors	1.4
Diversified Banking Institutions	1.3
Multimedia	1.3
Real Estate Investment Trusts	1.2
Tobacco	1.2
Internet Security	1.1
Athletic Footwear	1.0
Computers	1.0
Insurance-Multi-line	0.9
Electronic Measurement Instruments	0.9
Auto/Truck Parts & Equipment-Original	0.8
Software Tools	0.8
Instruments-Controls	0.8
Finance-Other Services	0.8
Enterprise Software/Service	0.8
Electric-Distribution	0.8
Retail-Restaurants	0.8
Semiconductor Equipment	0.6
Chemicals-Diversified	0.6
Electric-Integrated	0.4
Building-Residential/Commercial	0.4
Water	0.3
Diversified Financial Services	0.3
Registered Investment Companies	0.3
Hotels/Motels	0.2
Real Estate Management/Services	0.2
Beverages-Non-alcoholic	0.2
Banks-Commercial	0.2
Medical-Hospitals	0.1
	100.1	%

*  Calculated as a percentage of net assets

149

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.3%
Aerospace/Defense — 4.1%
Boeing Co.		37,766	$	14,045,175
Northrop Grumman Corp.		10,800		3,427,596
				17,472,771
Applications Software — 9.8%
Intuit, Inc.		26,428		6,009,727
Microsoft Corp.		195,439		22,352,358
Red Hat, Inc.†		35,191		4,795,830
salesforce.com, Inc.†		39,600		6,297,588
ServiceNow, Inc.†		12,086		2,364,384
				41,819,887
Athletic Footwear — 1.0%
NIKE, Inc., Class B		52,785		4,471,945
Auto-Cars/Light Trucks — 2.5%
Ferrari NV		18,693		2,559,258
Tesla, Inc.†		30,888		8,178,216
				10,737,474
Auto/Truck Parts & Equipment-Original — 0.8%
Aptiv PLC		43,000		3,607,700
Banks-Commercial — 0.2%
First Republic Bank		7,425		712,800
Beverages-Non-alcoholic — 0.2%
PepsiCo, Inc.		7,179		802,612
Building-Residential/Commercial — 0.4%
NVR, Inc.†		610		1,507,188
Casino Hotels — 1.8%
Las Vegas Sands Corp.		41,300		2,450,329
MGM Resorts International		59,600		1,663,436
Wynn Resorts, Ltd.		27,057		3,437,862
				7,551,627
Chemicals-Diversified — 0.6%
DowDuPont, Inc.		37,779		2,429,568
Commercial Services-Finance — 4.1%
Equifax, Inc.		25,411		3,317,914
PayPal Holdings, Inc.†		49,052		4,308,728
TransUnion		49,799		3,664,210
Worldpay, Inc., Class A†		61,896		6,268,208
				17,559,060
Computers — 1.0%
Apple, Inc.		17,953		4,052,710
Data Processing/Management — 1.5%
Fidelity National Information Services, Inc.		29,300		3,195,751
Fiserv, Inc.†		39,934		3,289,763
				6,485,514
Diversified Banking Institutions — 1.3%
JPMorgan Chase & Co.		27,600		3,114,384
Morgan Stanley		53,282		2,481,343
				5,595,727
Diversified Financial Services — 0.3%
ANT International Co., Ltd., Class C†(1)(2)(3)		249,140		1,397,675

Security Description	Shares		Value (Note 2)
E-Commerce/Products — 11.9%
Alibaba Group Holding, Ltd. ADR†		52,571	$	8,661,598
Amazon.com, Inc.†		20,915		41,892,745
				50,554,343
E-Commerce/Services — 2.9%
Booking Holdings, Inc.†		5,591		11,092,544
IAC/InterActiveCorp†		5,300		1,148,616
Uber Technologies, Inc., Class A†(1)(2)(3)		834		38,457
				12,279,617
Electric-Distribution — 0.8%
Sempra Energy		28,998		3,298,523
Electric-Integrated — 0.4%
NextEra Energy, Inc.		9,103		1,525,663
Electronic Components-Semiconductors — 1.4%
NVIDIA Corp.		20,500		5,760,910
Electronic Measurement Instruments — 0.9%
Fortive Corp.		44,933		3,783,359
Enterprise Software/Service — 0.8%
Workday, Inc., Class A†		22,937		3,348,343
Entertainment Software — 1.5%
Activision Blizzard, Inc.		36,259		3,016,386
Electronic Arts, Inc.†		27,464		3,309,138
				6,325,524
Finance-Credit Card — 6.2%
Mastercard, Inc., Class A		54,400		12,109,984
Visa, Inc., Class A		95,400		14,318,586
				26,428,570
Finance-Investment Banker/Broker — 2.4%
Charles Schwab Corp.		101,085		4,968,328
TD Ameritrade Holding Corp.		96,939		5,121,287
				10,089,615
Finance-Other Services — 0.8%
Intercontinental Exchange, Inc.		45,230		3,387,275
Hotels/Motels — 0.2%
Hilton Worldwide Holdings, Inc.		11,381		919,357
Instruments-Controls — 0.8%
Honeywell International, Inc.		21,130		3,516,032
Insurance-Multi-line — 0.9%
Chubb, Ltd.		29,661		3,963,896
Internet Application Software — 2.1%
Tencent Holdings, Ltd.		220,600		9,107,656
Internet Content-Entertainment — 4.3%
Facebook, Inc., Class A†		72,959		11,998,837
Netflix, Inc.†		16,900		6,322,797
				18,321,634
Internet Security — 1.1%
Symantec Corp.		224,190		4,770,763
Machinery-General Industrial — 1.4%
Roper Technologies, Inc.		14,021		4,153,161
Wabtec Corp.		18,972		1,989,783
				6,142,944

150

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical Instruments — 1.7%
Intuitive Surgical, Inc.†		12,453	$	7,148,022
Medical Products — 3.8%
Becton Dickinson and Co.		33,627		8,776,647
Stryker Corp.		42,779		7,600,973
				16,377,620
Medical-Biomedical/Gene — 2.7%
Alexion Pharmaceuticals, Inc.†		27,258		3,789,134
Celgene Corp.†		21,200		1,897,188
Vertex Pharmaceuticals, Inc.†		31,116		5,997,298
				11,683,620
Medical-HMO — 6.2%
Anthem, Inc.		20,100		5,508,405
Centene Corp.†		25,245		3,654,971
Cigna Corp.		23,795		4,955,309
UnitedHealth Group, Inc.		40,715		10,831,819
WellCare Health Plans, Inc.†		4,925		1,578,413
				26,528,917
Medical-Hospitals — 0.1%
HCA Healthcare, Inc.		1,598		222,314
Multimedia — 1.3%
Walt Disney Co.		45,649		5,338,194
Real Estate Investment Trusts — 1.2%
Crown Castle International Corp.		47,307		5,266,688
Real Estate Management/Services — 0.0%
WeWork Cos., Inc., Class A†(1)(2)(3)		532		34,974
Retail-Discount — 1.6%
Dollar General Corp.		14,195		1,551,513
Dollar Tree, Inc.†		38,620		3,149,461
Dollarama, Inc.		63,948		2,014,512
				6,715,486
Retail-Restaurants — 0.8%
McDonald's Corp.		19,700		3,295,613
Semiconductor Equipment — 0.6%
ASML Holding NV		14,248		2,678,909
Software Tools — 0.8%
VMware, Inc., Class A†		22,531		3,516,188
Tobacco — 1.2%
Philip Morris International, Inc.		61,974		5,053,360
Water — 0.3%
American Water Works Co., Inc.		16,338		1,437,254
Web Portals/ISP — 5.6%
Alphabet, Inc., Class A†		9,470		11,431,048
Alphabet, Inc., Class C†		10,566		12,610,204
				24,041,252
Total Common Stocks (cost $295,025,820)				419,066,693
CONVERTIBLE PREFERRED SECURITIES — 1.5%
Applications Software — 0.3%
Magic Leap, Inc., Series C†(1)(2)(3)		26,666		719,982
Magic Leap, Inc., Series D†(1)(2)(3)		16,678		450,306
				1,170,288

Security Description	Shares			Value (Note 2)
E-Commerce/Services — 1.0%
Airbnb, Inc., Series D†(1)(2)(3)		13,329		$	1,526,704
Airbnb, Inc., Series E†(1)(2)(3)		8,841			1,012,648
Uber Technologies, Inc., Series A†(1)(2)(3)		119			5,487
Uber Technologies, Inc., Series B†(1)(2)(3)		319			14,710
Uber Technologies, Inc., Series C-1†(1)(2)(3)		84			3,873
Uber Technologies, Inc., Series C-2†(1)(2)(3)		68			3,136
Uber Technologies, Inc., Series C-3†(1)(2)(3)		1			46
Uber Technologies, Inc., Series D†(1)(2)(3)		76			3,504
Uber Technologies, Inc., Series E†(1)(2)(3)		36			1,660
Uber Technologies, Inc., Series G†(1)(2)(3)		20,747			956,667
Uber Technologies, Inc., Series G-1†(1)(2)(3)		183			8,438
Uber Technologies, Inc., Series Seed†(1)(2)(3)		304			14,018
Xiaoju Kuaizhi, Inc., Series A-17†(1)(2)(3)		19,048			970,155
					4,521,046
Real Estate Management/Services — 0.2%
WeWork Cos., Inc., Series E†(1)(2)(3)		13,398			880,784
Total Convertible Preferred Securities (cost $4,447,287)					6,572,118
Total Long-Term Investment Securities (cost $299,473,107)					425,638,811
SHORT-TERM INVESTMENT SECURITIES — 0.3%
Registered Investment Companies — 0.3%
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(4)		500,000			500,000
T. Rowe Price Government Reserve Fund 2.09%(4)		869,401			869,401
Total Short-Term Investment Securities (cost $1,369,401)					1,369,401
TOTAL INVESTMENTS (cost $300,842,508)(5)		100.1	%		427,008,212
Liabilities in excess of other assets		(0.1	)		(636,773	)
NET ASSETS		100.0	%	$	426,371,439

†  Non-income producing security

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

(2)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $8,043,224 representing 1.9% of net assets.

151

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

(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, 2018, the Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ANT International Co., Ltd, Class C	06/07/2018		249,140	$	1,397,675	$	1,397,675	$	5.61		0.33	%
Uber Technologies, Inc., Class A	01/16/2018		834		27,496		38,457		46.11		0.01
WeWork Cos., Inc., Class A	06/23/2015		532		17,497		34,974		65.74		0.01
Convertible Preferred Securities
Airbnb, Inc., Series D	04/16/2014		13,329		542,664		1,526,704		114.54		0.36
Airbnb, Inc., Series E	07/14/2015		8,841		823,048		1,012,648		114.54		0.24
Magic Leap, Inc., Series C	01/20/2016		26,666		614,198		719,982		27.00		0.17
Magic Leap, Inc., Series D	10/12/2017		16,678		450,306		450,306		27.00		0.11
Uber Technologies, Inc., Series A	01/16/2018		119		3,923		5,487		46.11		0.00
Uber Technologies, Inc., Series B	01/16/2018		319		10,517		14,710		46.11		0.00
Uber Technologies, Inc., Series C-1	01/16/2018		84		2,769		3,873		46.11		0.00
Uber Technologies, Inc., Series C-2	01/16/2018		68		2,242		3,136		46.11		0.00
Uber Technologies, Inc., Series C-3	01/16/2018		1		33		46		46.11		0.00
Uber Technologies, Inc., Series D	01/16/2018		76		2,506		3,504		46.11		0.00

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Convertible Preferred Securities (continued)
Uber Technologies, Inc., Series E	01/16/2018		36	$	1,187	$	1,660	$	46.11		0.00	%
Uber Technologies, Inc., Series G	12/03/2015		20,747		1,011,877		956,667		46.11		0.22
Uber Technologies, Inc., Series G-1	01/16/2018		183		8,925		8,438		46.11		0.00
Uber Technologies, Inc., Series Seed	01/16/2018		304		10,023		14,018		46.11		0.00
WeWork Cos., Inc., Series E	06/23/2015		13,398		440,655		880,784		65.74		0.21
Xiaoju Kuaizhi, Inc., Series A-17	10/19/15		19,048		522,414		970,155		50.93		0.23
						$	8,043,224				1.89	%

(4)  The rate shown is the 7-day yield as of September 30, 2018.

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

ADR — American Depositary Receipt

152

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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:
Diversified Financial Services	$	—	$	—	$	1,397,675	$	1,397,675
E-Commerce/Services		12,241,160		—		38,457		12,279,617
Real Estate Management/Services		—		—		34,974		34,974
Other Industries		405,354,427		—		—		405,354,427
Convertible Preferred Securities		—		—		6,572,118		6,572,118
Short-Term Investment Securities		1,369,401		—		—		1,369,401
Total Investment at Value	$	418,964,988	$	—	$	8,043,224	$	427,008,212

*  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. Securities currently valued at $9,107,656 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional material transfers between Levels during the reporting period.

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, 2018	$	121,002		$	7,008,900
Accrued discounts		—			—
Accrued premiums		—			—
Realized gain		13,445			502,058
Realized loss		—			—
Change in unrealized appreciation(1)		40,436			710,414
Change in unrealized depreciation(1)		—			—
Net purchases		1,397,675			—
Net sales		(101,452	)		(1,649,254	)
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of September 30, 2018	$	1,471,106		$	6,572,118

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2018 includes:

Common Stocks		Convertible Preferred Securities
$	20,058	$	657,161

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, 2018.

153

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

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

Description	Value at September 30, 2018		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	1,397,675	Market Approach	Market Transaction Price*	$	5.61
	$	38,457	Market Approach	Market Transaction Price*	$	48.772228
				Average of Market Bids*	$	43.45
	$	34,974	Market Approach	Secondary Market Transactions*	$	26.0000
				Tender Price*	$	51.8100
				2020 Estimated Gross Profit Multiple*		13.8	x
				2021 Estimated Gross Profit Multiple*		11.6	x
				2020 Estimated EBTIDA Multiple*		31.1	x
				2021 Estimated EBITDA Multiple*		24.2	x
				Discount for Lack of Marketability		10.00	%
Convertible Preferred Securities	$	1,170,288	Market Approach	Market Transaction Price*	$	27.00
	$	970,155	Market Approach	Secondary Market Transaction*	$	50.9321
	$	1,011,539	Market Approach	Market Transaction Price*	$	48.772228
				Average of Market Bids*	$	43.45
	$	880,784	Market Approach	Secondary Market Transactions*	$	26.0000
				Tender Price*	$	51.8100
				2020 Estimated Gross Profit Multiple*		13.8	x
				2021 Estimated Gross Profit Multiple*		11.6	x
				2020 Estimated EBTIDA Multiple*		31.1	x
				2021 Estimated EBITDA Multiple*		24.2	x
				Discount for Lack of Marketability		10.00	%
	$	2,539,352	Market Approach	2018 Estimated Revenue Multiple*		11.10	x
				2020 Estimated Revenue Multiple*		5.5	x
				2020 Estimated Gross Profit Multiple*		7.9	x
				2021 Estimated Revenue Multiple*		4.6	x - 7.0x (5.8x)
				2021 Estimated Gross Profit Multiple*		6.2	x
				Discount for Lack of Marketability		10	% - 15% (11.7%)

(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 comparable. 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

154

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Industry Allocation*
Applications Software	7.8	%
E-Commerce/Products	6.6
Computers	6.2
Web Portals/ISP	5.7
Finance-Credit Card	4.6
Electronic Components-Semiconductors	4.0
Medical-Drugs	3.8
Medical-Biomedical/Gene	3.6
Internet Content-Entertainment	3.5
Medical-HMO	2.7
Aerospace/Defense	2.6
Retail-Restaurants	2.2
Medical Instruments	2.1
Real Estate Investment Trusts	1.8
Beverages-Non-alcoholic	1.7
Transport-Rail	1.6
Diversified Manufacturing Operations	1.5
Electronic Forms	1.5
Commercial Services-Finance	1.3
Athletic Footwear	1.2
Entertainment Software	1.1
Tobacco	1.1
Retail-Building Products	1.0
Cosmetics & Toiletries	0.9
Commercial Services	0.9
Cable/Satellite TV	0.9
Enterprise Software/Service	0.9
Diagnostic Equipment	0.8
Consulting Services	0.8
Medical Products	0.8
Finance-Other Services	0.8
Semiconductor Components-Integrated Circuits	0.8
Oil Companies-Exploration & Production	0.8
Instruments-Controls	0.7
Electronic Components-Misc.	0.7
Electronic Measurement Instruments	0.7
E-Commerce/Services	0.7
Insurance-Property/Casualty	0.7
Auto/Truck Parts & Equipment-Original	0.6
Coatings/Paint	0.6
Networking Products	0.6
Semiconductor Equipment	0.6
Computer Services	0.5
Computer Aided Design	0.5
Aerospace/Defense-Equipment	0.5
Electronic Connectors	0.5
Multimedia	0.4
Data Processing/Management	0.4
Finance-Investment Banker/Broker	0.4
Industrial Gases	0.4
Retail-Discount	0.4
Retail-Apparel/Shoe	0.4
Containers-Metal/Glass	0.4
Cruise Lines	0.4
Banks-Commercial	0.4
Apparel Manufacturers	0.4
Food-Misc./Diversified	0.4
U.S. Government Agencies	0.4
Therapeutics	0.3

Banks-Fiduciary	0.3	%
Diversified Banking Institutions	0.3
Airlines	0.3
Industrial Automated/Robotic	0.3
Beverages-Wine/Spirits	0.3
Food-Catering	0.2
Web Hosting/Design	0.2
Machinery-Pumps	0.2
Building Products-Cement	0.2
Medical Information Systems	0.2
Computer Software	0.2
Transport-Truck	0.2
Chemicals-Diversified	0.2
Tools-Hand Held	0.2
Investment Management/Advisor Services	0.2
Distribution/Wholesale	0.2
Casino Hotels	0.2
Transport-Services	0.2
Finance-Consumer Loans	0.2
Independent Power Producers	0.2
Electric-Integrated	0.2
Retail-Gardening Products	0.2
Repurchase Agreements	0.2
U.S. Government Treasuries	0.1
Insurance Brokers	0.1
Medical-Generic Drugs	0.1
Registered Investment Companies	0.1
Oil Refining & Marketing	0.1
Broadcast Services/Program	0.1
Hotels/Motels	0.1
Machinery-Construction & Mining	0.1
Non-Hazardous Waste Disposal	0.1
Electric Products-Misc.	0.1
Veterinary Diagnostics	0.1
Retail-Major Department Stores	0.1
Machinery-General Industrial	0.1
Building-Residential/Commercial	0.1
Dental Supplies & Equipment	0.1
Consumer Products-Misc.	0.1
Machinery-Farming	0.1
Retail-Auto Parts	0.1
Medical Labs & Testing Services	0.1
Computers-Memory Devices	0.1
Instruments-Scientific	0.1
Diagnostic Kits	0.1
Wireless Equipment	0.1
Medical-Hospitals	0.1
	100.0	%

*  Calculated as a percentage of net assets

155

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.3%
Aerospace/Defense — 2.6%
Boeing Co.		21,881	$	8,137,544
General Dynamics Corp.		7,229		1,479,921
Lockheed Martin Corp.		1,956		676,698
Northrop Grumman Corp.		9,214		2,924,247
Raytheon Co.		2,215		457,752
Rockwell Collins, Inc.		2,093		294,003
TransDigm Group, Inc.†		616		229,337
				14,199,502
Aerospace/Defense-Equipment — 0.5%
Harris Corp.		942		159,396
L3 Technologies, Inc.		11,282		2,398,779
				2,558,175
Agricultural Chemicals — 0.0%
CF Industries Holdings, Inc.		1,278		69,574
Airlines — 0.3%
American Airlines Group, Inc.		2,818		116,468
Southwest Airlines Co.		4,399		274,718
United Continental Holdings, Inc.†		12,974		1,155,464
				1,546,650
Apparel Manufacturers — 0.4%
Hanesbrands, Inc.		1,928		35,533
Michael Kors Holdings, Ltd.†		1,901		130,333
PVH Corp.		10,661		1,539,448
Under Armour, Inc., Class C†		0		0
VF Corp.		2,566		239,793
				1,945,107
Applications Software — 7.8%
Intuit, Inc.		13,575		3,086,955
Microsoft Corp.		267,301		30,571,216
Red Hat, Inc.†		2,258		307,720
salesforce.com, Inc.†		52,599		8,364,819
				42,330,710
Athletic Footwear — 1.2%
NIKE, Inc., Class B		77,669		6,580,118
Auto/Truck Parts & Equipment-Original — 0.6%
Aptiv PLC		40,796		3,422,784
BorgWarner, Inc.		1,782		76,234
				3,499,018
Banks-Commercial — 0.4%
First Republic Bank		18,310		1,757,760
SVB Financial Group†		677		210,432
				1,968,192
Banks-Fiduciary — 0.3%
Northern Trust Corp.		17,488		1,786,049
Banks-Super Regional — 0.0%
Comerica, Inc.		1,113		100,393
Beverages-Non-alcoholic — 1.7%
Coca-Cola Co.		104,283		4,816,832
Monster Beverage Corp.†		61,136		3,563,006
PepsiCo, Inc.		8,823		986,411
				9,366,249

Security Description	Shares		Value (Note 2)
Beverages-Wine/Spirits — 0.3%
Brown-Forman Corp., Class B		19,100	$	965,505
Constellation Brands, Inc., Class A		2,137		460,780
				1,426,285
Broadcast Services/Program — 0.1%
Discovery, Inc., Class C†		22,304		659,752
Building & Construction Products-Misc. — 0.0%
Fortune Brands Home & Security, Inc.		1,813		94,929
Building Products-Cement — 0.2%
Martin Marietta Materials, Inc.		345		62,773
Vulcan Materials Co.		10,256		1,140,467
				1,203,240
Building Products-Wood — 0.0%
Masco Corp.		2,584		94,574
Building-Maintenance & Services — 0.0%
Rollins, Inc.		1,250		75,862
Building-Residential/Commercial — 0.1%
D.R. Horton, Inc.		4,369		184,284
Lennar Corp., Class A		2,191		102,298
PulteGroup, Inc.		3,327		82,410
				368,992
Cable/Satellite TV — 0.9%
Charter Communications, Inc., Class A†		2,273		740,725
Comcast Corp., Class A		74,812		2,649,093
Liberty Broadband Corp., Class C†		17,516		1,476,599
				4,866,417
Casino Hotels — 0.2%
Las Vegas Sands Corp.		13,647		809,677
MGM Resorts International		2,863		79,906
Wynn Resorts, Ltd.		1,245		158,190
				1,047,773
Chemicals-Diversified — 0.2%
DowDuPont, Inc.		13,030		837,959
FMC Corp.		1,714		149,427
PPG Industries, Inc.		1,479		161,403
				1,148,789
Chemicals-Specialty — 0.0%
Albemarle Corp.		815		81,321
International Flavors & Fragrances, Inc.		712		99,053
				180,374
Coatings/Paint — 0.6%
Sherwin-Williams Co.		7,054		3,211,051
Commercial Services — 0.9%
Cintas Corp.		1,096		216,800
CoStar Group, Inc.†		3,475		1,462,419
Ecolab, Inc.		14,972		2,347,310
ServiceMaster Global Holdings, Inc.†		15,577		966,241
				4,992,770

156

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Commercial Services-Finance — 1.3%
Automatic Data Processing, Inc.		5,577	$	840,231
Equifax, Inc.		904		118,035
FleetCor Technologies, Inc.†		1,125		256,320
Global Payments, Inc.		15,699		2,000,053
H&R Block, Inc.		1,675		43,131
Moody's Corp.		2,126		355,467
PayPal Holdings, Inc.†		15,070		1,323,749
S&P Global, Inc.		3,202		625,639
Total System Services, Inc.		2,137		211,007
Western Union Co.		2,221		42,332
Worldpay, Inc., Class A†		14,187		1,436,718
				7,252,682
Computer Aided Design — 0.5%
ANSYS, Inc.†		1,073		200,308
Autodesk, Inc.†		15,125		2,361,164
Cadence Design Systems, Inc.†		3,601		163,197
Synopsys, Inc.†		1,892		186,570
				2,911,239
Computer Services — 0.5%
Accenture PLC, Class A		5,139		874,658
Amdocs, Ltd.		20,531		1,354,635
Cognizant Technology Solutions Corp., Class A		7,387		569,907
DXC Technology Co.		1,861		174,041
				2,973,241
Computer Software — 0.2%
Akamai Technologies, Inc.†		863		63,128
Citrix Systems, Inc.†		919		102,156
SS&C Technologies Holdings, Inc.		18,156		1,031,806
				1,197,090
Computers — 6.2%
Apple, Inc.		149,227		33,686,503
Computers-Memory Devices — 0.1%
NetApp, Inc.		3,301		283,523
Consulting Services — 0.8%
Gartner, Inc.†		19,980		3,166,830
Verisk Analytics, Inc.†		10,099		1,217,434
				4,384,264
Consumer Products-Misc. — 0.1%
Clorox Co.		930		139,881
Kimberly-Clark Corp.		1,948		221,371
				361,252
Containers-Metal/Glass — 0.4%
Ball Corp.		47,682		2,097,531
Containers-Paper/Plastic — 0.0%
Packaging Corp. of America		782		85,778
Sealed Air Corp.		768		30,835
				116,613

Security Description	Shares		Value (Note 2)
Cosmetics & Toiletries — 0.9%
Colgate-Palmolive Co.		28,794	$	1,927,758
Estee Lauder Cos., Inc., Class A		14,746		2,142,889
Procter & Gamble Co.		11,725		975,872
				5,046,519
Cruise Lines — 0.4%
Carnival Corp.		2,310		147,309
Norwegian Cruise Line Holdings, Ltd.†		30,489		1,750,983
Royal Caribbean Cruises, Ltd.		1,440		187,114
				2,085,406
Data Processing/Management — 0.4%
Broadridge Financial Solutions, Inc.		1,481		195,418
Fidelity National Information Services, Inc.		2,596		283,145
Fiserv, Inc.†		20,150		1,659,957
Paychex, Inc.		2,649		195,099
				2,333,619
Decision Support Software — 0.0%
MSCI, Inc.		1,131		200,651
Dental Supplies & Equipment — 0.1%
Align Technology, Inc.†		931		364,226
Diagnostic Equipment — 0.8%
Danaher Corp.		16,583		1,801,909
Thermo Fisher Scientific, Inc.		10,762		2,626,789
				4,428,698
Diagnostic Kits — 0.1%
IDEXX Laboratories, Inc.†		1,102		275,125
Distribution/Wholesale — 0.2%
Fastenal Co.		17,146		994,811
LKQ Corp.†		2,349		74,393
				1,069,204
Diversified Banking Institutions — 0.3%
Bank of America Corp.		56,766		1,672,326
Diversified Manufacturing Operations — 1.5%
3M Co.		7,468		1,573,582
A.O. Smith Corp.		24,301		1,296,944
Illinois Tool Works, Inc.		19,186		2,707,528
Ingersoll-Rand PLC		1,312		134,218
Parker-Hannifin Corp.		14,135		2,599,851
				8,312,123
Drug Delivery Systems — 0.0%
DexCom, Inc.†		457		65,369
Nektar Therapeutics†		2,196		133,868
				199,237
E-Commerce/Products — 6.6%
Alibaba Group Holding, Ltd. ADR†		5,187		854,610
Amazon.com, Inc.†		16,764		33,578,292
eBay, Inc.†		11,842		391,023
Wayfair, Inc., Class A†		7,028		1,037,825
				35,861,750

157

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Services — 0.7%
Booking Holdings, Inc.†		1,796	$	3,563,264
Expedia Group, Inc.		893		116,518
TripAdvisor, Inc.†		482		24,616
				3,704,398
Electric Products-Misc. — 0.1%
AMETEK, Inc.		2,952		233,562
Emerson Electric Co.		3,280		251,183
				484,745
Electric-Integrated — 0.2%
Dominion Energy, Inc.		3,163		222,296
FirstEnergy Corp.		2,537		94,300
NextEra Energy, Inc.		3,062		513,191
WEC Energy Group, Inc.		1,687		112,624
				942,411
Electronic Components-Misc. — 0.7%
Corning, Inc.		10,313		364,049
Flex, Ltd.†		105,831		1,388,503
Garmin, Ltd.		769		53,868
Sensata Technologies Holding PLC†		43,543		2,157,556
				3,963,976
Electronic Components-Semiconductors — 4.0%
Advanced Micro Devices, Inc.†		3,713		114,695
Broadcom, Inc.		5,496		1,356,028
Intel Corp.		33,461		1,582,371
IPG Photonics Corp.†		459		71,636
Microchip Technology, Inc.		27,839		2,196,775
Micron Technology, Inc.†		14,766		667,866
NVIDIA Corp.		30,643		8,611,296
Qorvo, Inc.†		1,600		123,024
Skyworks Solutions, Inc.		2,279		206,728
Texas Instruments, Inc.		63,451		6,807,658
Xilinx, Inc.		1,964		157,454
				21,895,531
Electronic Connectors — 0.5%
Amphenol Corp., Class A		23,028		2,165,093
TE Connectivity, Ltd.		3,194		280,848
				2,445,941
Electronic Forms — 1.5%
Adobe Systems, Inc.†		30,782		8,309,601
Electronic Measurement Instruments — 0.7%
Agilent Technologies, Inc.		30,823		2,174,254
FLIR Systems, Inc.		1,195		73,457
Fortive Corp.		17,731		1,492,950
				3,740,661
Electronic Security Devices — 0.0%
Allegion PLC		786		71,188
Enterprise Software/Service — 0.9%
Oracle Corp.		18,353		946,281
Tyler Technologies, Inc.†		6,671		1,634,795
Ultimate Software Group, Inc.†		6,875		2,215,056
				4,796,132

Security Description	Shares		Value (Note 2)
Entertainment Software — 1.1%
Activision Blizzard, Inc.		44,454	$	3,698,128
Electronic Arts, Inc.†		18,360		2,212,196
Take-Two Interactive Software, Inc.†		942		129,987
				6,040,311
Finance-Consumer Loans — 0.2%
Synchrony Financial		31,903		991,545
Finance-Credit Card — 4.6%
Alliance Data Systems Corp.		367		86,671
American Express Co.		5,393		574,300
Mastercard, Inc., Class A		47,485		10,570,636
Visa, Inc., Class A		90,888		13,641,380
				24,872,987
Finance-Investment Banker/Broker — 0.4%
Charles Schwab Corp.		15,309		752,438
E*TRADE Financial Corp.†		3,306		173,201
TD Ameritrade Holding Corp.		26,524		1,401,263
				2,326,902
Finance-Other Services — 0.8%
Cboe Global Markets, Inc.		8,606		825,832
CME Group, Inc.		8,774		1,493,423
Intercontinental Exchange, Inc.		23,781		1,780,959
Nasdaq, Inc.		704		60,403
				4,160,617
Food-Catering — 0.2%
Aramark		31,117		1,338,653
Food-Confectionery — 0.0%
Hershey Co.		961		98,022
Food-Misc./Diversified — 0.4%
General Mills, Inc.		2,656		113,995
Kellogg Co.		1,160		81,223
Kraft Heinz Co.		13,609		749,992
McCormick & Co., Inc.		757		99,735
Mondelez International, Inc., Class A		20,748		891,334
				1,936,279
Hotels/Motels — 0.1%
Hilton Worldwide Holdings, Inc.		1,519		122,705
Marriott International, Inc., Class A		3,667		484,154
				606,859
Human Resources — 0.0%
Robert Half International, Inc.		920		64,750
Independent Power Producers — 0.2%
NRG Energy, Inc.		25,341		947,753
Industrial Automated/Robotic — 0.3%
Cognex Corp.		23,703		1,323,101
Rockwell Automation, Inc.		1,082		202,897
				1,525,998
Industrial Gases — 0.4%
Air Products & Chemicals, Inc.		12,016		2,007,273
Praxair, Inc.		1,904		306,030
				2,313,303

158

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Instruments-Controls — 0.7%
Honeywell International, Inc.		22,854	$	3,802,906
Mettler-Toledo International, Inc.†		321		195,482
				3,998,388
Instruments-Scientific — 0.1%
PerkinElmer, Inc.		874		85,014
Waters Corp.†		981		190,981
				275,995
Insurance Brokers — 0.1%
Aon PLC		1,823		280,341
Arthur J. Gallagher & Co.		1,186		88,286
Marsh & McLennan Cos., Inc.		3,665		303,169
Willis Towers Watson PLC		699		98,517
				770,313
Insurance-Life/Health — 0.0%
Principal Financial Group, Inc.		1,551		90,873
Torchmark Corp.		554		48,026
				138,899
Insurance-Multi-line — 0.0%
Allstate Corp.		2,072		204,506
Insurance-Property/Casualty — 0.7%
Markel Corp.†		705		837,885
Progressive Corp.		38,594		2,741,718
				3,579,603
Internet Content-Entertainment — 3.5%
Facebook, Inc., Class A†		83,297		13,699,025
Netflix, Inc.†		12,941		4,841,616
Twitter, Inc.†		9,166		260,864
				18,801,505
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		449		89,540
Internet Security — 0.0%
Symantec Corp.		3,561		75,778
Investment Management/Advisor Services — 0.2%
Affiliated Managers Group, Inc.		306		41,836
Ameriprise Financial, Inc.		1,246		183,985
BlackRock, Inc.		923		435,038
Raymond James Financial, Inc.		802		73,824
T. Rowe Price Group, Inc.		3,096		338,021
				1,072,704
Machinery-Construction & Mining — 0.1%
Caterpillar, Inc.		3,935		600,048
Machinery-Farming — 0.1%
Deere & Co.		2,252		338,543
Machinery-General Industrial — 0.1%
Roper Technologies, Inc.		1,316		389,812
Machinery-Material Handling — 0.0%
Dover Corp.		1,053		93,222
Machinery-Pumps — 0.2%
Xylem, Inc.		15,716		1,255,237

Security Description	Shares		Value (Note 2)
Medical Information Systems — 0.2%
athenahealth, Inc.†		6,968	$	930,925
Cerner Corp.†		4,189		269,813
				1,200,738
Medical Instruments — 2.1%
Boston Scientific Corp.†		137,086		5,277,811
Edwards Lifesciences Corp.†		14,234		2,478,139
Intuitive Surgical, Inc.†		4,674		2,682,876
Medtronic PLC		7,393		727,250
				11,166,076
Medical Labs & Testing Services — 0.1%
IQVIA Holdings, Inc.†		1,197		155,299
Laboratory Corp. of America Holdings†		752		130,607
				285,906
Medical Products — 0.8%
Abbott Laboratories		22,335		1,638,495
ABIOMED, Inc.†		571		256,807
Baxter International, Inc.		3,542		273,053
Becton Dickinson and Co.		3,406		888,966
Cooper Cos., Inc.		626		173,496
Hologic, Inc.†		3,464		141,955
Stryker Corp.		3,952		702,191
Varian Medical Systems, Inc.†		618		69,173
Zimmer Biomet Holdings, Inc.		1,451		190,763
				4,334,899
Medical-Biomedical/Gene — 3.6%
Alexion Pharmaceuticals, Inc.†		10,472		1,455,713
Amgen, Inc.		4,862		1,007,844
AnaptysBio, Inc.†		9,862		983,932
Biogen, Inc.†		3,735		1,319,613
BioMarin Pharmaceutical, Inc.†		9,004		873,118
Celgene Corp.†		28,085		2,513,327
Gilead Sciences, Inc.		13,222		1,020,871
Illumina, Inc.†		9,231		3,388,331
Incyte Corp.†		15,742		1,087,457
Insmed, Inc.†		23,495		475,069
Regeneron Pharmaceuticals, Inc.†		4,565		1,844,442
Shire PLC ADR		5,034		912,513
Vertex Pharmaceuticals, Inc.†		13,310		2,565,369
				19,447,599
Medical-Drugs — 3.8%
AbbVie, Inc.		24,508		2,317,967
Alkermes PLC†		13,874		588,813
Bristol-Myers Squibb Co.		43,286		2,687,195
Eli Lilly & Co.		51,497		5,526,143
Global Blood Therapeutics, Inc.†		5,159		196,042
Johnson & Johnson		18,444		2,548,407
Merck & Co., Inc.		35,455		2,515,178
Pfizer, Inc.		34,331		1,512,967
Zoetis, Inc.		29,761		2,724,917
				20,617,629

159

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Generic Drugs — 0.1%
Mylan NV†		19,737	$	722,374
Perrigo Co. PLC		577		40,852
				763,226
Medical-HMO — 2.7%
Aetna, Inc.		2,082		422,334
Anthem, Inc.		1,754		480,684
Centene Corp.†		2,613		378,310
Cigna Corp.		3,098		645,158
Humana, Inc.		14,889		5,040,224
UnitedHealth Group, Inc.		28,493		7,580,278
WellCare Health Plans, Inc.†		394		126,273
				14,673,261
Medical-Hospitals — 0.1%
HCA Healthcare, Inc.		1,856		258,207
Multimedia — 0.4%
Liberty Media Corp. — Liberty Formula One, Series C†		36,309		1,350,332
Walt Disney Co.		8,899		1,040,649
				2,390,981
Networking Products — 0.6%
Arista Networks, Inc.†		657		174,670
Cisco Systems, Inc.		62,031		3,017,808
				3,192,478
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		1,277		92,787
Waste Management, Inc.		5,021		453,697
				546,484
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		1,113		120,594
Oil Companies-Exploration & Production — 0.8%
Anadarko Petroleum Corp.		12,582		848,153
Cabot Oil & Gas Corp.		2,584		58,192
Cimarex Energy Co.		388		36,061
Diamondback Energy, Inc.		8,002		1,081,790
EOG Resources, Inc.		16,026		2,044,437
Hess Corp.		994		71,150
				4,139,783
Oil Refining & Marketing — 0.1%
Marathon Petroleum Corp.		8,443		675,187
Real Estate Investment Trusts — 1.8%
Alexandria Real Estate Equities, Inc.		727		91,449
American Tower Corp.		33,109		4,810,738
Apartment Investment & Management Co., Class A		881		38,879
AvalonBay Communities, Inc.		774		140,210
Boston Properties, Inc.		865		106,473
Crown Castle International Corp.		3,591		399,786
Digital Realty Trust, Inc.		1,574		177,044
Equinix, Inc.		4,023		1,741,516
Essex Property Trust, Inc.		437		107,812
Extra Space Storage, Inc.		1,611		139,577
Federal Realty Investment Trust		440		55,647

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Invitation Homes, Inc.		21,665	$	496,345
Iron Mountain, Inc.		1,639		56,578
Prologis, Inc.		8,015		543,337
Public Storage		1,068		215,341
SBA Communications Corp.†		1,462		234,841
Simon Property Group, Inc.		1,929		340,951
UDR, Inc.		2,249		90,927
Vornado Realty Trust		1,433		104,609
				9,892,060
Real Estate Management/Services — 0.0%
CBRE Group, Inc., Class A†		4,023		177,414
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		1,053		172,271
Respiratory Products — 0.0%
ResMed, Inc.		1,817		209,573
Retail-Apparel/Shoe — 0.4%
Ross Stores, Inc.		21,058		2,086,848
Tapestry, Inc.		1,430		71,886
				2,158,734
Retail-Auto Parts — 0.1%
AutoZone, Inc.†		145		112,477
O'Reilly Automotive, Inc.†		554		192,415
				304,892
Retail-Automobile — 0.0%
CarMax, Inc.†		1,124		83,929
Copart, Inc.†		2,602		134,081
				218,010
Retail-Building Products — 1.0%
Home Depot, Inc.		21,270		4,406,081
Lowe's Cos., Inc.		7,021		806,151
				5,212,232
Retail-Discount — 0.4%
Dollar General Corp.		1,623		177,394
Dollar Tree, Inc.†		3,029		247,015
Walmart, Inc.		19,519		1,833,029
				2,257,438
Retail-Gardening Products — 0.2%
Tractor Supply Co.		9,381		852,545
Retail-Jewelry — 0.0%
Tiffany & Co.		583		75,189
Retail-Major Department Stores — 0.1%
TJX Cos., Inc.		3,593		402,488
Retail-Perfume & Cosmetics — 0.0%
Ulta Beauty, Inc.†		499		140,778
Retail-Restaurants — 2.2%
Chipotle Mexican Grill, Inc.†		1,532		696,325
Darden Restaurants, Inc.		948		105,408
Dunkin' Brands Group, Inc.		31,802		2,344,443
McDonald's Corp.		33,393		5,586,315
Starbucks Corp.		55,652		3,163,260
Yum! Brands, Inc.		1,818		165,274
				12,061,025

160

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Semiconductor Components-Integrated Circuits — 0.8%
Analog Devices, Inc.		15,499	$	1,433,037
Marvell Technology Group, Ltd.		60,639		1,170,333
NXP Semiconductors NV		12,866		1,100,043
QUALCOMM, Inc.		6,267		451,412
				4,154,825
Semiconductor Equipment — 0.6%
Applied Materials, Inc.		12,515		483,705
KLA-Tencor Corp.		1,988		202,199
Lam Research Corp.		15,288		2,319,190
				3,005,094
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		375		96,030
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		1,656		98,317
Television — 0.0%
CBS Corp., Class B		1,939		111,396
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		525		92,059
Therapeutics — 0.3%
Neurocrine Biosciences, Inc.†		13,784		1,694,743
Sarepta Therapeutics, Inc.†		935		151,012
				1,845,755
Tobacco — 1.1%
Altria Group, Inc.		70,948		4,278,874
Philip Morris International, Inc.		20,467		1,668,879
				5,947,753
Tools-Hand Held — 0.2%
Stanley Black & Decker, Inc.		7,561		1,107,233
Toys — 0.0%
Hasbro, Inc.		803		84,411
Mattel, Inc.†		1,183		18,573
				102,984
Transport-Rail — 1.6%
CSX Corp.		69,792		5,168,098
Kansas City Southern		611		69,214
Norfolk Southern Corp.		1,604		289,522
Union Pacific Corp.		19,139		3,116,403
				8,643,237
Transport-Services — 0.2%
Expeditors International of Washington, Inc.		1,221		89,780
FedEx Corp.		1,765		424,994
United Parcel Service, Inc., Class B		4,326		505,061
				1,019,835
Transport-Truck — 0.2%
JB Hunt Transport Services, Inc.		635		75,527
XPO Logistics, Inc.†		9,416		1,075,025
				1,150,552
Veterinary Diagnostics — 0.1%
Elanco Animal Health, Inc.†		12,200		425,658

Security Description	Shares/ Principal Amount			Value (Note 2)
Water — 0.0%
American Water Works Co., Inc.		1,264		$	111,194
Web Hosting/Design — 0.2%
GoDaddy, Inc., Class A†		12,500			1,042,375
VeriSign, Inc.†		1,366			218,724
					1,261,099
Web Portals/ISP — 5.7%
Alphabet, Inc., Class A†		8,394			10,132,229
Alphabet, Inc., Class C†		17,363			20,722,220
					30,854,449
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		2,066			268,869
Total Common Stocks (cost $375,957,198)					529,940,059
EXCHANGE-TRADED FUNDS — 1.9%
iShares S&P 500 Growth Index Fund		26,176			4,637,602
SPDR Portfolio S&P 500 Growth ETF		148,000			5,659,520
Total Exchange-Traded Funds (cost $9,937,019)					10,297,122
Total Long-Term Investment Securities (cost $385,894,217)					540,237,181
SHORT-TERM INVESTMENT SECURITIES — 0.6%
Registered Investment Companies — 0.1%
State Street Institutional U.S. Government Money Market Fund, Administration Class 1.72%(1)		718,168			718,168
U.S. Government Agencies — 0.4%
Federal Home Loan Bank 1.88% due 10/01/2018	$	1,900,000			1,900,000
U.S. Government Treasuries — 0.1%
United States Treasury Bills 2.05% due 11/01/2018(2)		15,000			14,973
2.11% due 01/03/2019(2)		800,000			795,410
					810,383
Total Short-Term Investment Securities (cost $3,428,761)					3,428,551
REPURCHASE AGREEMENTS — 0.2%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42% dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $$826,029 and collateralized by $865,000 of United States Treasury Bonds, bearing interest at 3.00% due 11/15/2044 and having an approximate value of $846,388. (cost $826,000)		826,000			826,000
TOTAL INVESTMENTS (cost $390,148,978)(3)		100.0	%		544,491,732
Other assets less liabilities		0.0			12,832
NET ASSETS		100.0	%	$	544,504,564

161

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

†  Non-income producing security

(1)  The rate shown is the 7-day yield as of September 30, 2018.

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

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

ADR — American Depositary Receipt

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Growth Index	December 2018	$	1,764,220	$	1,775,000	$	10,780

*  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, 2018 (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	$	529,940,059	$	—	$	—	$	529,940,059
Exchange-Traded Funds		10,297,122		—		—		10,297,122
Short-Term Investment Securities:
Registered Investment Companies		718,168		—		—		718,168
Other Industries		—		2,710,383		—		2,710,383
Repurchase Agreements		—		826,000		—		826,000
Total Investments at Value	$	540,955,349	$	3,536,383	$	—	$	544,491,732
Other Financial Instruments:†
Futures Contracts	$	10,780	$	—	$	—	$	10,780

*  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

162

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Medical-Drugs	7.8	%
Diversified Banking Institutions	7.5
Oil Companies-Integrated	4.8
Banks-Super Regional	4.7
Electric-Integrated	3.6
Oil Companies-Exploration & Production	3.3
Telephone-Integrated	3.0
Food-Misc./Diversified	2.7
Oil-Field Services	2.5
Diversified Manufacturing Operations	2.4
Chemicals-Diversified	2.3
Cosmetics & Toiletries	2.2
Networking Products	2.1
Electronic Components-Semiconductors	2.0
Real Estate Investment Trusts	2.0
Banks-Commercial	1.9
Insurance-Multi-line	1.8
Medical Instruments	1.7
Investment Management/Advisor Services	1.6
Retail-Discount	1.4
Insurance-Property/Casualty	1.4
Semiconductor Components-Integrated Circuits	1.4
Repurchase Agreements	1.3
Medical Products	1.2
Tobacco	1.2
Transport-Rail	1.2
Insurance-Life/Health	1.2
Multimedia	1.1
Machinery-Construction & Mining	1.1
Exchange-Traded Funds	1.0
Banks-Fiduciary	1.0
Enterprise Software/Service	1.0
Beverages-Non-alcoholic	1.0
Aerospace/Defense-Equipment	1.0
Cable/Satellite TV	0.8
Pipelines	0.8
Medical-Biomedical/Gene	0.7
Food-Wholesale/Distribution	0.7
Electric-Distribution	0.6
Auto-Cars/Light Trucks	0.6
Medical-HMO	0.6
Computer Services	0.6
Retail-Auto Parts	0.6
Hotels/Motels	0.5
Medical-Wholesale Drug Distribution	0.5
Insurance Brokers	0.5
Oil Refining & Marketing	0.5
Computers-Memory Devices	0.5
Engines-Internal Combustion	0.5
Retail-Drug Store	0.5
Airlines	0.5
Transport-Services	0.5
Paper & Related Products	0.5
Retail-Catalog Shopping	0.5
Finance-Consumer Loans	0.4
Wireless Equipment	0.4
Pharmacy Services	0.4
Building Products-Air & Heating	0.4
Retail-Apparel/Shoe	0.4
Building & Construction Products-Misc.	0.4

Retail-Restaurants	0.4	%
Electronic Connectors	0.4
Containers-Paper/Plastic	0.4
Building-Residential/Commercial	0.4
Semiconductor Equipment	0.4
Home Decoration Products	0.4
Finance-Investment Banker/Broker	0.3
Aerospace/Defense	0.3
Footwear & Related Apparel	0.3
Diagnostic Equipment	0.3
Auto/Truck Parts & Equipment-Original	0.3
Computers	0.2
Finance-Credit Card	0.2
Cruise Lines	0.2
Instruments-Controls	0.2
Industrial Gases	0.1
Retail-Major Department Stores	0.1
Apparel Manufacturers	0.1
Commercial Services	0.1
Athletic Footwear	0.1
Medical-Hospitals	0.1
Commercial Services-Finance	0.1
Medical Labs & Testing Services	0.1
Consumer Products-Misc.	0.1
Retail-Building Products	0.1
Electric Products-Misc.	0.1
Food-Meat Products	0.1
Agricultural Operations	0.1
Distribution/Wholesale	0.1
Medical-Generic Drugs	0.1
Finance-Other Services	0.1
Advertising Agencies	0.1
Auto-Heavy Duty Trucks	0.1
Food-Retail	0.1
Retail-Regional Department Stores	0.1
Data Processing/Management	0.1
Machinery-Farming	0.1
Metal-Copper	0.1
Steel-Producers	0.1
Retail-Consumer Electronics	0.1
Agricultural Chemicals	0.1
Food-Confectionery	0.1
Tools-Hand Held	0.1
Engineering/R&D Services	0.1
Oil Field Machinery & Equipment	0.1
Gold Mining	0.1
	99.1	%

*  Calculated as a percentage of net assets

163

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.8%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		9,172	$	209,764
Omnicom Group, Inc.		5,362		364,723
				574,487
Aerospace/Defense — 0.3%
General Dynamics Corp.		3,328		681,308
Lockheed Martin Corp.		2,250		778,410
Northrop Grumman Corp.		1,332		422,737
Raytheon Co.		2,659		549,509
				2,431,964
Aerospace/Defense-Equipment — 1.0%
Arconic, Inc.		10,273		226,109
Harris Corp.		1,039		175,809
L3 Technologies, Inc.		1,872		398,025
United Technologies Corp.		48,256		6,746,671
				7,546,614
Agricultural Chemicals — 0.1%
CF Industries Holdings, Inc.		3,181		173,174
Mosaic Co.		8,475		275,268
				448,442
Agricultural Operations — 0.1%
Archer-Daniels-Midland Co.		13,378		672,512
Airlines — 0.5%
Alaska Air Group, Inc.		2,943		202,655
American Airlines Group, Inc.		4,506		186,233
Delta Air Lines, Inc.		15,036		869,532
Southwest Airlines Co.		31,127		1,943,881
United Continental Holdings, Inc.†		5,473		487,425
				3,689,726
Apparel Manufacturers — 0.1%
Hanesbrands, Inc.		4,997		92,095
PVH Corp.		1,833		264,685
Ralph Lauren Corp.		1,320		181,566
Under Armour, Inc., Class A†		4,447		94,365
Under Armour, Inc., Class C†		4,559		88,718
VF Corp.		2,953		275,958
				997,387
Appliances — 0.0%
Whirlpool Corp.		1,543		183,231
Athletic Footwear — 0.1%
NIKE, Inc., Class B		10,099		855,587
Auto-Cars/Light Trucks — 0.6%
Ford Motor Co.		93,565		865,476
General Motors Co.		31,360		1,055,891
Honda Motor Co., Ltd ADR		91,880		2,763,751
				4,685,118
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		8,378		571,296
Auto/Truck Parts & Equipment-Original — 0.3%
BorgWarner, Inc.		47,747		2,042,617

Security Description	Shares		Value (Note 2)
Banks-Commercial — 1.9%
BB&T Corp.		140,369	$	6,813,511
Citizens Financial Group, Inc.		11,375		438,734
ING Groep NV ADR		189,887		2,462,834
M&T Bank Corp.		28,201		4,640,193
Regions Financial Corp.		26,349		483,504
Zions Bancorporation		4,646		232,997
				15,071,773
Banks-Fiduciary — 1.0%
Bank of New York Mellon Corp.		138,657		7,070,121
Northern Trust Corp.		2,455		250,729
State Street Corp.		9,068		759,717
				8,080,567
Banks-Super Regional — 4.7%
Capital One Financial Corp.		11,434		1,085,430
Comerica, Inc.		2,007		181,031
Fifth Third Bancorp		15,926		444,654
Huntington Bancshares, Inc.		26,391		393,754
KeyCorp		25,143		500,094
PNC Financial Services Group, Inc.		63,744		8,681,295
SunTrust Banks, Inc.		11,011		735,425
US Bancorp		185,078		9,773,969
Wells Fargo & Co.		299,379		15,735,360
				37,531,012
Beverages-Non-alcoholic — 1.0%
Coca-Cola Co.		50,314		2,324,004
PepsiCo, Inc.		46,739		5,225,420
				7,549,424
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class B		1,329		67,181
Brewery — 0.0%
Molson Coors Brewing Co., Class B		4,473		275,089
Broadcast Services/Program — 0.0%
Discovery, Inc., Class A†		3,734		119,488
Discovery, Inc., Class C†		8,596		254,270
				373,758
Building & Construction Products-Misc. — 0.4%
Fortune Brands Home & Security, Inc.		57,707		3,021,539
Building Products-Air & Heating — 0.4%
Johnson Controls International PLC		89,505		3,132,675
Building Products-Cement — 0.0%
Martin Marietta Materials, Inc.		858		156,113
Vulcan Materials Co.		1,549		172,249
				328,362
Building Products-Wood — 0.0%
Masco Corp.		2,499		91,463
Building-Residential/Commercial — 0.4%
Lennar Corp., Class A		2,859		133,487
PulteGroup, Inc.		107,382		2,659,852
				2,793,339
Cable/Satellite TV — 0.8%
Comcast Corp., Class A		173,471		6,142,608
DISH Network Corp., Class A†		5,475		195,786
				6,338,394

164

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Casino Hotels — 0.0%
MGM Resorts International		6,839	$	190,876
Chemicals-Diversified — 2.3%
DowDuPont, Inc.		172,227		11,075,918
Eastman Chemical Co.		3,377		323,247
FMC Corp.		35,500		3,094,890
LyondellBasell Industries NV, Class A		35,377		3,626,496
PPG Industries, Inc.		3,008		328,263
				18,448,814
Chemicals-Specialty — 0.0%
Albemarle Corp.		1,063		106,066
International Flavors & Fragrances, Inc.		855		118,948
				225,014
Commercial Services — 0.1%
Ecolab, Inc.		3,281		514,395
Nielsen Holdings PLC		8,514		235,497
Quanta Services, Inc.†		3,556		118,700
				868,592
Commercial Services-Finance — 0.1%
Equifax, Inc.		1,180		154,073
H&R Block, Inc.		1,768		45,526
IHS Markit, Ltd.†		8,526		460,063
Western Union Co.		6,520		124,271
				783,933
Computer Aided Design — 0.0%
Autodesk, Inc.†		2,038		318,152
Computer Services — 0.6%
Accenture PLC, Class A		5,666		964,353
DXC Technology Co.		3,225		301,602
International Business Machines Corp.		21,815		3,298,646
				4,564,601
Computer Software — 0.0%
Akamai Technologies, Inc.†		2,431		177,827
Citrix Systems, Inc.†		1,355		150,622
				328,449
Computers — 0.2%
Hewlett Packard Enterprise Co.		35,172		573,655
HP, Inc.		37,819		974,596
				1,548,251
Computers-Memory Devices — 0.5%
NetApp, Inc.		37,398		3,212,114
Seagate Technology PLC		6,246		295,748
Western Digital Corp.		6,963		407,614
				3,915,476
Consulting Services — 0.0%
Verisk Analytics, Inc.†		1,417		170,819
Consumer Products-Misc. — 0.1%
Clorox Co.		1,316		197,939
Kimberly-Clark Corp.		4,653		528,767
				726,706

Security Description	Shares		Value (Note 2)
Containers-Metal/Glass — 0.0%
Ball Corp.		8,219	$	361,554
Containers-Paper/Plastic — 0.4%
Packaging Corp. of America		790		86,655
Sealed Air Corp.		2,353		94,473
WestRock Co.		49,577		2,649,395
				2,830,523
Cosmetics & Toiletries — 2.2%
Colgate-Palmolive Co.		10,992		735,915
Coty, Inc., Class A		10,766		135,221
Procter & Gamble Co.		133,279		11,092,811
Unilever NV		78,226		4,345,454
Unilever NV CVA		23,190		1,291,446
				17,600,847
Cruise Lines — 0.2%
Carnival Corp.		19,741		1,258,884
Royal Caribbean Cruises, Ltd.		1,392		180,876
				1,439,760
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc.		2,986		325,683
Paychex, Inc.		2,678		197,235
				522,918
Dental Supplies & Equipment — 0.0%
DENTSPLY SIRONA, Inc.		5,314		200,550
Diagnostic Equipment — 0.3%
Danaher Corp.		14,717		1,599,149
Thermo Fisher Scientific, Inc.		2,695		657,796
				2,256,945
Dialysis Centers — 0.0%
DaVita, Inc.†		3,032		217,182
Distribution/Wholesale — 0.1%
Fastenal Co.		3,018		175,104
LKQ Corp.†		3,193		101,122
WW Grainger, Inc.		1,087		388,505
				664,731
Diversified Banking Institutions — 7.5%
Bank of America Corp.		531,743		15,665,149
Citigroup, Inc.		179,234		12,858,247
Goldman Sachs Group, Inc.		8,392		1,881,822
JPMorgan Chase & Co.		241,887		27,294,529
Morgan Stanley		31,692		1,475,897
				59,175,644
Diversified Manufacturing Operations — 2.4%
Eaton Corp. PLC		90,342		7,835,362
General Electric Co.		311,625		3,518,246
Ingersoll-Rand PLC		45,321		4,636,338
Parker-Hannifin Corp.		1,392		256,031
Siemens AG		20,810		2,665,976
Textron, Inc.		5,937		424,317
				19,336,270

165

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Services — 0.0%
Expedia Group, Inc.		1,165	$	152,009
TripAdvisor, Inc.†		1,540		78,648
				230,657
Electric Products-Misc. — 0.1%
Emerson Electric Co.		8,862		678,652
Electric-Distribution — 0.6%
CenterPoint Energy, Inc.		11,761		325,192
PPL Corp.		16,720		489,227
Sempra Energy		34,054		3,873,642
				4,688,061
Electric-Integrated — 3.6%
AES Corp.		15,814		221,396
Alliant Energy Corp.		5,587		237,838
Ameren Corp.		5,833		368,762
American Electric Power Co., Inc.		11,781		835,037
CMS Energy Corp.		6,770		331,730
Consolidated Edison, Inc.		7,435		566,473
Dominion Energy, Inc.		9,687		680,802
DTE Energy Co.		4,344		474,061
Duke Energy Corp.		17,025		1,362,340
Edison International		109,926		7,439,792
Entergy Corp.		4,322		350,644
Evergy, Inc.		6,493		356,595
Eversource Energy		46,414		2,851,676
Exelon Corp.		23,085		1,007,891
FirstEnergy Corp.		6,853		254,726
NextEra Energy, Inc.		5,523		925,655
PG&E Corp.		12,360		568,684
Pinnacle West Capital Corp.		2,676		211,886
Public Service Enterprise Group, Inc.		12,077		637,545
SCANA Corp.		3,409		132,576
Southern Co.		24,238		1,056,777
WEC Energy Group, Inc.		4,374		292,008
Xcel Energy, Inc.		161,303		7,615,115
				28,780,009
Electronic Components-Misc. — 0.0%
Garmin, Ltd.		1,444		101,152
Electronic Components-Semiconductors — 2.0%
Advanced Micro Devices, Inc.†		13,532		418,003
Intel Corp.		322,399		15,246,249
Xilinx, Inc.		2,357		188,961
				15,853,213
Electronic Connectors — 0.4%
TE Connectivity, Ltd.		33,222		2,921,210
Electronic Measurement Instruments — 0.0%
FLIR Systems, Inc.		1,056		64,912
Fortive Corp.		2,499		210,416
				275,328
Electronic Security Devices — 0.0%
Allegion PLC		795		72,003

Security Description	Shares		Value (Note 2)
Engineering/R&D Services — 0.1%
Fluor Corp.		3,361	$	195,274
Jacobs Engineering Group, Inc.		2,849		217,949
				413,223
Engines-Internal Combustion — 0.5%
Cummins, Inc.		26,791		3,913,361
Enterprise Software/Service — 1.0%
CA, Inc.		7,496		330,948
Oracle Corp.		143,762		7,412,369
				7,743,317
Entertainment Software — 0.0%
Take-Two Interactive Software, Inc.†		952		131,366
Finance-Consumer Loans — 0.4%
Synchrony Financial		113,295		3,521,209
Finance-Credit Card — 0.2%
Alliance Data Systems Corp.		440		103,910
American Express Co.		6,750		718,808
Discover Financial Services		8,189		626,049
				1,448,767
Finance-Investment Banker/Broker — 0.3%
Jefferies Financial Group, Inc.		6,931		152,205
TD Ameritrade Holding Corp.		48,092		2,540,700
				2,692,905
Finance-Other Services — 0.1%
CME Group, Inc.		2,686		457,184
Nasdaq, Inc.		1,431		122,780
				579,964
Food-Confectionery — 0.1%
Hershey Co.		1,537		156,774
J.M. Smucker Co.		2,718		278,894
				435,668
Food-Meat Products — 0.1%
Hormel Foods Corp.		6,498		256,021
Tyson Foods, Inc., Class A		7,072		420,996
				677,017
Food-Misc./Diversified — 2.7%
Campbell Soup Co.		4,599		168,461
Conagra Brands, Inc.		75,310		2,558,281
General Mills, Inc.		9,258		397,353
Kellogg Co.		22,101		1,547,512
Kraft Heinz Co.		14,861		818,990
McCormick & Co., Inc.		1,478		194,726
Mondelez International, Inc., Class A		272,549		11,708,705
Nestle SA ADR		49,884		4,150,349
				21,544,377
Food-Retail — 0.1%
Kroger Co.		19,040		554,254
Food-Wholesale/Distribution — 0.7%
Sysco Corp.		29,039		2,127,107
US Foods Holding Corp.†		107,213		3,304,304
				5,431,411

166

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Footwear & Related Apparel — 0.3%
Skechers U.S.A., Inc., Class A†		86,200	$	2,407,566
Gas-Distribution — 0.0%
NiSource, Inc.		8,677		216,231
Gold Mining — 0.1%
Newmont Mining Corp.		12,748		384,990
Hazardous Waste Disposal — 0.0%
Stericycle, Inc.†		2,053		120,470
Home Decoration Products — 0.4%
Newell Brands, Inc.		136,173		2,764,312
Home Furnishings — 0.0%
Leggett & Platt, Inc.		3,111		136,231
Hotels/Motels — 0.5%
Hilton Worldwide Holdings, Inc.		53,532		4,324,315
Human Resources — 0.0%
Robert Half International, Inc.		1,200		84,456
Independent Power Producers — 0.0%
NRG Energy, Inc.		3,336		124,766
Industrial Automated/Robotic — 0.0%
Rockwell Automation, Inc.		913		171,206
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		3,354		560,286
Praxair, Inc.		3,299		530,248
				1,090,534
Instruments-Controls — 0.2%
Honeywell International, Inc.		7,277		1,210,893
Instruments-Scientific — 0.0%
PerkinElmer, Inc.		1,006		97,854
Insurance Brokers — 0.5%
Aon PLC		2,378		365,689
Arthur J. Gallagher & Co.		2,139		159,227
Marsh & McLennan Cos., Inc.		40,362		3,338,745
Willis Towers Watson PLC		1,813		255,524
				4,119,185
Insurance-Life/Health — 1.2%
Aflac, Inc.		75,780		3,566,965
Brighthouse Financial, Inc.†		2,863		126,659
Lincoln National Corp.		5,179		350,411
Principal Financial Group, Inc.		64,942		3,804,952
Prudential Financial, Inc.		9,966		1,009,755
Torchmark Corp.		1,437		124,573
Unum Group		5,227		204,219
				9,187,534
Insurance-Multi-line — 1.8%
Allstate Corp.		4,386		432,898
American International Group, Inc.(1)		21,234		1,130,498
Assurant, Inc.		1,262		136,233
Chubb, Ltd.		77,650		10,377,146
Cincinnati Financial Corp.		3,615		277,668
Hartford Financial Services Group, Inc.		8,566		427,957
Loews Corp.		6,646		333,829
MetLife, Inc.		23,776		1,110,815
				14,227,044

Security Description	Shares		Value (Note 2)
Insurance-Property/Casualty — 1.4%
Berkshire Hathaway, Inc., Class B†		46,591	$	9,975,599
Travelers Cos., Inc.		6,398		829,885
				10,805,484
Insurance-Reinsurance — 0.0%
Everest Re Group, Ltd.		976		222,987
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		610		121,646
Internet Security — 0.0%
Symantec Corp.		8,170		173,858
Investment Management/Advisor Services — 1.6%
Affiliated Managers Group, Inc.		702		95,977
Ameriprise Financial, Inc.		25,321		3,738,899
BlackRock, Inc.		1,204		567,481
Franklin Resources, Inc.		7,306		222,176
Invesco, Ltd.		357,474		8,179,005
Raymond James Financial, Inc.		1,632		150,226
				12,953,764
Machinery-Construction & Mining — 1.1%
Atlas Copco AB, Class B		131,990		3,522,001
Caterpillar, Inc.		34,117		5,202,501
				8,724,502
Machinery-Farming — 0.1%
Deere & Co.		3,460		520,142
Machinery-Material Handling — 0.0%
Dover Corp.		1,553		137,487
Machinery-Pumps — 0.0%
Flowserve Corp.		3,127		171,016
Xylem, Inc.		1,331		106,307
				277,323
Medical Instruments — 1.7%
Medtronic PLC		138,753		13,649,133
Medical Labs & Testing Services — 0.1%
IQVIA Holdings, Inc.†		1,627		211,087
Laboratory Corp. of America Holdings†		1,023		177,675
Quest Diagnostics, Inc.		3,266		352,434
				741,196
Medical Products — 1.2%
Abbott Laboratories		21,230		1,557,433
Baxter International, Inc.		5,225		402,795
Henry Schein, Inc.†		19,399		1,649,497
Varian Medical Systems, Inc.†		1,028		115,064
Zimmer Biomet Holdings, Inc.		46,170		6,069,970
				9,794,759
Medical-Biomedical/Gene — 0.7%
Alexion Pharmaceuticals, Inc.†		2,557		355,449
Amgen, Inc.		6,343		1,314,840
Biogen, Inc.†		1,492		527,139
Gilead Sciences, Inc.		10,844		837,265
Vertex Pharmaceuticals, Inc.†		13,489		2,599,870
				5,634,563

167

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs — 7.8%
Allergan PLC		46,099	$	8,780,937
AstraZeneca PLC ADR		99,916		3,953,676
Bristol-Myers Squibb Co.		87,695		5,444,106
Eli Lilly & Co.		51,242		5,498,779
Johnson & Johnson		95,044		13,132,229
Merck & Co., Inc.		114,054		8,090,991
Pfizer, Inc.		253,346		11,164,958
Roche Holding AG		8,170		1,979,231
Roche Holding AG ADR		112,216		3,384,435
				61,429,342
Medical-Generic Drugs — 0.1%
Mylan NV†		12,322		450,985
Perrigo Co. PLC		1,926		136,361
				587,346
Medical-HMO — 0.6%
Aetna, Inc.		3,909		792,941
Anthem, Inc.		2,920		800,226
Cigna Corp.		8,250		1,718,063
Humana, Inc.		3,293		1,114,746
WellCare Health Plans, Inc.†		454		145,502
				4,571,478
Medical-Hospitals — 0.1%
Envision Healthcare Corp.†		2,895		132,388
HCA Healthcare, Inc.		2,967		412,769
Universal Health Services, Inc., Class B		2,057		262,967
				808,124
Medical-Wholesale Drug Distribution — 0.5%
AmerisourceBergen Corp.		3,826		352,834
Cardinal Health, Inc.		7,381		398,574
McKesson Corp.		25,824		3,425,553
				4,176,961
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		34,631		482,064
Motorcycle/Motor Scooter — 0.0%
Harley-Davidson, Inc.		3,981		180,339
Multimedia — 1.1%
Twenty-First Century Fox, Inc., Class A		25,192		1,167,145
Twenty-First Century Fox, Inc., Class B		11,642		533,436
Viacom, Inc., Class B		145,556		4,913,971
Walt Disney Co.		18,839		2,203,033
				8,817,585
Networking Products — 2.1%
Cisco Systems, Inc.		340,126		16,547,130
Non-Hazardous Waste Disposal — 0.0%
Republic Services, Inc.		2,813		204,393
Office Automation & Equipment — 0.0%
Xerox Corp.		5,304		143,102
Oil & Gas Drilling — 0.0%
Helmerich & Payne, Inc.		2,604		179,077

Security Description	Shares		Value (Note 2)
Oil Companies-Exploration & Production — 3.3%
Anadarko Petroleum Corp.		53,749	$	3,623,220
Apache Corp.		9,141		435,751
Cabot Oil & Gas Corp.		5,694		128,229
Cimarex Energy Co.		1,550		144,057
Concho Resources, Inc.†		4,786		731,062
ConocoPhillips		27,774		2,149,708
Devon Energy Corp.		12,160		485,670
EOG Resources, Inc.		49,825		6,356,175
EQT Corp.		56,160		2,483,957
Hess Corp.		4,151		297,129
Marathon Oil Corp.		20,414		475,238
Newfield Exploration Co.†		4,777		137,721
Noble Energy, Inc.		88,396		2,757,071
Occidental Petroleum Corp.		18,277		1,501,821
Pioneer Natural Resources Co.		24,418		4,253,371
				25,960,180
Oil Companies-Integrated — 4.8%
Chevron Corp.		175,928		21,512,476
Exxon Mobil Corp.		101,187		8,602,919
Royal Dutch Shell PLC, Class B ADR		21,840		1,549,111
TOTAL SA ADR		100,920		6,498,239
				38,162,745
Oil Field Machinery & Equipment — 0.1%
National Oilwell Varco, Inc.		9,145		393,967
Oil Refining & Marketing — 0.5%
Andeavor		3,323		510,080
HollyFrontier Corp.		3,874		270,793
Marathon Petroleum Corp.		10,779		861,997
Phillips 66		10,208		1,150,646
Valero Energy Corp.		10,215		1,161,956
				3,955,472
Oil-Field Services — 2.5%
Baker Hughes a GE Co., LLC		104,262		3,527,183
Halliburton Co.		113,430		4,597,318
Schlumberger, Ltd.		187,990		11,452,351
TechnipFMC PLC		10,211		319,094
				19,895,946
Paper & Related Products — 0.5%
International Paper Co.		74,301		3,651,894
Pharmacy Services — 0.4%
CVS Health Corp.		24,332		1,915,415
Express Scripts Holding Co.†		13,437		1,276,649
				3,192,064
Pipelines — 0.8%
Kinder Morgan, Inc.		264,321		4,686,411
ONEOK, Inc.		9,829		666,308
Williams Cos., Inc.		28,904		785,900
				6,138,619
Publishing-Newspapers — 0.0%
News Corp., Class A		9,163		120,860
News Corp., Class B		2,958		40,229
				161,089

168

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts — 2.0%
Alexandria Real Estate Equities, Inc.		1,163	$	146,294
Apartment Investment & Management Co., Class A		2,106		92,938
AvalonBay Communities, Inc.		1,850		335,127
Boston Properties, Inc.		2,067		254,427
Brixmor Property Group, Inc.		213,947		3,746,212
Crown Castle International Corp.		3,173		353,250
Digital Realty Trust, Inc.		1,970		221,586
Duke Realty Corp.		8,539		242,251
Equity Residential		8,802		583,220
Essex Property Trust, Inc.		758		187,006
Federal Realty Investment Trust		931		117,744
HCP, Inc.		11,229		295,547
Host Hotels & Resorts, Inc.		17,726		374,019
Iron Mountain, Inc.		3,761		129,830
Kimco Realty Corp.		10,071		168,589
Macerich Co.		2,528		139,773
Mid-America Apartment Communities, Inc.		2,720		272,490
Park Hotels & Resorts, Inc.		125,928		4,132,957
Public Storage		1,576		317,769
Realty Income Corp.		6,932		394,361
Regency Centers Corp.		4,049		261,849
Simon Property Group, Inc.		3,769		666,171
SL Green Realty Corp.		2,069		201,790
UDR, Inc.		2,175		87,935
Ventas, Inc.		8,519		463,263
Vornado Realty Trust		1,448		105,704
Welltower, Inc.		8,891		571,869
Weyerhaeuser Co.		18,108		584,345
				15,448,316
Retail-Apparel/Shoe — 0.4%
Foot Locker, Inc.		2,794		142,438
Gap, Inc.		5,186		149,616
L Brands, Inc.		74,571		2,259,501
Ross Stores, Inc.		3,060		303,246
Tapestry, Inc.		4,199		211,084
				3,065,885
Retail-Auto Parts — 0.6%
Advance Auto Parts, Inc.		12,671		2,132,909
AutoZone, Inc.†		2,150		1,667,755
Genuine Parts Co.		3,507		348,596
O'Reilly Automotive, Inc.†		886		307,726
				4,456,986
Retail-Automobile — 0.0%
CarMax, Inc.†		2,110		157,554
Retail-Building Products — 0.1%
Lowe's Cos., Inc.		6,202		712,114
Retail-Catalog Shopping — 0.5%
Qurate Retail, Inc.†		163,278		3,626,404
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		5,809		461,002

Security Description	Shares		Value (Note 2)
Retail-Discount — 1.4%
Costco Wholesale Corp.		10,481	$	2,461,777
Dollar General Corp.		3,300		360,690
Target Corp.		25,780		2,274,054
Walmart, Inc.		65,048		6,108,658
				11,205,179
Retail-Drug Store — 0.5%
Walgreens Boots Alliance, Inc.		51,171		3,730,366
Retail-Gardening Products — 0.0%
Tractor Supply Co.		1,718		156,132
Retail-Jewelry — 0.0%
Tiffany & Co.		1,510		194,745
Retail-Major Department Stores — 0.1%
Nordstrom, Inc.		2,739		163,819
TJX Cos., Inc.		8,243		923,381
				1,087,200
Retail-Perfume & Cosmetics — 0.0%
Ulta Beauty, Inc.†		421		118,773
Retail-Regional Department Stores — 0.1%
Kohl's Corp.		3,984		297,007
Macy's, Inc.		7,337		254,814
				551,821
Retail-Restaurants — 0.4%
Chipotle Mexican Grill, Inc.†		357		162,264
Darden Restaurants, Inc.		1,186		131,871
McDonald's Corp.		9,970		1,667,881
Starbucks Corp.		11,608		659,799
Yum! Brands, Inc.		4,172		379,277
				3,001,092
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		5,665		132,504
Savings & Loans/Thrifts — 0.0%
People's United Financial, Inc.		8,337		142,729
Semiconductor Components-Integrated Circuits — 1.4%
QUALCOMM, Inc.		107,777		7,763,177
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		67,131		2,964,505
				10,727,682
Semiconductor Equipment — 0.4%
Applied Materials, Inc.		71,690		2,770,818
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		331		84,762
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		2,757		163,683
Steel-Producers — 0.1%
Nucor Corp.		7,561		479,745
Telecommunication Equipment — 0.0%
Juniper Networks, Inc.		8,241		246,983
Telephone-Integrated — 3.0%
AT&T, Inc.		173,561		5,828,178
CenturyLink, Inc.		22,717		481,600
Verizon Communications, Inc.		328,468		17,536,907
				23,846,685

169

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Television — 0.0%
CBS Corp., Class B		4,450	$	255,653
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		530		92,936
Tobacco — 1.2%
Altria Group, Inc.		19,824		1,195,586
British American Tobacco PLC ADR		78,353		3,653,600
Philip Morris International, Inc.		57,015		4,649,003
				9,498,189
Tools-Hand Held — 0.1%
Snap-on, Inc.		1,348		247,493
Stanley Black & Decker, Inc.		1,243		182,025
				429,518
Toys — 0.0%
Hasbro, Inc.		1,284		134,974
Mattel, Inc.†		6,004		94,263
				229,237
Transport-Rail — 1.2%
Kansas City Southern		1,294		146,584
Norfolk Southern Corp.		3,681		664,421
Union Pacific Corp.		51,580		8,398,771
				9,209,776
Transport-Services — 0.5%
C.H. Robinson Worldwide, Inc.		3,311		324,213
Expeditors International of Washington, Inc.		1,875		137,869
FedEx Corp.		2,500		601,975
United Parcel Service, Inc., Class B		22,272		2,600,256
				3,664,313
Transport-Truck — 0.0%
JB Hunt Transport Services, Inc.		899		106,927
Water — 0.0%
American Water Works Co., Inc.		1,941		170,750
Water Treatment Systems — 0.0%
Pentair PLC		3,857		167,201
Wireless Equipment — 0.4%
Nokia OYJ ADR		584,599		3,262,062
Total Common Stocks (cost $671,922,602)				766,456,358
EXCHANGE-TRADED FUNDS — 1.0%
iShares Russell 1000 Value ETF		51,360		6,503,203
iShares S&P 500 Value ETF		14,548		1,685,240
Total Exchange-Traded Funds (cost $7,999,593)				8,188,443
Total Long-Term Investment Securities (cost $679,922,195)				774,644,801

Security Description	Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 0.0%
U.S. Government Treasuries — 0.0%
United States Treasury Bills 2.03% due 12/06/2018(2) (cost $69,740)	$	70,000		$	69,727
REPURCHASE AGREEMENTS — 1.3%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $676,024 and collateralized by $695,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $690,268		676,000			676,000
Bank of America Securities LLC Joint Repurchase Agreement(3)		1,800,000			1,800,000
Barclays Capital, Inc. Joint Repurchase Agreement(3)		600,000			600,000
BNP Paribas SA Joint Repurchase Agreement(3)		3,420,000			3,420,000
Deutsche Bank AG Joint Repurchase Agreement(3)		635,000			635,000
RBS Securities, Inc. Joint Repurchase Agreement(3)		2,805,000			2,805,000
Total Repurchase Agreements (cost $9,936,000)					9,936,000
TOTAL INVESTMENTS (cost $689,927,935)(4)		99.1	%		784,650,528
Other assets less liabilities		0.9			7,449,735
NET ASSETS		100.0	%	$	792,100,263

†  Non-income producing security

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

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

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

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

ADR — American Depositary Receipt

CVA — Certification Van Aandelen (Dutch Cert.)

ETF — Exchange-Traded Fund

170

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

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 2018	$	1,143,720	$	1,136,600	($	7,120	)

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

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	JPY	265,449,636	USD	2,373,922	12/28/2018	$	20,904	$	—
Credit Suisse AG	EUR	7,589,758	USD	8,989,325	12/31/2018		108,287		—
Goldman Sachs & Co.	SEK	25,357,919	USD	2,908,303	12/28/2018		32,617		—
Morgan Stanley Capital Services, Inc.	GBP	1,267,408	USD	1,685,373	12/31/2018		25,965		—
	USD	358,939	GBP	272,807	12/31/2018		—		(1,755	)
							25,965		(1,755	)
UBS AG	CHF	1,639,944	USD	1,721,486	12/31/2018		35,660		—
Net Unrealized Appreciation (Depreciation)						$	223,433	$	(1,755	)

CHF — Swiss Franc
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
SEK — Swedish Krona
USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	766,456,358	$	—	$	—	$	766,456,358
Exchange-Traded Funds		8,188,443		—		—		8,188,443
Short-Term Investment Securities		—		69,727		—		69,727
Repurchase Agreements		—		9,936,000		—		9,936,000
Total Investments at Value	$	774,644,801	$	10,005,727	$	—	$	784,650,528
Other Financial Instruments:+
Futures Contracts	$	—	$	—	$	—	$	—
Forward Foreign Currency Contracts		—		223,433		—		223,433
Total Other Financial Instruments	$	—	$	223,433	$	—	$	223,433
LIABILITIES:
Other Financial Instruments:+
Futures Contracts	$	7,120	$	—	$	—	$	7,120
Forward Foreign Currency Contracts		—		1,755		—		1,755
Total Other Financial Instruments	$	7,120	$	1,755	$	—	$	8,875

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

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

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

See Notes to Financial Statements

171

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Enterprise Software/Service	5.3	%
Medical-Biomedical/Gene	4.1
Commercial Services-Finance	3.5
Applications Software	3.4
Electronic Components-Semiconductors	3.0
Medical Products	2.5
E-Commerce/Services	2.3
Data Processing/Management	2.3
Commercial Services	2.1
Hotels/Motels	1.9
Repurchase Agreements	1.8
Computer Aided Design	1.8
Medical Instruments	1.6
Retail-Apparel/Shoe	1.6
Web Hosting/Design	1.6
Semiconductor Equipment	1.5
Dental Supplies & Equipment	1.5
Oil Companies-Exploration & Production	1.5
Industrial Automated/Robotic	1.4
Finance-Investment Banker/Broker	1.3
Computer Software	1.2
Real Estate Investment Trusts	1.2
Machinery-General Industrial	1.2
Drug Delivery Systems	1.2
Building Products-Cement	1.2
Aerospace/Defense-Equipment	1.1
Retail-Restaurants	1.1
E-Commerce/Products	1.1
Consulting Services	1.0
Resorts/Theme Parks	1.0
Medical-HMO	1.0
Distribution/Wholesale	1.0
Apparel Manufacturers	1.0
Food-Misc./Diversified	0.9
Airlines	0.9
Patient Monitoring Equipment	0.8
Banks-Commercial	0.8
Retail-Discount	0.8
Schools	0.8
Retail-Auto Parts	0.8
Electronic Measurement Instruments	0.8
Office Automation & Equipment	0.7
Exchange-Traded Funds	0.7
Casino Hotels	0.7
Containers-Paper/Plastic	0.7
Semiconductor Components-Integrated Circuits	0.7
Internet Security	0.7
Medical-Drugs	0.7
Transport-Truck	0.7
Auto/Truck Parts & Equipment-Original	0.6
Internet Content-Information/News	0.6
Beverages-Non-alcoholic	0.6
Therapeutics	0.6
Auto-Cars/Light Trucks	0.5
Electronic Connectors	0.5
Cruise Lines	0.5
Lasers-System/Components	0.5
Aerospace/Defense	0.5
Diversified Manufacturing Operations	0.5
Investment Management/Advisor Services	0.5

Diagnostic Kits	0.5	%
Building-Residential/Commercial	0.5
Retail-Floor Coverings	0.5
Finance-Other Services	0.5
Recreational Vehicles	0.5
Retail-Automobile	0.4
Real Estate Management/Services	0.4
Recreational Centers	0.4
Transport-Services	0.4
Entertainment Software	0.4
Textile-Home Furnishings	0.4
Machinery-Pumps	0.4
Computer Services	0.4
Retail-Perfume & Cosmetics	0.4
Insurance-Property/Casualty	0.4
Chemicals-Diversified	0.4
Computers-Memory Devices	0.4
Finance-Credit Card	0.3
Consumer Products-Misc.	0.3
Containers-Metal/Glass	0.3
Security Services	0.3
Computers-Periphery Equipment	0.3
Chemicals-Specialty	0.3
Electronic Components-Misc.	0.3
Medical Information Systems	0.3
Instruments-Controls	0.3
Soap & Cleaning Preparation	0.3
E-Services/Consulting	0.3
Beverages-Wine/Spirits	0.3
Food-Confectionery	0.3
Decision Support Software	0.3
Electronic Security Devices	0.3
Lighting Products & Systems	0.3
Medical Labs & Testing Services	0.3
Shipbuilding	0.2
Power Converter/Supply Equipment	0.2
Computer Data Security	0.2
Television	0.2
Pipelines	0.2
Coatings/Paint	0.2
Insurance Brokers	0.2
Internet Content-Entertainment	0.2
Medical-Wholesale Drug Distribution	0.2
Internet Application Software	0.2
Electric Products-Misc.	0.2
Funeral Services & Related Items	0.2
Retail-Gardening Products	0.2
Wireless Equipment	0.2
Advertising Agencies	0.2
Building & Construction Products-Misc.	0.2
Networking Products	0.2
Transport-Rail	0.2
Human Resources	0.2
Internet Telephone	0.2
Gas-Distribution	0.2
Respiratory Products	0.2
Non-Hazardous Waste Disposal	0.2
Building-Maintenance & Services	0.2
Food-Meat Products	0.2
Multimedia	0.2

172

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Industry Allocation* (continued)
Garden Products	0.1	%
Instruments-Scientific	0.1
Rental Auto/Equipment	0.1
Medical-Hospitals	0.1
Retail-Jewelry	0.1
Telephone-Integrated	0.1
Machinery-Electrical	0.1
Theaters	0.1
Internet Infrastructure Software	0.1
Filtration/Separation Products	0.1
Banks-Fiduciary	0.1
Tools-Hand Held	0.1
Toys	0.1
Dialysis Centers	0.1
Disposable Medical Products	0.1
Office Supplies & Forms	0.1
Insurance-Reinsurance	0.1
Retail-Misc./Diversified	0.1
Water	0.1
Paper & Related Products	0.1
Auction Houses/Art Dealers	0.1
Finance-Consumer Loans	0.1
Food-Catering	0.1
Insurance-Multi-line	0.1
Radio	0.1
Engines-Internal Combustion	0.1
Retail-Convenience Store	0.1
Building Products-Wood	0.1
Food-Retail	0.1
Physical Therapy/Rehabilitation Centers	0.1
Industrial Gases	0.1
Building Products-Air & Heating	0.1
Retail-Major Department Stores	0.1
Agricultural Chemicals	0.1
Auto-Heavy Duty Trucks	0.1
Steel Pipe & Tube	0.1
Machine Tools & Related Products	0.1
Banks-Super Regional	0.1
Cable/Satellite TV	0.1
Retail-Mail Order	0.1
Medical-Outpatient/Home Medical	0.1
Retail-Consumer Electronics	0.1
Finance-Auto Loans	0.1
Finance-Mortgage Loan/Banker	0.1
U.S. Government Treasuries	0.1
	100.5	%

*  Calculated as a percentage of net assets

173

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.7%
Advanced Materials — 0.0%
Hexcel Corp.		456	$	30,575
Advertising Agencies — 0.2%
Interpublic Group of Cos., Inc.		4,748		108,587
Omnicom Group, Inc.		5,005		340,440
				449,027
Aerospace/Defense — 0.5%
Rockwell Collins, Inc.		531		74,589
Spirit AeroSystems Holdings, Inc., Class A		2,737		250,901
TransDigm Group, Inc.†		2,397		892,403
				1,217,893
Aerospace/Defense-Equipment — 1.1%
Curtiss-Wright Corp.		83		11,406
Harris Corp.		12,112		2,049,472
HEICO Corp.		930		86,127
HEICO Corp., Class A		1,832		138,316
L3 Technologies, Inc.		1,750		372,085
				2,657,406
Agricultural Chemicals — 0.1%
CF Industries Holdings, Inc.		2,900		157,876
Airlines — 0.9%
Alaska Air Group, Inc.		5,100		351,186
American Airlines Group, Inc.		6,700		276,911
Copa Holdings SA, Class A		1,000		79,840
JetBlue Airways Corp.†		59,139		1,144,931
United Continental Holdings, Inc.†		3,000		267,180
				2,120,048
Apparel Manufacturers — 1.0%
Carter's, Inc.		1,118		110,235
Columbia Sportswear Co.		92		8,562
Hanesbrands, Inc.		8,675		159,880
Michael Kors Holdings, Ltd.†		1,860		127,522
PVH Corp.		1,100		158,840
Under Armour, Inc., Class A†		14,653		310,937
Under Armour, Inc., Class C†		42,655		830,066
VF Corp.		6,029		563,410
				2,269,452
Applications Software — 3.2%
CDK Global, Inc.		8,184		511,991
PTC, Inc.†		2,766		293,721
RealPage, Inc.†		4,723		311,246
Red Hat, Inc.†		8,784		1,197,083
ServiceNow, Inc.†		23,379		4,573,634
Tableau Software, Inc., Class A†		4,790		535,235
				7,422,910
Auction Houses/Art Dealers — 0.1%
Ritchie Bros. Auctioneers, Inc.		3,100		112,003
Sotheby's†		2,000		98,380
				210,383
Auto-Cars/Light Trucks — 0.5%
Ferrari NV		9,194		1,258,751

Security Description	Shares		Value (Note 2)
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		2,300	$	156,837
Auto/Truck Parts & Equipment-Original — 0.6%
Allison Transmission Holdings, Inc.		2,919		151,817
Altra Industrial Motion Corp.		1,128		27,720
Aptiv PLC		11,957		1,003,192
Lear Corp.		168		24,360
Visteon Corp.†		451		41,898
WABCO Holdings, Inc.†		2,194		258,761
				1,507,748
Banks-Commercial — 0.8%
BankUnited, Inc.		2,500		88,500
East West Bancorp, Inc.		262		15,817
First Republic Bank		5,300		508,800
Pinnacle Financial Partners, Inc.		2,383		143,337
Signature Bank		1,920		220,493
SVB Financial Group†		1,811		562,913
Synovus Financial Corp.		221		10,120
Texas Capital Bancshares, Inc.†		762		62,979
Webster Financial Corp.		4,000		235,840
Western Alliance Bancorp†		1,432		81,467
				1,930,266
Banks-Fiduciary — 0.1%
Northern Trust Corp.		2,310		235,920
State Street Corp.		600		50,268
				286,188
Banks-Super Regional — 0.1%
Comerica, Inc.		240		21,648
Fifth Third Bancorp		4,100		114,472
				136,120
Batteries/Battery Systems — 0.0%
Energizer Holdings, Inc.		820		48,093
Beverages-Non-alcoholic — 0.6%
Keurig Dr Pepper, Inc.		8,736		202,413
Monster Beverage Corp.†		19,780		1,152,778
				1,355,191
Beverages-Wine/Spirits — 0.3%
Brown-Forman Corp., Class A		1,241		63,043
Brown-Forman Corp., Class B		12,123		612,817
				675,860
Building & Construction Products-Misc. — 0.2%
Armstrong World Industries, Inc.†		1,089		75,794
Fortune Brands Home & Security, Inc.		7,053		369,295
				445,089
Building Products-Air & Heating — 0.1%
Lennox International, Inc.		832		181,709
Building Products-Cement — 1.2%
Eagle Materials, Inc.		2,603		221,880
Martin Marietta Materials, Inc.		1,394		253,638
Vulcan Materials Co.		19,986		2,222,443
				2,697,961
Building Products-Wood — 0.1%
Masco Corp.		5,113		187,136

174

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Maintenance & Services — 0.2%
Rollins, Inc.		6,137	$	372,455
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		1,002		83,867
Building-Residential/Commercial — 0.5%
D.R. Horton, Inc.		4,895		206,471
Lennar Corp., Class A		3,671		171,399
Lennar Corp., Class B		202		7,777
NVR, Inc.†		177		437,332
PulteGroup, Inc.		1,995		49,416
Toll Brothers, Inc.		6,130		202,474
				1,074,869
Cable/Satellite TV — 0.1%
Altice USA, Inc., Class A		2,387		43,300
Cable One, Inc.		103		91,012
				134,312
Casino Hotels — 0.7%
Melco Resorts & Entertainment, Ltd. ADR		40,067		847,417
MGM Resorts International		9,218		257,275
Wynn Resorts, Ltd.		4,388		557,539
				1,662,231
Chemicals-Diversified — 0.4%
Celanese Corp., Series A		3,981		453,834
FMC Corp.		1,320		115,078
PPG Industries, Inc.		2,000		218,260
Westlake Chemical Corp.		812		67,485
				854,657
Chemicals-Plastics — 0.0%
PolyOne Corp.		2,200		96,184
Chemicals-Specialty — 0.3%
Chemours Co.		4,305		169,789
International Flavors & Fragrances, Inc.		808		112,409
NewMarket Corp.		181		73,397
Platform Specialty Products Corp.†		2,683		33,457
Univar, Inc.†		418		12,816
Valvoline, Inc.		8,814		189,589
Versum Materials, Inc.		2,628		94,634
W.R. Grace & Co.		1,195		85,395
				771,486
Coatings/Paint — 0.2%
Axalta Coating Systems, Ltd.†		6,079		177,264
RPM International, Inc.		4,845		314,634
				491,898
Commercial Services — 2.1%
Cintas Corp.		4,112		813,395
CoreLogic, Inc.†		6,732		332,628
CoStar Group, Inc.†		8,107		3,411,750
Nielsen Holdings PLC		7,900		218,514
Quanta Services, Inc.†		1,048		34,982
ServiceMaster Global Holdings, Inc.†		3,282		203,582
				5,014,851

Security Description	Shares		Value (Note 2)
Commercial Services-Finance — 3.5%
Equifax, Inc.		4,084	$	533,248
Euronet Worldwide, Inc.†		2,199		220,384
FleetCor Technologies, Inc.†		4,603		1,048,747
Global Payments, Inc.		8,643		1,101,118
H&R Block, Inc.		916		23,587
IHS Markit, Ltd.†		5,491		296,294
MarketAxess Holdings, Inc.		1,646		293,794
Moody's Corp.		7,233		1,209,358
Morningstar, Inc.		439		55,270
Sabre Corp.		13,057		340,527
Square, Inc., Class A†		6,921		685,248
Total System Services, Inc.		4,354		429,914
TransUnion		9,950		732,121
Western Union Co.		3,076		58,629
WEX, Inc.†		2,397		481,222
Worldpay, Inc., Class A†		7,529		762,462
				8,271,923
Computer Aided Design — 1.8%
ANSYS, Inc.†		2,815		525,504
Aspen Technology, Inc.†		1,634		186,129
Autodesk, Inc.†		15,917		2,484,803
Cadence Design Systems, Inc.†		13,655		618,845
Synopsys, Inc.†		3,936		388,129
				4,203,410
Computer Data Security — 0.2%
Fortinet, Inc.†		5,764		531,844
Computer Services — 0.4%
Dell Technologies, Inc., Class V†		348		33,798
EPAM Systems, Inc.†		2,127		292,888
Genpact, Ltd.		5,159		157,917
Leidos Holdings, Inc.		4,600		318,136
Teradata Corp.†		2,072		78,135
				880,874
Computer Software — 1.2%
Akamai Technologies, Inc.†		3,760		275,044
Citrix Systems, Inc.†		3,273		363,827
Dropbox, Inc., Class A†		7,369		197,710
Pivotal Software, Inc., Class A†		4,895		95,844
Splunk, Inc.†		7,504		907,309
SS&C Technologies Holdings, Inc.		11,843		673,038
Zuora, Inc., Class A†(3)		13,377		309,142
				2,821,914
Computers — 0.0%
Nutanix, Inc., Class A†		2,574		109,961
Computers-Integrated Systems — 0.0%
NCR Corp.†		2,345		66,621
Computers-Memory Devices — 0.4%
NetApp, Inc.		6,495		557,855
Pure Storage, Inc., Class A†		11,241		291,704
				849,559
Computers-Periphery Equipment — 0.3%
Logitech International SA		796		35,597

175

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computers-Periphery Equipment (continued)
Logitech International SA		16,509	$	737,808
				773,405
Consulting Services — 1.0%
Booz Allen Hamilton Holding Corp.		11,552		573,326
Gartner, Inc.†		5,842		925,957
Verisk Analytics, Inc.†		7,681		925,944
				2,425,227
Consumer Products-Misc. — 0.3%
Clorox Co.		5,332		801,986
Containers-Metal/Glass — 0.3%
Ball Corp.		14,300		629,057
Crown Holdings, Inc.†		3,126		150,048
Silgan Holdings, Inc.		630		17,514
				796,619
Containers-Paper/Plastic — 0.7%
Berry Global Group, Inc.†		1,595		77,182
Graphic Packaging Holding Co.		1,271		17,807
Packaging Corp. of America		10,772		1,181,581
Sealed Air Corp.		8,636		346,735
				1,623,305
Cruise Lines — 0.5%
Norwegian Cruise Line Holdings, Ltd.†		18,160		1,042,929
Royal Caribbean Cruises, Ltd.		1,600		207,904
				1,250,833
Data Processing/Management — 2.3%
Broadridge Financial Solutions, Inc.		2,839		374,606
DocuSign, Inc.†		1,125		59,141
Dun & Bradstreet Corp.		392		55,864
Fair Isaac Corp.†		5,237		1,196,916
Fidelity National Information Services, Inc.		6,378		695,649
First Data Corp., Class A†		13,156		321,927
Fiserv, Inc.†		18,611		1,533,174
Jack Henry & Associates, Inc.		1,861		297,909
Paychex, Inc.		10,317		759,847
				5,295,033
Decision Support Software — 0.3%
MSCI, Inc.		3,530		626,257
Dental Supplies & Equipment — 1.5%
Align Technology, Inc.†		8,946		3,499,854
Diagnostic Kits — 0.5%
IDEXX Laboratories, Inc.†		3,958		988,154
QIAGEN NV†		2,700		102,276
				1,090,430
Dialysis Centers — 0.1%
DaVita, Inc.†		3,505		251,063
Disposable Medical Products — 0.1%
ICU Medical, Inc.†		377		106,597
STERIS PLC		1,100		125,840
				232,437

Security Description	Shares		Value (Note 2)
Distribution/Wholesale — 1.0%
Fastenal Co.		8,152	$	472,979
HD Supply Holdings, Inc.†		11,241		481,002
KAR Auction Services, Inc.		9,046		539,956
LKQ Corp.†		1,247		39,492
Pool Corp.		951		158,703
Watsco, Inc.		1,419		252,724
WW Grainger, Inc.		1,099		392,794
				2,337,650
Diversified Manufacturing Operations — 0.5%
A.O. Smith Corp.		7,537		402,250
Ingersoll-Rand PLC		3,241		331,554
Parker-Hannifin Corp.		578		106,312
Textron, Inc.		4,135		295,528
				1,135,644
Diversified Operations — 0.0%
Spectrum Brands Holdings, Inc.		457		34,147
Drug Delivery Systems — 1.2%
DexCom, Inc.†		16,810		2,404,502
Nektar Therapeutics†		5,677		346,070
				2,750,572
E-Commerce/Products — 1.0%
Farfetch, Ltd., Class A†		1,008		27,448
Wayfair, Inc., Class A†		15,302		2,259,646
				2,287,094
E-Commerce/Services — 1.6%
Ctrip.com International, Ltd. ADR†		3,700		137,529
Expedia Group, Inc.		2,915		380,349
GrubHub, Inc.†		2,183		302,607
IAC/InterActiveCorp†		3,502		758,953
Match Group, Inc.†		5,749		332,925
MercadoLibre, Inc.		400		136,188
Shutterfly, Inc.†		9,847		648,819
TripAdvisor, Inc.†		17,440		890,661
Zillow Group, Inc., Class A†		2,974		131,451
Zillow Group, Inc., Class C†		1,998		88,412
				3,807,894
E-Services/Consulting — 0.3%
CDW Corp.		7,684		683,261
Electric Products-Misc. — 0.2%
AMETEK, Inc.		3,161		250,098
Littelfuse, Inc.		1,154		228,365
				478,463
Electronic Components-Misc. — 0.3%
Corning, Inc.		8,400		296,520
Gentex Corp.		4,504		96,656
Sensata Technologies Holding PLC†		7,531		373,161
				766,337
Electronic Components-Semiconductors — 3.0%
Advanced Micro Devices, Inc.†		88,218		2,725,054
IPG Photonics Corp.†		1,572		245,342
Microchip Technology, Inc.		22,000		1,736,020
Monolithic Power Systems, Inc.		2,284		286,711
ON Semiconductor Corp.†		10,242		188,760

176

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Semiconductors (continued)
Skyworks Solutions, Inc.		9,913	$	899,208
Xilinx, Inc.		12,063		967,091
				7,048,186
Electronic Connectors — 0.5%
Amphenol Corp., Class A		13,341		1,254,321
Electronic Forms — 0.0%
DocuSign, Inc. CVR†(1)(3)		2,581		5,807
Electronic Measurement Instruments — 0.8%
Agilent Technologies, Inc.		4,400		310,376
FLIR Systems, Inc.		1,493		91,775
Fortive Corp.		10,722		902,792
Keysight Technologies, Inc.†		6,300		417,564
National Instruments Corp.		2,168		104,780
				1,827,287
Electronic Security Devices — 0.3%
ADT, Inc.		10,600		99,534
Allegion PLC		5,701		516,340
				615,874
Engines-Internal Combustion — 0.1%
Cummins, Inc.		1,334		194,857
Enterprise Software/Service — 5.3%
Atlassian Corp. PLC, Class A†		8,684		834,880
Black Knight, Inc.†		10,287		534,410
Ceridian HCM Holding, Inc.†		571		23,999
Guidewire Software, Inc.†		31,197		3,151,209
Manhattan Associates, Inc.†		1,605		87,633
Paycom Software, Inc.†		1,200		186,492
Pegasystems, Inc.		910		56,966
Tyler Technologies, Inc.†		2,210		541,582
Ultimate Software Group, Inc.†		2,033		655,012
Veeva Systems, Inc., Class A†		18,652		2,030,643
Workday, Inc., Class A†		29,211		4,264,222
				12,367,048
Entertainment Software — 0.4%
DraftKings, Inc.†(1)(2)(3)		74,969		191,138
Electronic Arts, Inc.†		1,300		156,637
Take-Two Interactive Software, Inc.†		3,120		430,529
Zynga, Inc., Class A†		36,000		144,360
				922,664
Filtration/Separation Products — 0.1%
Donaldson Co., Inc.		5,031		293,106
Finance-Auto Loans — 0.1%
Credit Acceptance Corp.†		250		109,518
Santander Consumer USA Holdings, Inc.		360		7,214
				116,732
Finance-Consumer Loans — 0.1%
OneMain Holdings, Inc.†		131		4,403
Synchrony Financial		6,366		197,855
				202,258

Security Description	Shares		Value (Note 2)
Finance-Credit Card — 0.3%
Alliance Data Systems Corp.		1,166	$	275,363
Discover Financial Services		6,960		532,092
				807,455
Finance-Investment Banker/Broker — 1.3%
E*TRADE Financial Corp.†		4,869		255,087
Evercore, Inc., Class A		971		97,634
Interactive Brokers Group, Inc., Class A		1,547		85,564
Lazard, Ltd., Class A		7,866		378,591
TD Ameritrade Holding Corp.		41,938		2,215,584
Virtu Financial, Inc., Class A		944		19,305
				3,051,765
Finance-Leasing Companies — 0.0%
Air Lease Corp.		176		8,075
Finance-Mortgage Loan/Banker — 0.1%
Ellie Mae, Inc.†		1,200		113,724
Finance-Other Services — 0.5%
Cboe Global Markets, Inc.		7,107		681,988
Nasdaq, Inc.		2,000		171,600
SEI Investments Co.		3,226		197,108
				1,050,696
Food-Catering — 0.1%
Aramark		4,700		202,194
Food-Confectionery — 0.3%
Hershey Co.		6,390		651,780
Food-Meat Products — 0.2%
Hormel Foods Corp.		3,400		133,960
Tyson Foods, Inc., Class A		3,700		220,261
				354,221
Food-Misc./Diversified — 0.9%
Campbell Soup Co.		2,958		108,351
Conagra Brands, Inc.		3,900		132,483
Kellogg Co.		3,004		210,340
Lamb Weston Holdings, Inc.		18,718		1,246,619
McCormick & Co., Inc.		3,071		404,604
Post Holdings, Inc.†		915		89,707
				2,192,104
Food-Retail — 0.1%
Sprouts Farmers Market, Inc.†		6,740		184,743
Food-Wholesale/Distribution — 0.0%
US Foods Holding Corp.†		307		9,462
Footwear & Related Apparel — 0.0%
Skechers U.S.A., Inc., Class A†		1,516		42,342
Funeral Services & Related Items — 0.2%
Service Corp. International		10,809		477,758
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC		133		2,627
Garden Products — 0.1%
Scotts Miracle-Gro Co.		478		37,633
Toro Co.		5,140		308,246
				345,879

177

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Gas-Distribution — 0.2%
Atmos Energy Corp.		3,000	$	281,730
NiSource, Inc.		5,100		127,092
				408,822
Gold Mining — 0.0%
Royal Gold, Inc.		649		50,012
Hazardous Waste Disposal — 0.0%
Stericycle, Inc.†		1,200		70,416
Home Decoration Products — 0.0%
Newell Brands, Inc.		4,000		81,200
Home Furnishings — 0.0%
Tempur Sealy International, Inc.†		1,120		59,248
Hotels/Motels — 1.9%
Choice Hotels International, Inc.		2,638		219,746
Extended Stay America, Inc.		8,145		164,773
Hilton Grand Vacations, Inc.†		19,650		650,415
Hilton Worldwide Holdings, Inc.		38,314		3,095,005
Wyndham Hotels & Resorts, Inc.		2,367		131,534
Wyndham Worldwide Corp.†		2,367		102,633
				4,364,106
Human Resources — 0.2%
ManpowerGroup, Inc.		700		60,172
Robert Half International, Inc.		5,208		366,539
				426,711
Industrial Automated/Robotic — 1.4%
Cognex Corp.		6,999		390,684
Nordson Corp.		2,508		348,361
Rockwell Automation, Inc.		13,666		2,562,649
				3,301,694
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		1,100		183,755
Instruments-Controls — 0.3%
Mettler-Toledo International, Inc.†		1,193		726,513
Instruments-Scientific — 0.1%
Waters Corp.†		1,746		339,911
Insurance Brokers — 0.2%
Brown & Brown, Inc.		317		9,374
Willis Towers Watson PLC		3,400		479,196
				488,570
Insurance-Multi-line — 0.1%
Assurant, Inc.		1,700		183,515
Voya Financial, Inc.		290		14,404
				197,919
Insurance-Property/Casualty — 0.4%
Alleghany Corp.		41		26,754
Arch Capital Group, Ltd.†		1,489		44,387
Erie Indemnity Co., Class A		454		57,899
Fidelity National Financial, Inc.		7,900		310,865
Markel Corp.†		29		34,466
Progressive Corp.		5,400		383,616
				857,987

Security Description	Shares		Value (Note 2)
Insurance-Reinsurance — 0.1%
Axis Capital Holdings, Ltd.		2,214	$	127,770
Everest Re Group, Ltd.		387		88,418
RenaissanceRe Holdings, Ltd.		84		11,221
				227,409
Internet Application Software — 0.2%
Okta, Inc.†		2,072		145,786
Zendesk, Inc.†		4,784		339,664
				485,450
Internet Content-Entertainment — 0.2%
Twitter, Inc.†		17,123		487,321
Internet Content-Information/News — 0.6%
Spotify Technology SA†		8,314		1,503,421
Internet Infrastructure Software — 0.1%
F5 Networks, Inc.†		1,478		294,743
Internet Security — 0.7%
FireEye, Inc.†		3,024		51,408
Palo Alto Networks, Inc.†		3,944		888,426
Proofpoint, Inc.†		2,916		310,058
Symantec Corp.		15,400		327,712
				1,577,604
Internet Telephone — 0.2%
RingCentral, Inc., Class A†		1,607		149,531
Twilio, Inc., Class A†		3,031		261,515
				411,046
Investment Management/Advisor Services — 0.5%
Ameriprise Financial, Inc.		566		83,576
Eaton Vance Corp.		2,797		147,010
Invesco, Ltd.		2,767		63,309
LPL Financial Holdings, Inc.		2,136		137,793
Raymond James Financial, Inc.		937		86,251
T. Rowe Price Group, Inc.		5,313		580,073
				1,098,012
Lasers-System/Components — 0.5%
Coherent, Inc.†		1,909		328,711
II-VI, Inc.†		19,190		907,687
				1,236,398
Lighting Products & Systems — 0.3%
Acuity Brands, Inc.		560		88,032
Universal Display Corp.		4,443		523,830
				611,862
Machine Tools & Related Products — 0.1%
Lincoln Electric Holdings, Inc.		1,522		142,216
Machinery-Electrical — 0.1%
BWX Technologies, Inc.		4,906		306,821
Machinery-General Industrial — 1.2%
IDEX Corp.		10,310		1,553,304
Middleby Corp.†		1,877		242,790
Roper Technologies, Inc.		2,014		596,567
Wabtec Corp.		2,948		309,186
Welbilt, Inc.†		3,145		65,668
				2,767,515

178

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Machinery-Pumps — 0.4%
Flowserve Corp.		2,300	$	125,787
Gardner Denver Holdings, Inc.†		846		23,976
Graco, Inc.		8,400		389,256
Xylem, Inc.		4,423		353,265
				892,284
Medical Information Systems — 0.3%
athenahealth, Inc.†		1,467		195,991
Cerner Corp.†		6,028		388,264
Medidata Solutions, Inc.†		2,100		153,951
				738,206
Medical Instruments — 1.6%
Bio-Techne Corp.		899		183,495
Bruker Corp.		4,581		153,234
Cantel Medical Corp.		890		81,933
Edwards Lifesciences Corp.†		16,691		2,905,903
Integra LifeSciences Holdings Corp.†		1,356		89,320
Teleflex, Inc.		1,510		401,796
				3,815,681
Medical Labs & Testing Services — 0.3%
Catalent, Inc.†		4,605		209,758
Charles River Laboratories International, Inc.†		820		110,323
IQVIA Holdings, Inc.†		1,900		246,506
Laboratory Corp. of America Holdings†		146		25,357
				591,944
Medical Products — 2.5%
ABIOMED, Inc.†		1,021		459,195
Baxter International, Inc.		16,772		1,292,953
Cooper Cos., Inc.		2,486		688,995
Haemonetics Corp.†		13,226		1,515,435
Henry Schein, Inc.†		3,345		284,425
Hill-Rom Holdings, Inc.		1,038		97,987
Hologic, Inc.†		10,600		434,388
Novocure, Ltd.†		1,500		78,600
Penumbra, Inc.†		3,661		548,052
Varian Medical Systems, Inc.†		2,212		247,589
West Pharmaceutical Services, Inc.		1,808		223,234
				5,870,853
Medical-Biomedical/Gene — 4.1%
Alexion Pharmaceuticals, Inc.†		1,200		166,812
Alnylam Pharmaceuticals, Inc.†		4,511		394,803
BioMarin Pharmaceutical, Inc.†		8,870		860,124
Bluebird Bio, Inc.†		3,159		461,214
Blueprint Medicines Corp.†		600		46,836
Exact Sciences Corp.†		47,981		3,786,660
Exelixis, Inc.†		16,092		285,150
FibroGen, Inc.†		1,100		66,825
Illumina, Inc.†		233		85,525
Incyte Corp.†		8,144		562,588
Ionis Pharmaceuticals, Inc.†		19,059		983,063
Sage Therapeutics, Inc.†		6,723		949,624
Seattle Genetics, Inc.†		12,693		978,884

Security Description	Shares		Value (Note 2)
Medical-Biomedical/Gene (continued)
Ultragenyx Pharmaceutical, Inc.†		1,000	$	76,340
				9,704,448
Medical-Drugs — 0.7%
Alkermes PLC†		8,120		344,613
Jazz Pharmaceuticals PLC†		2,406		404,521
Madrigal Pharmaceuticals, Inc.†		236		50,534
Ono Pharmaceutical Co., Ltd.		12,900		365,019
PRA Health Sciences, Inc.†		1,379		151,952
TESARO, Inc.†		2,080		81,141
Zoetis, Inc.		1,800		164,808
				1,562,588
Medical-HMO — 1.0%
Centene Corp.†		8,425		1,219,772
Molina Healthcare, Inc.†		3,256		484,167
WellCare Health Plans, Inc.†		2,174		696,745
				2,400,684
Medical-Hospitals — 0.1%
Acadia Healthcare Co., Inc.†		3,846		135,379
Envision Healthcare Corp.†		568		25,975
Universal Health Services, Inc., Class B		1,300		166,192
				327,546
Medical-Outpatient/Home Medical — 0.1%
Chemed Corp.		375		119,842
Medical-Wholesale Drug Distribution — 0.2%
AmerisourceBergen Corp.		5,072		467,740
Premier, Inc., Class A†		412		18,861
				486,601
Motion Pictures & Services — 0.0%
Lions Gate Entertainment Corp., Class A		87		2,122
Lions Gate Entertainment Corp., Class B		170		3,961
				6,083
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		409		33,710
Multimedia — 0.2%
FactSet Research Systems, Inc.		1,566		350,330
Networking Products — 0.2%
Arista Networks, Inc.†		1,376		365,824
LogMeIn, Inc.		822		73,240
				439,064
Non-Hazardous Waste Disposal — 0.2%
Republic Services, Inc.		346		25,140
Waste Connections, Inc.		4,523		360,800
				385,940
Office Automation & Equipment — 0.7%
Zebra Technologies Corp., Class A†		9,619		1,700,928
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		2,121		229,810
Oil Companies-Exploration & Production — 1.5%
Antero Resources Corp.†		3,111		55,096
Apache Corp.		582		27,744

179

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production (continued)
Cabot Oil & Gas Corp.		19,236	$	433,194
Centennial Resource Development, Inc., Class A†		8,374		182,972
Cimarex Energy Co.		884		82,159
Concho Resources, Inc.†		2,031		310,235
Continental Resources, Inc.†		1,019		69,577
Diamondback Energy, Inc.		4,936		667,298
Jagged Peak Energy, Inc.†		12,000		165,960
Kosmos Energy, Ltd.†		1,108		10,360
Newfield Exploration Co.†		1,753		50,539
Parsley Energy, Inc., Class A†		4,339		126,916
Venture Global LNG, Inc., Series B†(1)(2)(3)		3		15,600
Venture Global LNG, Inc., Series C†(1)(2)(3)		42		218,400
WPX Energy, Inc.†		48,748		980,810
				3,396,860
Oil Refining & Marketing — 0.0%
HollyFrontier Corp.		1,600		111,840
Oil-Field Services — 0.0%
Oceaneering International, Inc.†		3,300		91,080
RPC, Inc.		506		7,833
				98,913
Paper & Related Products — 0.1%
International Paper Co.		4,332		212,918
Patient Monitoring Equipment — 0.8%
Insulet Corp.†		17,130		1,814,923
Masimo Corp.†		1,090		135,749
				1,950,672
Physical Therapy/Rehabilitation Centers — 0.1%
Encompass Health Corp.		2,368		184,586
Pipelines — 0.2%
Cheniere Energy, Inc.†		3,515		244,257
ONEOK, Inc.		4,106		278,346
				522,603
Power Converter/Supply Equipment — 0.2%
Generac Holdings, Inc.†		2,200		124,102
Hubbell, Inc.		3,094		413,266
				537,368
Precious Metals — 0.0%
Wheaton Precious Metals Corp.		6,100		106,750
Professional Sports — 0.0%
Madison Square Garden Co., Class A†		45		14,189
Radio — 0.1%
Sirius XM Holdings, Inc.		31,114		196,640
Real Estate Investment Trusts — 1.2%
Alexandria Real Estate Equities, Inc.		195		24,529
American Campus Communities, Inc.		3,073		126,485
Colony Capital, Inc.		636		3,873
CoreSite Realty Corp.		880		97,803
CubeSmart		4,000		114,120
Equinix, Inc.		306		132,464

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Equity LifeStyle Properties, Inc.		2,047	$	197,433
Extra Space Storage, Inc.		2,558		221,625
Federal Realty Investment Trust		800		101,176
Gaming and Leisure Properties, Inc.		1,755		61,864
Hudson Pacific Properties, Inc.		458		14,986
Iron Mountain, Inc.		3,500		120,820
Lamar Advertising Co., Class A		1,827		142,141
Life Storage, Inc.		62		5,900
MGM Growth Properties LLC, Class A		5,200		153,348
Omega Healthcare Investors, Inc.		393		12,879
SBA Communications Corp.†		6,356		1,020,964
SL Green Realty Corp.		1,000		97,530
Taubman Centers, Inc.		1,432		85,676
VEREIT, Inc.		8,901		64,621
				2,800,237
Real Estate Management/Services — 0.2%
CBRE Group, Inc., Class A†		3,697		163,038
Jones Lang LaSalle, Inc.		1,100		158,752
WeWork Cos., Inc., Class A†(1)(2)(3)		1,550		101,897
				423,687
Real Estate Operations & Development — 0.0%
Howard Hughes Corp.†		380		47,204
Recreational Centers — 0.4%
Planet Fitness, Inc., Class A†		17,564		948,983
Recreational Vehicles — 0.5%
Brunswick Corp.		203		13,605
Polaris Industries, Inc.		10,273		1,037,059
				1,050,664
Rental Auto/Equipment — 0.1%
United Rentals, Inc.†		2,019		330,308
Resorts/Theme Parks — 1.0%
Marriott Vacations Worldwide Corp.		6,774		756,995
Six Flags Entertainment Corp.		1,726		120,509
Vail Resorts, Inc.		5,607		1,538,673
				2,416,177
Respiratory Products — 0.2%
ResMed, Inc.		3,401		392,271
Retail-Apparel/Shoe — 1.6%
Burlington Stores, Inc.†		5,313		865,594
Gap, Inc.		328		9,463
L Brands, Inc.		1,055		31,967
Lululemon Athletica, Inc.†		3,973		645,573
Ross Stores, Inc.		16,465		1,631,681
Tapestry, Inc.		9,173		461,127
Urban Outfitters, Inc.†		1,785		73,006
				3,718,411
Retail-Arts & Crafts — 0.0%
Michaels Cos., Inc.†		4,713		76,492
Retail-Auto Parts — 0.8%
Advance Auto Parts, Inc.		522		87,868
AutoZone, Inc.†		770		597,289

180

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Auto Parts (continued)
O'Reilly Automotive, Inc.†		3,320	$	1,153,103
				1,838,260
Retail-Automobile — 0.4%
CarMax, Inc.†		6,699		500,214
Copart, Inc.†		10,102		520,556
				1,020,770
Retail-Catalog Shopping — 0.0%
MSC Industrial Direct Co., Inc., Class A		488		42,998
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		1,492		118,405
Retail-Convenience Store — 0.1%
Casey's General Stores, Inc.		1,500		193,665
Retail-Discount — 0.8%
Dollar General Corp.		12,908		1,410,844
Dollar Tree, Inc.†		5,765		470,136
				1,880,980
Retail-Floor Coverings — 0.5%
Floor & Decor Holdings, Inc., Class A†		34,909		1,053,205
Retail-Gardening Products — 0.2%
Tractor Supply Co.		5,051		459,035
Retail-Jewelry — 0.1%
Tiffany & Co.		2,524		325,520
Retail-Mail Order — 0.1%
Williams-Sonoma, Inc.		1,956		128,548
Retail-Major Department Stores — 0.1%
Nordstrom, Inc.		2,846		170,219
Retail-Misc./Diversified — 0.1%
Five Below, Inc.†		1,200		156,072
PriceSmart, Inc.		800		64,760
				220,832
Retail-Perfume & Cosmetics — 0.4%
Ulta Beauty, Inc.†		3,092		872,315
Retail-Restaurants — 1.1%
Chipotle Mexican Grill, Inc.†		589		267,712
Darden Restaurants, Inc.		1,511		168,008
Domino's Pizza, Inc.		2,116		623,797
Dunkin' Brands Group, Inc.		7,402		545,675
Papa John's International, Inc.		2,100		107,688
Restaurant Brands International LP		20		1,144
Restaurant Brands International, Inc.		3,400		201,552
Wendy's Co.		4,548		77,953
Yum China Holdings, Inc.		6,452		226,530
Yum! Brands, Inc.		3,200		290,912
				2,510,971
Schools — 0.8%
2U, Inc.†		16,946		1,274,170
Bright Horizons Family Solutions, Inc.†		2,768		326,181
Grand Canyon Education, Inc.†		2,441		275,345
				1,875,696
Security Services — 0.3%
Brink's Co.		11,189		780,433

Security Description	Shares		Value (Note 2)
Semiconductor Components-Integrated Circuits — 0.7%
Analog Devices, Inc.		1,412	$	130,554
Cypress Semiconductor Corp.		5,978		86,621
Marvell Technology Group, Ltd.		23,540		454,322
Maxim Integrated Products, Inc.		16,833		949,213
				1,620,710
Semiconductor Equipment — 1.5%
Entegris, Inc.		7,200		208,440
KLA-Tencor Corp.		7,774		790,694
Lam Research Corp.		5,918		897,761
MKS Instruments, Inc.		1,308		104,836
Teradyne, Inc.		41,176		1,522,688
				3,524,419
Shipbuilding — 0.2%
Huntington Ingalls Industries, Inc.		2,204		564,400
Soap & Cleaning Preparation — 0.3%
Church & Dwight Co., Inc.		11,914		707,334
Steel Pipe & Tube — 0.1%
Valmont Industries, Inc.		1,100		152,350
Steel-Producers — 0.0%
Steel Dynamics, Inc.		837		37,824
Telecom Services — 0.0%
Switch, Inc., Class A		864		9,331
Telephone-Integrated — 0.1%
Zayo Group Holdings, Inc.†		8,908		309,286
Television — 0.2%
AMC Networks, Inc., Class A†		1,071		71,050
CBS Corp., Class B		7,973		458,049
				529,099
Textile-Home Furnishings — 0.4%
Mohawk Industries, Inc.†		5,113		896,565
Theaters — 0.1%
Live Nation Entertainment, Inc.†		5,536		301,546
Therapeutics — 0.6%
Agios Pharmaceuticals, Inc.†		1,943		149,844
GW Pharmaceuticals PLC ADR†		500		86,370
Neurocrine Biosciences, Inc.†		4,737		582,414
Sarepta Therapeutics, Inc.†		2,896		467,733
				1,286,361
Tools-Hand Held — 0.1%
Snap-on, Inc.		1,500		275,400
Toys — 0.1%
Hasbro, Inc.		2,167		227,795
Mattel, Inc.†		1,839		28,872
				256,667
Transport-Marine — 0.0%
Kirby Corp.†		900		74,025
Transport-Rail — 0.2%
Genesee & Wyoming, Inc., Class A†		1,804		164,146
Kansas City Southern		2,400		271,872
				436,018

181

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Transport-Services — 0.4%
C.H. Robinson Worldwide, Inc.		5,144	$	503,701
Expeditors International of Washington, Inc.		5,812		427,356
				931,057
Transport-Truck — 0.7%
JB Hunt Transport Services, Inc.		3,507		417,123
Landstar System, Inc.		1,812		221,064
Old Dominion Freight Line, Inc.		2,693		434,273
Schneider National, Inc., Class B		4,724		118,006
XPO Logistics, Inc.†		2,878		328,581
				1,519,047
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc.†		3,246		113,253
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		500		27,275
Water — 0.1%
American Water Works Co., Inc.		2,436		214,295
Web Hosting/Design — 1.6%
GoDaddy, Inc., Class A†		22,590		1,883,780
Shopify, Inc., Class A†		6,425		1,056,655
VeriSign, Inc.†		4,847		776,102
				3,716,537
Wireless Equipment — 0.2%
Motorola Solutions, Inc.		3,143		409,030
Ubiquiti Networks, Inc.		465		45,970
				455,000
Total Common Stocks (cost $163,234,121)				226,336,559
CONVERTIBLE PREFERRED SECURITIES — 1.2%
Advertising Services — 0.0%
Nanigans, Inc., Series B†(1)(2)(3)		6,300		37,737
Applications Software — 0.2%
Magic Leap, Inc., Series C†(1)(2)(3)		4,974		134,298
Slack Technologies, Inc. Series H†(1)(2)(3)		4,189		49,871
Tanium, Inc. Series G†(1)(2)(3)		32,619		283,577
				467,746
E-Commerce/Products — 0.1%
One Kings Lane Inc., Series E†(1)(3)		11,800		2,124
The Honest Co., Inc., Series C†(1)(2)(3)		4,317		136,158
				138,282
E-Commerce/Services — 0.7%
Airbnb, Inc., Series D†(1)(2)(3)		2,091		239,503
Airbnb, Inc., Series E†(1)(2)(3)		2,711		310,518

Security Description	Shares/ Principal Amount		Value (Note 2)
E-Commerce/Services (continued)
Uber Technologies, Inc., Series D†(1)(2)(3)		22,395	$	1,032,659
				1,582,680
Real Estate Management/Services — 0.2%
WeWork Cos., Inc., Series D-1†(1)(2)(3)		3,588		235,875
WeWork Cos., Inc., Series D-2†(1)(2)(3)		2,819		185,321
WeWork Cos., Inc., Series E†(1)(2)(3)		2,120		139,369
				560,565
Web Portals/ISP — 0.0%
Pinterest, Inc., Series G†(1)(2)(3)		19,490		108,754
Total Convertible Preferred Securities (cost $1,516,165)				2,895,764
EXCHANGE-TRADED FUNDS — 0.7%
iShares Russell Midcap Growth Index Fund (cost $4,854,226)		12,354		1,674,955
Total Long-Term Investment Securities (cost $169,604,512)				230,907,278
SHORT-TERM INVESTMENT SECURITIES — 0.1%
Registered Investment Companies — 0.0%
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(5)		51,050		51,050
T. Rowe Price Government Reserve Fund 2.09%(5)		1,018		1,018
				52,068
U.S. Government Treasuries — 0.1%
United States Treasury Bills 2.11% due 01/03/2019(6)	$	100,000		99,426
Total Short-Term Investment Securities (cost $151,521)				151,494
REPURCHASE AGREEMENTS — 1.8%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $249,009 collateralized by $260,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $258,230.		249,000		249,000
Bank of America Securities LLC Joint Repurchase Agreement(4)		790,000		790,000
Barclays Capital, Inc. Joint Repurchase Agreement(4)		260,000		260,000
BNP Paribas SA Joint Repurchase Agreement(4)		1,510,000		1,510,000
Deutsche Bank AG Joint Repurchase Agreement(4)		275,000		275,000

182

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
RBS Securities, Inc. Joint Repurchase Agreement(4)	$	1,230,000		$	1,230,000
Total Repurchase Agreements (cost $4,314,000)					4,314,000
TOTAL INVESTMENTS (cost $174,070,033)(7)		100.5	%	$	235,372,772
Liabilities in excess of other assets		(0.5	)		(1,227,291	)
NET ASSETS		100.0	%	$	234,145,481

†  Non-income producing security

(1)  Securities 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, 2018, the Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
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	$	191,138	$	2.55		0.08	%
Venture Global LNG, Inc. Series B	03/08/2018		3		9,060		15,600		5,200.00		0.01
Venture Global LNG, Inc. Series C	10/16/2017		39		147,069
	03/08/2018		3		9,060
			42		156,129		218,400		5,200.00		0.09

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks (continued)
WeWork Cos., Inc. Class A	12/09/2014		28	$	466
	05/26/2015		1,286		18,224
	06/23/2015		236		7,762
			1,550		26,452	$	101,897	$	65.74		0.04	%
Convertible Preferred Securities
Airbnb, Inc., Series D	04/16/2014		2,091		85,131		239,503		114.54		0.10
Airbnb, Inc., Series E	06/24/2015		2,392		222,682
	07/14/2015		319		29,697
			2,711		252,379		310,518		114.54		0.13
The Honest Co., Inc., Series C	08/20/2014		4,317		116,806		136,158		31.54		0.06
Magic Leap, Inc., Series C	12/28/2015		4,974		114,566		134,298		27.00		0.06
Nanigans, Inc., Series B	03/16/2015		6,300		68,787		37,737		5.99		0.02
Pinterest, Inc., Series G	03/19/2015		19,490		139,921		108,754		5.58		0.05
Slack Technologies, Inc. Series H	08/17/2018		4,189		49,871		49,871		11.91		0.02
Tanium, Inc., Series G	08/26/2015		32,619		161,930		283,577		8.69		0.12
Uber Technologies, Inc., Series D	06/05/2014		22,395		347,415		1,032,659		46.11		0.44
WeWork Cos., Inc., Series D-1	12/09/2014		3,588		59,744		235,875		65.74		0.10
WeWork Cos., Inc., Series D-2	12/09/2014		2,819		46,940		185,321		65.74		0.08
WeWork Cos., Inc., Series E	06/23/2015		2,120		69,726		139,369		65.74		0.06
						$	3,420,675				1.46	%

(3)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $3,737,748 representing 1.6% 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, 2018.

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

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

ADR — American Depositary Receipt

CVR — Contingent Value Rights

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	2	Long	S&P 400 E-Mini Index	December 2018	$	408,694	$	405,040	$	(3,654	)

*  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.

183

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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:
Electronic Forms	$	—	$	—	$	5,807	$	5,807
Entertainment Software		731,526		—		191,138		922,664
Oil Companies-Exploration & Production		3,162,860		—		234,000		3,396,860
Real Estate Management/Services		321,790		—		101,897		423,687
Other Industries		221,587,541		—		—		221,587,541
Convertible Preferred Securities		—		—		2,895,764		2,895,764
Exchange-Traded Funds		1,674,955		—		—		1,674,955
Short-Term Investment Securities
Registered Investment Companies		52,068		—		—		52,068
U.S. Government Treasuries		—		99,426		—		99,426
Repurchase Agreements		—		4,314,000		—		4,314,000
Total Investments at Value	$	227,530,740	$	4,413,426	$	3,428,606	$	235,372,772
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	3,654	$	—	$	—	$	3,654

*  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.

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, 2018	$	339,384		$	2,592,716
Accrued Discounts		—			—
Accrued Premiums		—			—
Realized Gain		—			35,425
Realized Loss		(29,494	)		—
Change in unrealized appreciation(1)		243,514			570,785
Change in unrealized depreciation(1)		—			(109,748	)
Net purchases		—			49,871
Net sales		(20,562	)		(243,285	)
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of September 30, 2018	$	532,842		$	2,895,764

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2018 includes:

Common Stocks		Convertible Preferred Securities
$	226,166	$	554,745

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, 2018.

184

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

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

Description	Value at September 30, 2018		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	425,138	Market Approach	Market Transaction Price*	$2.54956 - $5,200.00 ($3,467.517)
	$	101,897	Market Approach	Secondary Market Transactions*	$26.0000
				Tender Price*	$51.8100
				2020 Estimated Gross Profit Multiple*	13.8x
				2021 Estimated Gross Profit Multiple*	11.6x
				2020 Estimated EBTIDA Multiple*	31.1x
				2021 Estimated EBITDA Multiple*	24.2x
				Discount for Lack of Marketability	10.00%
	$	5,807	Income Approach	Potential Future Cash Flows*	$2.25
				Discount for Lack of Marketability	10.0%
Convertible Preferred Securities	$	467,746	Market Approach	Market Transaction Price*	$8.6936 - $27.00 ($15.86630)
	$	1,032,659	Market Approach	Market Transaction Price*	$48.772228
				Average of Market Bids*	$43.45
	$	560,565	Market Approach	Secondary Market Transactions*	$26.0000
				Tender Price*	$51.8100
				2020 Estimated Gross Profit Multiple*	13.8x
				2021 Estimated Gross Profit Multiple*	11.6x
				2020 Estimated EBTIDA Multiple*	31.1x
				2021 Estimated EBITDA Multiple*	24.2x
				Discount for Lack of Marketability	10.00%
	$	550,021	Market Approach	2018 Estimated Revenue Multiple*	11.10x
				2020 Estimated Revenue Multiple*	5.5x
				2020 Estimated Gross Profit Multiple*	7.9x
				2021 Estimated Revenue Multiple*	4.6x -7.0x (5.8x)
				2021 Estimated Gross Profit Multiple*	6.2x
				Discount for Lack of Marketability	10% -15% (11.7%)
	$	136,158	Market Approach with	Estimated Revenue Multiple*	2.38x
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.00%
				OPM assumptions:
				Volatility*	13.0%
				Term to liquidity event in years	3.00
				Risk-free rate	2.89%
	$	37,737	Market Approach with	Last Twelve Months Revenue Multiple*	1.06x
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.00%
				OPM assumptions:
				Volatility*	53.1%
				Term to liquidity event in years	3.00
				Risk-free rate	2.89%
	$	108,754	Market Approach with	Next Twelve Months Revenue Multiple*	5.7x
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.00%
				OPM assumptions:
				Volatility*	47.0%
				Term to liquidity event in years	2.26
				Risk-free rate	2.85%
	$	2,124	Income Approach	Future Cash Flows*	$0.18
				Discount for Potential Claims	50.0%

(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 comparable. 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

185

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Real Estate Investment Trusts	8.3	%
Electric-Integrated	6.3
Oil Companies-Exploration & Production	5.2
Banks-Super Regional	3.0
Banks-Commercial	2.9
Registered Investment Companies	2.9
Insurance-Multi-line	2.6
Medical Products	2.4
Diversified Manufacturing Operations	2.3
Agricultural Operations	1.8
Gold Mining	1.6
Insurance-Life/Health	1.4
Medical-Generic Drugs	1.3
Insurance Brokers	1.3
Investment Management/Advisor Services	1.2
Chemicals-Diversified	1.2
Food-Misc./Diversified	1.1
Containers-Paper/Plastic	1.1
Computer Services	1.1
Semiconductor Components-Integrated Circuits	1.1
Aerospace/Defense-Equipment	1.1
Apparel Manufacturers	1.0
Electronic Measurement Instruments	1.0
Data Processing/Management	1.0
Electric-Distribution	0.9
Banks-Fiduciary	0.9
Food-Retail	0.9
Medical-Hospitals	0.9
Airlines	0.9
Medical-Wholesale Drug Distribution	0.9
Insurance-Property/Casualty	0.8
Oil Companies-Integrated	0.8
Commercial Services-Finance	0.8
Dental Supplies & Equipment	0.8
Transport-Services	0.8
Pipelines	0.8
Finance-Investment Banker/Broker	0.7
Medical Labs & Testing Services	0.7
Brewery	0.7
Oil Refining & Marketing	0.7
Oil-Field Services	0.7
Finance-Consumer Loans	0.7
Electronic Components-Misc.	0.6
Chemicals-Specialty	0.6
Tools-Hand Held	0.6
Steel-Producers	0.6
U.S. Government Agencies	0.6
Gas-Distribution	0.6
Coatings/Paint	0.6
Real Estate Management/Services	0.6
Transport-Rail	0.6
Multimedia	0.5
Medical-Biomedical/Gene	0.5
Building Products-Cement	0.5
Retail-Apparel/Shoe	0.5
Finance-Other Services	0.5
Machinery-Pumps	0.5
Food-Baking	0.5
Cosmetics & Toiletries	0.5
Cruise Lines	0.5

Distribution/Wholesale	0.5	%
Independent Power Producers	0.5
Insurance-Reinsurance	0.5
Food-Meat Products	0.5
Exchange-Traded Funds	0.4
Finance-Credit Card	0.4
Publishing-Newspapers	0.4
Medical-Drugs	0.4
Retail-Jewelry	0.4
Telecommunication Equipment	0.4
Engineering/R&D Services	0.4
Machinery-Farming	0.4
Machinery-General Industrial	0.4
Schools	0.4
Wireless Equipment	0.4
Disposable Medical Products	0.4
Building & Construction Products-Misc.	0.3
Advertising Agencies	0.3
Commercial Services	0.3
Instruments-Scientific	0.3
Savings & Loans/Thrifts	0.3
Auto/Truck Parts & Equipment-Original	0.3
Food-Confectionery	0.3
Hazardous Waste Disposal	0.3
Food-Catering	0.3
Engines-Internal Combustion	0.3
Retail-Gardening Products	0.3
Non-Ferrous Metals	0.3
Finance-Auto Loans	0.3
Consumer Products-Misc.	0.3
Beverages-Non-alcoholic	0.3
Telephone-Integrated	0.3
Cable/Satellite TV	0.3
Appliances	0.3
Office Automation & Equipment	0.3
Hotels/Motels	0.3
Recreational Vehicles	0.3
Agricultural Chemicals	0.2
Computer Data Security	0.2
Investment Companies	0.2
Food-Wholesale/Distribution	0.2
Motorcycle/Motor Scooter	0.2
Oil & Gas Drilling	0.2
Physicians Practice Management	0.2
Building-Residential/Commercial	0.2
Private Equity	0.2
Machinery-Electrical	0.2
Home Decoration Products	0.2
Enterprise Software/Service	0.2
Aerospace/Defense	0.2
Oil Field Machinery & Equipment	0.2
Retail-Discount	0.2
Electronic Connectors	0.2
Repurchase Agreements	0.2
Computers-Memory Devices	0.2
Retail-Auto Parts	0.2
Computers-Integrated Systems	0.2
Auto-Heavy Duty Trucks	0.2
Retail-Regional Department Stores	0.2
Water	0.2

186

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Industry Allocation* (continued)
Transport-Marine	0.2	%
Poultry	0.2
Paper & Related Products	0.2
Metal-Copper	0.1
Containers-Metal/Glass	0.1
Casino Hotels	0.1
Drug Delivery Systems	0.1
Computer Aided Design	0.1
Retail-Restaurants	0.1
Retail-Arts & Crafts	0.1
Electric Products-Misc.	0.1
Publishing-Books	0.1
Broadcast Services/Program	0.1
Non-Hazardous Waste Disposal	0.1
Electronic Components-Semiconductors	0.1
Rental Auto/Equipment	0.1
Retail-Consumer Electronics	0.1
Internet Security	0.1
Marine Services	0.1
Medical Instruments	0.1
Recreational Centers	0.1
Toys	0.1
Retail-Catalog Shopping	0.1
Electronic Parts Distribution	0.1
Medical Information Systems	0.1
Radio	0.1
U.S. Government Treasuries	0.1
Textile-Home Furnishings	0.1
Entertainment Software	0.1
Retail-Automobile	0.1
Diagnostic Kits	0.1
Machinery-Construction & Mining	0.1
Metal-Aluminum	0.1
Motion Pictures & Services	0.1
Water Treatment Systems	0.1
Miscellaneous Manufacturing	0.1
Lighting Products & Systems	0.1
Television	0.1
	100.3	%

*  Calculated as a percentage of net assets

187

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.0%
Advanced Materials — 0.0%
Hexcel Corp.		1,278	$	85,690
Advertising Agencies — 0.3%
Interpublic Group of Cos., Inc.		32,618		745,973
Omnicom Group, Inc.		1,386		94,276
				840,249
Aerospace/Defense — 0.2%
Rockwell Collins, Inc.		2,575		361,710
Teledyne Technologies, Inc.†		641		158,122
				519,832
Aerospace/Defense-Equipment — 1.1%
Arconic, Inc.		7,846		172,690
Cobham PLC†		207,414		315,626
Curtiss-Wright Corp.		735		101,004
Harris Corp.		4,730		800,363
L3 Technologies, Inc.		6,174		1,312,716
				2,702,399
Agricultural Chemicals — 0.2%
CF Industries Holdings, Inc.		7,481		407,265
Mosaic Co.		6,368		206,833
				614,098
Agricultural Operations — 1.7%
Archer-Daniels-Midland Co.		41,568		2,089,623
Bunge, Ltd.		31,971		2,196,728
				4,286,351
Airlines — 0.9%
Alaska Air Group, Inc.		7,280		501,301
American Airlines Group, Inc.		7,618		314,852
Copa Holdings SA, Class A		567		45,269
Delta Air Lines, Inc.		13,937		805,976
JetBlue Airways Corp.†		5,736		111,049
United Continental Holdings, Inc.†		4,513		401,928
				2,180,375
Apparel Manufacturers — 1.0%
Columbia Sportswear Co.		486		45,232
Hanesbrands, Inc.		29,524		544,127
Michael Kors Holdings, Ltd.†		1,198		82,135
PVH Corp.		5,538		799,687
Ralph Lauren Corp.		6,530		898,201
Under Armour, Inc., Class A†		812		17,231
Under Armour, Inc., Class C†		830		16,152
VF Corp.		1,350		126,158
				2,528,923
Appliances — 0.3%
Whirlpool Corp.		5,489		651,819
Applications Software — 0.0%
Nuance Communications, Inc.†		5,331		92,333
Auto-Heavy Duty Trucks — 0.2%
PACCAR, Inc.		6,228		424,687
Auto/Truck Parts & Equipment-Original — 0.3%
Adient PLC		9,945		390,938
Aptiv PLC		634		53,193

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Original (continued)
BorgWarner, Inc.		3,792	$	162,222
Lear Corp.		1,075		155,875
Visteon Corp.†		197		18,301
				780,529
Banks-Commercial — 2.9%
Associated Banc-Corp.		3,066		79,716
Bank of Hawaii Corp.		756		59,656
Bank OZK		2,199		83,474
BankUnited, Inc.		1,885		66,729
BOK Financial Corp.		470		45,722
CIT Group, Inc.		2,305		118,961
Citizens Financial Group, Inc.		23,470		905,238
Commerce Bancshares, Inc.		1,720		113,554
Cullen/Frost Bankers, Inc.		1,036		108,200
East West Bancorp, Inc.		2,421		146,156
First Citizens BancShares, Inc., Class A		143		64,676
First Hawaiian, Inc.		1,937		52,609
First Horizon National Corp.		5,873		101,368
First Republic Bank		2,911		279,456
FNB Corp.		5,853		74,450
M&T Bank Corp.		6,804		1,119,530
PacWest Bancorp		2,271		108,213
Pinnacle Financial Partners, Inc.		772		46,436
Popular, Inc.		11,527		590,759
Prosperity Bancshares, Inc.		1,206		83,636
Regions Financial Corp.		20,368		373,753
Signature Bank		5,878		675,030
SVB Financial Group†		221		68,693
Synovus Financial Corp.		1,959		89,703
TCF Financial Corp.		2,988		71,144
Texas Capital Bancshares, Inc.†		328		27,109
Umpqua Holdings Corp.		3,973		82,638
Webster Financial Corp.		1,656		97,638
Westamerica Bancorporation		10,870		653,939
Western Alliance Bancorp†		707		40,221
Wintrust Financial Corp.		9,297		789,687
Zions Bancorporation		3,527		176,879
				7,394,973
Banks-Fiduciary — 0.9%
Northern Trust Corp.		22,628		2,310,998
Banks-Super Regional — 3.0%
Comerica, Inc.		12,865		1,160,423
Fifth Third Bancorp		81,056		2,263,083
Huntington Bancshares, Inc.		85,778		1,279,808
KeyCorp		73,558		1,463,069
SunTrust Banks, Inc.		23,020		1,537,506
				7,703,889
Batteries/Battery Systems — 0.0%
Energizer Holdings, Inc.		455		26,686
Beverages-Non-alcoholic — 0.3%
Coca-Cola European Partners PLC		15,063		684,915

188

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Brewery — 0.7%
Carlsberg A/S, Class B		10,226	$	1,226,566
Molson Coors Brewing Co., Class B		8,870		545,505
				1,772,071
Broadcast Services/Program — 0.1%
Discovery, Inc., Class A†		2,789		89,248
Discovery, Inc., Class C†		6,259		185,141
				274,389
Building & Construction Products-Misc. — 0.3%
Fortune Brands Home & Security, Inc.		1,542		80,739
Owens Corning		13,365		725,319
USG Corp.†		1,478		64,012
				870,070
Building & Construction-Misc. — 0.0%
nVent Electric PLC		2,917		79,226
Building Products-Air & Heating — 0.0%
Lennox International, Inc.		42		9,173
Building Products-Cement — 0.5%
Eagle Materials, Inc.		103		8,780
Martin Marietta Materials, Inc.		94		17,103
Vulcan Materials Co.		11,770		1,308,824
				1,334,707
Building Products-Wood — 0.0%
Masco Corp.		1,780		65,148
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		159		13,308
Building-Residential/Commercial — 0.2%
D.R. Horton, Inc.		2,582		108,909
Lennar Corp., Class A		2,382		111,216
Lennar Corp., Class B		131		5,044
PulteGroup, Inc.		3,207		79,437
Toll Brothers, Inc.		8,210		271,176
				575,782
Cable/Satellite TV — 0.3%
Altice USA, Inc., Class A		17,677		320,661
DISH Network Corp., Class A†		4,026		143,970
Liberty Broadband Corp., Class A†		462		38,960
Liberty Broadband Corp., Class C†		1,887		159,074
				662,665
Casino Hotels — 0.1%
Caesars Entertainment Corp.†		10,769		110,382
MGM Resorts International		8,583		239,552
				349,934
Cellular Telecom — 0.0%
Sprint Corp.†		11,681		76,394
United States Cellular Corp.†		235		10,523
				86,917
Chemicals-Diversified — 1.2%
Celanese Corp., Series A		6,166		702,924
Eastman Chemical Co.		12,351		1,182,238
FMC Corp.		4,329		377,402

Security Description	Shares		Value (Note 2)
Chemicals-Diversified (continued)
Huntsman Corp.		3,955	$	107,695
Olin Corp.		3,025		77,682
PPG Industries, Inc.		5,572		608,072
Westlake Chemical Corp.		51		4,239
				3,060,252
Chemicals-Specialty — 0.6%
Albemarle Corp.		1,998		199,360
Ashland Global Holdings, Inc.		1,129		94,678
Brenntag AG		5,498		339,345
Cabot Corp.		1,099		68,929
International Flavors & Fragrances, Inc.		827		115,052
NewMarket Corp.		9		3,650
Platform Specialty Products Corp.†		2,012		25,090
Univar, Inc.†		20,815		638,188
Valvoline, Inc.		3,548		76,317
W.R. Grace & Co.		309		22,081
				1,582,690
Coatings/Paint — 0.6%
Axalta Coating Systems, Ltd.†		25,042		730,225
RPM International, Inc.		11,385		739,342
				1,469,567
Commercial Services — 0.3%
Cintas Corp.		2,408		476,327
CoreLogic, Inc.†		552		27,274
Macquarie Infrastructure Corp.		1,441		66,473
Nielsen Holdings PLC		6,467		178,877
Quanta Services, Inc.†		1,924		64,223
				813,174
Commercial Services-Finance — 0.8%
Equifax, Inc.		1,580		206,300
Euronet Worldwide, Inc.†		444		44,498
Global Payments, Inc.		4,877		621,330
H&R Block, Inc.		3,109		80,057
IHS Markit, Ltd.†		7,063		381,119
Sabre Corp.		889		23,185
Western Union Co.		6,050		115,313
Worldpay, Inc., Class A†		4,826		488,729
				1,960,531
Computer Aided Design — 0.1%
Aspen Technology, Inc.†		70		7,974
Autodesk, Inc.†		637		99,442
Synopsys, Inc.†		2,431		239,721
				347,137
Computer Data Security — 0.2%
Check Point Software Technologies, Ltd.†		5,212		613,296
Computer Services — 1.1%
Amdocs, Ltd.		14,785		975,514
Conduent, Inc.†		3,453		77,762
Dell Technologies, Inc., Class V†		3,362		326,517
DXC Technology Co.		5,179		484,340
Genpact, Ltd.		1,722		52,710

189

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computer Services (continued)
Leidos Holdings, Inc.		11,348	$	784,828
Teradata Corp.†		638		24,059
				2,725,730
Computer Software — 0.0%
Akamai Technologies, Inc.†		190		13,899
SS&C Technologies Holdings, Inc.		258		14,662
				28,561
Computers-Integrated Systems — 0.2%
NCR Corp.†		15,632		444,105
Computers-Memory Devices — 0.2%
Western Digital Corp.		8,137		476,340
Consulting Services — 0.0%
Booz Allen Hamilton Holding Corp.		131		6,502
Consumer Products-Misc. — 0.3%
Clorox Co.		306		46,025
Kimberly-Clark Corp.		5,700		647,748
				693,773
Containers-Metal/Glass — 0.1%
Ball Corp.		6,237		274,366
Owens-Illinois, Inc.†		2,932		55,092
Silgan Holdings, Inc.		930		25,854
				355,312
Containers-Paper/Plastic — 1.1%
Ardagh Group SA		335		5,591
Bemis Co., Inc.		1,642		79,801
Berry Global Group, Inc.†		14,611		707,026
Graphic Packaging Holding Co.		42,270		592,203
Sealed Air Corp.		12,261		492,279
Sonoco Products Co.		1,783		98,957
WestRock Co.		14,050		750,832
				2,726,689
Cosmetics & Toiletries — 0.5%
Coty, Inc., Class A		32,644		410,009
Edgewell Personal Care Co.†		17,767		821,368
				1,231,377
Cruise Lines — 0.5%
Norwegian Cruise Line Holdings, Ltd.†		3,720		213,640
Royal Caribbean Cruises, Ltd.		7,760		1,008,334
				1,221,974
Data Processing/Management — 1.0%
Dun & Bradstreet Corp.		380		54,154
Fidelity National Information Services, Inc.		14,417		1,572,462
First Data Corp., Class A†		32,062		784,557
				2,411,173
Dental Supplies & Equipment — 0.8%
DENTSPLY SIRONA, Inc.		20,456		772,009
Patterson Cos., Inc.		48,551		1,187,072
				1,959,081

Security Description	Shares		Value (Note 2)
Diagnostic Kits — 0.1%
QIAGEN NV†		4,019	$	152,240
Dialysis Centers — 0.0%
DaVita, Inc.†		1,180		84,523
Disposable Medical Products — 0.4%
STERIS PLC		7,695		880,308
Distribution/Wholesale — 0.5%
HD Supply Holdings, Inc.†		22,571		965,813
KAR Auction Services, Inc.		156		9,312
LKQ Corp.†		4,662		147,646
Watsco, Inc.		114		20,303
WESCO International, Inc.†		851		52,294
				1,195,368
Diversified Manufacturing Operations — 2.3%
Carlisle Cos., Inc.		1,080		131,544
Colfax Corp.†		1,616		58,273
Crane Co.		906		89,105
Dover Corp.		2,751		243,546
Eaton Corp. PLC		9,704		841,628
Ingersoll-Rand PLC		2,062		210,943
ITT, Inc.		11,944		731,689
Parker-Hannifin Corp.		1,973		362,894
Textron, Inc.		43,326		3,096,509
Trinity Industries, Inc.		2,667		97,719
				5,863,850
Diversified Operations — 0.0%
Spectrum Brands Holdings, Inc.		398		29,739
Drug Delivery Systems — 0.1%
DexCom, Inc.†		2,432		347,873
E-Commerce/Services — 0.0%
Zillow Group, Inc., Class A†		278		12,287
Zillow Group, Inc., Class C†		571		25,267
				37,554
Electric Products-Misc. — 0.1%
AMETEK, Inc.		3,346		264,735
Littelfuse, Inc.		74		14,644
				279,379
Electric-Distribution — 0.9%
CenterPoint Energy, Inc.		30,043		830,689
PPL Corp.		12,709		371,866
Sempra Energy		10,119		1,151,036
				2,353,591
Electric-Integrated — 6.3%
AES Corp.		46,112		645,568
Alliant Energy Corp.		4,199		178,751
Ameren Corp.		4,412		278,927
Avangrid, Inc.		1,017		48,745
CMS Energy Corp.		20,653		1,011,997
Consolidated Edison, Inc.		5,650		430,474
DTE Energy Co.		10,488		1,144,555
Edison International		5,765		390,175
Entergy Corp.		7,765		629,975
Evergy, Inc.		4,913		269,822
Eversource Energy		17,221		1,058,058

190

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electric-Integrated (continued)
FirstEnergy Corp.		82,941	$	3,082,917
Hawaiian Electric Industries, Inc.		1,962		69,828
MDU Resources Group, Inc.		3,517		90,352
OGE Energy Corp.		3,616		131,333
PG&E Corp.		38,580		1,775,066
Pinnacle West Capital Corp.		11,391		901,939
Public Service Enterprise Group, Inc.		25,738		1,358,709
SCANA Corp.		14,633		569,077
Southern Co.		14,522		633,159
WEC Energy Group, Inc.		14,238		950,529
Xcel Energy, Inc.		9,230		435,748
				16,085,704
Electronic Components-Misc. — 0.6%
AVX Corp.		12,252		221,149
Corning, Inc.		14,834		523,640
Garmin, Ltd.		2,065		144,653
Gentex Corp.		1,597		34,272
Jabil, Inc.		3,036		82,215
Sensata Technologies Holding PLC†		12,660		627,303
				1,633,232
Electronic Components-Semiconductors — 0.1%
Qorvo, Inc.†		2,291		176,155
Skyworks Solutions, Inc.		963		87,354
				263,509
Electronic Connectors — 0.2%
TE Connectivity, Ltd.		5,619		494,079
Electronic Measurement Instruments — 1.0%
Agilent Technologies, Inc.		5,850		412,659
FLIR Systems, Inc.		2,218		136,340
Fortive Corp.		458		38,564
Keysight Technologies, Inc.†		15,114		1,001,756
National Instruments Corp.		13,235		639,647
Trimble, Inc.†		4,523		196,570
				2,425,536
Electronic Parts Distribution — 0.1%
Arrow Electronics, Inc.†		1,577		116,256
Avnet, Inc.		2,123		95,047
				211,303
Electronic Security Devices — 0.0%
ADT, Inc.		1,913		17,963
Allegion PLC		296		26,809
				44,772
Energy-Alternate Sources — 0.0%
First Solar, Inc.†		1,486		71,952
Engineering/R&D Services — 0.4%
AECOM†		2,895		94,551
Fluor Corp.		2,543		147,748
Jacobs Engineering Group, Inc.		2,312		176,868
KBR, Inc.		28,295		597,873
				1,017,040

Security Description	Shares		Value (Note 2)
Engines-Internal Combustion — 0.3%
Cummins, Inc.		1,770	$	258,544
Gates Industrial Corp. PLC†		24,769		482,995
				741,539
Enterprise Software/Service — 0.2%
CA, Inc.		5,692		251,302
Verint Systems, Inc.†		6,065		303,856
				555,158
Entertainment Software — 0.1%
Take-Two Interactive Software, Inc.†		833		114,945
Zynga, Inc., Class A†		13,868		55,611
				170,556
Filtration/Separation Products — 0.0%
Donaldson Co., Inc.		158		9,205
Finance-Auto Loans — 0.3%
Ally Financial, Inc.		24,714		653,686
Credit Acceptance Corp.†		17		7,447
Santander Consumer USA Holdings, Inc.		1,825		36,573
				697,706
Finance-Consumer Loans — 0.7%
Navient Corp.		4,739		63,882
OneMain Holdings, Inc.†		1,286		43,223
SLM Corp.†		7,888		87,951
Synchrony Financial		47,243		1,468,312
				1,663,368
Finance-Credit Card — 0.4%
Discover Financial Services		14,331		1,095,605
Finance-Investment Banker/Broker — 0.7%
E*TRADE Financial Corp.†		3,711		194,419
Interactive Brokers Group, Inc., Class A		115		6,361
Jefferies Financial Group, Inc.		40,595		891,466
Lazard, Ltd., Class A		183		8,808
TD Ameritrade Holding Corp.		13,847		731,537
				1,832,591
Finance-Leasing Companies — 0.0%
Air Lease Corp.		1,628		74,693
Finance-Other Services — 0.5%
BGC Partners, Inc., Class A		4,747		56,109
Cboe Global Markets, Inc.		148		14,202
Nasdaq, Inc.		14,611		1,253,624
				1,323,935
Financial Guarantee Insurance — 0.0%
Assured Guaranty, Ltd.		2,002		84,544
Food-Baking — 0.5%
Flowers Foods, Inc.		69,597		1,298,680
Food-Catering — 0.3%
Aramark		17,366		747,085

191

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Confectionery — 0.3%
Hershey Co.		229	$	23,358
Hostess Brands, Inc.†		4,679		51,796
J.M. Smucker Co.		6,716		689,129
				764,283
Food-Flour & Grain — 0.0%
Seaboard Corp.		5		18,550
Food-Meat Products — 0.5%
Hormel Foods Corp.		4,927		194,124
Tyson Foods, Inc., Class A		15,798		940,455
				1,134,579
Food-Misc./Diversified — 1.1%
Campbell Soup Co.		11,296		413,772
Conagra Brands, Inc.		6,840		232,355
General Mills, Inc.		3,740		160,521
Hain Celestial Group, Inc.†		1,727		46,836
Ingredion, Inc.		5,671		595,228
Kellogg Co.		2,252		157,685
Lamb Weston Holdings, Inc.		2,656		176,890
McCormick & Co., Inc.		2,077		273,645
Pinnacle Foods, Inc.		2,148		139,212
Post Holdings, Inc.†		3,386		331,963
TreeHouse Foods, Inc.†		5,643		270,018
				2,798,125
Food-Retail — 0.9%
Kroger Co.		78,936		2,297,827
Food-Wholesale/Distribution — 0.2%
Sysco Corp.		6,684		489,603
US Foods Holding Corp.†		3,675		113,264
				602,867
Footwear & Related Apparel — 0.0%
Skechers U.S.A., Inc., Class A†		1,272		35,527
Funeral Services & Related Items — 0.0%
Service Corp. International		1,699		75,096
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC		1,686		33,299
Garden Products — 0.0%
Scotts Miracle-Gro Co.		370		29,130
Gas-Distribution — 0.6%
Atmos Energy Corp.		1,974		185,378
National Fuel Gas Co.		1,472		82,520
NiSource, Inc.		25,169		627,212
South Jersey Industries, Inc.		8,557		301,805
UGI Corp.		3,132		173,763
Vectren Corp.		1,509		107,879
				1,478,557
Gold Mining — 1.6%
Barrick Gold Corp.		83,900		929,612
Cia de Minas Buenaventura SAA ADR		27,800		372,798
Franco-Nevada Corp.		16,284		1,018,656
Newmont Mining Corp.		53,186		1,606,217
Royal Gold, Inc.		694		53,480
				3,980,763

Security Description	Shares		Value (Note 2)
Hazardous Waste Disposal — 0.3%
Clean Harbors, Inc.†		9,235	$	661,041
Stericycle, Inc.†		1,502		88,138
				749,179
Home Decoration Products — 0.2%
Newell Brands, Inc.		27,358		555,367
Home Furnishings — 0.0%
Leggett & Platt, Inc.		2,376		104,045
Hotels/Motels — 0.3%
Extended Stay America, Inc.		1,372		27,756
Hilton Worldwide Holdings, Inc.		6,768		546,719
Hyatt Hotels Corp., Class A		824		65,582
				640,057
Human Resources — 0.0%
ManpowerGroup, Inc.		1,190		102,292
Independent Power Producers — 0.5%
NRG Energy, Inc.		5,705		213,367
Vistra Energy Corp.†		38,932		968,628
				1,181,995
Industrial Automated/Robotic — 0.0%
Nordson Corp.		69		9,584
Instruments-Scientific — 0.3%
PerkinElmer, Inc.		7,914		769,795
Waters Corp.†		101		19,662
				789,457
Insurance Brokers — 1.3%
Arthur J. Gallagher & Co.		13,017		968,985
Brown & Brown, Inc.		37,393		1,105,711
Marsh & McLennan Cos., Inc.		9,839		813,882
Willis Towers Watson PLC		2,388		336,565
				3,225,143
Insurance-Life/Health — 1.4%
Athene Holding, Ltd., Class A†		15,597		805,741
AXA Equitable Holdings, Inc.		2,496		53,539
Brighthouse Financial, Inc.†		15,584		689,436
Lincoln National Corp.		12,733		861,515
Principal Financial Group, Inc.		5,130		300,567
Torchmark Corp.		1,911		165,664
Unum Group		15,285		597,185
				3,473,647
Insurance-Multi-line — 2.6%
American Financial Group, Inc.		1,302		144,483
American National Insurance Co.		134		17,325
Assurant, Inc.		7,673		828,300
Cincinnati Financial Corp.		2,786		213,993
CNA Financial Corp.		19,220		877,393
Hartford Financial Services Group, Inc.		29,443		1,470,972
Kemper Corp.		8,420		677,389
Loews Corp.		32,434		1,629,160
Old Republic International Corp.		5,135		114,921
Voya Financial, Inc.		13,842		687,532
				6,661,468

192

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Property/Casualty — 0.8%
Alleghany Corp.		237	$	154,650
Arch Capital Group, Ltd.†		5,906		176,058
Erie Indemnity Co., Class A		106		13,518
Fidelity National Financial, Inc.		4,789		188,447
First American Financial Corp.		1,967		101,478
Hanover Insurance Group, Inc.		5,696		702,716
Markel Corp.†		231		274,541
Mercury General Corp.		496		24,879
Progressive Corp.		3,600		255,744
White Mountains Insurance Group, Ltd.		55		51,473
WR Berkley Corp.		1,722		137,639
				2,081,143
Insurance-Reinsurance — 0.5%
Aspen Insurance Holdings, Ltd.		1,071		44,768
Axis Capital Holdings, Ltd.		1,327		76,581
Everest Re Group, Ltd.		3,348		764,917
Reinsurance Group of America, Inc.		1,169		168,991
RenaissanceRe Holdings, Ltd.		658		87,896
				1,143,153
Internet Security — 0.1%
FireEye, Inc.†		1,147		19,499
Symantec Corp.		11,230		238,974
				258,473
Investment Companies — 0.2%
Groupe Bruxelles Lambert SA		1,819		190,709
Pargesa Holding SA		5,131		412,247
				602,956
Investment Management/Advisor Services — 1.2%
Affiliated Managers Group, Inc.		981		134,123
Ameriprise Financial, Inc.		2,197		324,409
Franklin Resources, Inc.		28,842		877,085
Invesco, Ltd.		32,040		733,075
Legg Mason, Inc.		1,518		47,407
Raymond James Financial, Inc.		9,792		901,354
T. Rowe Price Group, Inc.		300		32,754
Waddell & Reed Financial, Inc., Class A		5,200		110,136
				3,160,343
Lasers-System/Components — 0.0%
Coherent, Inc.†		127		21,868
Lighting Products & Systems — 0.1%
Acuity Brands, Inc.		738		116,014
Machinery-Construction & Mining — 0.1%
Oshkosh Corp.		1,334		95,034
Terex Corp.		1,233		49,209
				144,243
Machinery-Electrical — 0.2%
Regal Beloit Corp.		6,782		559,176
Machinery-Farming — 0.4%
AGCO Corp.		16,418		998,050

Security Description	Shares		Value (Note 2)
Machinery-General Industrial — 0.4%
IDEX Corp.		84	$	12,655
Middleby Corp.†		410		53,034
Roper Technologies, Inc.		1,496		443,130
Wabtec Corp.		4,221		442,699
				951,518
Machinery-Pumps — 0.5%
Flowserve Corp.		2,372		129,725
Gardner Denver Holdings, Inc.†		1,293		36,643
Xylem, Inc.		14,291		1,141,422
				1,307,790
Machinery-Thermal Process — 0.0%
GrafTech International, Ltd.		1,111		21,676
Marine Services — 0.1%
SEACOR Marine Holdings, Inc.†		10,789		244,155
Medical Information Systems — 0.1%
Cerner Corp.†		3,180		204,824
Medical Instruments — 0.1%
Bruker Corp.		1,085		36,293
Integra LifeSciences Holdings Corp.†		297		19,564
Teleflex, Inc.		669		178,014
				233,871
Medical Labs & Testing Services — 0.7%
Catalent, Inc.†		1,986		90,462
Charles River Laboratories International, Inc.†		242		32,559
IQVIA Holdings, Inc.†		2,955		383,382
Laboratory Corp. of America Holdings†		1,742		302,550
Quest Diagnostics, Inc.		9,399		1,014,246
				1,823,199
Medical Products — 2.4%
Baxter International, Inc.		21,773		1,678,481
Cooper Cos., Inc.		738		204,537
Henry Schein, Inc.†		7,333		623,525
Hill-Rom Holdings, Inc.		421		39,742
Hologic, Inc.†		27,546		1,128,835
West Pharmaceutical Services, Inc.		1,019		125,816
Zimmer Biomet Holdings, Inc.		17,648		2,320,182
				6,121,118
Medical-Biomedical/Gene — 0.5%
Alnylam Pharmaceuticals, Inc.†		186		16,279
Bio-Rad Laboratories, Inc., Class A†		384		120,188
Bluebird Bio, Inc.†		302		44,092
Incyte Corp.†		5,900		407,572
Seattle Genetics, Inc.†		8,605		663,617
United Therapeutics Corp.†		778		99,491
				1,351,239
Medical-Drugs — 0.4%
Alkermes PLC†		19,057		808,779
Jazz Pharmaceuticals PLC†		87		14,627
Zoetis, Inc.		2,641		241,810
				1,065,216

193

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Generic Drugs — 1.3%
Amneal Pharmaceuticals, Inc.†		5,710	$	126,705
Mylan NV†		25,000		915,000
Perrigo Co. PLC		23,644		1,673,995
Teva Pharmaceutical Industries, Ltd. ADR		27,151		584,833
				3,300,533
Medical-HMO — 0.0%
Centene Corp.†		427		61,821
Molina Healthcare, Inc.†		172		25,576
WellCare Health Plans, Inc.†		61		19,550
				106,947
Medical-Hospitals — 0.9%
Acadia Healthcare Co., Inc.†		1,569		55,229
Envision Healthcare Corp.†		1,748		79,936
Select Medical Holdings Corp.†		68,648		1,263,123
Universal Health Services, Inc., Class B		6,920		884,653
				2,282,941
Medical-Wholesale Drug Distribution — 0.9%
AmerisourceBergen Corp.		6,215		573,147
Cardinal Health, Inc.		18,237		984,798
Premier, Inc., Class A†		12,941		592,439
				2,150,384
Metal Processors & Fabrication — 0.0%
Timken Co.		1,243		61,964
Metal-Aluminum — 0.1%
Alcoa Corp.†		3,388		136,875
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		26,255		365,470
Miscellaneous Manufacturing — 0.1%
AptarGroup, Inc.		1,127		121,423
Motion Pictures & Services — 0.1%
Dolby Laboratories, Inc., Class A		1,095		76,617
Lions Gate Entertainment Corp., Class A		828		20,195
Lions Gate Entertainment Corp., Class B		1,615		37,630
				134,442
Motorcycle/Motor Scooter — 0.2%
Harley-Davidson, Inc.		13,234		599,500
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		689		56,787
Multimedia — 0.5%
Liberty Media Corp. - Liberty Formula One, Series A†		450		16,011
Liberty Media Corp. - Liberty Formula One, Series C†		3,578		133,066
Viacom, Inc., Class A		182		6,652
Viacom, Inc., Class B		36,345		1,227,007
				1,382,736

Security Description	Shares		Value (Note 2)
Networking Products — 0.0%
LogMeIn, Inc.		315	$	28,067
Non-Ferrous Metals — 0.3%
Cameco Corp.		62,294		710,152
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		3,728		270,877
Office Automation & Equipment — 0.3%
Xerox Corp.		23,878		644,228
Oil & Gas Drilling — 0.2%
Helmerich & Payne, Inc.		1,925		132,382
Nabors Industries, Ltd.		6,185		38,100
Patterson-UTI Energy, Inc.		18,039		308,647
RPC, Inc.		652		10,093
Transocean, Ltd.†		7,775		108,461
				597,683
Oil Companies-Exploration & Production — 5.2%
Antero Resources Corp.†		2,044		36,199
Apache Corp.		33,470		1,595,515
ARC Resources, Ltd.		23,100		257,531
Cabot Oil & Gas Corp.		27,359		616,125
Centennial Resource Development, Inc., Class A†		3,318		72,498
Chesapeake Energy Corp.†		16,302		73,196
Cimarex Energy Co.		1,492		138,666
CNX Resources Corp.†		3,888		55,637
Concho Resources, Inc.†		5,524		843,791
Continental Resources, Inc.†		821		56,058
Devon Energy Corp.		9,478		378,551
Diamondback Energy, Inc.		1,317		178,045
Energen Corp.†		6,599		568,636
EQT Corp.		59,573		2,634,914
Extraction Oil & Gas, Inc.†		2,005		22,636
Hess Corp.		47,254		3,382,441
Kosmos Energy, Ltd.†		3,474		32,482
Marathon Oil Corp.		15,439		359,420
Newfield Exploration Co.†		2,297		66,223
Noble Energy, Inc.		8,705		271,509
Parsley Energy, Inc., Class A†		1,441		42,149
PDC Energy, Inc.†		7,653		374,691
Pioneer Natural Resources Co.		4,107		715,398
QEP Resources, Inc.†		4,283		48,484
Range Resources Corp.		3,822		64,936
SM Energy Co.		2,013		63,470
Whiting Petroleum Corp.†		1,626		86,243
WPX Energy, Inc.†		7,197		144,804
				13,180,248
Oil Companies-Integrated — 0.8%
Imperial Oil, Ltd.		39,000		1,262,430
Murphy Oil Corp.		22,839		761,452
				2,023,882
Oil Field Machinery & Equipment — 0.2%
Forum Energy Technologies, Inc.†		20,874		216,046
National Oilwell Varco, Inc.		6,930		298,544
				514,590

194

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Refining & Marketing — 0.7%
Andeavor		9,121	$	1,400,074
HollyFrontier Corp.		2,936		205,226
PBF Energy, Inc., Class A		2,130		106,308
				1,711,608
Oil-Field Services — 0.7%
Apergy Corp.†		1,407		61,289
Frank's International NV		74,780		649,090
NOW, Inc.†		21,323		352,896
Oil States International, Inc.†		12,215		405,538
SEACOR Holdings, Inc.†		3,209		158,557
Weatherford International PLC†		18,054		48,926
				1,676,296
Paper & Related Products — 0.2%
Domtar Corp.		1,131		59,004
International Paper Co.		6,664		327,536
				386,540
Physicians Practice Management — 0.2%
MEDNAX, Inc.†		12,525		584,417
Pipelines — 0.8%
Cheniere Energy, Inc.†		1,157		80,400
ONEOK, Inc.		4,358		295,429
Plains GP Holdings LP, Class A		30,234		741,640
Targa Resources Corp.		3,922		220,848
Williams Cos., Inc.		22,061		599,838
				1,938,155
Poultry — 0.2%
Pilgrim's Pride Corp.†		959		17,348
Sanderson Farms, Inc.		3,649		377,197
				394,545
Power Converter/Supply Equipment — 0.0%
Hubbell, Inc.		320		42,742
Private Equity — 0.2%
Apollo Global Management LLC, Class A		16,272		562,198
Professional Sports — 0.0%
Madison Square Garden Co., Class A†		301		94,911
Publishing-Books — 0.1%
John Wiley & Sons, Inc., Class A		803		48,662
Scholastic Corp.		4,900		228,781
				277,443
Publishing-Newspapers — 0.4%
News Corp., Class A		80,212		1,057,996
News Corp., Class B		2,198		29,893
				1,087,889
Radio — 0.1%
Liberty Media Corp. - Liberty SiriusXM, Series A†		1,528		66,376
Liberty Media Corp. - Liberty SiriusXM, Series C†		3,084		134,000
				200,376

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts — 8.3%
AGNC Investment Corp.		8,319	$	154,983
Alexandria Real Estate Equities, Inc.		1,701		213,969
American Campus Communities, Inc.		2,469		101,624
American Homes 4 Rent, Class A		4,687		102,598
Annaly Capital Management, Inc.		47,803		489,025
Apartment Investment & Management Co., Class A		2,830		124,888
Apple Hospitality REIT, Inc.		3,927		68,683
AvalonBay Communities, Inc.		2,505		453,781
Boston Properties, Inc.		2,802		344,898
Brandywine Realty Trust		3,184		50,052
Brixmor Property Group, Inc.		38,861		680,456
Brookfield Property REIT, Inc., Class A		2,833		59,295
Camden Property Trust		1,609		150,554
Chimera Investment Corp.		3,377		61,225
Colony Capital, Inc.		8,352		50,864
Columbia Property Trust, Inc.		2,145		50,708
Corporate Office Properties Trust		1,851		55,215
CubeSmart		3,296		94,035
CyrusOne, Inc.		1,777		112,662
DDR Corp.		2,766		37,037
Digital Realty Trust, Inc.		3,729		419,438
Douglas Emmett, Inc.		2,911		109,803
Duke Realty Corp.		6,469		183,526
Empire State Realty Trust, Inc., Class A		2,443		40,578
EPR Properties		10,389		710,712
Equity Commonwealth†		39,191		1,257,639
Equity Residential		22,166		1,468,719
Essex Property Trust, Inc.		1,193		294,325
Extra Space Storage, Inc.		294		25,472
Federal Realty Investment Trust		1,321		167,067
Forest City Realty Trust, Inc., Class A		21,859		548,442
Gaming and Leisure Properties, Inc.		2,339		82,450
HCP, Inc.		8,531		224,536
Healthcare Trust of America, Inc., Class A		3,697		98,599
Highwoods Properties, Inc.		1,843		87,100
Hospitality Properties Trust		2,950		85,078
Host Hotels & Resorts, Inc.		13,283		280,271
Hudson Pacific Properties, Inc.		2,451		80,197
Invitation Homes, Inc.		5,415		124,058
Iron Mountain, Inc.		5,150		177,778
JBG SMITH Properties		1,859		68,467
Kilroy Realty Corp.		1,756		125,888
Kimco Realty Corp.		7,372		123,407
Lamar Advertising Co., Class A		140		10,892
Liberty Property Trust		2,674		112,977
Life Storage, Inc.		10,668		1,015,167
Macerich Co.		2,466		136,345
Medical Properties Trust, Inc.		62,214		927,611
MFA Financial, Inc.		8,100		59,535
Mid-America Apartment Communities, Inc.		8,833		884,890
National Retail Properties, Inc.		2,776		124,420
New Residential Investment Corp.		6,056		107,918

195

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Omega Healthcare Investors, Inc.		3,257	$	106,732
OUTFRONT Media, Inc.		2,512		50,114
Paramount Group, Inc.		3,758		56,708
Park Hotels & Resorts, Inc.		3,643		119,563
Rayonier, Inc.		38,405		1,298,473
Realty Income Corp.		5,159		293,496
Regency Centers Corp.		10,554		682,527
Retail Properties of America, Inc., Class A		3,972		48,419
Retail Value, Inc†.		277		9,055
Senior Housing Properties Trust		4,264		74,876
SL Green Realty Corp.		1,549		151,074
Spirit Realty Capital, Inc.		7,756		62,513
Starwood Property Trust, Inc.		4,629		99,616
STORE Capital Corp.		3,232		89,817
Sun Communities, Inc.		7,569		768,556
Two Harbors Investment Corp.		4,453		66,483
UDR, Inc.		4,813		194,590
Uniti Group, Inc.		2,989		60,228
Ventas, Inc.		6,458		351,186
VEREIT, Inc.		17,583		127,653
VICI Properties, Inc.		4,948		106,976
Vornado Realty Trust		3,126		228,198
Washington Prime Group, Inc.		27,150		198,195
Weingarten Realty Investors		2,165		64,430
Welltower, Inc.		6,753		434,353
Weyerhaeuser Co.		29,840		962,937
WP Carey, Inc.		12,253		787,990
				21,114,615
Real Estate Management/Services — 0.6%
CBRE Group, Inc., Class A†		2,991		131,903
Jones Lang LaSalle, Inc.		822		118,631
Realogy Holdings Corp.		55,091		1,137,078
				1,387,612
Real Estate Operations & Development — 0.0%
Howard Hughes Corp.†		419		52,048
Recreational Centers — 0.1%
St. Joe Co.†		13,401		225,137
Recreational Vehicles — 0.3%
Brunswick Corp.		9,444		632,937
Rental Auto/Equipment — 0.1%
AMERCO		127		45,294
Element Fleet Management Corp.		41,748		214,938
				260,232
Retail-Apparel/Shoe — 0.5%
Foot Locker, Inc.		2,129		108,537
Gap, Inc.		8,518		245,744
L Brands, Inc.		16,005		484,952
Tapestry, Inc.		4,197		210,983
Urban Outfitters, Inc.†		6,906		282,455
				1,332,671
Retail-Arts & Crafts — 0.1%
Michaels Cos., Inc.†		17,490		283,863

Security Description	Shares		Value (Note 2)
Retail-Auto Parts — 0.2%
Advance Auto Parts, Inc.		896	$	150,824
AutoZone, Inc.†		61		47,318
Genuine Parts Co.		2,594		257,843
				455,985
Retail-Automobile — 0.1%
AutoNation, Inc.†		1,006		41,799
CarMax, Inc.†		1,273		95,055
Penske Automotive Group, Inc.		643		30,472
				167,326
Retail-Catalog Shopping — 0.1%
MSC Industrial Direct Co., Inc., Class A		445		39,209
Qurate Retail Group, Inc.†		7,886		175,148
				214,357
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		3,268		259,348
Retail-Convenience Store — 0.0%
Casey's General Stores, Inc.		676		87,278
Retail-Discount — 0.2%
BJ's Wholesale Club Holdings, Inc.†		8,419		225,461
Dollar Tree, Inc.†		3,534		288,198
				513,659
Retail-Gardening Products — 0.3%
Tractor Supply Co.		8,104		736,492
Retail-Jewelry — 0.4%
Tiffany & Co.		8,163		1,052,782
Retail-Mail Order — 0.0%
Williams-Sonoma, Inc.		1,163		76,432
Retail-Regional Department Stores — 0.2%
Kohl's Corp.		3,031		225,961
Macy's, Inc.		5,549		192,717
				418,678
Retail-Restaurants — 0.1%
Darden Restaurants, Inc.		1,115		123,977
Yum China Holdings, Inc.		6,150		215,926
				339,903
Retail-Sporting Goods — 0.0%
Dick's Sporting Goods, Inc.		1,404		49,814
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		4,359		101,957
Satellite Telecom — 0.0%
EchoStar Corp., Class A†		867		40,203
Savings & Loans/Thrifts — 0.3%
Capitol Federal Financial, Inc.		37,812		481,725
New York Community Bancorp, Inc.		8,635		89,545
People's United Financial, Inc.		6,273		107,394
Sterling Bancorp		4,041		88,902
TFS Financial Corp.		898		13,479
				781,045

196

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Schools — 0.4%
Bright Horizons Family Solutions, Inc.†		161	$	18,972
Graham Holdings Co., Class B		76		44,027
Strategic Education, Inc.		6,262		858,082
				921,081
Semiconductor Components-Integrated Circuits — 1.1%
Analog Devices, Inc.		13,883		1,283,622
Cypress Semiconductor Corp.		2,013		29,168
Marvell Technology Group, Ltd.		38,498		743,012
Maxim Integrated Products, Inc.		11,767		663,541
				2,719,343
Semiconductor Equipment — 0.0%
Teradyne, Inc.		2,912		107,686
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		114		29,193
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		674		40,015
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc.		400		55,400
Steel-Producers — 0.6%
Nucor Corp.		18,355		1,164,625
Reliance Steel & Aluminum Co.		1,272		108,489
Steel Dynamics, Inc.		3,475		157,035
United States Steel Corp.		3,196		97,414
				1,527,563
Telecommunication Equipment — 0.4%
ARRIS International PLC†		3,163		82,207
CommScope Holding Co., Inc.†		3,442		105,876
Juniper Networks, Inc.		6,266		187,792
NICE, Ltd., ADR†		5,777		661,293
				1,037,168
Telephone-Integrated — 0.3%
CenturyLink, Inc.		17,348		367,778
GCI Liberty, Inc., Class A†		1,828		93,228
Telephone & Data Systems, Inc.		6,882		209,419
				670,425
Television — 0.1%
Tribune Media Co., Class A		2,988		114,829
Textile-Home Furnishings — 0.1%
Mohawk Industries, Inc.†		1,128		197,795
Theaters — 0.0%
Cinemark Holdings, Inc.		1,941		78,028
Therapeutics — 0.0%
Agios Pharmaceuticals, Inc.†		59		4,550
Tools-Hand Held — 0.6%
Snap-on, Inc.		1,017		186,721
Stanley Black & Decker, Inc.		9,226		1,351,056
				1,537,777

Security Description	Shares		Value (Note 2)
Toys — 0.1%
Hasbro, Inc.		448	$	47,094
Mattel, Inc.		10,943		171,805
				218,899
Transport-Marine — 0.2%
Kirby Corp.†		1,069		87,925
Tidewater, Inc.†		10,000		311,900
				399,825
Transport-Rail — 0.6%
Genesee & Wyoming, Inc., Class A†		851		77,433
Kansas City Southern		11,565		1,310,083
				1,387,516
Transport-Services — 0.8%
C.H. Robinson Worldwide, Inc.		12,759		1,249,361
Expeditors International of Washington, Inc.		8,612		633,241
Ryder System, Inc.		943		68,905
				1,951,507
Transport-Truck — 0.0%
Knight-Swift Transportation Holdings, Inc.		2,337		80,580
Schneider National, Inc., Class B		720		17,985
				98,565
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc.†.		2,002		69,850
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		1,707		93,117
Water — 0.2%
American Water Works Co., Inc.		3,232		284,319
Aqua America, Inc.		3,228		119,113
				403,432
Water Treatment Systems — 0.1%
Pentair PLC		2,918		126,495
Wireless Equipment — 0.4%
Motorola Solutions, Inc.		6,832		889,117
Total Common Stocks (cost $211,408,409)				243,856,878
CONVERTIBLE PREFERRED SECURITIES — 0.1%
Agricultural Operations — 0.1%
Bunge, Ltd. (Preference Shares) (cost $220,717)		1,948		211,358
EXCHANGE-TRADED FUNDS — 0.4%
iShares Russell Midcap Value Index Fund (cost $1,155,354)		12,825		1,157,584
Total Long-Term Investment Securities (cost $212,784,480)				245,225,820

197

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 3.6%
Registered Investment Companies — 2.9%
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(1)		2,828,414	$	2,828,414
T. Rowe Price Government Reserve Fund 2.09%(1)		4,546,058		4,546,058
				7,374,472
U.S. Government Agencies — 0.6%
Federal Home Loan Bank Disc. Notes 1.88% due 10/01/2018	$	1,500,000		1,500,000
U.S. Government Treasuries — 0.1%
United States Treasury Bills Disc. Notes 2.05% due 11/01/2018(2)		200,000		199,645
Total Short-Term Investment Securities (cost $9,074,120)				9,074,117

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 0.2%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $489,017 and collateralized by $505,000 of United States Treasury Bonds, bearing interest at 3.13%, due 08/15/2044 and having an approximate value of $501,562 (cost $489,000)	$	489,000		$	489,000
TOTAL INVESTMENTS (cost $222,347,600)(3)		100.3	%		254,788,937
Liabilities in excess of other assets		(0.3	)		(814,601	)
NET ASSETS		100.0	%	$	253,974,336

†  Non-income producing security

(1)  The rate shown is the 7-day yield as of September 30, 2018.

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

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

ADR — American Depositary Receipt

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	4	Long	S&P 400 E-Mini Index	December 2018	$	817,388	$	810,080	$	(7,308	)

*  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, 2018 (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	$	243,856,878	$	—	$	—	$	243,856,878
Convertible Preferred Securities		211,358		—		—		211,358
Exchange-Traded Funds		1,157,584		—		—		1,157,584
Short-Term Investment Securities:
Registered Investment Companies		7,374,472		—		—		7,374,472
Other Short-Term Investment Securities		—		1,699,645		—		1,699,645
Repurchase Agreements		—		489,000		—		489,000
Total Investments at Value	$	252,600,292	$	2,188,645	$	—	$	254,788,937
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	7,308	$	—	$	—	$	7,308

*  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.

198

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

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 of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 investments at the end of the reporting period.

See Notes to Financial Statements

199

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Banks-Commercial	7.6	%
Human Resources	4.6
Real Estate Investment Trusts	4.2
Insurance-Property/Casualty	3.3
Medical-Biomedical/Gene	2.5
Aerospace/Defense-Equipment	2.2
Chemicals-Specialty	1.7
Real Estate Management/Services	1.7
Enterprise Software/Service	1.6
Savings & Loans/Thrifts	1.5
Medical-Drugs	1.5
Commercial Services-Finance	1.4
Oil Companies-Exploration & Production	1.4
Finance-Consumer Loans	1.3
Building-Residential/Commercial	1.3
Athletic Equipment	1.3
Finance-Auto Loans	1.3
Recreational Vehicles	1.2
Miscellaneous Manufacturing	1.2
Engineering/R&D Services	1.2
Computer Services	1.2
Electronic Components-Semiconductors	1.1
Retail-Automobile	1.1
Building & Construction Products-Misc.	1.1
Retail-Restaurants	1.0
Retail-Apparel/Shoe	1.0
Auto/Truck Parts & Equipment-Replacement	1.0
Professional Sports	1.0
Medical Products	0.9
Diversified Manufacturing Operations	0.9
Computer Software	0.9
B2B/E-Commerce	0.9
Oil-Field Services	0.9
Medical-HMO	0.9
Veterinary Diagnostics	0.8
Building Products-Wood	0.8
Diversified Operations/Commercial Services	0.8
Paper & Related Products	0.8
Machinery-Farming	0.7
Machinery-General Industrial	0.7
Consumer Products-Misc.	0.7
Electronic Components-Misc.	0.7
Investment Management/Advisor Services	0.7
Batteries/Battery Systems	0.7
Food-Misc./Diversified	0.7
Finance-Other Services	0.7
Building & Construction-Misc.	0.7
Semiconductor Equipment	0.7
Finance-Investment Banker/Broker	0.6
Registered Investment Companies	0.6
Footwear & Related Apparel	0.6
Applications Software	0.6
Distribution/Wholesale	0.6
Computers-Integrated Systems	0.6
E-Commerce/Services	0.5
Electric-Integrated	0.5
Building-Heavy Construction	0.5
Rubber/Plastic Products	0.5
Data Processing/Management	0.5
Medical-Hospitals	0.5

Energy-Alternate Sources	0.5	%
Retail-Home Furnishings	0.5
Gas-Distribution	0.5
Coal	0.5
Power Converter/Supply Equipment	0.4
Consulting Services	0.4
Insurance-Life/Health	0.4
Transport-Truck	0.4
Home Furnishings	0.4
Medical-Generic Drugs	0.4
Gambling (Non-Hotel)	0.4
Computer Aided Design	0.4
Commercial Services	0.4
Medical-Outpatient/Home Medical	0.4
Exchange-Traded Funds	0.4
Electronic Measurement Instruments	0.4
Water	0.4
Racetracks	0.4
Auto-Heavy Duty Trucks	0.4
Building Products-Cement	0.3
Medical Instruments	0.3
Therapeutics	0.3
Auto/Truck Parts & Equipment-Original	0.3
Auto-Truck Trailers	0.3
Containers-Paper/Plastic	0.3
Semiconductor Components-Integrated Circuits	0.3
Chemicals-Diversified	0.3
Oil Refining & Marketing	0.3
Wireless Equipment	0.3
Financial Guarantee Insurance	0.3
Telecom Equipment-Fiber Optics	0.3
Telephone-Integrated	0.3
Airlines	0.3
Office Supplies & Forms	0.3
Publishing-Newspapers	0.3
Disposable Medical Products	0.3
Printing-Commercial	0.2
Schools	0.2
Building Products-Doors & Windows	0.2
Medical Information Systems	0.2
Repurchase Agreements	0.2
Metal-Aluminum	0.2
Firearms & Ammunition	0.2
Retail-Jewelry	0.2
E-Services/Consulting	0.2
Aerospace/Defense	0.2
Oil Field Machinery & Equipment	0.2
Telecom Services	0.2
Television	0.2
Diagnostic Equipment	0.2
Retail-Pawn Shops	0.2
Transport-Services	0.2
Insurance-Multi-line	0.2
Publishing-Books	0.2
Computer Data Security	0.2
Environmental Consulting & Engineering	0.2
Appliances	0.2
Engines-Internal Combustion	0.1
Metal Products-Distribution	0.1
Electronic Parts Distribution	0.1

200

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Industry Allocation* (continued)
Food-Wholesale/Distribution	0.1	%
Web Hosting/Design	0.1
Lasers-System/Components	0.1
Broadcast Services/Program	0.1
Transactional Software	0.1
Banks-Mortgage	0.1
Instruments-Controls	0.1
Building-Mobile Home/Manufactured Housing	0.1
Diagnostic Kits	0.1
Cosmetics & Toiletries	0.1
Medical-Wholesale Drug Distribution	0.1
Metal Processors & Fabrication	0.1
Internet Security	0.1
Cellular Telecom	0.1
Linen Supply & Related Items	0.1
Networking Products	0.1
Medical Labs & Testing Services	0.1
Circuit Boards	0.1
Hotels/Motels	0.1
E-Marketing/Info	0.1
Internet Connectivity Services	0.1
Auto Repair Centers	0.1
Real Estate Operations & Development	0.1
Poultry	0.1
Machinery-Pumps	0.1
Satellite Telecom	0.1
Golf	0.1
Computers-Other	0.1
Building-Maintenance & Services	0.1
Identification Systems	0.1
Office Furnishings-Original	0.1
Machinery-Electrical	0.1
Electronic Security Devices	0.1
Computers-Periphery Equipment	0.1
Storage/Warehousing	0.1
Vitamins & Nutrition Products	0.1
Transport-Equipment & Leasing	0.1
Retail-Regional Department Stores	0.1
Medical-Nursing Homes	0.1
Retail-Office Supplies	0.1
Filtration/Separation Products	0.1
Oil & Gas Drilling	0.1
Electric-Generation	0.1
Telecommunication Equipment	0.1
Wire & Cable Products	0.1
Travel Services	0.1
Internet Content-Information/News	0.1
Transport-Air Freight	0.1
Tobacco	0.1
Hazardous Waste Disposal	0.1
Funeral Services & Related Items	0.1
Retail-Misc./Diversified	0.1
Steel-Producers	0.1
Building Products-Air & Heating	0.1
Textile-Apparel	0.1
Apparel Manufacturers	0.1
Physical Therapy/Rehabilitation Centers	0.1
Food-Dairy Products	0.1
Multimedia	0.1
Rubber-Tires	0.1

Food-Retail	0.1	%
Banks-Super Regional	0.1
Motion Pictures & Services	0.1
Non-Ferrous Metals	0.1
	98.7	%

*  Calculated as a percentage of net assets

201

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.5%
Advanced Materials — 0.0%
Haynes International, Inc.		1,524	$	54,102
Advertising Services — 0.0%
Forrester Research, Inc.		1,233		56,595
Aerospace/Defense — 0.2%
AeroVironment, Inc.†		2,595		291,081
Cubic Corp.		3,055		223,168
National Presto Industries, Inc.		612		79,346
				593,595
Aerospace/Defense-Equipment — 2.2%
AAR Corp.		3,936		188,495
Aerojet Rocketdyne Holdings, Inc.†		8,474		288,031
Curtiss-Wright Corp.		3,475		477,535
HEICO Corp.		37,433		3,466,670
Kaman Corp.		3,411		227,787
KLX, Inc.†		24,349		1,528,630
Moog, Inc., Class A		5,656		486,246
Triumph Group, Inc.		6,069		141,408
				6,804,802
Agricultural Operations — 0.0%
Andersons, Inc.		3,207		120,744
Airlines — 0.3%
Allegiant Travel Co.		1,556		197,301
Hawaiian Holdings, Inc.		6,182		247,898
SkyWest, Inc.		6,345		373,720
				818,919
Apparel Manufacturers — 0.1%
Oxford Industries, Inc.		2,064		186,173
Appliances — 0.2%
Hamilton Beach Brands Holding Co., Class A		4,200		92,148
iRobot Corp.†		3,339		367,023
				459,171
Applications Software — 0.6%
Ebix, Inc.		2,762		218,612
PDF Solutions, Inc.†		3,368		30,413
RealPage, Inc.†		23,666		1,559,590
				1,808,615
Athletic Equipment — 1.3%
Fox Factory Holding Corp.†		53,008		3,713,210
Nautilus, Inc.†		3,685		51,406
Vista Outdoor, Inc.†		7,009		125,391
				3,890,007
Audio/Video Products — 0.0%
Daktronics, Inc.		4,781		37,483
Universal Electronics, Inc.†		1,685		66,305
				103,788
Auto Repair Centers — 0.1%
Monro, Inc.		4,007		278,887
Auto-Heavy Duty Trucks — 0.4%
REV Group, Inc.		68,745		1,079,296

Security Description	Shares		Value (Note 2)
Auto-Truck Trailers — 0.3%
Wabash National Corp.		51,270	$	934,652
Auto/Truck Parts & Equipment-Original — 0.3%
American Axle & Manufacturing Holdings, Inc.†		13,607		237,306
Cooper-Standard Holdings, Inc.†		2,019		242,240
Gentherm, Inc.†		4,442		201,889
Meritor, Inc.†		1,300		25,168
Methode Electronics, Inc.		4,506		163,117
Superior Industries International, Inc.		2,804		47,808
Titan International, Inc.		6,130		45,485
				963,013
Auto/Truck Parts & Equipment-Replacement — 1.0%
Dorman Products, Inc.†		29,755		2,288,755
Douglas Dynamics, Inc.		13,200		579,480
Motorcar Parts of America, Inc.†		2,305		54,052
Standard Motor Products, Inc.		2,459		121,032
				3,043,319
B2B/E-Commerce — 0.9%
ePlus, Inc.†		29,158		2,702,947
Banks-Commercial — 7.6%
1st Source Corp.		2,840		149,441
Allegiance Bancshares, Inc.†		14,041		585,510
Ameris Bancorp		4,863		222,239
BancFirst Corp.		8,900		533,555
BancorpSouth Bank		11,800		385,860
Bank OZK		68,448		2,598,286
Banner Corp.		22,839		1,419,901
Cadence BanCorp		800		20,896
Cathay General Bancorp		4,600		190,624
CenterState Bank Corp.		2,214		62,103
Central Pacific Financial Corp.		17,685		467,415
Central Valley Community Bancorp		1,100		23,771
Citizens & Northern Corp.		1,200		31,380
City Holding Co.		4,783		367,334
Columbia Banking System, Inc.		8,927		346,100
Community Bank System, Inc.		6,227		380,283
Customers Bancorp, Inc.†		3,550		83,531
CVB Financial Corp.		31,578		704,821
East West Bancorp, Inc.		155		9,357
FCB Financial Holdings, Inc., Class A†		14,200		673,080
Fidelity Southern Corp.		2,686		66,559
First BanCorp./Puerto Rico†		26,461		240,795
First Commonwealth Financial Corp.		31,528		508,862
First Community Bancshares, Inc.		1,300		44,044
First Financial Bancorp		16,870		501,039
First Financial Bankshares, Inc.		8,245		487,279
First Hawaiian, Inc.		4,300		116,788
First Interstate BancSystem, Inc., Class A		2,900		129,920
First Midwest Bancorp, Inc.		12,568		334,183
Franklin Financial Network, Inc.†		1,483		57,985
Glacier Bancorp, Inc.		10,297		443,698
Great Western Bancorp, Inc.		8,578		361,906
Green Bancorp, Inc.		3,227		71,317

202

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
Guaranty Bancorp		2,000	$	59,400
Hanmi Financial Corp.		3,961		98,629
Heritage Financial Corp.		4,043		142,111
Home BancShares, Inc.		73,075		1,600,342
Hope Bancorp, Inc.		24,503		396,214
Independent Bank Corp./ Massachusetts		3,955		326,683
Independent Bank Corp./Michigan		5,500		130,075
LegacyTexas Financial Group, Inc.		51,330		2,186,658
NBT Bancorp, Inc.		5,319		204,143
OFG Bancorp		16,059		259,353
Old National Bancorp		18,562		358,247
Opus Bank		2,632		72,117
PacWest Bancorp		3,100		147,715
Preferred Bank		1,699		99,391
S&T Bancorp, Inc.		4,265		184,930
Seacoast Banking Corp. of Florida†		5,746		167,783
ServisFirst Bancshares, Inc.		5,571		218,105
Sierra Bancorp		1,300		37,570
Simmons First National Corp., Class A		16,716		492,286
Southside Bancshares, Inc.		4,947		172,156
TCF Financial Corp.		11,900		283,339
Tompkins Financial Corp.		1,508		122,435
Triumph Bancorp, Inc.†		2,944		112,461
TrustCo Bank Corp.		11,762		99,977
Trustmark Corp.		4,100		137,965
UMB Financial Corp.		2,900		205,610
Union Bankshares Corp.		2,263		87,193
United Community Banks, Inc.		9,642		268,915
Veritex Holdings, Inc.†		26,636		752,733
Webster Financial Corp.		2,800		165,088
West Bancorporation, Inc.		1,850		43,475
Westamerica Bancorporation		14,749		887,300
				23,140,261
Banks-Fiduciary — 0.0%
Boston Private Financial Holdings, Inc.		10,303		140,636
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.		7,505		396,864
Banks-Super Regional — 0.1%
National Bank Holdings Corp., Class A		4,245		159,824
Batteries/Battery Systems — 0.7%
EnerSys		24,528		2,137,125
Beverages-Non-alcoholic — 0.0%
Coca-Cola Bottling Co. Consolidated		566		103,170
Beverages-Wine/Spirits — 0.0%
MGP Ingredients, Inc.		1,540		121,629
Broadcast Services/Program — 0.1%
Hemisphere Media Group, Inc.†		12,400		172,980
MSG Networks, Inc., Class A†		9,100		234,780
				407,760

Security Description	Shares		Value (Note 2)
Building & Construction Products-Misc. — 1.1%
American Woodmark Corp.†		1,908	$	149,682
Gibraltar Industries, Inc.†		3,898		177,749
Patrick Industries, Inc.†		33,672		1,993,382
Quanex Building Products Corp.		4,284		77,969
Simpson Manufacturing Co., Inc.		5,080		368,097
Trex Co., Inc.†		7,155		550,792
				3,317,671
Building & Construction-Misc. — 0.7%
Comfort Systems USA, Inc.		4,538		255,943
EMCOR Group, Inc.		17,100		1,284,381
MYR Group, Inc.†		7,718		251,916
TopBuild Corp.†		4,342		246,712
				2,038,952
Building Products-Air & Heating — 0.1%
AAON, Inc.		4,967		187,753
Building Products-Cement — 0.3%
Continental Building Products, Inc.†		24,800		931,240
US Concrete, Inc.†		1,947		89,270
				1,020,510
Building Products-Doors & Windows — 0.2%
Apogee Enterprises, Inc.		3,444		142,306
Griffon Corp.		4,113		66,425
Masonite International Corp.†		5,400		346,140
PGT Innovations, Inc.†		7,056		152,410
				707,281
Building Products-Wood — 0.8%
Boise Cascade Co.		4,739		174,395
Universal Forest Products, Inc.		62,116		2,194,558
				2,368,953
Building-Heavy Construction — 0.5%
Aegion Corp.†		3,937		99,921
Dycom Industries, Inc.†		15,608		1,320,437
MasTec, Inc.†		2,900		129,485
Orion Group Holdings, Inc.†		3,520		26,576
				1,576,419
Building-Maintenance & Services — 0.1%
ABM Industries, Inc.		8,023		258,742
Building-Mobile Home/Manufactured Housing — 0.1%
Cavco Industries, Inc.†		1,039		262,867
Winnebago Industries, Inc.		3,496		115,892
				378,759
Building-Residential/Commercial — 1.3%
Beazer Homes USA, Inc.†		501		5,260
Hovnanian Enterprises, Inc., Class A†		106,900		171,040
Installed Building Products, Inc.†		31,501		1,228,539
KB Home		48,700		1,164,417
LGI Homes, Inc.†		2,261		107,262
M/I Homes, Inc.†		3,481		83,300
MDC Holdings, Inc.		5,501		162,720
Meritage Homes Corp.†		4,655		185,734
Taylor Morrison Home Corp., Class A†		41,100		741,444

203

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Residential/Commercial (continued)
TRI Pointe Group, Inc.†		6,700	$	83,080
William Lyon Homes, Class A†		4,040		64,196
				3,996,992
Cable/Satellite TV — 0.0%
WideOpenWest, Inc.†		9,200		103,132
Capacitors — 0.0%
KEMET Corp.†		6,989		129,646
Cellular Telecom — 0.1%
8x8, Inc.†		11,370		241,613
ATN International, Inc.		1,322		97,669
				339,282
Chemicals-Diversified — 0.3%
Aceto Corp.		3,751		8,477
AdvanSix, Inc.†		3,695		125,445
Innophos Holdings, Inc.		2,389		106,072
Innospec, Inc.		2,975		228,331
Koppers Holdings, Inc.†		2,580		80,367
Quaker Chemical Corp.		1,624		328,389
				877,081
Chemicals-Fibers — 0.0%
Rayonier Advanced Materials, Inc.		6,240		115,003
Chemicals-Other — 0.0%
American Vanguard Corp.		3,251		58,518
Chemicals-Plastics — 0.0%
A. Schulman, Inc. CVR†(1)(2)		3,640		5,296
PolyOne Corp.		2,200		96,184
				101,480
Chemicals-Specialty — 1.7%
Balchem Corp.		26,545		2,975,429
H.B. Fuller Co.		6,166		318,597
Hawkins, Inc.		1,175		48,704
Ingevity Corp.†		5,123		521,931
Kraton Corp.†		3,885		183,178
Minerals Technologies, Inc.		5,000		338,000
OMNOVA Solutions, Inc.†		16,600		163,510
Rogers Corp.†		2,240		329,997
Sensient Technologies Corp.		1,800		137,718
Stepan Co.		2,470		214,915
				5,231,979
Circuit Boards — 0.1%
Park Electrochemical Corp.		2,343		45,665
TTM Technologies, Inc.†		16,642		264,774
				310,439
Coal — 0.5%
Arch Coal, Inc., Class A		3,100		277,140
Cloud Peak Energy, Inc.†		9,232		21,234
CONSOL Energy, Inc.†		3,412		139,244
NACCO Industries, Inc., Class A		3,100		101,525
Peabody Energy Corp.		5,600		199,584
SunCoke Energy, Inc.†		10,386		120,685
Warrior Met Coal, Inc.		18,800		508,352
				1,367,764

Security Description	Shares		Value (Note 2)
Commercial Services — 0.4%
Acacia Research Corp.†		17,900	$	57,280
Care.com, Inc.†		5,600		123,816
HMS Holdings Corp.†		10,169		333,645
Medifast, Inc.		2,156		477,662
Nutrisystem, Inc.		3,587		132,898
Team, Inc.†		3,658		82,305
				1,207,606
Commercial Services-Finance — 1.4%
Cardtronics PLC, Class A†		4,548		143,899
Euronet Worldwide, Inc.†		1,400		140,308
EVERTEC, Inc.		7,353		177,207
Green Dot Corp., Class A†		8,264		734,008
MarketAxess Holdings, Inc.		1,650		294,509
Travelport Worldwide, Ltd.		49,476		834,660
WEX, Inc.†		10,027		2,013,021
				4,337,612
Communications Software — 0.0%
Digi International, Inc.†		3,319		44,641
Computer Aided Design — 0.4%
Aspen Technology, Inc.†		10,850		1,235,923
Computer Data Security — 0.2%
Carbon Black, Inc.†		1,400		29,652
OneSpan, Inc.†		3,823		72,828
Qualys, Inc.†		4,086		364,063
				466,543
Computer Graphics — 0.0%
Monotype Imaging Holdings, Inc.		5,130		103,626
Computer Services — 1.2%
CACI International, Inc., Class A†		3,010		554,292
Carbonite, Inc.†		27,817		991,676
Engility Holdings, Inc.†		2,207		79,430
ExlService Holdings, Inc.†		4,181		276,782
Insight Enterprises, Inc.†		4,321		233,723
Science Applications International Corp.		6,250		503,750
Sykes Enterprises, Inc.†		4,852		147,937
Syntel, Inc.†		3,800		155,724
TTEC Holdings, Inc.		1,688		43,719
Unisys Corp.†		22,715		463,386
Virtusa Corp.†		3,334		179,069
				3,629,488
Computer Software — 0.9%
Box, Inc., Class A†		4,100		98,031
Envestnet, Inc.†		39,443		2,404,051
SendGrid, Inc.†		800		29,432
TiVo Corp.		15,080		187,746
				2,719,260
Computers-Integrated Systems — 0.6%
Agilysys, Inc.†		2,150		35,045
Cray, Inc.†		4,974		106,941
Diebold Nixdorf, Inc.		9,271		41,720
Mercury Systems, Inc.†		5,898		326,277

204

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computers-Integrated Systems (continued)
MTS Systems Corp.		2,176	$	119,136
NetScout Systems, Inc.†		43,600		1,100,900
				1,730,019
Computers-Other — 0.1%
3D Systems Corp.†		13,893		262,578
Computers-Periphery Equipment — 0.1%
Electronics For Imaging, Inc.†		7,106		242,172
Consulting Services — 0.4%
FTI Consulting, Inc.†		4,655		340,699
Huron Consulting Group, Inc.†		11,400		563,160
Kelly Services, Inc., Class A		3,793		91,146
Navigant Consulting, Inc.		13,883		320,142
				1,315,147
Consumer Products-Misc. — 0.7%
Central Garden & Pet Co.†		1,258		45,338
Central Garden & Pet Co., Class A†		4,977		164,938
Helen of Troy, Ltd.†		12,888		1,687,039
WD-40 Co.		1,690		290,849
				2,188,164
Containers-Paper/Plastic — 0.3%
Graphic Packaging Holding Co.		32,300		452,523
KapStone Paper and Packaging Corp.		10,848		367,856
Multi-Color Corp.		1,698		105,700
				926,079
Cosmetics & Toiletries — 0.1%
Avon Products, Inc.†		53,893		118,565
Edgewell Personal Care Co.†		2,500		115,575
Inter Parfums, Inc.		2,099		135,280
				369,420
Data Processing/Management — 0.5%
Bottomline Technologies, Inc.†		4,459		324,214
CSG Systems International, Inc.		4,583		183,962
Fair Isaac Corp.†		4,500		1,028,475
				1,536,651
Diagnostic Equipment — 0.2%
BioTelemetry, Inc.†		3,987		256,962
Repligen Corp.†		4,750		263,435
				520,397
Diagnostic Kits — 0.1%
Meridian Bioscience, Inc.		17,165		255,758
OraSure Technologies, Inc.†		7,453		115,149
				370,907
Disposable Medical Products — 0.3%
CONMED Corp.		3,151		249,622
Merit Medical Systems, Inc.†		6,669		409,810
Utah Medical Products, Inc.		1,000		94,200
				753,632
Distribution/Wholesale — 0.6%
Anixter International, Inc.†		3,506		246,472
Core-Mark Holding Co., Inc.		5,596		190,040
Essendant, Inc.		7,197		92,266

Security Description	Shares		Value (Note 2)
Distribution/Wholesale (continued)
Fossil Group, Inc.†		5,536	$	128,878
G-III Apparel Group, Ltd.†		5,093		245,432
H&E Equipment Services, Inc.		11,147		421,134
ScanSource, Inc.†		3,118		124,408
Titan Machinery, Inc.†		17,300		267,890
Veritiv Corp.†		1,371		49,904
				1,766,424
Diversified Manufacturing Operations — 0.9%
Actuant Corp., Class A		18,819		525,050
AZZ, Inc.		3,171		160,135
Barnes Group, Inc.		5,738		407,570
EnPro Industries, Inc.		2,554		186,263
Fabrinet†		4,441		205,441
Federal Signal Corp.		7,334		196,405
Harsco Corp.†		18,050		515,327
LSB Industries, Inc.†		2,475		24,206
Lydall, Inc.†		2,117		91,243
Raven Industries, Inc.		4,374		200,110
Standex International Corp.		1,563		162,943
Tredegar Corp.		3,114		67,418
				2,742,111
Diversified Operations/Commercial Services — 0.8%
Colliers International Group, Inc.		28,300		2,194,665
Viad Corp.		2,476		146,703
				2,341,368
Drug Delivery Systems — 0.0%
Assertio Therapeutics, Inc.†		7,787		45,788
E-Commerce/Services — 0.5%
Liberty Expedia Holdings, Inc., Class A†		10,800		508,032
Shutterfly, Inc.†		8,274		545,174
Shutterstock, Inc.		2,258		123,241
Stamps.com, Inc.†		2,079		470,270
				1,646,717
E-Marketing/Info — 0.1%
Liquidity Services, Inc.†		3,131		19,882
New Media Investment Group, Inc.		13,511		211,987
QuinStreet, Inc.†		4,479		60,780
				292,649
E-Services/Consulting — 0.2%
Perficient, Inc.†		22,341		595,388
Electric Products-Misc. — 0.0%
Graham Corp.		2,000		56,340
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		8,000		66,000
Electric-Generation — 0.1%
Atlantic Power Corp.†		95,900		210,980
Electric-Integrated — 0.5%
Avista Corp.		8,003		404,632
El Paso Electric Co.		10,558		603,917
PNM Resources, Inc.		4,100		161,745
Portland General Electric Co.		9,800		446,978
				1,617,272

205

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Misc. — 0.7%
Applied Optoelectronics, Inc.†		2,280	$	56,225
Bel Fuse, Inc., Class B		2,399		63,574
Benchmark Electronics, Inc.		22,376		523,598
Knowles Corp.†		10,977		182,438
OSI Systems, Inc.†		8,350		637,188
Plexus Corp.†		3,927		229,769
Sanmina Corp.†		8,280		228,528
Vishay Intertechnology, Inc.		12,600		256,410
				2,177,730
Electronic Components-Semiconductors — 1.1%
Amkor Technology, Inc.†		37,000		273,430
CEVA, Inc.†		2,684		77,165
CTS Corp.		4,031		138,263
Diodes, Inc.†		4,821		160,491
DSP Group, Inc.†		2,378		28,298
Kopin Corp.†		7,469		18,075
Rambus, Inc.†		107,578		1,173,676
Rudolph Technologies, Inc.†		3,887		95,037
Semtech Corp.†		8,068		448,581
Synaptics, Inc.†		8,100		369,522
Xperi Corp.		40,082		595,218
				3,377,756
Electronic Measurement Instruments — 0.4%
Badger Meter, Inc.		3,547		187,814
FARO Technologies, Inc.†		2,069		133,140
Itron, Inc.†		4,070		261,294
Stoneridge, Inc.†		17,900		531,988
				1,114,236
Electronic Parts Distribution — 0.1%
Tech Data Corp.†		5,950		425,841
Electronic Security Devices — 0.1%
Alarm.com Holdings, Inc.†		4,242		243,491
Energy-Alternate Sources — 0.5%
FutureFuel Corp.		13,744		254,814
Green Plains, Inc.		4,745		81,614
Pattern Energy Group, Inc., Class A		7,700		152,999
Renewable Energy Group, Inc.†		9,439		271,843
REX American Resources Corp.†		6,772		511,625
SolarEdge Technologies, Inc.†		5,211		196,194
				1,469,089
Engineering/R&D Services — 1.2%
Exponent, Inc.		64,926		3,480,034
VSE Corp.		4,800		159,024
				3,639,058
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		22,664		435,829
Enterprise Software/Service — 1.6%
Domo, Inc., Class B†		11,400		244,530
Donnelley Financial Solutions, Inc.†		10,542		188,913
LivePerson, Inc.†		6,995		181,520
Manhattan Associates, Inc.†		2,400		131,040
ManTech International Corp., Class A		3,215		203,510

Security Description	Shares		Value (Note 2)
Enterprise Software/Service (continued)
MicroStrategy, Inc., Class A†		2,149	$	302,192
Omnicell, Inc.†		4,784		343,970
Progress Software Corp.		28,384		1,001,671
SPS Commerce, Inc.†		2,129		211,282
SVMK, Inc.†		7,400		118,622
Tyler Technologies, Inc.†		7,422		1,818,835
				4,746,085
Environmental Consulting & Engineering — 0.2%
Tetra Tech, Inc.		6,742		460,479
Filtration/Separation Products — 0.1%
ESCO Technologies, Inc.		3,157		214,834
Finance-Auto Loans — 1.3%
Credit Acceptance Corp.†		8,723		3,821,285
Finance-Consumer Loans — 1.3%
Encore Capital Group, Inc.†		3,118		111,780
Enova International, Inc.†		4,161		119,837
Nelnet, Inc., Class A		3,900		222,963
PRA Group, Inc.†		97,739		3,518,604
World Acceptance Corp.†		757		86,571
				4,059,755
Finance-Investment Banker/Broker — 0.6%
Diamond Hill Investment Group, Inc.		5,989		990,521
Evercore, Inc., Class A		1,800		180,990
Greenhill & Co., Inc.		2,337		61,580
Houlihan Lokey, Inc.		7,700		345,961
INTL. FCStone, Inc.†		1,935		93,499
Investment Technology Group, Inc.		4,019		87,051
Piper Jaffray Cos.		1,848		141,095
				1,900,697
Finance-Mortgage Loan/Banker — 0.0%
Granite Point Mtg. Trust, Inc.		5,294		102,068
Finance-Other Services — 0.7%
HomeStreet, Inc.†		3,288		87,132
WageWorks, Inc.†		46,359		1,981,847
				2,068,979
Financial Guarantee Insurance — 0.3%
MBIA, Inc.†		27,900		298,251
MGIC Investment Corp.†		12,100		161,051
NMI Holdings, Inc., Class A†		13,611		308,289
Radian Group, Inc.		3,200		66,144
				833,735
Firearms & Ammunition — 0.2%
Axon Enterprise, Inc.†		7,105		486,195
Sturm Ruger & Co., Inc.		2,127		146,869
				633,064
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		1,924		64,839
Food-Dairy Products — 0.1%
Dean Foods Co.		25,233		179,154
Food-Misc./Diversified — 0.7%
B&G Foods, Inc.		8,033		220,506
Cal-Maine Foods, Inc.		3,685		177,985

206

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Misc./Diversified (continued)
Darling Ingredients, Inc.†		62,261	$	1,202,883
J&J Snack Foods Corp.		1,824		275,223
John B. Sanfilippo & Son, Inc.		1,066		76,091
Post Holdings, Inc.†		1,300		127,452
				2,080,140
Food-Retail — 0.1%
Ingles Markets, Inc., Class A		4,900		167,825
Food-Wholesale/Distribution — 0.1%
Calavo Growers, Inc.		1,905		184,023
SpartanNash Co.		4,378		87,823
SUPERVALU, Inc.†		4,714		151,885
				423,731
Footwear & Related Apparel — 0.6%
Crocs, Inc.†		22,196		472,553
Deckers Outdoor Corp.†		1,700		201,586
Steven Madden, Ltd.		6,486		343,109
Weyco Group, Inc.		600		21,108
Wolverine World Wide, Inc.		20,085		784,319
				1,822,675
Funeral Services & Related Items — 0.1%
Matthews International Corp., Class A		3,911		196,137
Gambling (Non-Hotel) — 0.4%
Monarch Casino & Resort, Inc.†		1,438		65,357
Pinnacle Entertainment, Inc.†		35,100		1,182,519
				1,247,876
Gas-Distribution — 0.5%
Northwest Natural Holding Co.		4,909		328,412
South Jersey Industries, Inc.		10,418		367,443
Southwest Gas Holdings, Inc.		2,800		221,284
Spire, Inc.		6,173		454,024
				1,371,163
Golf — 0.1%
Callaway Golf Co.		10,816		262,721
Hazardous Waste Disposal — 0.1%
US Ecology, Inc.		2,679		197,576
Health Care Cost Containment — 0.0%
CorVel Corp.†		1,127		67,902
Home Furnishings — 0.4%
Ethan Allen Interiors, Inc.		3,006		62,374
Hooker Furniture Corp.		19,205		649,129
Sleep Number Corp.†		15,951		586,678
				1,298,181
Hotels/Motels — 0.1%
Belmond, Ltd., Class A†		10,913		199,162
Marcus Corp.		2,398		100,836
				299,998
Human Resources — 4.6%
AMN Healthcare Services, Inc.†		66,458		3,635,253
ASGN, Inc.†		49,810		3,931,503
Barrett Business Services, Inc.		9,096		607,431

Security Description	Shares		Value (Note 2)
Human Resources (continued)
Cross Country Healthcare, Inc.†		26,222	$	228,918
Heidrick & Struggles International, Inc.		2,310		78,193
Insperity, Inc.		35,070		4,136,506
Korn/Ferry International		6,937		341,578
Resources Connection, Inc.		3,656		60,690
TrueBlue, Inc.†		13,650		355,582
Willdan Group, Inc.†		20,836		707,591
				14,083,245
Identification Systems — 0.1%
Brady Corp., Class A		5,873		256,944
Independent Power Producers — 0.0%
Vistra Energy Corp.†		5,218		129,824
Industrial Automated/Robotic — 0.0%
Ichor Holdings, Ltd.†		2,968		60,607
Instruments-Controls — 0.1%
Control4 Corp.†		3,179		109,135
Watts Water Technologies, Inc., Class A		3,388		281,204
				390,339
Insurance Brokers — 0.0%
eHealth, Inc.†		1,963		55,474
Insurance-Life/Health — 0.4%
American Equity Investment Life Holding Co.		10,999		388,925
CNO Financial Group, Inc.		16,300		345,886
Primerica, Inc.		4,700		566,585
				1,301,396
Insurance-Multi-line — 0.2%
Horace Mann Educators Corp.		4,997		224,365
Kemper Corp.		1,700		136,765
United Fire Group, Inc.		2,594		131,698
				492,828
Insurance-Property/Casualty — 3.3%
Ambac Financial Group, Inc.†		6,423		131,158
AMERISAFE, Inc.		24,429		1,513,377
Employers Holdings, Inc.		3,991		180,792
First American Financial Corp.		3,000		154,770
HCI Group, Inc.		894		39,112
James River Group Holdings, Ltd.		3,646		155,393
Kinsale Capital Group, Inc.		4,500		287,370
National General Holdings Corp.		72,409		1,943,458
Navigators Group, Inc.		7,329		506,434
ProAssurance Corp.		9,933		466,354
RLI Corp.		41,753		3,280,951
Safety Insurance Group, Inc.		1,769		158,502
Selective Insurance Group, Inc.		7,168		455,168
Stewart Information Services Corp.		2,893		130,214
Third Point Reinsurance, Ltd.†		15,489		201,357
United Insurance Holdings Corp.		2,609		58,389
Universal Insurance Holdings, Inc.		7,209		349,997
				10,012,796

207

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Reinsurance — 0.0%
Global Indemnity, Ltd.		1,100	$	41,470
Maiden Holdings, Ltd.		8,408		23,963
				65,433
Internet Connectivity Services — 0.1%
Cogent Communications Holdings, Inc.		5,094		284,245
Internet Content-Information/News — 0.1%
HealthStream, Inc.		3,111		96,472
XO Group, Inc.†		2,998		103,371
				199,843
Internet Security — 0.1%
Proofpoint, Inc.†		2,075		220,635
Zix Corp.†		21,500		119,325
				339,960
Investment Management/Advisor Services — 0.7%
Artisan Partners Asset Management, Inc., Class A		39,303		1,273,417
Blucora, Inc.†		5,805		233,651
BrightSphere Investment Group PLC		3,000		37,200
Stifel Financial Corp.		1,350		69,201
Virtus Investment Partners, Inc.		1,873		213,054
Waddell & Reed Financial, Inc., Class A		9,717		205,806
WisdomTree Investments, Inc.		14,174		120,196
				2,152,525
Lasers-System/Components — 0.1%
Electro Scientific Industries, Inc.†		4,159		72,574
II-VI, Inc.†		7,163		338,810
				411,384
Linen Supply & Related Items — 0.1%
UniFirst Corp.		1,880		326,462
Machinery-Construction & Mining — 0.0%
Astec Industries, Inc.		2,814		141,854
Machinery-Electrical — 0.1%
Bloom Energy Corp. Class A†		700		23,856
Franklin Electric Co., Inc.		4,724		223,209
				247,065
Machinery-Farming — 0.7%
Alamo Group, Inc.		22,662		2,076,066
Lindsay Corp.		1,311		131,414
				2,207,480
Machinery-General Industrial — 0.7%
Albany International Corp., Class A		3,533		280,874
Applied Industrial Technologies, Inc.		8,718		682,183
Chart Industries, Inc.†		3,777		295,852
DXP Enterprises, Inc.†		9,128		365,759
Kadant, Inc.		3,800		409,830
Tennant Co.		2,202		167,242
				2,201,740
Machinery-Pumps — 0.1%
SPX FLOW, Inc.†		5,184		269,568

Security Description	Shares		Value (Note 2)
Medical Imaging Systems — 0.0%
Lantheus Holdings, Inc.†		8,966	$	134,042
Medical Information Systems — 0.2%
Allscripts Healthcare Solutions, Inc.†		27,000		384,750
Computer Programs & Systems, Inc.		1,459		39,174
NextGen Healthcare, Inc.†		5,790		116,263
Tabula Rasa HealthCare, Inc.†		2,047		166,196
				706,383
Medical Instruments — 0.3%
AngioDynamics, Inc.†		20,817		452,562
Natus Medical, Inc.†		4,074		145,238
NuVasive, Inc.†		5,500		390,390
				988,190
Medical Labs & Testing Services — 0.1%
Medpace Holdings, Inc.†		5,300		317,523
Medical Laser Systems — 0.0%
Cutera, Inc.†		1,686		54,879
Medical Products — 0.9%
CryoLife, Inc.†		4,122		145,094
Integer Holdings Corp.†		17,505		1,452,040
Invacare Corp.		4,049		58,913
LeMaitre Vascular, Inc.		1,921		74,419
Luminex Corp.		9,554		289,582
MiMedx Group, Inc.†		34,346		212,258
Orthofix Medical, Inc.†		4,954		286,391
OrthoPediatrics Corp.†		2,200		80,608
Surmodics, Inc.†		1,627		121,456
Tactile Systems Technology, Inc.†		2,032		144,374
				2,865,135
Medical-Biomedical/Gene — 2.5%
ACADIA Pharmaceuticals, Inc.†		15,600		323,856
Achillion Pharmaceuticals, Inc.†		48,068		176,890
Acorda Therapeutics, Inc.†		4,802		94,359
Alder Biopharmaceuticals, Inc.†		12,300		204,795
AMAG Pharmaceuticals, Inc.†		15,700		314,000
Amicus Therapeutics, Inc.†		19,600		236,964
ANI Pharmaceuticals, Inc.†		1,008		56,992
Aptinyx, Inc.†		7,800		225,888
Arena Pharmaceuticals, Inc.†		6,030		277,501
Arvinas, Inc.†		200		3,374
Biohaven Pharmaceutical Holding Co., Ltd.†		7,100		266,605
Bluebird Bio, Inc.†		1,000		146,000
Cambrex Corp.†		4,052		277,157
CytomX Therapeutics, Inc.†		6,700		123,950
Emergent BioSolutions, Inc.†		5,363		353,046
Forty Seven, Inc.†		11,500		171,580
Homology Medicines, Inc.†		8,000		182,880
Innoviva, Inc.†		8,286		126,279
Ligand Pharmaceuticals, Inc.†		2,571		705,714
Medicines Co.†		8,002		239,340
Menlo Therapeutics, Inc.†		5,400		53,190
Myriad Genetics, Inc.†		16,641		765,486
NewLink Genetics Corp.†		23,400		55,926
Novavax, Inc.†		97,800		183,864

208

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Puma Biotechnology, Inc.†		4,600	$	210,910
REGENXBIO, Inc.†		7,704		581,652
resTORbio, Inc.†		4,000		60,560
Sangamo Therapeutics, Inc.†		3,900		66,105
Selecta Biosciences, Inc.†		14,200		220,810
Solid Biosciences, Inc.†		6,300		297,234
Spark Therapeutics, Inc.†		3,100		169,105
Spectrum Pharmaceuticals, Inc.†		12,044		202,339
Synlogic, Inc.†		11,852		168,417
Y-mAbs Therapeutics, Inc.†		700		18,592
				7,561,360
Medical-Drugs — 1.5%
Aimmune Therapeutics, Inc.†		6,400		174,592
Clovis Oncology, Inc.†		7,400		217,338
Corcept Therapeutics, Inc.†		12,867		180,395
Cytokinetics, Inc.†		6,656		65,562
Eagle Pharmaceuticals, Inc.†		2,957		205,009
Enanta Pharmaceuticals, Inc.†		1,912		163,399
Global Blood Therapeutics, Inc.†		7,000		266,000
Gritstone Oncology, Inc.†		3,000		42,720
Horizon Pharma PLC†		16,800		328,944
Lannett Co., Inc.†		10,523		49,984
Mallinckrodt PLC†		10,900		319,479
Paratek Pharmaceuticals, Inc.†		15,700		152,290
Phibro Animal Health Corp., Class A		2,452		105,191
Prestige Consumer Healthcare, Inc.†		10,300		390,267
Principia Biopharma, Inc.†		400		11,688
Progenics Pharmaceuticals, Inc.†		10,216		64,054
Reata Pharmaceuticals, Inc., Class A†		4,168		340,776
Seres Therapeutics, Inc.†		20,000		151,800
Supernus Pharmaceuticals, Inc.†		6,362		320,327
Sutro Biopharma, Inc.†		2,400		36,000
Synergy Pharmaceuticals, Inc.†		63,900		108,630
TG Therapeutics, Inc.†		13,900		77,840
Vanda Pharmaceuticals, Inc.†		18,582		426,457
Voyager Therapeutics, Inc.†		10,600		200,552
				4,399,294
Medical-Generic Drugs — 0.4%
Amphastar Pharmaceuticals, Inc.†		4,227		81,327
Endo International PLC†		56,382		948,909
Momenta Pharmaceuticals, Inc.†		9,542		250,955
				1,281,191
Medical-HMO — 0.9%
Magellan Health, Inc.†		2,992		215,574
Molina Healthcare, Inc.†		7,725		1,148,707
Tivity Health, Inc.†		28,474		915,439
Triple-S Management Corp., Class B†		12,000		226,680
WellCare Health Plans, Inc.†		350		112,172
				2,618,572
Medical-Hospitals — 0.5%
Community Health Systems, Inc.†		31,064		107,482
Quorum Health Corp.†		36,949		216,521
Select Medical Holdings Corp.†		13,195		242,788

Security Description	Shares		Value (Note 2)
Medical-Hospitals (continued)
Surgery Partners, Inc.†		7,700	$	127,050
Tenet Healthcare Corp.†		29,000		825,340
				1,519,181
Medical-Nursing Homes — 0.1%
Ensign Group, Inc.		5,965		226,193
Medical-Outpatient/Home Medical — 0.4%
Amedisys, Inc.†		3,530		441,109
Civitas Solutions, Inc.†		18,875		278,406
LHC Group, Inc.†		3,550		365,614
Providence Service Corp.†		1,342		90,290
				1,175,419
Medical-Wholesale Drug Distribution — 0.1%
Diplomat Pharmacy, Inc.†		6,890		133,735
Owens & Minor, Inc.		14,093		232,816
				366,551
Metal Processors & Fabrication — 0.1%
CIRCOR International, Inc.		2,417		114,807
LB Foster Co., Class A†		1,300		26,715
Mueller Industries, Inc.		7,017		203,353
				344,875
Metal Products-Distribution — 0.1%
Olympic Steel, Inc.		1,113		23,228
Worthington Industries, Inc.		9,300		403,248
				426,476
Metal-Aluminum — 0.2%
Century Aluminum Co.†		5,977		71,545
Kaiser Aluminum Corp.		5,676		619,024
				690,569
Miscellaneous Manufacturing — 1.2%
FreightCar America, Inc.†		2,100		33,747
Hillenbrand, Inc.		18,242		954,057
John Bean Technologies Corp.		22,261		2,655,737
				3,643,541
Motion Pictures & Services — 0.1%
Eros International PLC†		13,100		157,855
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		7,300		109,865
Multimedia — 0.1%
E.W. Scripps Co., Class A		6,996		115,434
Entravision Communications Corp., Class A		13,000		63,700
				179,134
Networking Products — 0.1%
Extreme Networks, Inc.†		14,416		78,999
NETGEAR, Inc.†		3,875		243,544
				322,543
Non-Ferrous Metals — 0.1%
Materion Corp.		2,465		149,133
Office Furnishings-Original — 0.1%
Interface, Inc.		10,748		250,966

209

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Office Supplies & Forms — 0.3%
ACCO Brands Corp.		71,700	$	810,210
Oil & Gas Drilling — 0.1%
Noble Corp. PLC†		30,067		211,371
Oil Companies-Exploration & Production — 1.4%
Bonanza Creek Energy, Inc.†		2,277		67,809
Carrizo Oil & Gas, Inc.†		10,380		261,576
Denbury Resources, Inc.†		112,722		698,876
EP Energy Corp., Class A†		43,783		102,452
Gulfport Energy Corp.†		69,300		721,413
HighPoint Resources Corp.†		13,457		65,670
Laredo Petroleum, Inc.†		18,623		152,150
PDC Energy, Inc.†		11,050		541,008
Penn Virginia Corp.†		1,633		131,522
Ring Energy, Inc.†		6,916		68,538
Sanchez Energy Corp.†		17,600		40,480
SRC Energy, Inc.†		29,547		262,673
Unit Corp.†		13,190		343,731
W&T Offshore, Inc.†		70,100		675,764
				4,133,662
Oil Field Machinery & Equipment — 0.2%
Exterran Corp.†		3,829		101,583
Flotek Industries, Inc.†		6,315		15,156
Natural Gas Services Group, Inc.†		2,800		59,080
US Silica Holdings, Inc.		21,839		411,229
				587,048
Oil Refining & Marketing — 0.3%
Adams Resources & Energy, Inc.		800		33,968
Delek US Holdings, Inc.		10,900		462,487
Murphy USA, Inc.†		3,500		299,110
Par Pacific Holdings, Inc.†		3,410		69,564
				865,129
Oil-Field Services — 0.9%
Archrock, Inc.		33,467		408,297
Bristow Group, Inc.†		4,357		52,850
C&J Energy Services, Inc.†		7,745		161,096
CARBO Ceramics, Inc.†		2,602		18,864
Era Group, Inc.†		2,484		30,677
FTS International, Inc.†		7,300		86,067
Gulf Island Fabrication, Inc.		1,668		16,597
Helix Energy Solutions Group, Inc.†		16,963		167,594
KLX Energy Services Holdings, Inc.†		12,213		390,925
Matrix Service Co.†		3,272		80,655
MRC Global, Inc.†		24,000		450,480
Newpark Resources, Inc.†		11,033		114,192
Oil States International, Inc.†		7,308		242,626
Pioneer Energy Services Corp.†		9,529		28,111
ProPetro Holding Corp.†		8,957		147,701
SEACOR Holdings, Inc.†		3,687		182,175
TETRA Technologies, Inc.†		15,312		69,057
				2,647,964
Paper & Related Products — 0.8%
Clearwater Paper Corp.†		2,006		59,578
Domtar Corp.		2,200		114,774

Security Description	Shares		Value (Note 2)
Paper & Related Products (continued)
Neenah, Inc.		20,576	$	1,775,709
P.H. Glatfelter Co.		5,334		101,933
Schweitzer-Mauduit International, Inc.		3,747		143,547
Verso Corp., Class A†		4,300		144,781
				2,340,322
Physical Therapy/Rehabilitation Centers — 0.1%
U.S. Physical Therapy, Inc.		1,546		183,356
Poultry — 0.1%
Pilgrim's Pride Corp.†		9,000		162,810
Sanderson Farms, Inc.		1,100		113,707
				276,517
Power Converter/Supply Equipment — 0.4%
Generac Holdings, Inc.†		15,000		846,150
Powell Industries, Inc.		5,962		216,182
SPX Corp.†		5,245		174,711
Vicor Corp.†		1,956		89,976
				1,327,019
Printing-Commercial — 0.2%
Deluxe Corp.		5,700		324,558
Ennis, Inc.		16,100		329,245
LSC Communications, Inc.		4,066		44,970
RR Donnelley & Sons Co.		8,577		46,316
				745,089
Professional Sports — 1.0%
Madison Square Garden Co., Class A†		9,648		3,042,207
Publishing-Books — 0.2%
Houghton Mifflin Harcourt Co.†		45,400		317,800
Scholastic Corp.		3,373		157,485
				475,285
Publishing-Newspapers — 0.3%
Gannett Co., Inc.		60,367		604,274
Tribune Publishing Co.†		10,100		164,933
				769,207
Racetracks — 0.4%
Penn National Gaming, Inc.†		30,456		1,002,612
Speedway Motorsports, Inc.		4,500		80,325
				1,082,937
Real Estate Investment Trusts — 4.2%
Acadia Realty Trust		9,930		278,338
Agree Realty Corp.		3,781		200,847
American Assets Trust, Inc.		9,703		361,825
Apollo Commercial Real Estate Finance, Inc.		13,639		257,368
Armada Hoffler Properties, Inc.		5,957		90,010
ARMOUR Residential REIT, Inc.		5,108		114,675
Ashford Hospitality Trust, Inc.		34,200		218,538
Capstead Mtg. Corp.		76,470		604,878
CareTrust REIT, Inc.		9,866		174,727
CBL & Associates Properties, Inc.		26,637		106,282
Cedar Realty Trust, Inc.		10,749		50,090
Chatham Lodging Trust		5,590		116,775

210

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Cherry Hill Mtg. Investment Corp.		5,900	$	106,790
Chesapeake Lodging Trust		7,358		235,971
City Office REIT, Inc.		1,500		18,930
Community Healthcare Trust, Inc.		2,107		65,275
CorEnergy Infrastructure Trust, Inc.		2,958		111,162
CoreSite Realty Corp.		7,400		822,436
CubeSmart		3,700		105,561
DiamondRock Hospitality Co.		56,522		659,612
Dynex Capital, Inc.		2,300		14,674
Easterly Government Properties, Inc.		7,357		142,505
EastGroup Properties, Inc.		6,754		645,817
EPR Properties		300		20,523
Equity LifeStyle Properties, Inc.		1,400		135,030
First Industrial Realty Trust, Inc.		2,700		84,780
Four Corners Property Trust, Inc.		8,143		209,194
Franklin Street Properties Corp.		17,765		141,942
GEO Group, Inc.		24,300		611,388
Getty Realty Corp.		4,084		116,639
Gladstone Commercial Corp.		1,100		21,065
Global Net Lease, Inc.		8,688		181,145
Government Properties Income Trust		13,582		153,341
Hersha Hospitality Trust		17,014		385,707
Highwoods Properties, Inc.		2,000		94,520
Hospitality Properties Trust		5,600		161,504
Independence Realty Trust, Inc.		10,680		112,460
InfraREIT, Inc.†		1,600		33,840
Invesco Mtg. Capital, Inc.		24,102		381,294
iStar, Inc.		8,281		92,499
Kite Realty Group Trust		10,194		169,730
Lexington Realty Trust		26,013		215,908
LTC Properties, Inc.		10,529		464,434
Mack-Cali Realty Corp.		4,900		104,174
National Retail Properties, Inc.		700		31,374
National Storage Affiliates Trust		6,887		175,205
New York Mortgage Trust, Inc.		16,943		103,013
Pebblebrook Hotel Trust		4,200		152,754
Pennsylvania Real Estate Investment Trust		10,711		101,326
PennyMac Mtg. Investment Trust		7,426		150,302
Piedmont Office Realty Trust, Inc., Class A		2,900		54,897
PS Business Parks, Inc.		3,856		490,059
Ramco-Gershenson Properties Trust		19,866		270,177
Redwood Trust, Inc.		10,104		164,089
Retail Opportunity Investments Corp.		13,740		256,526
RLJ Lodging Trust		3,100		68,293
Saul Centers, Inc.		4,098		229,488
Summit Hotel Properties, Inc.		12,761		172,656
Taubman Centers, Inc.		1,800		107,694
Two Harbors Investment Corp.		28,118		419,802
Universal Health Realty Income Trust		1,541		114,666
Urstadt Biddle Properties, Inc., Class A		3,632		77,325
Washington Prime Group, Inc.		22,667		165,469

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Whitestone REIT		4,842	$	67,207
Xenia Hotels & Resorts, Inc.		2,300		54,510
				12,821,035
Real Estate Management/Services — 1.7%
FirstService Corp.		37,592		3,182,539
HFF, Inc., Class A		4,766		202,460
RE/MAX Holdings, Inc., Class A		38,155		1,692,174
				5,077,173
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		2,356		53,458
Cushman & Wakefield PLC†		13,200		224,268
				277,726
Recreational Vehicles — 1.2%
Camping World Holdings, Inc., Class A		60,668		1,293,442
LCI Industries		30,092		2,491,617
				3,785,059
Rental Auto/Equipment — 0.0%
Rent-A-Center, Inc.†		5,411		77,810
Retail-Apparel/Shoe — 1.0%
Abercrombie & Fitch Co., Class A		8,160		172,339
American Eagle Outfitters, Inc.		17,800		441,974
Ascena Retail Group, Inc.†		21,037		96,139
Buckle, Inc.		3,464		79,845
Caleres, Inc.		5,262		188,695
Cato Corp., Class A		2,791		58,667
Chico's FAS, Inc.		15,314		132,772
Children's Place, Inc.		7,673		980,609
DSW, Inc., Class A		8,310		281,543
Express, Inc.†		9,080		100,425
Francesca's Holdings Corp.†		4,394		16,302
Genesco, Inc.†		2,426		114,265
Guess?, Inc.		6,910		156,166
Shoe Carnival, Inc.		1,273		49,010
Tailored Brands, Inc.		6,067		152,828
Vera Bradley, Inc.†		2,649		40,424
				3,062,003
Retail-Appliances — 0.0%
Conn's, Inc.†		2,500		88,375
Retail-Automobile — 1.1%
Asbury Automotive Group, Inc.†		6,880		473,000
Group 1 Automotive, Inc.		2,305		149,595
Lithia Motors, Inc., Class A		32,723		2,672,160
Sonic Automotive, Inc., Class A		2,878		55,689
				3,350,444
Retail-Bookstores — 0.0%
Barnes & Noble Education, Inc.†		4,401		25,350
Barnes & Noble, Inc.		6,939		40,246
				65,596
Retail-Building Products — 0.0%
Tile Shop Holdings, Inc.		4,752		33,977

211

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Discount — 0.0%
BJ's Wholesale Club Holdings, Inc.†		4,900	$	131,222
Retail-Floor Coverings — 0.0%
Lumber Liquidators Holdings, Inc.†		3,483		53,952
Retail-Hair Salons — 0.0%
Regis Corp.†		4,036		82,455
Retail-Home Furnishings — 0.5%
Haverty Furniture Cos., Inc.		2,339		51,692
Kirkland's, Inc.†		1,911		19,282
La-Z-Boy, Inc.		5,688		179,741
RH†		8,984		1,176,994
				1,427,709
Retail-Jewelry — 0.2%
Movado Group, Inc.		13,114		549,477
Signet Jewelers, Ltd.		700		46,151
				595,628
Retail-Leisure Products — 0.0%
MarineMax, Inc.†		2,743		58,289
Retail-Major Department Stores — 0.0%
J.C. Penney Co., Inc.†		38,354		63,668
Retail-Misc./Diversified — 0.1%
GameStop Corp., Class A		12,411		189,516
Retail-Office Supplies — 0.1%
Office Depot, Inc.		67,552		216,842
Retail-Pawn Shops — 0.2%
EZCORP, Inc., Class A†		6,274		67,132
FirstCash, Inc.		5,401		442,882
				510,014
Retail-Pet Food & Supplies — 0.0%
PetMed Express, Inc.		2,520		83,185
Retail-Regional Department Stores — 0.1%
Dillard's, Inc., Class A		2,975		227,112
Retail-Restaurants — 1.0%
BJ's Restaurants, Inc.		2,561		184,904
Bloomin' Brands, Inc.		50,900		1,007,311
Brinker International, Inc.		9,200		429,916
Chuy's Holdings, Inc.†		2,065		54,206
Dave & Buster's Entertainment, Inc.		4,797		317,657
Dine Brands Global, Inc.		2,156		175,304
El Pollo Loco Holdings, Inc.†		2,681		33,647
Fiesta Restaurant Group, Inc.†		2,857		76,425
Red Robin Gourmet Burgers, Inc.†		1,583		63,558
Ruth's Hospitality Group, Inc.		3,476		109,668
Shake Shack, Inc., Class A†		3,132		197,347
Sonic Corp.		4,177		181,031
Wingstop, Inc.		3,567		243,519
				3,074,493
Retail-Sporting Goods — 0.0%
Big 5 Sporting Goods Corp.		2,454		12,515
Hibbett Sports, Inc.†		2,308		43,391
Zumiez, Inc.†		2,301		60,631
				116,537

Security Description	Shares		Value (Note 2)
Retail-Vitamins & Nutrition Supplements — 0.0%
Vitamin Shoppe, Inc.†		1,905	$	19,050
Rubber-Tires — 0.1%
Cooper Tire & Rubber Co.		6,099		172,602
Rubber/Plastic Products — 0.5%
Myers Industries, Inc.		5,989		139,244
Proto Labs, Inc.†		3,293		532,643
Trinseo SA		11,250		880,875
				1,552,762
Satellite Telecom — 0.1%
Iridium Communications, Inc.†		11,739		264,128
Savings & Loans/Thrifts — 1.5%
Axos Financial, Inc.†		6,731		231,479
Banc of California, Inc.		5,197		98,223
BankFinancial Corp.		4,900		78,106
Beneficial Bancorp, Inc.		34,299		579,653
Berkshire Hills Bancorp, Inc.		4,925		200,447
Brookline Bancorp, Inc.		9,797		163,610
Capitol Federal Financial, Inc.		1,000		12,740
Dime Community Bancshares, Inc.		3,879		69,240
First Defiance Financial Corp.		2,100		63,231
Flushing Financial Corp.		3,900		95,160
Investors Bancorp, Inc.		13,000		159,510
Meridian Bancorp, Inc.		28,200		479,400
Meta Financial Group, Inc.		1,114		92,072
Northfield Bancorp, Inc.		34,028		541,726
Northwest Bancshares, Inc.		12,569		217,695
Oritani Financial Corp.		4,782		74,360
Pacific Premier Bancorp, Inc.†		26,856		999,043
People's United Financial, Inc.		6,406		109,671
Provident Financial Services, Inc.		7,490		183,880
				4,449,246
Schools — 0.2%
American Public Education, Inc.†		2,001		66,133
Career Education Corp.†		8,495		126,830
K12, Inc.†		8,900		157,530
Strategic Education, Inc.		2,621		359,156
				709,649
Seismic Data Collection — 0.0%
Geospace Technologies Corp.†		1,657		22,701
Semiconductor Components-Integrated Circuits — 0.3%
Cirrus Logic, Inc.†		13,300		513,380
MaxLinear, Inc.†		7,607		151,227
Power Integrations, Inc.		3,583		226,446
				891,053
Semiconductor Equipment — 0.7%
Advanced Energy Industries, Inc.†		6,165		318,422
Axcelis Technologies, Inc.†		3,942		77,461
Brooks Automation, Inc.		8,606		301,468
Cabot Microelectronics Corp.		3,113		321,168
Cohu, Inc.		5,520		138,552
Entegris, Inc.		7,700		222,915
FormFactor, Inc.†		8,999		123,736
Kulicke & Soffa Industries, Inc.		8,233		196,275
Nanometrics, Inc.†		2,941		110,347

212

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Semiconductor Equipment (continued)
Photronics, Inc.†		8,332	$	82,070
Ultra Clean Holdings, Inc.†		4,744		59,537
Veeco Instruments, Inc.†		5,944		60,926
				2,012,877
Steel Pipe & Tube — 0.0%
TimkenSteel Corp.†		4,780		71,079
Steel-Producers — 0.1%
AK Steel Holding Corp.†		38,440		188,356
Storage/Warehousing — 0.1%
Mobile Mini, Inc.		5,441		238,588
Telecom Equipment-Fiber Optics — 0.3%
Finisar Corp.†		14,280		272,034
Harmonic, Inc.†		10,482		57,651
Oclaro, Inc.†		20,796		185,916
Viavi Solutions, Inc.†		27,621		313,222
				828,823
Telecom Services — 0.2%
Consolidated Communications Holdings, Inc.		8,681		113,200
Spok Holdings, Inc.		2,205		33,957
Switch, Inc., Class A		2,600		28,080
Vonage Holdings Corp.†		26,796		379,432
				554,669
Telecommunication Equipment — 0.1%
ADTRAN, Inc.		5,816		102,652
Comtech Telecommunications Corp.		2,880		104,458
				207,110
Telephone-Integrated — 0.3%
Cincinnati Bell, Inc.†		6,111		97,470
Frontier Communications Corp.		85,416		554,350
Windstream Holdings, Inc.†		34,529		169,192
				821,012
Television — 0.2%
Sinclair Broadcast Group, Inc., Class A		18,700		530,145
Textile-Apparel — 0.1%
Perry Ellis International, Inc.†		4,990		136,377
Unifi, Inc.†		1,765		50,002
				186,379
Therapeutics — 0.3%
Anika Therapeutics, Inc.†		1,777		74,954
Flexion Therapeutics, Inc.†		6,900		129,099
La Jolla Pharmaceutical Co.†		6,400		128,832
Mersana Therapeutics, Inc.†		7,600		76,000
Sarepta Therapeutics, Inc.†		1,750		282,642
Xencor, Inc.†		7,600		296,172
				987,699
Tobacco — 0.1%
Universal Corp.		3,041		197,665

Security Description	Shares		Value (Note 2)
Transactional Software — 0.1%
ACI Worldwide, Inc.†		4,700	$	132,258
Synchronoss Technologies, Inc.†		41,600		274,560
				406,818
Transport-Air Freight — 0.1%
Atlas Air Worldwide Holdings, Inc.†		3,116		198,645
Transport-Equipment & Leasing — 0.1%
Greenbrier Cos., Inc.		3,922		235,712
Transport-Marine — 0.0%
Dorian LPG, Ltd.†		376		2,997
Transport-Services — 0.2%
Echo Global Logistics, Inc.†		3,478		107,644
Hub Group, Inc., Class A†		4,108		187,325
Matson, Inc.		5,202		206,207
				501,176
Transport-Truck — 0.4%
ArcBest Corp.		8,529		414,083
Covenant Transportation Group, Inc., Class A†		1,600		46,496
Forward Air Corp.		3,576		256,399
Heartland Express, Inc.		5,789		114,217
Marten Transport, Ltd.		4,728		99,524
Saia, Inc.†		3,130		239,289
Schneider National, Inc., Class B		2,800		69,944
YRC Worldwide, Inc.†		6,800		61,064
				1,301,016
Travel Services — 0.1%
Liberty TripAdvisor Holdings, Inc., Class A†		13,800		204,930
Veterinary Diagnostics — 0.8%
Heska Corp.†		822		93,141
Neogen Corp.†		31,922		2,283,380
				2,376,521
Vitamins & Nutrition Products — 0.1%
Herbalife Nutrition, Ltd.†		1,900		103,645
USANA Health Sciences, Inc.†		1,100		132,605
				236,250
Water — 0.4%
American States Water Co.		13,675		836,090
California Water Service Group		5,857		251,265
				1,087,355
Web Hosting/Design — 0.1%
Endurance International Group Holdings, Inc.†		12,200		107,360
NIC, Inc.		20,609		305,013
				412,373
Wire & Cable Products — 0.1%
Encore Wire Corp.		2,540		127,254
Insteel Industries, Inc.		2,209		79,259
				206,513

213

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
COMMON STOCKS (continued)
Wireless Equipment — 0.3%
CalAmp Corp.†		4,298	$	102,980
InterDigital, Inc.		9,375		750,000
				852,980
X-Ray Equipment — 0.0%
Varex Imaging Corp.†		4,631		132,724
Total Common Stocks (cost $225,779,463)				295,885,709
EXCHANGE-TRADED FUNDS — 0.4%
iShares Core S&P Small-Cap ETF (cost $1,128,191)		12,831		1,119,376
Total Long-Term Investment Securities (cost $226,907,654)				297,005,085
SHORT-TERM INVESTMENT SECURITIES — 0.6%
Registered Investment Companies — 0.6%
State Street Institutional U.S. Government Money Market Fund, Investor Class 1.89%(3)		1,857,501		1,857,501
U.S. Government Treasuries — 0.0%
United States Treasury Bills 2.11% due 01/03/2019(4)	$	100,000		99,426
Total Short-Term Investment Securities (cost $1,956,953)				1,956,927

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 0.2%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $696,024 and collateralized by $715,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $710,132 (cost $696,000)	$	696,000		$	696,000
TOTAL INVESTMENTS (cost $229,560,607)(5)		98.7	%		299,658,012
Other assets less liabilities		1.3			3,846,480
NET ASSETS		100.0	%	$	303,504,492

†  Non-income producing security

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

(2)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $5,296 representing 0.0% of net assets.

(3)  The rate shown is the 7-day yield as of September 30, 2018.

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

(5)  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)
	63	Long	E-Mini Russell 2000 Index	December 2018	$	5,439,574	$	5,357,520	$	(82,054	)

*  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.

214

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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:
Chemicals-Plastics	$	96,184	$	—	$	5,296	$	101,480
Other Industries		295,784,229		—		—		295,784,229
Exchange-Traded Funds		1,119,376		—		—		1,119,376
Short-Term Investment Securities:
Registered Investment Companies		1,857,501		—		—		1,857,501
Other Short-Term Investment Securities		—		99,426		—		99,426
Repurchase Agreements		—		696,000		—		696,000
Total Investments at Value	$	298,857,290	$	795,426	$	5,296	$	299,658,012
LIABILITIES:
Other Financial Instruments:+
Futures Contracts	$	82,054	$	—	$	—	$	82,054

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

See Notes to Financial Statements

215

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Banks-Commercial	8.2	%
Medical-Drugs	7.4
Diversified Banking Institutions	4.4
Oil Companies-Integrated	3.8
Insurance-Life/Health	3.7
Auto-Cars/Light Trucks	3.3
Telephone-Integrated	2.9
Cosmetics & Toiletries	2.7
Food-Misc./Diversified	2.7
Chemicals-Diversified	2.1
Insurance-Multi-line	1.9
Medical Products	1.6
Apparel Manufacturers	1.5
Electronic Components-Semiconductors	1.4
Industrial Automated/Robotic	1.4
Cellular Telecom	1.3
Machinery-Electrical	1.3
Diversified Manufacturing Operations	1.3
Diversified Minerals	1.3
Beverages-Wine/Spirits	1.2
Rubber-Tires	1.1
Import/Export	1.1
Semiconductor Components-Integrated Circuits	1.0
Exchange-Traded Funds	0.9
Semiconductor Equipment	0.9
Food-Retail	0.9
Medical-Biomedical/Gene	0.8
Industrial Gases	0.8
Soap & Cleaning Preparation	0.8
Diversified Operations	0.8
Aerospace/Defense	0.8
Electronic Components-Misc.	0.8
Auto/Truck Parts & Equipment-Original	0.7
Enterprise Software/Service	0.7
Building-Residential/Commercial	0.7
Chemicals-Specialty	0.7
Electric-Generation	0.7
Human Resources	0.7
Tobacco	0.7
Real Estate Investment Trusts	0.6
E-Commerce/Products	0.6
Audio/Video Products	0.6
Insurance-Property/Casualty	0.6
Toys	0.6
Retail-Apparel/Shoe	0.6
Power Converter/Supply Equipment	0.6
Metal-Diversified	0.6
Commercial Services	0.6
Dialysis Centers	0.6
Brewery	0.6
Athletic Footwear	0.5
Retail-Jewelry	0.5
Internet Application Software	0.5
Insurance-Reinsurance	0.5
Finance-Other Services	0.5
Optical Supplies	0.5
Real Estate Management/Services	0.5
Transport-Rail	0.4
Electric-Integrated	0.4
Real Estate Operations & Development	0.4
Distribution/Wholesale	0.4

Diagnostic Equipment	0.4	%
Machinery-Farming	0.4
Investment Management/Advisor Services	0.4
Finance-Leasing Companies	0.4
Multimedia	0.4
Metal-Copper	0.4
Wire & Cable Products	0.4
Metal-Aluminum	0.4
Building Products-Cement	0.4
Diversified Operations/Commercial Services	0.4
Gas-Distribution	0.3
Hotels/Motels	0.3
Oil Companies-Exploration & Production	0.3
E-Commerce/Services	0.3
Computer Services	0.3
Oil Refining & Marketing	0.3
Web Portals/ISP	0.3
Agricultural Chemicals	0.3
Paper & Related Products	0.3
Wireless Equipment	0.3
Steel Pipe & Tube	0.3
Food-Catering	0.3
Electronic Security Devices	0.3
Aerospace/Defense-Equipment	0.3
Advertising Agencies	0.3
Energy-Alternate Sources	0.3
Transport-Marine	0.3
Metal Processors & Fabrication	0.3
Tools-Hand Held	0.3
Computer Data Security	0.3
Building & Construction Products-Misc.	0.3
Food-Dairy Products	0.2
Internet Content-Information/News	0.2
Investment Companies	0.2
Retail-Building Products	0.2
Medical Instruments	0.2
Electric Products-Misc.	0.2
Textile-Apparel	0.2
Transport-Services	0.2
Engineering/R&D Services	0.2
Containers-Paper/Plastic	0.2
Networking Products	0.2
Satellite Telecom	0.2
Machinery-Construction & Mining	0.2
Photo Equipment & Supplies	0.2
Repurchase Agreements	0.2
Non-Ferrous Metals	0.2
E-Marketing/Info	0.2
Internet Content-Entertainment	0.2
Finance-Investment Banker/Broker	0.2
Building-Heavy Construction	0.1
Rental Auto/Equipment	0.1
Steel-Producers	0.1
U.S. Government Treasuries	0.1
Advertising Sales	0.1
Office Automation & Equipment	0.1
Telecom Services	0.1
Finance-Credit Card	0.1
Transactional Software	0.1
Auto-Heavy Duty Trucks	0.1
Medical Labs & Testing Services	0.1

216

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)

Industry Allocation* (continued)
Registered Investment Companies	0.1	%
Airport Development/Maintenance	0.1
Building Products-Air & Heating	0.1
Coatings/Paint	0.1
Public Thoroughfares	0.1
Security Services	0.1
Machine Tools & Related Products	0.1
Cable/Satellite TV	0.1
Resorts/Theme Parks	0.1
Commercial Services-Finance	0.1
Publishing-Periodicals	0.1
Medical-Generic Drugs	0.1
Electric-Distribution	0.1
Computer Aided Design	0.1
Respiratory Products	0.1
	99.4	%
Country Allocation*
Japan	20.9	%
United Kingdom	16.8
Germany	9.8
Switzerland	8.7
France	8.4
Australia	4.4
Netherlands	3.0
Sweden	2.8
Hong Kong	2.4
United States	2.4
Cayman Islands	2.1
Norway	2.0
Spain	1.7
Italy	1.6
Denmark	1.5
Singapore	1.3
Canada	1.2
South Korea	1.0
Taiwan	0.8
Jersey	0.8
Belgium	0.8
Luxembourg	0.7
Austria	0.6
Finland	0.5
Brazil	0.5
China	0.4
Ireland	0.4
India	0.4
Bermuda	0.4
Israel	0.4
SupraNational	0.2
Indonesia	0.1
Turkey	0.1
Mexico	0.1
New Zealand	0.1
Portugal	0.1
	99.4	%

*  Calculated as a percentage of net assets

217

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.1%
Australia — 4.4%
AGL Energy, Ltd.		6,783	$	95,610
Alumina, Ltd.		26,535		53,131
Amcor, Ltd.		83,343		824,145
AMP, Ltd.		30,292		69,850
APA Group (ASX)		11,877		85,681
Aristocrat Leisure, Ltd.		5,966		122,648
ASX, Ltd.		2,024		93,138
Aurizon Holdings, Ltd.		21,408		63,601
AusNet Services		17,123		20,113
Australia & New Zealand Banking Group, Ltd.		96,905		1,973,946
Bank of Queensland, Ltd.		3,909		31,138
Bendigo & Adelaide Bank, Ltd.		4,834		37,563
BGP Holdings PLC†(1)(2)		98,723		21
BHP Billiton, Ltd.		44,315		1,109,306
BlueScope Steel, Ltd.		5,864		71,975
Boral, Ltd.		11,771		58,795
Brambles, Ltd.		206,426		1,626,444
Caltex Australia, Ltd.		2,829		61,144
Challenger, Ltd.		118,469		959,116
CIMIC Group, Ltd.		1,092		40,541
Coca-Cola Amatil, Ltd.		6,029		42,535
Cochlear, Ltd.		614		89,050
Commonwealth Bank of Australia		18,136		936,157
Computershare, Ltd.		4,923		70,994
Crown Resorts, Ltd.		3,781		37,416
CSL, Ltd.		16,775		2,438,621
Dexus		10,547		80,508
Domino's Pizza Enterprises, Ltd.		627		24,112
Flight Centre Travel Group, Ltd.		558		21,442
Fortescue Metals Group, Ltd.		16,536		46,856
Goodman Group		16,865		126,297
GPT Group		17,485		65,849
Harvey Norman Holdings, Ltd.		5,932		15,094
Healthscope, Ltd.		16,793		25,492
Incitec Pivot, Ltd.		17,706		50,939
Independence Group NL		199,248		671,163
Insurance Australia Group, Ltd.		24,950		132,017
LendLease Group		5,835		82,923
Macquarie Group, Ltd.		16,431		1,496,996
Medibank Private, Ltd.		29,015		61,033
Mirvac Group		38,760		67,523
National Australia Bank, Ltd.		28,070		564,276
Newcrest Mining, Ltd.		7,846		110,083
Orica, Ltd.		3,932		48,403
Origin Energy, Ltd.†		18,013		107,551
QBE Insurance Group, Ltd.		14,469		116,303
Ramsay Health Care, Ltd.		1,391		55,231
REA Group, Ltd.		561		34,846
Rio Tinto, Ltd.		11,454		652,095
Santos, Ltd.		19,215		100,838
Scentre Group		286,562		822,351
SEEK, Ltd.		3,474		52,132
Sonic Healthcare, Ltd.		4,041		72,763
South32, Ltd.		235,346		666,870

Security Description	Shares		Value (Note 2)
Australia (continued)
Stockland		24,654	$	73,958
Suncorp Group, Ltd.		13,608		142,236
Sydney Airport		11,288		56,219
Tabcorp Holdings, Ltd.		20,565		72,395
Telstra Corp., Ltd.		125,432		289,233
TPG Telecom, Ltd.		3,455		21,328
Transurban Group		27,114		219,905
Treasury Wine Estates, Ltd.		7,506		94,896
Vicinity Centres		35,555		67,336
Wesfarmers, Ltd.		11,756		423,617
Westpac Banking Corp.		35,496		716,636
Woodside Petroleum, Ltd.		9,707		270,704
Woolworths Group, Ltd.		13,503		274,079
WorleyParsons, Ltd.		50,099		739,853
				20,847,060
Austria — 0.6%
ANDRITZ AG		763		44,515
Erste Group Bank AG		60,464		2,511,819
OMV AG		1,554		87,309
Raiffeisen Bank International AG		1,502		43,249
voestalpine AG		1,187		54,300
				2,741,192
Belgium — 0.8%
Ageas		1,940		104,310
Anheuser-Busch InBev SA		7,867		687,058
Colruyt SA		623		35,263
Groupe Bruxelles Lambert SA		854		89,536
KBC Group NV		2,568		191,119
Proximus SADP		1,599		38,207
Solvay SA		761		102,051
Telenet Group Holding NV†		555		30,557
UCB SA		1,336		120,060
Umicore SA		40,831		2,283,588
				3,681,749
Bermuda — 0.4%
CK Infrastructure Holdings, Ltd.		7,000		55,439
Dairy Farm International Holdings, Ltd.		3,574		32,166
Hongkong Land Holdings, Ltd.		12,000		79,440
Jardine Matheson Holdings, Ltd.		2,303		144,513
Jardine Strategic Holdings, Ltd.		38,907		1,412,324
Kerry Properties, Ltd.		7,500		25,436
Li & Fung, Ltd.		58,000		12,966
NWS Holdings, Ltd.		16,000		31,639
Shangri-La Asia, Ltd.		14,000		20,817
Yue Yuen Industrial Holdings, Ltd.		8,000		22,227
				1,836,967
Brazil — 0.5%
B3 SA — Brasil Bolsa Balcao		197,460		1,144,115
Lojas Renner SA		41,930		321,856
Telefonica Brasil SA (Preference Shares)		74,334		721,519
				2,187,490

218

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Canada — 1.2%
Element Fleet Management Corp.		117,567	$	605,289
Magna International, Inc.		20,300		1,066,359
National Bank of Canada		25,100		1,253,591
Nutrien, Ltd.		24,067		1,389,631
Sun Life Financial, Inc.		34,600		1,375,535
				5,690,405
Cayman Islands — 2.1%
Alibaba Group Holding, Ltd. ADR†		14,155		2,332,178
ASM Pacific Technology, Ltd.		2,900		29,525
Baidu, Inc. ADR†		2,850		651,738
China Mengniu Dairy Co., Ltd.		190,000		632,253
CK Asset Holdings, Ltd.		27,360		205,330
CK Hutchison Holdings, Ltd.		142,024		1,636,432
iQIYI, Inc. ADR†		39,817		1,077,846
Melco Resorts & Entertainment, Ltd. ADR		2,522		53,340
MGM China Holdings, Ltd.		10,000		15,840
Minth Group, Ltd.		6,853		28,276
Sands China, Ltd.		25,200		114,116
Tencent Holdings, Ltd.		58,000		2,394,579
WH Group, Ltd.*		89,000		62,643
Wharf Real Estate Investment Co., Ltd.		13,000		83,862
Wynn Macau, Ltd.		16,000		36,789
YY, Inc., ADR†		8,779		657,723
				10,012,470
China — 0.4%
China Pacific Insurance Group Co., Ltd. Class H		156,800		604,899
Meituan Dianping, Class B†		57,067		500,808
Ping An Insurance Group Co. of China, Ltd.		101,500		1,030,773
				2,136,480
Denmark — 1.5%
AP Moller - Maersk A/S, Series A		40		52,469
AP Moller - Maersk A/S, Series B		807		1,133,310
Carlsberg A/S, Class B		1,089		130,621
Chr. Hansen Holding A/S		1,017		103,237
Coloplast A/S, Class B		1,237		126,495
Danske Bank A/S		40,782		1,071,155
DSV A/S		1,967		178,849
Genmab A/S†		637		100,168
GN Store Nord A/S		18,577		905,003
H. Lundbeck A/S		710		43,852
ISS A/S		1,700		59,817
Novo Nordisk A/S, Class B		31,482		1,482,221
Novozymes A/S, Class B		2,270		124,617
Orsted A/S*		1,930		131,103
Pandora A/S		1,128		70,442
Tryg A/S		1,105		27,509
Vestas Wind Systems A/S		18,357		1,241,539
William Demant Holding A/S†		1,135		42,658
				7,025,065

Security Description	Shares		Value (Note 2)
Finland — 0.5%
Elisa Oyj		1,527	$	64,765
Fortum Oyj		4,713		118,141
Kone Oyj, Class B		3,526		188,400
Metso Oyj		1,183		41,947
Neste Oyj		1,347		111,352
Nokia Oyj		59,099		327,783
Nokian Renkaat Oyj		1,205		49,373
Orion Oyj, Class B		1,086		41,131
Sampo Oyj, Class A		4,653		240,946
Stora Enso Oyj, Class R		54,541		1,043,277
UPM-Kymmene Oyj		5,406		212,150
Wartsila Oyj Abp		4,707		91,758
				2,531,023
France — 8.4%
Accor SA		1,948		100,014
Aeroports de Paris		308		69,339
Air Liquide SA		11,557		1,520,289
Alstom SA		1,576		70,430
Amundi SA*		15,343		1,149,715
Arkema SA		696		86,223
Atos SE		960		114,247
AXA SA		85,716		2,303,902
BioMerieux		413		34,429
BNP Paribas SA		41,544		2,542,450
Bollore SA		9,113		39,360
Bouygues SA		2,257		97,561
Bureau Veritas SA		2,781		71,778
Capgemini SE		1,636		205,903
Carrefour SA		5,784		110,806
Casino Guichard Perrachon SA		591		24,853
Cie de Saint-Gobain		5,076		218,914
Cie Generale des Etablissements Michelin SCA		1,754		209,656
CNP Assurances		1,782		42,952
Covivio		381		39,702
Credit Agricole SA		11,831		170,139
Danone SA		6,385		494,468
Dassault Aviation SA		29		53,671
Dassault Systemes SE		1,344		200,908
Edenred		2,437		92,892
Eiffage SA		807		90,099
Electricite de France SA		6,068		106,559
Engie SA		100,641		1,479,896
Essilor International Cie Generale d'Optique SA		14,203		2,101,701
Eurazeo SE		496		39,074
Eutelsat Communications SA		28,720		678,912
Faurecia SA		780		46,947
Gecina SA		473		78,972
Getlink		4,945		63,155
Hermes International		326		215,974
ICADE		398		36,783
Iliad SA		279		36,442
Imerys SA		374		27,617
Ingenico Group SA		573		43,536
Ipsen SA		381		64,054

219

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
France (continued)
JCDecaux SA		704	$	25,747
Kering SA		2,556		1,370,162
Klepierre SA		2,275		80,642
L'Oreal SA		8,457		2,039,407
Legrand SA		12,586		917,403
LVMH Moet Hennessy Louis Vuitton SE		2,881		1,018,883
Natixis SA		9,887		67,085
Orange SA		20,337		324,315
Pernod Ricard SA		2,185		358,463
Peugeot SA		6,014		162,205
Publicis Groupe SA		2,063		123,307
Remy Cointreau SA		266		34,652
Renault SA		1,962		169,710
Rexel SA		2,934		44,063
Safran SA		3,459		484,740
Sanofi		29,961		2,663,234
Schneider Electric SE		34,552		2,780,082
SCOR SE		1,740		80,809
SEB SA		229		38,978
Societe BIC SA		300		27,465
Societe Generale SA		7,848		336,868
Sodexo SA		948		100,536
Suez		3,780		53,719
Teleperformance		587		110,750
Thales SA		1,091		154,981
TOTAL SA		132,011		8,558,677
UBISOFT Entertainment SA†		811		87,965
Valeo SA		2,395		103,999
Veolia Environnement SA		5,573		111,228
Vinci SA		5,255		500,430
Vivendi SA		64,867		1,669,708
Wendel SA		290		43,166
				39,817,701
Germany — 9.8%
1&1 Drillisch AG		542		26,367
adidas AG		9,907		2,425,883
Allianz SE		4,554		1,015,185
Axel Springer SE		503		33,843
BASF SE		43,404		3,857,679
Bayer AG		36,388		3,232,418
Bayerische Motoren Werke AG		32,463		2,928,982
Bayerische Motoren Werke AG (Preference Shares)		574		45,118
Beiersdorf AG		13,127		1,481,131
Brenntag AG		1,649		101,779
Commerzbank AG†		41,775		435,313
Continental AG		9,394		1,635,491
Covestro AG*		9,950		807,054
Daimler AG		9,429		594,999
Delivery Hero AG†*		950		45,686
Deutsche Bank AG		20,290		231,525
Deutsche Boerse AG		2,000		267,970
Deutsche Lufthansa AG		2,440		59,946
Deutsche Post AG		10,130		361,194

Security Description	Shares		Value (Note 2)
Germany (continued)
Deutsche Telekom AG		141,529	$	2,281,615
Deutsche Wohnen SE		27,191		1,304,478
E.ON SE		57,852		589,745
Evonik Industries AG		1,645		58,921
Fraport AG Frankfurt Airport Services Worldwide		375		33,133
Fresenius Medical Care AG & Co. KGaA		2,236		229,963
Fresenius SE & Co. KGaA		29,176		2,142,243
FUCHS PETROLUB SE (Preference Shares)		724		40,450
GEA Group AG		1,865		66,433
Hannover Rueck SE		632		89,302
HeidelbergCement AG		12,859		1,005,084
Henkel AG & Co. KGaA		1,047		111,168
Henkel AG & Co. KGaA (Preference Shares)		1,823		213,882
HOCHTIEF AG		210		34,818
HUGO BOSS AG		701		53,978
Infineon Technologies AG		75,089		1,706,154
Innogy SE*		1,401		62,609
K+S AG		2,011		42,215
KION Group AG		727		44,686
LANXESS AG		971		71,115
Linde AG		10,025		2,370,972
MAN SE		380		41,318
Merck KGaA		1,324		136,814
METRO AG		1,827		28,637
MTU Aero Engines AG		524		118,089
Muenchener Rueckversicherungs- Gesellschaft AG		8,593		1,903,095
OSRAM Licht AG		1,017		40,454
Porsche Automobil Holding SE (Preference Shares)		1,619		109,025
ProSiebenSat.1 Media SE		2,374		61,659
Puma SE		88		43,423
RWE AG		5,172		127,605
SAP SE		26,291		3,235,669
Sartorius AG (Preference Shares)		369		59,894
Schaeffler AG (Preference Shares)		1,702		21,757
Siemens AG		28,740		3,681,890
Siemens Healthineers AG†*		14,537		639,261
Stroeer SE & Co. KGaA		9,152		523,221
Symrise AG		10,340		943,854
Telefonica Deutschland Holding AG		253,818		1,072,986
thyssenkrupp AG		4,573		115,428
TUI AG		4,515		86,684
Uniper SE		2,064		63,529
United Internet AG		1,298		61,412
Volkswagen AG		332		57,859
Volkswagen AG (Preference Shares)		1,892		333,021
Vonovia SE		4,941		241,402
Wirecard AG		1,195		259,038
Zalando SE†*		10,048		390,936
				46,538,487

220

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Hong Kong — 2.4%
AIA Group, Ltd.		615,600	$	5,496,745
Bank of East Asia, Ltd.		12,600		46,998
Beijing Enterprises Holdings, Ltd.		33,500		187,862
BOC Hong Kong Holdings, Ltd.		354,500		1,684,570
China Mobile, Ltd.		158,000		1,557,122
CLP Holdings, Ltd.		17,000		199,027
Galaxy Entertainment Group, Ltd.		25,000		158,558
Hang Lung Group, Ltd.		9,000		23,913
Hang Lung Properties, Ltd.		20,000		39,089
Hang Seng Bank, Ltd.		7,700		209,114
Henderson Land Development Co., Ltd.		13,966		70,202
Hong Kong & China Gas Co., Ltd.		94,517		187,625
Hong Kong Exchanges & Clearing, Ltd.		12,000		343,367
Hysan Development Co., Ltd.		7,000		35,365
Link REIT		22,500		221,455
MTR Corp., Ltd.		14,500		76,312
New World Development Co., Ltd.		62,000		84,585
PCCW, Ltd.		40,000		23,300
Power Assets Holdings, Ltd.		14,500		100,947
Sino Land Co., Ltd.		32,000		54,857
SJM Holdings, Ltd.		24,000		22,196
Sun Hung Kai Properties, Ltd.		16,500		240,281
Swire Pacific, Ltd., Class A		5,500		60,246
Swire Properties, Ltd.		12,600		47,723
Techtronic Industries Co., Ltd.		14,500		92,612
Wharf Holdings, Ltd.		14,000		38,092
Wheelock & Co., Ltd.		8,000		47,979
				11,350,142
India — 0.4%
HDFC Bank, Ltd. ADR		11,504		1,082,526
Infosys, Ltd. ADR		74,400		756,648
				1,839,174
Indonesia — 0.1%
Bank Central Asia Tbk PT		425,800		690,069
Ireland — 0.4%
AIB Group PLC		8,316		42,580
Bank of Ireland Group PLC		9,701		74,282
CRH PLC		8,673		283,767
DCC PLC		11,648		1,057,427
James Hardie Industries PLC CDI		4,748		71,937
Kerry Group PLC, Class A		1,620		179,156
Paddy Power Betfair PLC		876		74,755
Smurfit Kappa Group PLC		2,335		92,338
				1,876,242
Isle of Man — 0.0%
GVC Holdings PLC		5,616		67,233
Israel — 0.4%
Azrieli Group, Ltd.		393		20,183
Bank Hapoalim B.M.		11,156		81,706
Bank Leumi Le-Israel B.M.		15,004		98,957
Bezeq The Israeli Telecommunication Corp., Ltd.		20,857		23,985

Security Description	Shares		Value (Note 2)
Israel (continued)
Check Point Software Technologies, Ltd.†		9,623	$	1,132,338
Elbit Systems, Ltd.		233		29,543
Frutarom Industries, Ltd.		386		39,954
Israel Chemicals, Ltd.		7,465		45,561
Mizrahi Tefahot Bank, Ltd.		1,559		27,311
NICE, Ltd.†		592		66,973
Teva Pharmaceutical Industries, Ltd. ADR		9,988		215,141
				1,781,652
Italy — 1.6%
Assicurazioni Generali SpA		12,152		209,943
Atlantia SpA		5,090		105,607
Davide Campari-Milano SpA		5,818		49,548
Enel SpA		84,332		431,995
Eni SpA		26,377		498,637
Intesa Sanpaolo SpA		842,408		2,152,750
Leonardo SpA		4,269		51,449
Luxottica Group SpA		1,776		120,670
Mediobanca Banca di Credito Finanziario SpA		6,432		64,253
Moncler SpA		24,992		1,076,530
Pirelli & C SpA†*		4,067		34,130
Poste Italiane SpA*		5,317		42,485
Prysmian SpA		74,711		1,740,069
Recordati SpA		1,080		36,565
Snam SpA		23,393		97,479
Telecom Italia SpA†		115,914		70,386
Telecom Italia SpA (RSP)		800,803		430,857
Terna Rete Elettrica Nazionale SpA		14,591		77,945
UniCredit SpA		20,455		307,886
				7,599,184
Japan — 20.9%
ABC-Mart, Inc.		300		16,687
Acom Co., Ltd.		4,200		16,930
Aeon Co., Ltd.		6,300		151,789
AEON Financial Service Co., Ltd.		1,300		26,922
Aeon Mall Co., Ltd.		1,300		22,334
AGC, Inc.		1,900		78,846
Air Water, Inc.		1,700		31,196
Aisin Seiki Co., Ltd.		10,900		530,514
Ajinomoto Co., Inc.		4,700		80,684
Alfresa Holdings Corp.		1,700		45,485
Alps Electric Co., Ltd.		2,025		51,436
Amada Holdings Co., Ltd.		3,200		34,163
ANA Holdings, Inc.		1,300		45,423
Aozora Bank, Ltd.		1,300		46,453
Asahi Group Holdings, Ltd.		3,700		160,381
Asahi Kasei Corp.		93,200		1,413,339
Asics Corp.		1,700		25,346
Astellas Pharma, Inc.		133,100		2,321,811
Bandai Namco Holdings, Inc.		2,000		77,715
Bank of Kyoto, Ltd.		600		31,315
Benesse Holdings, Inc.		800		22,778
Bridgestone Corp.		57,600		2,176,349
Brother Industries, Ltd.		2,400		47,400

221

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Calbee, Inc.		900	$	29,625
Canon, Inc.		10,300		327,258
Casio Computer Co., Ltd.		1,900		31,054
Central Japan Railway Co.		6,300		1,311,899
Chiba Bank, Ltd.		6,200		42,345
Chubu Electric Power Co., Inc.		6,300		95,287
Chugai Pharmaceutical Co., Ltd.		2,300		147,773
Chugoku Electric Power Co., Inc.		3,100		39,835
Coca-Cola Bottlers Japan Holdings, Inc.		1,438		38,475
Concordia Financial Group, Ltd.		11,300		55,396
Credit Saison Co., Ltd.		28,200		459,907
CyberAgent, Inc.		12,951		689,611
CYBERDYNE, Inc.†		1,185		9,355
Dai Nippon Printing Co., Ltd.		2,600		60,458
Dai-ichi Life Holdings, Inc.		11,000		229,013
Daicel Corp.		3,000		34,853
Daifuku Co., Ltd.		1,148		58,501
Daiichi Sankyo Co., Ltd.		5,800		251,408
Daikin Industries, Ltd.		2,600		346,110
Daito Trust Construction Co., Ltd.		700		90,041
Daiwa House Industry Co., Ltd.		5,900		174,892
Daiwa House REIT Investment Corp.		18		41,174
Daiwa Securities Group, Inc.		16,800		102,202
DeNA Co., Ltd.		1,300		22,963
Denso Corp.		4,400		232,315
Dentsu, Inc.		2,200		102,042
Disco Corp.		300		50,220
Don Quijote Holdings Co., Ltd.		1,300		65,789
East Japan Railway Co.		3,200		297,272
Eisai Co., Ltd.		2,600		253,089
Electric Power Development Co., Ltd.		31,500		871,920
FamilyMart UNY Holdings Co., Ltd.		700		72,883
FANUC Corp.		2,000		377,046
Fast Retailing Co., Ltd.		600		305,862
Fuji Electric Co., Ltd.		1,200		48,055
FUJIFILM Holdings Corp.		4,000		180,074
Fujitsu, Ltd.		2,000		142,510
Fukuoka Financial Group, Inc.		1,600		44,006
Hakuhodo DY Holdings, Inc.		2,300		40,344
Hamamatsu Photonics KK		11,500		457,996
Hankyu Hanshin Holdings, Inc.		2,500		88,673
Hikari Tsushin, Inc.		200		39,535
Hino Motors, Ltd.		2,700		29,562
Hirose Electric Co., Ltd.		325		35,526
Hisamitsu Pharmaceutical Co., Inc.		600		45,995
Hitachi Chemical Co., Ltd.		1,200		24,429
Hitachi Construction Machinery Co., Ltd.		1,200		40,134
Hitachi High-Technologies Corp.		800		27,566
Hitachi Metals, Ltd.		2,400		29,720
Hitachi, Ltd.		10,000		339,729
Honda Motor Co., Ltd.		33,600		1,016,990
Hoshizaki Corp.		600		62,102
Hoya Corp.		4,000		237,634
Hulic Co., Ltd.		3,000		29,440

Security Description	Shares		Value (Note 2)
Japan (continued)
Idemitsu Kosan Co., Ltd.		1,500	$	79,343
IHI Corp.		1,500		56,834
Iida Group Holdings Co., Ltd.		1,700		30,239
Inpex Corp.		10,500		130,950
Isetan Mitsukoshi Holdings, Ltd.		3,400		41,744
Isuzu Motors, Ltd.		5,600		88,273
ITOCHU Corp.		14,500		265,446
J. Front Retailing Co., Ltd.		2,400		37,240
Japan Airlines Co., Ltd.		1,200		43,133
Japan Airport Terminal Co., Ltd.		500		22,751
Japan Exchange Group, Inc.		5,400		94,103
Japan Post Bank Co., Ltd.		4,100		48,462
Japan Post Holdings Co., Ltd.		16,200		192,769
Japan Prime Realty Investment Corp.		10		35,645
Japan Real Estate Investment Corp.		14		73,438
Japan Retail Fund Investment Corp.		25		45,349
Japan Tobacco, Inc.		11,200		292,371
JFE Holdings, Inc.		5,200		119,314
JGC Corp.		2,100		48,166
JSR Corp.		1,700		31,735
JTEKT Corp.		2,200		32,200
JXTG Holdings, Inc.		33,550		253,441
Kajima Corp.		4,500		65,389
Kakaku.com, Inc.		1,500		29,335
Kamigumi Co., Ltd.		1,200		26,446
Kaneka Corp.		600		27,724
Kansai Electric Power Co., Inc.		7,400		111,567
Kansai Paint Co., Ltd.		1,700		31,331
Kao Corp.		5,100		411,788
Kawasaki Heavy Industries, Ltd.		1,500		42,312
KDDI Corp.		68,300		1,886,936
Keihan Holdings Co., Ltd.		1,000		38,198
Keikyu Corp.		2,500		45,569
Keio Corp.		1,100		60,218
Keisei Electric Railway Co., Ltd.		1,300		45,767
Keyence Corp.		3,800		2,206,689
Kikkoman Corp.		1,600		95,195
Kintetsu Group Holdings Co., Ltd.		1,700		68,377
Kirin Holdings Co., Ltd.		26,900		689,191
Kobayashi Pharmaceutical Co., Ltd.		499		36,716
Kobe Steel, Ltd.		3,200		28,446
Koito Manufacturing Co., Ltd.		5,900		387,379
Komatsu, Ltd.		9,400		285,921
Konami Holdings Corp.		1,100		43,082
Konica Minolta, Inc.		4,800		51,033
Kose Corp.		340		64,786
Kubota Corp.		107,400		1,825,290
Kuraray Co., Ltd.		3,500		52,614
Kurita Water Industries, Ltd.		1,100		32,045
Kyocera Corp.		3,300		198,081
Kyowa Hakko Kirin Co., Ltd.		2,600		48,719
Kyushu Electric Power Co., Inc.		4,400		53,093
Kyushu Railway Co.		1,700		51,769
Lawson, Inc.		500		30,452
LINE Corp.†		700		29,572
Lion Corp.		2,500		55,536

222

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
LIXIL Group Corp.		2,800	$	53,920
M3, Inc.		4,400		99,835
Mabuchi Motor Co., Ltd.		600		24,212
Makita Corp.		23,100		1,156,830
Marubeni Corp.		16,800		153,776
Marui Group Co., Ltd.		2,200		54,293
Maruichi Steel Tube, Ltd.		700		22,826
Mazda Motor Corp.		5,900		70,829
McDonald's Holdings Co. Japan, Ltd.		800		35,135
Mebuki Financial Group, Inc.		9,600		33,205
Medipal Holdings Corp.		1,700		35,475
MEIJI Holdings Co., Ltd.		1,300		87,300
Minebea Mitsumi, Inc.		4,000		72,522
Miraca Holdings, Inc.		11,600		301,690
MISUMI Group, Inc.		2,900		75,040
Mitsubishi Chemical Holdings Corp.		13,200		126,342
Mitsubishi Corp.		47,700		1,469,791
Mitsubishi Electric Corp.		150,600		2,063,095
Mitsubishi Estate Co., Ltd.		12,200		207,449
Mitsubishi Gas Chemical Co., Inc.		1,700		36,193
Mitsubishi Heavy Industries, Ltd.		3,200		123,556
Mitsubishi Materials Corp.		1,300		38,844
Mitsubishi Motors Corp.		6,800		47,999
Mitsubishi Tanabe Pharma Corp.		2,400		40,134
Mitsubishi UFJ Financial Group, Inc.		709,900		4,430,471
Mitsubishi UFJ Lease & Finance Co., Ltd.		88,700		522,270
Mitsui & Co., Ltd.		17,200		305,867
Mitsui Chemicals, Inc.		1,900		47,508
Mitsui Fudosan Co., Ltd.		43,200		1,022,397
Mitsui OSK Lines, Ltd.		1,300		37,929
Mizuho Financial Group, Inc.		250,100		436,277
MS&AD Insurance Group Holdings, Inc.		4,900		163,621
Murata Manufacturing Co., Ltd.		10,200		1,567,884
Nabtesco Corp.		1,300		34,554
Nagoya Railroad Co., Ltd.		1,900		47,057
NEC Corp.		2,700		74,617
Nexon Co., Ltd.†		4,500		58,814
NGK Insulators, Ltd.		2,800		46,182
NGK Spark Plug Co., Ltd.		1,700		49,525
NH Foods, Ltd.		1,000		36,921
Nidec Corp.		2,300		330,870
Nikon Corp.		3,500		65,767
Nintendo Co., Ltd.		7,800		2,846,224
Nippon Building Fund, Inc.		14		80,954
Nippon Electric Glass Co., Ltd.		1,000		31,465
Nippon Express Co., Ltd.		800		52,526
Nippon Paint Holdings Co., Ltd.		1,500		55,976
Nippon Prologis REIT, Inc.		17		33,650
Nippon Steel & Sumitomo Metal Corp.		7,600		160,769
Nippon Telegraph & Telephone Corp.		66,400		2,999,162
Nippon Yusen KK		1,700		31,974
Nissan Chemical Corp.		1,400		73,931
Nissan Motor Co., Ltd.		23,800		222,772

Security Description	Shares		Value (Note 2)
Japan (continued)
Nisshin Seifun Group, Inc.		2,200	$	48,213
Nissin Foods Holdings Co., Ltd.		700		48,117
Nitori Holdings Co., Ltd.		800		114,733
Nitto Denko Corp.		1,700		127,418
NOK Corp.		900		15,454
Nomura Holdings, Inc.		35,600		170,042
Nomura Real Estate Holdings, Inc.		1,500		30,285
Nomura Real Estate Master Fund, Inc.		37		50,540
Nomura Research Institute, Ltd.		1,200		60,623
NSK, Ltd.		4,000		45,837
NTT Data Corp.		6,300		87,220
NTT DOCOMO, Inc.		13,700		368,364
Obayashi Corp.		6,400		60,609
OBIC Co., Ltd.		700		66,230
Odakyu Electric Railway Co., Ltd.		2,900		68,608
Oji Holdings Corp.		9,000		65,349
Olympus Corp.		2,900		113,198
Omron Corp.		16,900		713,959
Ono Pharmaceutical Co., Ltd.		4,000		113,184
Oracle Corp. Japan		400		32,248
Oriental Land Co., Ltd.		2,100		219,574
ORIX Corp.		84,100		1,363,424
Osaka Gas Co., Ltd.		3,900		76,064
Otsuka Corp.		1,100		41,049
Otsuka Holdings Co., Ltd.		4,000		201,619
Panasonic Corp.		116,800		1,360,542
Park24 Co., Ltd.		1,200		36,279
Persol Holdings Co., Ltd.		1,701		39,898
Pola Orbis Holdings, Inc.		11,744		428,953
Rakuten, Inc.		8,800		67,444
Recruit Holdings Co., Ltd.		92,200		3,077,120
Renesas Electronics Corp.†		51,021		318,825
Resona Holdings, Inc.		21,700		121,907
Ricoh Co., Ltd.		7,000		75,163
Rinnai Corp.		300		22,866
Rohm Co., Ltd.		1,000		72,874
Ryohin Keikaku Co., Ltd.		220		65,446
Sankyo Co., Ltd.		500		19,561
Santen Pharmaceutical Co., Ltd.		69,300		1,098,480
SBI Holdings, Inc.		2,400		74,564
Secom Co., Ltd.		2,200		179,338
Sega Sammy Holdings, Inc.		1,900		28,010
Seibu Holdings, Inc.		2,300		41,356
Seiko Epson Corp.		2,900		49,465
Sekisui Chemical Co., Ltd.		98,800		1,822,609
Sekisui House, Ltd.		6,300		96,064
Seven & i Holdings Co., Ltd.		35,400		1,576,518
Seven Bank, Ltd.		6,300		19,906
SG Holdings Co., Ltd.		1,072		28,088
Sharp Corp.		1,700		34,548
Shimadzu Corp.		2,300		72,065
Shimamura Co., Ltd.		200		18,976
Shimano, Inc.		800		128,921
Shimizu Corp.		5,600		51,111
Shin-Etsu Chemical Co., Ltd.		3,800		336,622
Shinsei Bank, Ltd.		1,800		29,419

223

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Shionogi & Co., Ltd.		2,900	$	189,488
Shiseido Co., Ltd.		16,800		1,301,032
Shizuoka Bank, Ltd.		4,500		40,398
Showa Denko KK		1,400		77,258
Showa Shell Sekiyu KK		1,900		40,251
SMC Corp.		8,200		2,624,115
SoftBank Group Corp.		16,600		1,675,779
Sohgo Security Services Co., Ltd.		800		35,170
Sompo Holdings, Inc.		3,400		144,804
Sony Corp.		25,700		1,575,657
Sony Financial Holdings, Inc.		1,700		37,465
Stanley Electric Co., Ltd.		2,600		88,902
Start Today Co., Ltd.		2,130		64,489
Subaru Corp.		6,300		192,959
SUMCO Corp.		2,512		36,435
Sumitomo Chemical Co., Ltd.		15,000		87,793
Sumitomo Corp.		123,400		2,057,572
Sumitomo Dainippon Pharma Co., Ltd.		1,700		39,036
Sumitomo Electric Industries, Ltd.		7,600		119,197
Sumitomo Heavy Industries, Ltd.		1,200		42,827
Sumitomo Metal Mining Co., Ltd.		20,800		729,703
Sumitomo Mitsui Financial Group, Inc.		13,900		561,040
Sumitomo Mitsui Trust Holdings, Inc.		25,900		1,065,907
Sumitomo Realty & Development Co., Ltd.		4,000		143,637
Sumitomo Rubber Industries, Ltd.		21,500		322,632
Sundrug Co., Ltd.		896		31,977
Suntory Beverage & Food, Ltd.		1,500		63,501
Suzuken Co., Ltd.		800		37,951
Suzuki Motor Corp.		39,400		2,256,779
Sysmex Corp.		1,700		146,330
T&D Holdings, Inc.		5,500		90,763
Taiheiyo Cement Corp.		1,300		40,789
Taisei Corp.		2,200		100,299
Taisho Pharmaceutical Holdings Co., Ltd.		400		48,900
Taiyo Nippon Sanso Corp.		1,300		19,451
Takashimaya Co., Ltd.		1,500		25,334
Takeda Pharmaceutical Co., Ltd.		7,400		316,594
TDK Corp.		1,300		141,762
Teijin, Ltd.		1,700		32,603
Terumo Corp.		34,000		2,013,906
THK Co., Ltd.		38,000		967,224
Tobu Railway Co., Ltd.		2,100		62,102
Toho Co., Ltd.		1,300		40,789
Toho Gas Co., Ltd.		800		30,382
Tohoku Electric Power Co., Inc.		4,700		63,786
Tokio Marine Holdings, Inc.		35,400		1,756,291
Tokyo Century Corp.		500		31,068
Tokyo Electric Power Co. Holdings, Inc.†		15,400		75,631
Tokyo Electron, Ltd.		9,200		1,263,968
Tokyo Gas Co., Ltd.		4,000		98,310
Tokyo Tatemono Co., Ltd.		1,800		21,957

Security Description	Shares		Value (Note 2)
Japan (continued)
Tokyu Corp.		5,500	$	100,590
Tokyu Fudosan Holdings Corp.		5,200		36,247
Toppan Printing Co., Ltd.		2,500		40,156
Toray Industries, Inc.		14,800		111,176
Toshiba Corp.†		7,000		202,385
Tosoh Corp.		13,900		214,091
TOTO, Ltd.		1,500		62,247
Toyo Seikan Group Holdings, Ltd.		1,700		35,266
Toyo Suisan Kaisha, Ltd.		900		34,893
Toyoda Gosei Co., Ltd.		800		19,750
Toyota Industries Corp.		1,500		88,717
Toyota Motor Corp.		107,500		6,712,837
Toyota Tsusho Corp.		2,100		79,291
Trend Micro, Inc.		1,200		77,205
Tsuruha Holdings, Inc.		387		47,651
Unicharm Corp.		4,200		138,916
United Urban Investment Corp.		29		45,509
USS Co., Ltd.		2,400		44,548
West Japan Railway Co.		1,700		118,515
Yahoo Japan Corp.		138,200		497,481
Yakult Honsha Co., Ltd.		1,200		98,328
Yamada Denki Co., Ltd.		7,100		35,931
Yamaguchi Financial Group, Inc.		2,500		27,240
Yamaha Corp.		1,400		74,177
Yamaha Motor Co., Ltd.		2,900		81,293
Yamato Holdings Co., Ltd.		3,100		95,166
Yamazaki Baking Co., Ltd.		1,300		26,018
Yaskawa Electric Corp.		2,500		74,261
Yokogawa Electric Corp.		2,300		48,644
Yokohama Rubber Co., Ltd.		1,300		28,021
				99,314,368
Jersey — 0.8%
Experian PLC		9,446		242,606
Ferguson PLC		2,469		209,659
Glencore PLC		119,257		515,593
Randgold Resources, Ltd.		929		65,992
Shire PLC		9,408		566,952
Shire PLC ADR		5,100		924,477
WPP PLC		89,654		1,314,035
				3,839,314
Luxembourg — 0.7%
ArcelorMittal		6,788		211,217
Eurofins Scientific SE		112		63,588
Millicom International Cellular SA SDR		694		39,864
RTL Group SA		398		28,396
Samsonite International SA*		452,100		1,674,797
SES SA FDR		3,704		81,280
Tenaris SA		85,028		1,424,556
				3,523,698
Mauritius — 0.0%
Golden Agri-Resources, Ltd.		73,400		13,423
Mexico — 0.1%
America Movil SAB de CV, Series L ADR		27,500		441,650

224

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Netherlands — 3.0%
ABN AMRO Group NV CVA*		33,729	$	918,327
Aegon NV		17,841		115,752
AerCap Holdings NV†		1,297		74,603
Airbus SE		6,004		754,117
Akzo Nobel NV		2,608		243,877
ASML Holding NV		15,843		2,959,679
CNH Industrial NV		10,375		124,675
EXOR NV		1,045		70,153
Ferrari NV		1,255		172,814
Fiat Chrysler Automobiles NV†		10,935		192,270
Heineken Holding NV		1,227		111,120
Heineken NV		2,660		249,419
ING Groep NV		149,177		1,937,091
Koninklijke Ahold Delhaize NV		13,010		298,329
Koninklijke DSM NV		1,875		198,627
Koninklijke KPN NV		35,040		92,432
Koninklijke Philips NV		65,435		2,980,814
Koninklijke Vopak NV		742		36,562
NN Group NV		3,218		143,584
NXP Semiconductors NV		12,204		1,043,442
QIAGEN NV†		2,363		89,440
Randstad NV		1,219		65,076
STMicroelectronics NV		7,051		128,284
Unilever NV CVA		15,978		889,811
Wolters Kluwer NV		3,099		193,146
				14,083,444
New Zealand — 0.1%
a2 Milk Co., Ltd.†		7,564		56,455
Auckland International Airport, Ltd.		9,678		46,830
Fisher & Paykel Healthcare Corp., Ltd.		5,749		57,352
Fletcher Building, Ltd.†		9,035		39,167
Meridian Energy, Ltd.		13,371		29,115
Ryman Healthcare, Ltd.		4,073		37,797
Spark New Zealand, Ltd.		19,705		52,899
				319,615
Norway — 2.0%
Aker BP ASA		25,996		1,103,243
DNB ASA		192,642		4,053,441
Equinor ASA†		41,455		1,168,966
Gjensidige Forsikring ASA		2,089		35,216
Marine Harvest ASA		4,244		98,320
Norsk Hydro ASA		278,121		1,669,666
Orkla ASA		8,663		73,189
Schibsted ASA, Class B		920		31,877
Storebrand ASA		113,336		1,012,382
Telenor ASA		7,661		149,761
Yara International ASA		1,904		93,507
				9,489,568
Papua New Guinea — 0.0%
Oil Search, Ltd.		14,183		92,577
Portugal — 0.1%
Banco Espirito Santo SA†(1)(2)		59,101		0
EDP - Energias de Portugal SA		26,698		98,511

Security Description	Shares		Value (Note 2)
Portugal (continued)
Galp Energia SGPS SA		5,107	$	101,335
Jeronimo Martins SGPS SA		2,657		39,132
				238,978
Singapore — 1.3%
Ascendas Real Estate Investment Trust		24,600		47,507
CapitaLand Commercial Trust		27,200		35,416
CapitaLand Mall Trust		25,000		40,598
CapitaLand, Ltd.		26,700		65,820
City Developments, Ltd.		4,000		26,656
ComfortDelGro Corp., Ltd.		20,700		36,795
DBS Group Holdings, Ltd.		89,500		1,708,098
Genting Singapore, Ltd.		64,300		49,858
Jardine Cycle & Carriage, Ltd.		1,200		28,081
Keppel Corp., Ltd.		15,500		78,914
Oversea-Chinese Banking Corp., Ltd.		182,600		1,528,067
SATS, Ltd.		6,600		25,202
Sembcorp Industries, Ltd.		74,400		168,169
Singapore Airlines, Ltd.		5,300		37,762
Singapore Exchange, Ltd.		8,600		46,364
Singapore Press Holdings, Ltd.		15,300		32,121
Singapore Technologies Engineering, Ltd.		15,300		39,843
Singapore Telecommunications, Ltd.		82,010		193,769
Suntec Real Estate Investment Trust		25,600		36,142
United Overseas Bank, Ltd.		50,000		990,454
UOL Group, Ltd.		5,100		25,704
Venture Corp., Ltd.		2,848		36,729
Wilmar International, Ltd.		308,200		725,946
Yangzijiang Shipbuilding Holdings, Ltd.		21,200		19,230
				6,023,245
South Korea — 1.0%
KT Corp.		18,176		494,033
NAVER Corp.		521		336,296
Samsung Electronics Co., Ltd.		72,686		3,043,737
Samsung SD Co., Ltd.		4,920		1,146,558
				5,020,624
Spain — 1.7%
ACS Actividades de Construccion y Servicios SA		2,618		111,494
Aena SME SA*		712		123,587
Amadeus IT Group SA		4,542		421,985
Banco Bilbao Vizcaya Argentaria SA		356,788		2,274,226
Banco de Sabadell SA		58,018		90,197
Banco Santander SA		166,915		840,206
Bankia SA		12,774		50,085
Bankinter SA		7,110		65,479
CaixaBank SA		36,480		166,794
Enagas SA		2,292		61,871
Endesa SA		3,313		71,584
Ferrovial SA		4,924		102,163
Grifols SA		3,164		89,121
Iberdrola SA		61,798		454,755
Industria de Diseno Textil SA		47,092		1,427,595

225

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Spain (continued)
International Consolidated Airlines Group SA		6,492	$	55,793
Mapfre SA		9,841		30,873
Naturgy Energy Group SA		3,692		100,778
Red Electrica Corp. SA		4,562		95,553
Repsol SA		14,121		281,424
Siemens Gamesa Renewable Energy SA†		2,442		30,905
Telefonica SA		132,269		1,047,047
				7,993,515
SupraNational — 0.2%
HK Electric Investments & HK Electric Investments, Ltd.		26,500		26,742
HKT Trust & HKT, Ltd.		40,000		54,980
Unibail-Rodamco-Westfield		5,340		1,073,966
				1,155,688
Sweden — 2.8%
Alfa Laval AB		3,003		81,432
Assa Abloy AB, Class B		66,282		1,332,367
Atlas Copco AB, Class A		6,878		198,274
Atlas Copco AB, Class B		3,967		105,855
Boliden AB		2,891		80,640
Electrolux AB, Series B		2,556		56,369
Elekta AB, Series B		53,650		721,680
Epiroc AB, Class A†		6,878		76,849
Epiroc AB, Class B†		3,967		40,842
Essity AB, Class B		35,999		904,896
Hennes & Mauritz AB, Class B		9,066		167,541
Hexagon AB, Class B		2,712		158,984
Husqvarna AB, Class B		4,326		36,847
ICA Gruppen AB		819		25,987
Industrivarden AB, Class C		1,738		38,623
Investor AB, Class B		4,674		215,992
Kinnevik AB, Class B		2,493		75,485
L E Lundbergforetagen AB, Class B		735		24,777
Lundin Petroleum AB		1,915		73,304
Nordea Bank AB		190,852		2,080,015
Sandvik AB		11,512		204,336
Securitas AB, Class B		3,278		57,077
Skandinaviska Enskilda Banken AB, Class A		169,758		1,895,581
Skanska AB, Class B		3,483		68,407
SKF AB, Class B		59,949		1,182,805
Svenska Handelsbanken AB, Class A		126,625		1,599,304
Swedbank AB, Class A		9,355		231,891
Swedish Match AB		1,824		93,382
Tele2 AB, Class B		3,318		39,947
Telefonaktiebolaget LM Ericsson, Class B		92,684		822,616
Telia Co AB		28,975		133,083
Volvo AB, Class B		16,154		285,550
				13,110,738

Security Description	Shares		Value (Note 2)
Switzerland — 8.7%
ABB, Ltd.		66,718	$	1,576,514
Adecco Group AG		1,713		89,961
Baloise Holding AG		504		76,879
Barry Callebaut AG		24		45,486
Chocoladefabriken Lindt & Spruengli AG		1		82,026
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate)		11		77,114
Cie Financiere Richemont SA		27,534		2,244,467
Clariant AG		2,065		53,740
Coca-Cola HBC AG		2,095		71,351
Credit Suisse Group AG		26,419		397,066
Dufry AG		352		39,687
EMS-Chemie Holding AG		86		51,264
GAM Holding AG		30,798		218,730
Geberit AG		388		179,965
Givaudan SA		95		233,580
Julius Baer Group, Ltd.		2,282		114,193
Kuehne & Nagel International AG		571		90,473
LafargeHolcim, Ltd.		5,018		247,730
Lonza Group AG		5,968		2,037,171
Nestle SA		135,547		11,300,648
Novartis AG		103,500		8,900,958
Pargesa Holding SA		328		26,353
Partners Group Holding AG		177		140,406
Roche Holding AG		18,200		4,409,059
Schindler Holding AG (Participation Certificate) (SIX)		7,042		1,755,118
Schindler Holding AG (RSP)		210		50,671
SGS SA		559		1,471,832
Sika AG		1,343		195,552
Sonova Holding AG		573		114,028
Straumann Holding AG		109		81,967
Swatch Group AG (XEGT)		316		125,672
Swatch Group AG (TRQX)		532		41,469
Swiss Life Holding AG		355		134,563
Swiss Prime Site AG		741		63,159
Swiss Re AG		3,218		297,076
Swisscom AG		270		122,537
Temenos AG		626		101,548
UBS Group AG		145,769		2,302,241
Vifor Pharma AG		497		86,167
Zurich Insurance Group AG		5,302		1,675,851
				41,324,272
Taiwan — 0.8%
Largan Precision Co., Ltd.		4,000		476,206
Taiwan Semiconductor Manufacturing Co., Ltd.		272,000		2,338,453
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		28,641		1,264,787
				4,079,446
Turkey — 0.1%
Turkiye Garanti Bankasi AS		397,129		507,343

226

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
United Kingdom — 16.8%
3i Group PLC		10,333	$	126,761
Admiral Group PLC		2,071		56,146
Anglo American PLC		10,888		244,518
Antofagasta PLC		160,360		1,787,063
Ashtead Group PLC		5,083		161,456
Associated British Foods PLC		3,638		108,587
AstraZeneca PLC		40,222		3,126,125
Auto Trader Group PLC*		10,298		59,944
Aviva PLC		384,392		2,452,476
Babcock International Group PLC		2,609		24,586
BAE Systems PLC		205,426		1,686,304
Barclays PLC		176,347		394,838
Barclays PLC ADR		22,300		199,585
Barratt Developments PLC		10,411		76,940
Berkeley Group Holdings PLC		1,332		63,872
BHP Billiton PLC		151,796		3,306,485
BP PLC		206,853		1,588,825
British American Tobacco PLC		23,698		1,107,180
British Land Co. PLC		10,285		82,685
BT Group PLC		86,714		254,641
Bunzl PLC		55,573		1,747,829
Burberry Group PLC		85,090		2,234,763
Carnival PLC		1,942		120,587
Centrica PLC		55,430		111,911
Close Brothers Group PLC		9,951		205,188
Coca-Cola European Partners PLC		2,181		99,170
Compass Group PLC		58,275		1,295,803
ConvaTec Group PLC*		13,993		42,386
Croda International PLC		1,393		94,449
Diageo PLC		139,598		4,947,277
Direct Line Insurance Group PLC		267,528		1,129,427
easyJet PLC		1,683		28,824
Fresnillo PLC		2,364		25,309
G4S PLC		16,470		51,950
GlaxoSmithKline PLC		190,456		3,814,959
GlaxoSmithKline PLC ADR		33,200		1,333,644
Great Portland Estates PLC		46,374		404,430
Hammerson PLC		8,408		50,050
Hargreaves Lansdown PLC		2,950		85,936
HSBC Holdings PLC		207,888		1,814,899
Imperial Brands PLC		9,809		341,489
Informa PLC		12,969		128,841
InterContinental Hotels Group PLC		1,830		114,014
Intertek Group PLC		1,719		111,848
Investec PLC		6,677		46,960
ITV PLC		37,051		76,229
J Sainsbury PLC		18,093		75,888
John Wood Group PLC		6,909		69,484
Johnson Matthey PLC		43,980		2,041,865
Kingfisher PLC		334,337		1,124,299
Land Securities Group PLC		7,805		89,869
Legal & General Group PLC		61,547		210,338
Lloyds Banking Group PLC		3,673,319		2,837,732
London Stock Exchange Group PLC		3,280		196,058
Marks & Spencer Group PLC		17,213		64,793
Mediclinic International PLC		3,761		21,030

Security Description	Shares		Value (Note 2)
United Kingdom (continued)
Meggitt PLC		169,749	$	1,253,165
Melrose Industries PLC		231,905		604,229
Merlin Entertainments PLC*		6,923		36,130
Micro Focus International PLC		4,486		83,584
Mondi PLC		3,851		105,608
National Grid PLC		119,306		1,230,654
Next PLC		1,470		105,265
NMC Health PLC		1,082		47,865
Pearson PLC		8,050		93,382
Persimmon PLC		33,938		1,046,153
Prudential PLC		196,377		4,503,578
Reckitt Benckiser Group PLC		37,628		3,440,951
RELX PLC ADR		12,020		253,177
RELX PLC NV		10,774		226,353
Rio Tinto PLC		12,409		627,547
Rolls-Royce Holdings PLC		16,927		217,847
Royal Bank of Scotland Group PLC		49,883		162,544
Royal Dutch Shell PLC, Class A (TRQX)		47,666		1,638,002
Royal Dutch Shell PLC, Class B		38,680		1,355,673
Royal Dutch Shell PLC, Class B ADR		25,000		1,773,250
Royal Mail PLC		9,287		57,751
RSA Insurance Group PLC		71,124		533,042
Sage Group PLC		11,316		86,490
Schroders PLC		1,333		53,774
Segro PLC		10,068		83,696
Severn Trent PLC		2,519		60,708
Sky PLC		10,875		245,077
Smith & Nephew PLC		85,009		1,550,657
Smiths Group PLC		91,152		1,776,767
SSE PLC		26,398		394,306
St James's Place PLC		5,459		81,399
Standard Chartered PLC		122,294		1,014,409
Standard Life Aberdeen PLC		28,101		112,042
Taylor Wimpey PLC		34,127		76,419
Tesco PLC		100,539		314,240
Travis Perkins PLC		2,616		36,330
Unilever PLC		95,644		5,255,768
United Utilities Group PLC		7,182		65,902
Vodafone Group PLC		957,326		2,052,596
Vodafone Group PLC ADR		73,200		1,588,440
Weir Group PLC		2,490		57,218
Whitbread PLC		24,679		1,517,299
WM Morrison Supermarkets PLC		22,007		74,406
				79,992,238
United States — 1.1%
Autoliv, Inc. SDR		6,904		602,665
Booking Holdings, Inc.†		827		1,640,768
Broadcom, Inc.		5,650		1,394,025
Philip Morris International, Inc.		16,067		1,310,103
Veoneer, Inc. SDR†		5,805		320,054
				5,267,615
Total Common Stocks (cost $415,033,408)				466,081,144

227

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares/ Principal Amount			Value (Note 2)
EXCHANGE-TRADED FUNDS — 0.9%
United States — 0.9%
iShares MSCI EAFE ETF Index Fund (cost $4,315,028)		63,000		$	4,283,370
RIGHTS — 0.0%
Australia — 0.0%
Harvey Norman Holdings, Ltd. Expires 10/15/2018† (Strike Price $2.50 AUD) (cost $0)		348			201
Total Long-Term Investment Securities (cost $419,348,436)					470,364,715
SHORT-TERM INVESTMENT SECURITIES — 0.1%
Registered Investment Companies — 0.1%
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(3)		382,258			382,258
T. Rowe Price Government Reserve Fund 2.09%(3)		1,131			1,131
					383,389
U.S. Government Treasuries — 0.1%
United States Treasury Bills 1.96% due 11/01/2018(4)	$	50,000			49,911
2.02% due 11/29/2018(4)		40,000			39,861
2.03% due 11/29/2018(4)		350,000			348,783
2.03% due 12/06/2018(4)		130,000			129,493
					568,048
Total Short-Term Investment Securities (cost $951,537)					951,437
REPURCHASE AGREEMENTS — 0.2%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $717,025 collateralized by $740,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $734,962 (cost $ 717,000)		717,000			717,000
TOTAL INVESTMENTS (cost $421,016,973)(5)		99.4	%		472,033,152
Other assets less liabilities		0.6			2,895,110
NET ASSETS		100.0	%	$	474,928,262

†  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, 2018, the aggregate value of these securities was $6,220,793 representing 1.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

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

(2)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $21 representing 0% of net assets.

(3)  The rate shown is the 7-day yield as of September 30, 2018.

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

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

ADR — American Depositary Receipt

AUD — Australian Dollar

ASX — Australian Stock Exchange

CDI — Chess Depositary Interest

CVA — Certification Van Aandelen (Dutch Cert.)

FDR — Fiduciary Depositary Receipt

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

SDR — Swedish Depositary Receipt

SIX — Swiss Stock Exchange

TRQX — Turquoise Stock Exchange

XEGT — Equiduct Stock Exchange

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	22	Long	MSCI EAFE Index	December 2018	$	2,168,358	$	2,173,050	$	4,692

*  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.

228

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	20,847,039	$	—	$	21	$	20,847,060
Portugal		238,978		—		0		238,978
Other Countries		444,995,106		—		—		444,995,106
Exchange-Traded Funds .		4,283,370		—		—		4,283,370
Rights		201		—		—		201
Short-Term Investment Securities:
Registered Investment Companies .		383,389		—		—		383,389
U.S. Government Treasuries		—		568,048		—		568,048
Repurchase Agreements		—		717,000		—		717,000
Total Investments at Value	$	470,748,083	$	1,285,048	$	21	$	472,033,152
Other Financial Instruments:†
Futures Contracts	$	4,692	$	—	$	—	$	4,692

*  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. Securities currently valued at $428,338,002 were transferred from Level 2 to Level 1 due to foreign equity securities whose value were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

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

See Notes to Financial Statements

229

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
United States Treasury Notes	27.8	%
Diversified Financial Services	15.3
Federal National Mtg. Assoc.	14.3
United States Treasury Bonds	7.8
Diversified Banking Institutions	7.3
Federal Home Loan Mtg. Corp.	5.1
Government National Mtg. Assoc.	4.1
Electric-Integrated	1.8
Telephone-Integrated	1.7
Banks-Commercial	1.5
Sovereign	1.3
Cable/Satellite TV	1.3
Pipelines	1.2
Repurchase Agreements	1.2
Medical-HMO	1.1
Pharmacy Services	1.0
Banks-Super Regional	0.9
Oil Companies-Exploration & Production	0.9
Tobacco	0.8
Medical-Drugs	0.7
Registered Investment Companies	0.7
Auto-Cars/Light Trucks	0.7
Brewery	0.6
Multimedia	0.6
Electronic Components-Semiconductors	0.6
Insurance-Multi-line	0.5
Cellular Telecom	0.5
Transport-Rail	0.4
Aerospace/Defense-Equipment	0.4
Medical-Biomedical/Gene	0.4
Medical Products	0.4
E-Commerce/Products	0.4
Medical-Generic Drugs	0.3
Food-Misc./Diversified	0.3
Municipal Bonds & Notes	0.3
Agricultural Chemicals	0.3
Electric-Generation	0.3
Applications Software	0.3
Broadcast Services/Program	0.3
Commercial Services-Finance	0.3
Oil Companies-Integrated	0.3
Chemicals-Specialty	0.3
Diversified Minerals	0.2
Real Estate Investment Trusts	0.2
Beverages-Wine/Spirits	0.2
Medical-Hospitals	0.2
Banks-Fiduciary	0.2
Computers	0.2
Oil Refining & Marketing	0.2
Metal-Iron	0.2
Retail-Restaurants	0.2
Insurance Brokers	0.2
Retail-Discount	0.2
Internet Application Software	0.2
Aerospace/Defense	0.2
Insurance-Life/Health	0.2
Computer Services	0.2
Data Processing/Management	0.2
Computers-Memory Devices	0.1
Veterinary Diagnostics	0.1
Medical Instruments	0.1
Electric-Distribution	0.1

Trucking/Leasing	0.1	%
Paper & Related Products	0.1
Engineering/R&D Services	0.1
Enterprise Software/Service	0.1
Airlines	0.1
Finance-Credit Card	0.1
Savings & Loans/Thrifts	0.1
Transport-Services	0.1
Medical-Wholesale Drug Distribution	0.1
Containers-Paper/Plastic	0.1
Federal Home Loan Bank	0.1
Office Automation & Equipment	0.1
Diversified Manufacturing Operations	0.1
Insurance-Property/Casualty	0.1
Electronic Measurement Instruments	0.1
Foreign Government Obligations	0.1
Medical Labs & Testing Services	0.1
Insurance-Mutual	0.1
Racetracks	0.1
Tennessee Valley Authority	0.1
Coatings/Paint	0.1
Finance-Other Services	0.1
Gambling (Non-Hotel)	0.1
Chemicals-Diversified	0.1
Satellite Telecom	0.1
Networking Products	0.1
Commercial Services	0.1
Auto/Truck Parts & Equipment-Original	0.1
Diagnostic Equipment	0.1
Airport Development/Maintenance	0.1
Retail-Building Products	0.1
Metal Processors & Fabrication	0.1
Insurance-Reinsurance	0.1
Food-Wholesale/Distribution	0.1
Finance-Consumer Loans	0.1
Beverages-Non-alcoholic	0.1
Machinery-Construction & Mining	0.1
	113.6	%
Credit Quality†#
Aaa	59.3	%
Aa	1.2
A	8.8
Baa	17.1
Ba	4.1
B	1.5
Caa	0.7
Ca	0.2
Not Rated##	7.1
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

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

230

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES — 15.2%
Diversified Financial Services — 15.2%
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6A21 2.72% (1 ML+0.50%) due 01/25/2036(1)	$	121,680	$	116,533
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 2.76% (1 ML+0.54%) due 11/25/2035(1)		141,829		140,774
Alternative Loan Trust Series 2005-64CB, Class A1 5.50% due 12/25/2035(1)		182,303		160,054
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 2.79% (12 MTA+0.94%) due 10/25/2046(1)		58,060		53,354
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.59% (3 ML+1.25%) due 07/25/2029*(2)		1,190,000		1,189,866
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 3.85% (3 ML+1.51%) due 01/15/2029*(2)		841,716		843,016
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(1)(3)		378,944		376,316
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(1)(3)		547,327		537,791
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(1)(3)		117,624		116,653
Apex Credit CLO, Ltd. FRS Series 2017-1A, Class A1 3.81% (3 ML+1.47%) due 04/24/2029*(2)		1,080,000		1,082,219
Apidos CLO XII FRS Series 2013-12A, Class AR 3.42% (3 ML+1.08%) due 04/15/2031*(2)		1,295,000		1,290,958
Apidos CLO XVI FRS Series 2013-16A, Class A1R 3.32% (3 ML+0.98%) due 01/19/2025*(2)		390,504		390,305
Apidos CLO XXI FRS Series 2015-21A, Class A1R 3.26% (3 ML+0.93%) due 07/18/2027*(2)		1,385,000		1,382,975
Atlas Senior Loan Fund X, Ltd. FRS Series 2018-10A, Class A 3.43% (3 ML+1.09%) due 01/15/2031*(2)		1,015,000		1,009,867

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class AR 3.44% (3 ML+1.10%) due 04/25/2026*(2)	$	1,042,144	$	1,041,748
Avis Budget Rental Car Funding AESOP LLC Series 2015-1A, Class A 2.50% due 07/20/2021*		100,000		98,677
BA Credit Card Trust Series 2018-A2, Class A2 3.00% due 09/15/2023		79,000		78,792
Babson CLO, Ltd. FRS Series 2014-IA, Class A1R 3.50% (3 ML+1.15%) due 07/20/2025*(2)		295,000		294,855
Babson CLO, Ltd. FRS Series 2016-2A, Class A 3.80% (3 ML+1.45%) due 07/20/2028*(2)		1,834,000		1,833,545
Bain Capital Credit CLO FRS Series 2017-1A, Class A1 3.60% (3 ML+1.25%) due 07/20/2030*(2)		995,000		997,929
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 2.28% (1 ML+0.06%) due 01/25/2037(1)		13,085		11,169
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 2.40% (1 ML+0.23%) due 02/20/2047(1)		323,659		316,957
BANK VRS Series 2018-BN14, Class XA 0.53% due 09/15/2060(3)(4)(5)		9,750,000		377,178
BANK VRS Series 2017-BNK8, Class XA 0.89% due 11/15/2050(3)(4)(5)		8,630,262		469,897
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(4)		470,000		457,771
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(6)		440,797		438,669
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(6)		353,222		351,557
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3)		1,627,134		1,612,119
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3)		1,147,863		1,137,734

231

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		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*(3)	$	901,518	$	895,875
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(3)		1,424,306		1,409,726
Bayview Opportunity Master Fund Trust Series 2018-RN2, Class A1 3.60% due 02/25/2033*(6)		397,222		394,327
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3)		1,275,282		1,277,842
BCAP LLC Trust FRS Series 2006-AA2, Class A1 2.39% (1 ML+0.17%) due 01/25/2037(1)		19,231		18,088
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 2.70% (1 ML+0.48%) due 02/25/2036(1)		59,280		56,254
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 2.72% (1 ML+0.50%) due 01/25/2036(1)		173,017		181,222
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 2.40% (1 ML+0.18%) due 10/25/2036(1)		90,292		83,267
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 2.42% (1 ML+0.20%) due 02/25/2037(1)		189,128		193,620
Bellemeade Re, Ltd. FRS Series 2018-2A, Class M1A 3.17% (1 ML+0.95%) due 08/25/2028*(1)		1,440,000		1,441,887
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.67% due 01/15/2051(3)(4)(5)		2,645,269		101,243
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(3)(4)(5)		4,605,385		177,132
Benchmark Mtg. Trust Series 2018-B1, Class A2 3.57% due 01/15/2051(4)		432,000		434,299
Benefit Street Partners CLO, Ltd. FRS Series 2016-10A, Class A1 3.83% (3 ML+1.49%) due 01/15/2029*(2)		680,000		681,010

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
BlueMountain CLO, Ltd. FRS Series 2015-3A, Class A1R 3.35% (3 ML+1.00%) due 04/20/2031*(2)	$	1,617,000	$	1,603,534
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2018-1A, Class A1 3.08% (3 ML+1.02%) due 04/20/2031*(2)		1,343,000		1,336,657
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.12% (3 ML+0.78%) due 04/27/2027*(2)		1,355,000		1,345,564
CarMax Auto Owner Trust Series 2016-4, Class A4 1.60% due 06/15/2022		160,000		155,271
CBAM CLO Management LLC FRS Series 2017-3A, Class A 3.57% (3 ML+1.23%) due 10/17/2029*(2)		1,180,000		1,180,977
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 3.44% (3 ML+1.10%) due 01/25/2026*(2)		1,318,859		1,318,605
Cent CLO, Ltd. FRS Series 2014-21A, Class A1RA 3.49% (3 ML+1.15%) due 07/27/2030*(2)		810,000		809,581
Chase Mtg. Finance Trust VRS Series 2005-A1, Class 2A2 3.58% due 12/25/2035(1)(3)		148,070		142,130
Chase Mtg. Finance Trust VRS Series 2016-2, Class M2 3.75% due 12/25/2045*(1)(3)		258,904		253,330
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1)		241,261		234,045
CHL Mtg. Pass Through Trust VRS Series 2007-HY4, Class 1A1 3.93% due 09/25/2047(1)(3)		187,240		175,028
CIFC Funding, Ltd. FRS Series 2012-2RA, Class A1 3.15% (3 ML+0.80%) due 01/20/2028*(2)		1,601,000		1,592,531
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.16% (3 ML+1.05%) due 04/24/2030*(2)		1,495,000		1,490,176
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(1)(3)		1,512,471		1,493,570

232

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citibank Credit Card Issuance Trust Series 2017-A3, Class A3 1.92% due 04/07/2022	$	80,000	$	78,736
Citibank Credit Card Issuance Trust Series 2014-A6, Class A6 2.15% due 07/15/2021		150,000		149,263
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.19% due 07/10/2047(3)(4)(5)		4,072,406		186,430
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29,Class XA 1.25% due 04/10/2048(3)(4)(5)		3,562,922		178,884
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4)		1,029,000		1,031,654
Citigroup Commercial Mtg. Trust Series 2015-GC35, Class A4 3.82% due 11/10/2048(4)		1,235,000		1,244,256
Citigroup Mtg. Loan Trust VRS Series 2018-RP3, Class A1 3.25% due 03/25/2061*(1)(3)		1,258,577		1,258,503
Civic Mortgage LLC Series 2018-1, Class A1 3.89% due 06/25/2022*(1)(6)		344,081		344,089
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(1)(3)		1,013,429		1,006,526
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(1)(3)		399,708		396,631
COLT Mtg. Loan Trust VRS Series 2016-3, Class A1 2.80% due 12/26/2046*(1)(3)		210,110		208,696
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(1)(3)		492,537		489,938
COLT Mtg. Loan Trust VRS Series 2018-3, Class A1 3.69% due 10/26/2048*(1)(3)		575,000		576,020
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4)		845,000		875,593

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 2.54% (1 ML+0.32%) due 11/25/2035(1)	$	50,194	$	47,023
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 2.76% (1 ML+0.54%) due 01/25/2036(1)		122,534		116,561
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 3.02% (1 ML+0.80%) due 12/25/2035(1)		110,319		96,913
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1)		177,094		132,001
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 2.74% (1 ML+0.68%) due 03/25/2035(1)		57,186		53,563
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB7, Class 6A1 3.39% due 11/20/2035(1)(3)		32,591		30,406
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB3, Class 2A2A 3.73% due 06/20/2035(1)(3)		99,293		99,953
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.95% due 06/15/2057(3)(4)(5)		9,914,926		390,393
CSAIL Commercial Mtg. Trust VRS Series 2016-C6, Class XA 1.96% due 01/15/2049(3)(4)(5)		2,789,906		257,547
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A3 3.45% due 08/15/2048(4)		740,022		729,791
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(4)		1,448,000		1,437,980
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(4)		703,000		702,794
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(1)(3)		667,189		650,509

233

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CSMC Trust VRS Series 2016-NXSR, Class A4 3.79% due 12/15/2049(4)	$	1,536,000	$	1,527,910
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(4)		358,947		361,753
DBCG Mtg. Trust FRS Series 2017-BBG, Class A 2.86% (1 ML+0.70%) due 06/15/2034*(4)		300,000		300,162
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(1)(3)		406,962		404,143
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(1)(3)		431,279		427,427
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 2.37% (1 ML+0.15%) due 12/25/2036(1)		197,204		181,871
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 2.37% (1 ML+0.15%) due 03/25/2037(1)		17,419		15,786
Discover Card Execution Note Trust Series 2015-A4, Class A4 2.19% due 04/17/2023		140,000		137,483
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(11)		758,100		753,332
Dryden Senior Loan Fund FRS Series 2017-50A, Class X 3.14% (3 ML+0.80%) due 07/15/2030*(2)		612,000		611,694
Dryden Senior Loan Fund FRS Series 2013-26A, Class AR 3.25% (3 ML+0.90%) due 04/15/2029*(2)		1,525,000		1,513,782
Dryden Senior Loan Fund FRS Series 2017-49A, Class A 3.54% (3 ML+1.21%) due 07/18/2030*(2)		1,535,000		1,535,302
Dryden Senior Loan Fund FRS Series 2014-33A, Class AR 3.77% (3 ML+1.43%) due 10/15/2028*(2)		1,370,000		1,372,037
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 2.77% (12 MTA+0.92%) due 03/19/2046(1)		387,341		368,866

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 2.53% (1 ML+0.31%) due 09/25/2036(11)	$	495,000	$	441,510
Flatiron CLO, Ltd. FRS Series 2017-1A, Class A 3.56% (3 ML+1.25%) due 05/15/2030*(2)		975,000		976,055
Ford Credit Auto Owner Trust/Ford Credit Series 2018-2, Class A 3.47% due 01/15/2030*		100,000		99,833
Ford Credit Floorplan Master Owner Trust Series 2017-1, Class A1 2.07% due 05/15/2022		168,000		165,283
Galton Funding Mtg. Trust VRS Series 2018-1, Class A43 3.50% due 11/25/2057*(1)(3)		468,489		466,257
GM Financial Consumer Automobile Receivables Trust Series 2017-3A, Class 4A 2.13% due 03/16/2023*		100,000		97,248
GMACM Mtg. Loan Trust VRS Series 2006-AR1, Class 1A1 3.81% due 04/19/2036(1)(3)		240,618		223,853
GMACM Mtg. Loan Trust VRS Series 2005-AR5, Class 4A1 4.11% due 09/19/2035(1)(3)		32,063		31,058
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 2.38% (1 ML+0.16%) due 02/25/2037(1)		49,487		49,141
GreenPoint Mtg. Funding Trust FRS Series 2005-AR4, Class 3A1 3.25% (12 MTA+1.40%) due 10/25/2045(1)		181,366		157,814
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4)		1,285,000		1,251,352
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4)		155,000		169,602
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(4)		1,225,000		1,228,881
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4)		1,307,000		1,307,596
GSAA Home Equity Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6)(11)		365,000		371,027

234

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 2.27% (1 ML+0.05%) due 12/25/2046(11)	$	40,463	$	28,366
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 2.29% (1 ML+0.07%) due 12/25/2046(11)		78,759		42,735
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 2.30% (1 ML+0.08%) due 02/25/2037(11)		400,574		204,965
GSAA Home Equity Trust FRS Series 2006-19, Class A1 2.31% (1 ML+0.09%) due 12/25/2036(11)		14,016		6,640
GSAA Home Equity Trust FRS Series 2007-4, Class A1 2.32% (1 ML+0.10%) due 03/25/2037(11)		447,365		226,588
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 2.46% (1 ML+0.24%) due 11/25/2036(11)		101,154		59,511
GSAA Home Equity Trust FRS Series 2006-3, Class A3 2.52% (1 ML+0.30%) due 03/25/2036(11)		20,818		15,398
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 2.54% (1 ML+0.32%) due 04/25/2047(11)		168,336		117,934
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6)(11)		105,725		53,061
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(3)(11)		345,294		165,077
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 2.52% (1 ML+0.30%) due 01/25/2037(1)		532,104		306,209
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.75% due 01/25/2036(1)(3)		10,176		10,114
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A4 3.75% due 01/25/2036(1)(3)		131,698		130,518
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 4.19% due 10/25/2035(1)(3)		93,138		78,665
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 2.36% (1 ML+0.19%) due 01/19/2038(1)		11,554		11,460

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 2.41% (1 ML+0.24%) due 12/19/2036(1)	$	268,586	$	252,572
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 2.49% (1 ML+0.27%) due 02/25/2036		200,000		198,604
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 2.50% (1 ML+0.28%) due 07/25/2035(1)		5,763		5,206
IndyMac Index Mtg. Loan Trust VRS Series 2006-AR3, Class 1A1 3.82% due 12/25/2036(1)(3)		237,979		227,972
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.86% due 04/25/2037(1)(3)		154,188		120,016
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(4)		973,279		964,512
JP Morgan Mtg. Trust VRS Series 2006-A3, Class 3A2 3.59% due 05/25/2036(1)(3)		121,417		117,287
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(4)		290,000		292,593
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4)		1,355,000		1,367,728
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(6)		1,728,956		1,724,201
Lehman XS Trust FRS Series 2006-16N, Class A4A 2.41% (1 ML+0.19%) due 11/25/2046(1)(11)		373,734		366,364
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.81% (1 ML+1.55%) due 02/01/2023*(1)		565,502		556,354
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.83% (1 ML+1.75%) due 10/01/2022*(1)		510,928		508,652

235

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 4.01% (1 ML+1.75%) due 09/01/2022*(1)(8)	$	342,725	$	342,939
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(2)		1,235,000		1,234,864
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class AR 3.61% (3 ML+1.26%) due 07/20/2026*(2)		1,290,000		1,289,509
Magnetite CLO, Ltd. FRS Series 2014-8A, Class AR2 3.32% (3 ML+0.98%) due 04/15/2031*(2)		680,000		677,814
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 3.34% (3 ML+1.00%) due 07/25/2026*(2)		2,515,000		2,514,258
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 3.84% (3 ML+1.50%) due 07/25/2026*(2)		880,000		879,415
Magnetite VII, Ltd. FRS Series 2012-7A, Class A1R2 3.14% (3 ML+0.80%) due 01/15/2028*(2)		1,545,000		1,532,816
MASTR Adjustable Rate Mtg. Trust VRS Series 2004-13, Class 3A7 4.42% due 11/21/2034(1)(3)		83,499		85,672
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A4, Class 1A 4.09% due 07/25/2035(1)(3)		198,174		161,044
MetLife Securitization Trust VRS Series 2017-1A, Class A 3.00% due 04/25/2055*(1)(3)		471,967		458,423
MFRA Trust VRS Series 2017-RPL1, Class A1 2.59% due 02/25/2057*(1)(3)		415,653		406,449
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(6)		1,115,066		1,103,493
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 2.37% (1 ML+0.15%) due 06/25/2036(11)		9,199		7,779

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.25% due 12/15/2047(3)(4)(5)	$	2,712,484	$	107,602
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(4)		500,000		498,209
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(4)		791,000		769,258
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(4)		1,857,000		1,816,041
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(4)		52,000		50,239
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.61% due 06/15/2050(3)(4)(5)		1,759,521		150,639
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(4)		755,000		759,352
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 2.39% (1 ML+0.17%) due 11/25/2036(11)		264,940		117,781
Nationstar HECM Loan Trust Series 2017-1A, Class A 1.97% due 05/25/2027*		125,363		125,124
Nationstar HECM Loan Trust VRS Series 2017-2A, Class A1 2.04% due 09/25/2027*(3)		240,110		238,384
Nationstar HECM Loan Trust Series 2017-1A, Class M1 2.94% due 05/25/2027*		140,000		138,974
Neuberger Berman CLO XX, Ltd. FRS Series 2015-20A, Class AR 3.14% (3 ML+0.80%) due 01/15/2028*(2)		1,535,000		1,531,635
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.72% (1 ML+1.50%) due 06/25/2057*(1)		1,551,362		1,590,868
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(1)(3)		1,136,337		1,134,454

236

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(1)(3)	$	1,005,859	$	1,001,009
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(1)(3)		1,957,530		1,963,043
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(1)(3)		1,973,773		1,984,722
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(1)(3)		1,657,296		1,664,341
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(1)(3)		1,336,710		1,343,001
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3)		1,593,718		1,598,548
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.32% due 06/25/2036(1)(3)		159,863		141,487
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		1,083,819		1,078,001
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023*		671,331		667,251
Oak Hill Advisors Residential Loan Trust Series 2017-NPL1, Class A1 3.00% due 06/25/2057*(6)		530,927		522,909
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class AR 3.48% (3 ML+1.13%) due 07/20/2026*(2)		405,000		405,038
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.19% (3 ML+0.85%) due 04/17/2027*(2)		1,160,000		1,156,924

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Octagon Investment Partners 24, Ltd. FRS Series 2015-1A, Class A1R 3.21% (3 ML+0.90%) due 05/21/2027*(2)	$	1,267,000	$	1,265,505
Octagon Investment Partners 30, Ltd. FRS Series 1A, Class A1 3.67% (3 ML+1.32%) due 03/17/2030*(2)		865,000		868,907
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		1,910,000		1,877,303
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		1,005,180		1,010,478
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.24% (3 ML+1.05%) due 04/30/2027*(2)		2,095,000		2,091,807
OZLM, Ltd. FRS Series 2014-7RA, Class A1R 3.35% (3 ML+1.01%) due 07/17/2029*(2)		330,000		328,663
Pretium Mtg. Credit Partners VRS Series 2017-NPL5 Class A1 3.33% due 12/30/2032*(3)		178,518		177,548
Pretium Mtg. Credit Partners Series 2018-NPL1, Class A1 3.38% due 01/27/2033*(6)		267,584		264,908
Pretium Mtg. Credit Partners Series 2018-NPL2, Class A1 3.70% due 03/27/2033*(6)		1,012,940		1,005,878
RALI Series Trust FRS Series 2006-QA3, Class A2 2.52% (1 ML+0.30%) due 04/25/2036(1)		344,012		318,753
RALI Series Trust VRS Series 2007-QH9, Class A1 3.18% due 11/25/2037(1)(3)		67,646		59,880
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1)		81,452		78,239
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(6)(11)		340,005		169,592
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6)(11)		156,468		96,144
RFMSI Series Trust VRS Series 2007-SA2, Class 2A1 4.24% due 04/25/2037(1)(3)		25,954		24,756

237

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 2.31% (1 ML+0.09%) due 07/25/2036(11)	$	188,296	$	92,819
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class AR 3.46% (3 ML+1.12%) due 07/17/2026*(2)		955,000		954,512
Shackleton CLO, Ltd. FRS Series 2014-6RA, Class A 3.36% (3 ML+1.02%) due 07/17/2028*(2)		1,580,000		1,572,700
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(11)		716,782		716,114
Sofi Consumer Loan Program LLC Series 2017-3, Class A 2.77% due 05/25/2026*		200,145		198,317
Sound Point CLO, Ltd. FRS Series 2018-1A, Class A 3.35% (3 ML+1.00%) due 04/15/2031*(2)		1,560,000		1,550,106
Sound Point CLO, Ltd. FRS Series 2017-1A, Class A 3.74% (3 ML+1.39%) due 01/23/2029*(2)		600,000		600,658
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 2.40% (1 ML+0.18%) due 07/25/2037(11)		44,956		40,523
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.47% (1 ML+0.25%) due 11/25/2036(11)		290,000		269,426
SPS Servicer Advance Receivables Trust Series 2016-T2, Class AT2 2.75% due 11/15/2049*		1,225,000		1,217,427
Structured Adjustable Rate Mtg. Loan Trust VRS Series 2004-13, Class A2 0.49% due 09/25/2034(1)(3)		22,841		21,337
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 2.45% (1 ML+0.23%) due 02/25/2036(1)		123,803		113,622
Symphony CLO LP FRS Series 2012-BR, Class 8AR 3.85% (1 ML+1.75%) due 01/09/2023*(2)		960,925		960,050

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Symphony CLO XV, Ltd. FRS Series 2014-15A, Class AR 3.52% (3 ML+1.18%) due 10/17/2026*(2)	$	1,150,000	$	1,149,880
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2R 3.62% (3 ML+1.28%) due 07/14/2026*(2)		1,130,000		1,130,736
Synchrony Credit Card Master Note Trust Series 2016-2, Class A 2.21% due 05/15/2024		100,000		97,330
Thacher Park CLO, Ltd. FRS Series 2014-1A, Class AR 3.51% (3 ML+1.16%) due 10/20/2026*(2)		810,000		809,860
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(3)		309,887		305,319
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3)		768,890		753,392
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3)		1,985,576		1,944,005
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3)		546,248		535,989
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(3)		1,484,177		1,442,435
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.82% (1 ML+0.60%) due 02/25/2057*		1,338,050		1,339,249
Toyota Auto Receivables Owner Trust Series 2018-C, Class A4 3.13% due 02/15/2024		150,000		149,627
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(2)		1,280,000		1,279,812
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(6)		494,530		490,214
Venture XXVII CLO, Ltd. FRS Series 2017-27A, Class A 3.65% (3 ML+1.30%) due 07/20/2030*(2)		665,000		665,720
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 3.58% (3 ML+1.24%) due 06/20/2029*(2)		1,785,000		1,786,508
Vibrant CLO, Ltd. FRS Series 2015-3A, Class A1R 3.83% (3 ML+1.48%) due 04/20/2026*(2)		1,120,000		1,120,000

238

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(4)	$	1,195,000	$	1,176,050
VOLT LLC Series 2018-NPL6, Class A1A 4.11% due 09/25/2048*(6)		860,000		859,658
VOLT LX LLC Series 2017-NPL7, Class A1 3.25% due 06/25/2047*(6)(11)		330,840		328,639
VOLT LXII LLC Series 2017-NPL9, Class A1 3.13% due 09/25/2047*(6)		306,126		302,469
VOLT LXIII LLC Series NP10, Class A1 3.00% due 10/25/2047*(6)		429,466		424,657
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(6)		1,333,769		1,325,615
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(6)		777,472		775,745
Voya CLO, Ltd. FRS Series 2014-1A, Class AAR2 3.32% (3 ML+0.99%) due 04/18/2031*(2)		555,000		551,304
Voya CLO, Ltd. FRS Series 2014-2A, Class A1R 3.59% (3 ML+1.25%) due 04/17/2030*(2)		250,000		250,326
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.52% (COFI 11+1.50%) due 11/25/2046(1)		70,629		69,962
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 2.57% (12 MTA+0.82%) due 12/25/2046(1)		486,381		439,901
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR13, Class 1A 2.73% (12 MTA+0.88%) due 10/25/2046(1)		192,680		181,039
WaMu Mtg. Pass-Through Certs. Trust VRS Series 2007-HY6, Class 1A1 3.56% due 06/25/2037(1)(3)		168,245		157,146
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-AR9, Class 1A 2.68% (12 MTA+0.83%) due 11/25/2046(1)		144,136		132,163

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-5, Class 1A1 2.82% (1 ML+0.60%) due 07/25/2036(1)	$	85,951	$	60,390
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.30% due 05/15/2048(3)(4)(5)		3,664,227		180,499
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.30% due 09/15/2057(3)(4)(5)		9,517,537		447,502
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(3)(4)		75,000		70,232
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR16, Class 4A8 4.49% due 10/25/2035(1)(3)		575,000		584,131
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR16, Class A1 4.71% due 10/25/2036(1)(3)		106,143		104,638
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(11)		446,625		428,711
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		1,215,000		1,206,369
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(3)(4)(5)		466,053		7,379
World Financial Network Credit Card Master Trust Series 2016-A, Class A 2.03% due 04/15/2025		150,000		144,590
World Financial Network Credit Card Master Trust Series 2017-C, Class A 2.31% due 08/15/2024		150,000		147,120
York, Ltd. FRS Series 2016-2A, Class A 3.98% (3 ML+1.63%) due 01/20/2030*(2)		1,240,000		1,253,406
Total Asset Backed Securities (cost $154,745,831)				153,969,080

239

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 26.9%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024	$	83,000	$	83,111
Interpublic Group of Cos., Inc. Senior Notes 4.65% due 10/01/2028		87,000		87,130
				170,241
Aerospace/Defense — 0.2%
General Dynamics Corp. Company Guar. Notes 2.88% due 05/11/2020		189,000		188,543
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052		1,533,000		1,459,475
				1,648,018
Aerospace/Defense-Equipment — 0.4%
Harris Corp. Senior Notes 4.40% due 06/15/2028		169,000		169,608
Triumph Group, Inc. Company Guar. Notes 4.88% due 04/01/2021		91,000		87,815
United Technologies Corp. Senior Notes 1.90% due 05/04/2020		146,000		143,032
United Technologies Corp. Senior Notes 2.80% due 05/04/2024		60,000		56,889
United Technologies Corp. Senior Notes 3.65% due 08/16/2023		2,105,000		2,095,653
United Technologies Corp. Senior Notes 3.75% due 11/01/2046		160,000		140,027
United Technologies Corp. Senior Notes 3.95% due 08/16/2025		881,000		876,830
United Technologies Corp. Senior Notes 4.63% due 11/16/2048		195,000		196,086
				3,765,940
Agricultural Chemicals — 0.0%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		210,000		185,850
Airlines — 0.1%
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2019(8)		12,115		12,158
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		450,000		444,370

Security Description	Principal Amount(7)		Value (Note 2)
Airlines (continued)
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023	$	650,000	$	638,446
United Airlines Pass-Through Trust Pass-Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		64,674		64,920
				1,159,894
Applications Software — 0.3%
CDK Global, Inc. Senior Notes 5.88% due 06/15/2026		74,000		76,248
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		1,045,000		999,520
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		240,000		234,794
Microsoft Corp. Senior Notes 4.45% due 11/03/2045		585,000		626,457
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023		575,000		570,840
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028		385,000		381,706
				2,889,565
Auto-Cars/Light Trucks — 0.7%
BMW US Capital LLC Company Guar. Notes 3.10% due 04/12/2021*		306,000		303,997
Daimler Finance North America LLC Company Guar. Notes 2.00% due 07/06/2021*		323,000		310,073
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		287,000		283,195
Daimler Finance North America LLC Company Guar. Notes 3.10% due 05/04/2020*		382,000		380,840
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		415,000		369,623
Ford Motor Credit Co. LLC Senior Notes 3.34% due 03/18/2021		252,000		248,413
Ford Motor Credit Co. LLC Senior Notes 3.82% due 11/02/2027		245,000		218,972
General Motors Co. Senior Notes 4.00% due 04/01/2025		500,000		478,932

240

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
General Motors Co. Senior Notes 4.88% due 10/02/2023	$	940,000	$	962,408
General Motors Co. Senior Notes 5.00% due 10/01/2028		362,000		357,501
General Motors Co. Senior Notes 5.40% due 04/01/2048		480,000		448,060
General Motors Co. Senior Notes 5.95% due 04/01/2049		510,000		506,570
General Motors Co. Senior Notes 6.25% due 10/02/2043		240,000		246,103
General Motors Co. Senior Notes 6.75% due 04/01/2046		515,000		557,438
General Motors Financial Co., Inc. Company Guar. Notes 3.70% due 05/09/2023		285,000		278,466
Nissan Motor Acceptance Corp. Senior Notes 2.15% due 09/28/2020*		288,000		280,798
Nissan Motor Acceptance Corp. Senior Notes 2.65% due 07/13/2022*		228,000		218,822
Toyota Motor Credit Corp. Senior Notes 2.95% due 04/13/2021		527,000		524,585
				6,974,796
Auto-Heavy Duty Trucks — 0.0%
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024*		76,000		75,620
JB Poindexter & Co., Inc. Senior Notes 7.13% due 04/15/2026*		85,000		88,187
				163,807
Banks-Commercial — 0.4%
Associated Bank NA Senior Notes 3.50% due 08/13/2021		168,000		167,159
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025		578,000		587,110
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*		260,000		258,697
First Horizon National Corp. Senior Notes 3.50% due 12/15/2020		405,000		405,597
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019		258,000		257,322

Security Description	Principal Amount(7)		Value (Note 2)
Banks-Commercial (continued)
Regions Bank Senior Notes 3.37% due 08/13/2021	$	257,000	$	256,230
Regions Financial Corp. Senior Notes 2.75% due 08/14/2022		152,000		146,577
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		594,000		764,117
Santander Holdings USA, Inc. Senior Notes 3.40% due 01/18/2023		230,000		221,795
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022		900,000		888,933
SunTrust Bank Senior Notes 3.50% due 08/02/2022		137,000		136,534
				4,090,071
Banks-Fiduciary — 0.2%
Bank of New York Mellon Corp. Senior Notes 2.30% due 09/11/2019		1,890,000		1,880,852
Banks-Super Regional — 0.9%
Capital One Financial Corp. Sub. Notes 3.75% due 07/28/2026		127,000		118,513
Citibank NA Senior Notes 2.13% due 10/20/2020		313,000		305,657
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035		600,000		648,782
Wells Fargo & Co. Senior Notes 2.63% due 07/22/2022		1,395,000		1,347,363
Wells Fargo & Co. Senior Notes 3.00% due 02/19/2025		377,000		356,865
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		655,000		609,556
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		935,000		867,632
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		1,293,000		1,261,996
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		1,560,000		1,496,786
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		305,000		287,305
Wells Fargo & Co. Sub. Notes 4.75% due 12/07/2046		59,000		58,774

241

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043	$	275,000	$	295,442
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		575,000		635,162
Wells Fargo Bank NA Senior Notes 3.55% due 08/14/2023		268,000		266,744
				8,556,577
Batteries/Battery Systems — 0.0%
Energizer Gamma Acquisition, Inc. Senior Sec. Notes 6.38% due 07/15/2026*		150,000		155,062
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		86,000		86,860
				241,922
Beverages-Non-alcoholic — 0.1%
Keurig Dr Pepper, Inc. Company Guar. Notes 4.06% due 05/25/2023*		88,000		88,154
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025*		224,000		224,944
Keurig Dr Pepper, Inc. Company Guar. Notes 4.60% due 05/25/2028*		126,000		126,614
				439,712
Beverages-Wine/Spirits — 0.2%
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		1,285,000		1,228,181
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		175,000		168,747
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		770,000		720,496
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047		115,000		107,303
				2,224,727
Brewery — 0.6%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.65% due 02/01/2021		310,000		305,499
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		1,800,000		1,779,596

Security Description	Principal Amount(7)		Value (Note 2)
Brewery (continued)
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026	$	167,000	$	162,273
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		743,000		743,997
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		374,000		378,234
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024		540,000		534,379
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		925,000		896,033
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058		865,000		839,607
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039		500,000		701,886
				6,341,504
Broadcast Services/Program — 0.3%
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020*		308,000		304,871
Discovery Communications LLC Company Guar. Notes 3.50% due 06/15/2022*		161,000		158,381
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		833,000		816,976
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024*		186,000		182,150
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025*		509,000		496,669
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		550,000		564,488
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037		67,000		65,330
Univision Communications, Inc. Senior Sec. Notes 5.13% due 05/15/2023*		135,000		128,925
				2,717,790

242

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building & Construction Products-Misc. — 0.0%
Owens Corning Senior Notes 4.30% due 07/15/2047	$	313,000	$	252,535
Owens Corning Company Guar. Notes 4.40% due 01/30/2048		78,000		64,595
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		94,000		96,115
				413,245
Building & Construction-Misc. — 0.0%
Frontdoor, Inc. Senior Notes 6.75% due 08/15/2026*		63,000		64,890
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		84,000		81,270
				146,160
Building Products-Cement — 0.0%
Martin Marietta Materials, Inc. Senior Notes 4.25% due 12/15/2047		58,000		49,533
Vulcan Materials Co. Senior Notes 4.70% due 03/01/2048*		157,000		144,118
				193,651
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 4.45% due 04/01/2025		196,000		197,924
Masco Corp. Senior Notes 4.50% due 05/15/2047		103,000		88,489
				286,413
Building-Heavy Construction — 0.0%
Tutor Perini Corp. Company Guar. Notes 6.88% due 05/01/2025*		120,000		123,300
Building-Residential/Commercial — 0.0%
Toll Brothers Finance Corp. Company Guar. Notes 4.35% due 02/15/2028		162,000		148,684
William Lyon Homes, Inc. Company Guar. Notes 6.00% due 09/01/2023		84,000		81,060
				229,744
Cable/Satellite TV — 1.1%
Block Communications, Inc. Senior Notes 6.88% due 02/15/2025*		170,000		174,250
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028*		36,000		33,836

Security Description	Principal Amount(7)		Value (Note 2)
Cable/Satellite TV (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 05/01/2025*	$	85,000	$	84,362
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024*		51,000		51,829
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022		455,000		462,618
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		880,000		893,576
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 04/01/2038		23,000		22,372
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047		320,000		303,202
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048		640,000		640,406
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035		78,000		83,889
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		2,115,000		2,273,590
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		895,000		746,795
Comcast Corp. Company Guar. Notes 3.60% due 03/01/2024		243,000		241,172
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038		58,000		53,160

243

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052	$	624,000	$	553,350
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038		57,000		67,496
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033		179,000		222,371
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		645,000		610,391
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035*		480,000		448,005
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021		160,000		168,600
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		300,000		272,250
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		80,000		81,700
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		310,000		264,552
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		125,000		126,202
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		1,100,000		1,193,244
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		540,000		551,157
				10,624,375
Cellular Telecom — 0.2%
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		165,000		174,488
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		321,000		346,279
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC Senior Sec. Notes 4.74% due 09/20/2029*		417,000		416,812
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC Senior Sec. Notes 5.15% due 09/20/2029*		595,000		597,915
				1,535,494

Security Description	Principal Amount(7)		Value (Note 2)
Chemicals-Specialty — 0.1%
GCP Applied Technologies, Inc. Company Guar. Notes 5.50% due 04/15/2026*	$	70,000	$	68,862
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028		260,000		262,310
International Flavors & Fragrances, Inc. Senior Notes 5.00% due 09/26/2048		79,000		79,228
Kraton Polymers LLC/Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025*		75,000		77,062
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		96,000		122,303
				609,765
Circuit Boards — 0.0%
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025*		140,000		140,350
Coal — 0.0%
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025*		140,000		144,200
Coatings/Paint — 0.1%
RPM International, Inc. Senior Notes 4.25% due 01/15/2048		22,000		19,290
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		215,000		206,505
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027		530,000		504,366
				730,161
Commercial Services — 0.0%
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022		197,000		188,853
Commercial Services-Finance — 0.3%
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		2,465,000		2,460,267
Refinitiv US Holdings, Inc. Senior Sec. Notes 6.25% due 05/15/2026*		26,000		26,096
Refinitiv US Holdings, Inc. Company Guar. Notes 8.25% due 11/15/2026*		90,000		89,455
				2,575,818

244

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computer Services — 0.1%
Harland Clarke Holdings Corp. Senior Sec. Notes 8.38% due 08/15/2022*	$	145,000	$	139,019
IBM Credit LLC Senior Notes 2.65% due 02/05/2021		476,000		470,637
International Business Machines Corp. Senior Notes 2.50% due 01/27/2022		262,000		255,607
International Business Machines Corp. Senior Notes 4.00% due 06/20/2042		73,000		70,911
				936,174
Computer Software — 0.0%
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024*		85,000		82,671
Computers — 0.2%
Apple, Inc. Senior Notes 2.85% due 05/06/2021		153,000		152,236
Apple, Inc. Senior Notes 3.45% due 02/09/2045		160,000		143,552
Apple, Inc. Senior Notes 3.85% due 08/04/2046		205,000		196,588
Apple, Inc. Senior Notes 4.45% due 05/06/2044		475,000		496,805
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 6.02% due 06/15/2026*		75,000		80,162
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.10% due 07/15/2036*		367,000		440,432
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035		65,000		66,824
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045		500,000		513,816
				2,090,415
Computers-Integrated Systems — 0.0%
Diebold Nixdorf, Inc. Company Guar. Notes 8.50% due 04/15/2024		113,000		80,795
Everi Payments, Inc. Company Guar. Notes 7.50% due 12/15/2025*		110,000		111,100
				191,895

Security Description	Principal Amount(7)		Value (Note 2)
Computers-Memory Devices — 0.1%
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026	$	1,430,000	$	1,382,917
Consumer Products-Misc. — 0.0%
Central Garden & Pet Co. Company Guar. Notes 5.13% due 02/01/2028		75,000		71,250
Containers-Metal/Glass — 0.0%
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		44,000		47,850
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025*		105,000		103,950
				151,800
Containers-Paper/Plastic — 0.0%
Crown Americas LLC/Crown Americas Capital Corp. VI Company Guar. Notes 4.75% due 02/01/2026*		32,000		30,560
Multi-Color Corp. Company Guar. Notes 4.88% due 11/01/2025*		95,000		88,825
Multi-Color Corp. Company Guar. Notes 6.13% due 12/01/2022*		71,000		72,597
				191,982
Cosmetics & Toiletries — 0.0%
Coty, Inc. Senior Notes 6.50% due 04/15/2026*		75,000		69,891
First Quality Finance Co., Inc. Company Guar. Notes 5.00% due 07/01/2025*		76,000		71,060
				140,951
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		455,000		455,901
Fiserv, Inc. Senior Notes 4.20% due 10/01/2028		127,000		127,266
				583,167
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		255,000		236,148
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		260,000		252,071
				488,219

245

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Distribution/Wholesale — 0.0%
H&E Equipment Services, Inc. Company Guar. Notes 5.63% due 09/01/2025	$	80,000	$	79,800
Diversified Banking Institutions — 5.2%
Bank of America Corp. Senior Notes 2.25% due 04/21/2020		2,070,000		2,043,545
Bank of America Corp. Senior Notes 2.50% due 10/21/2022		1,835,000		1,757,125
Bank of America Corp. Senior Notes 3.00% due 12/20/2023		1,525,000		1,479,914
Bank of America Corp. Senior Notes 3.37% due 01/23/2026		2,210,000		2,125,344
Bank of America Corp. Senior Notes 3.55% due 03/05/2024		254,000		251,084
Bank of America Corp. Senior Notes 3.86% due 07/23/2024		194,000		193,999
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		715,000		729,244
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		2,839,000		2,770,955
Bank of America Corp. Senior Notes 4.44% due 01/20/2048		1,155,000		1,148,305
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		694,000		798,135
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022		835,000		802,926
Citigroup, Inc. Senior Notes 2.88% due 07/24/2023		209,000		202,051
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024		1,940,000		1,955,427
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028		530,000		498,333
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026		1,220,000		1,183,722
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029		1,270,000		1,246,499
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		2,025,000		1,996,360

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Banking Institutions (continued)
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027	$	265,000	$	261,938
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		93,000		93,851
Citigroup, Inc. Senior Notes 4.65% due 07/23/2048		130,000		131,474
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046		69,000		67,305
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		335,000		356,887
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		88,000		98,439
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		1,115,000		1,075,766
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		684,000		676,998
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022		2,875,000		2,803,665
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		1,610,000		1,555,550
Goldman Sachs Group, Inc. Senior Notes 2.91% due 06/05/2023		269,000		260,180
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028		1,415,000		1,346,742
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		375,000		376,237
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038		850,000		787,885
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029		1,035,000		1,019,845
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		495,000		503,508
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		575,000		586,833
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		610,000		733,179
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		654,000		786,733

246

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 2.55% due 03/01/2021	$	284,000	$	278,903
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		1,105,000		1,070,728
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		1,710,000		1,694,881
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		1,230,000		1,165,049
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023		460,000		469,165
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		990,000		988,633
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038		727,000		679,010
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029		375,000		368,647
JPMorgan Chase & Co. Senior Notes 4.26% due 02/22/2048		250,000		240,545
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		450,000		461,447
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		125,000		144,285
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038		650,000		877,350
Morgan Stanley Senior Notes 2.50% due 04/21/2021		275,000		268,690
Morgan Stanley Senior Notes 3.13% due 07/27/2026		1,445,000		1,346,247
Morgan Stanley Senior Notes 3.59% due 07/22/2028		3,230,000		3,064,592
Morgan Stanley Senior Notes 3.63% due 01/20/2027		565,000		542,554
Morgan Stanley Senior Notes 3.70% due 10/23/2024		510,000		502,149
Morgan Stanley Senior Notes 3.75% due 02/25/2023		400,000		399,925

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 3.88% due 01/27/2026	$	810,000	$	796,201
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		550,000		527,897
Morgan Stanley Senior Notes 4.00% due 07/23/2025		980,000		976,732
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		170,000		168,689
Morgan Stanley Sub. Notes 5.00% due 11/24/2025		991,000		1,026,366
				52,764,668
Diversified Manufacturing Operations — 0.1%
Carlisle Cos., Inc. Senior Notes 3.75% due 12/01/2027		141,000		133,632
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		485,000		479,307
				612,939
E-Commerce/Products — 0.2%
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037		1,200,000		1,174,860
Amazon.com, Inc. Senior Notes 4.95% due 12/05/2044		290,000		324,324
				1,499,184
Electric-Distribution — 0.1%
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046		465,000		421,263
Sempra Energy Senior Notes 2.40% due 02/01/2020		750,000		740,650
				1,161,913
Electric-Generation — 0.1%
Basin Electric Power Cooperative 1st Mtg. Notes 4.75% due 04/26/2047*		351,000		355,358
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		60,000		58,467
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026*		475,000		480,344
				894,169
Electric-Integrated — 1.7%
AES Corp. Senior Notes 4.00% due 03/15/2021		60,000		59,850

247

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028	$	345,000	$	326,630
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		197,000		238,483
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		297,000		313,550
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		750,000		738,141
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042		80,000		77,477
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038		40,000		49,159
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037		50,000		60,613
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024		1,110,000		1,112,590
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		785,000		682,174
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043		195,000		212,569
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022		143,000		140,260
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044		900,000		878,758
Evergy, Inc. Senior Notes 4.85% due 06/01/2021		91,000		92,928
Exelon Corp. Senior Notes 2.45% due 04/15/2021		240,000		233,243
Exelon Corp. Senior Notes 2.85% due 06/15/2020		565,000		560,030
Exelon Corp. Junior Sub. Notes 3.50% due 06/01/2022		193,000		189,632
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020		114,000		113,684
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027		185,000		179,960
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		750,000		761,663

Security Description	Principal Amount(7)		Value (Note 2)
Electric-Integrated (continued)
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047	$	218,000	$	221,763
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		421,000		543,399
Georgia Power Co. Senior Notes 2.00% due 09/08/2020		1,594,000		1,554,085
Georgia Power Co. Senior Notes 4.75% due 09/01/2040		350,000		352,324
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		740,000		717,754
Massachusetts Electric Co. Notes 4.00% due 08/15/2046*		236,000		223,350
Nevada Power Co. General Ref. Mtg. 2.75% due 04/15/2020		129,000		128,635
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026		185,000		168,490
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027		1,328,000		1,214,097
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024		215,000		205,171
Pacific Gas & Electric Co Senior Notes 3.75% due 08/15/2042		60,000		51,097
Pacific Gas & Electric Co. Senior Notes 4.00% due 12/01/2046		30,000		26,272
Pacific Gas & Electric Co. Senior Notes 4.25% due 03/15/2046		75,000		68,777
Pacific Gas & Electric Co. Senior Notes 4.30% due 03/15/2045		52,000		47,595
Pacific Gas & Electric Co. Senior Notes 4.45% due 04/15/2042		33,000		30,772
Pacific Gas & Electric Co. Senior Notes 4.75% due 02/15/2044		470,000		457,394
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034		610,000		693,352
Public Service Co. of Colorado 1st Mtg. Bonds 3.70% due 06/15/2028		170,000		170,018
Public Service Co. of Colorado 1st Mtg. Bonds 4.10% due 06/15/2048		117,000		115,999

248

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021	$	435,000	$	435,193
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028		560,000		557,744
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.35% due 02/01/2042		76,000		72,697
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064		600,000		549,954
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065		270,000		270,429
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025		110,000		109,283
Southern California Edison Co. 1st Mtg. Notes 4.13% due 03/01/2048		196,000		187,357
Southern Co. Senior Notes 2.95% due 07/01/2023		655,000		629,201
Southern Co. Senior Notes 3.25% due 07/01/2026		595,000		554,928
				17,378,524
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		160,000		180,905
Electronic Components-Misc. — 0.0%
Jabil, Inc. Senior Notes 3.95% due 01/12/2028		21,000		19,675
Electronic Components-Semiconductors — 0.6%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020		1,040,000		1,027,798
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025		920,000		854,738
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024		2,410,000		2,341,529
Intel Corp. Senior Notes 2.45% due 07/29/2020		268,000		265,945

Security Description	Principal Amount(7)		Value (Note 2)
Electronic Components-Semiconductors (continued)
Intel Corp. Senior Notes 4.10% due 05/19/2046	$	160,000	$	158,184
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023*		865,000		859,627
				5,507,821
Electronic Measurement Instruments — 0.1%
Fortive Corp. Senior Notes 2.35% due 06/15/2021		700,000		678,209
Trimble, Inc. Senior Notes 4.75% due 12/01/2024		18,000		18,226
Trimble, Inc. Senior Notes 4.90% due 06/15/2028		186,000		187,057
				883,492
Electronic Parts Distribution — 0.0%
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024		125,000		123,140
Electronic Security Devices — 0.0%
Allegion US Holding Co., Inc. Company Guar. Notes 3.20% due 10/01/2024		52,000		48,591
Energy-Alternate Sources — 0.0%
Pattern Energy Group, Inc. Company Guar. Notes 5.88% due 02/01/2024*		110,000		111,100
Engineering/R&D Services — 0.1%
Fluor Corp. Senior Notes 4.25% due 09/15/2028		1,235,000		1,209,426
Enterprise Software/Service — 0.1%
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024		129,000		136,176
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022		47,000		47,637
Oracle Corp. Senior Notes 2.95% due 11/15/2024		130,000		125,555
Oracle Corp. Senior Notes 4.00% due 11/15/2047		450,000		427,308
Oracle Corp. Senior Notes 5.38% due 07/15/2040		215,000		244,732
				981,408
Finance-Auto Loans — 0.0%
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023		43,000		45,042

249

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Consumer Loans — 0.1%
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024*	$	117,000	$	117,293
Enova International, Inc. Company Guar. Notes 8.50% due 09/15/2025*		50,000		49,750
SLM Corp. Senior Notes 5.63% due 08/01/2033		150,000		125,625
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025		125,000		124,687
Springleaf Finance Corp. Company Guar. Notes 7.13% due 03/15/2026		37,000		36,815
				454,170
Finance-Credit Card — 0.1%
Alliance Data Systems Corp. Company Guar. Notes 5.88% due 11/01/2021*		100,000		102,000
American Express Co. Senior Notes 2.50% due 08/01/2022		356,000		341,267
American Express Co. Senior Notes 3.40% due 02/27/2023		625,000		615,150
				1,058,417
Finance-Investment Banker/Broker — 0.0%
Jefferies Group LLC/Jefferies Group Capital Finance, Inc. Senior Notes 4.15% due 01/23/2030		112,000		100,622
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(8)(11)		131,000		13
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(8)(11)		99,000		10
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025*		90,000		87,862
				188,507
Finance-Mortgage Loan/Banker — 0.0%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		125,000		124,844
Finance-Other Services — 0.1%
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020		242,000		237,586

Security Description	Principal Amount(7)		Value (Note 2)
Finance-Other Services (continued)
National Rural Utilities Cooperative Finance Corp. Senior Notes 2.30% due 09/15/2022	$	128,000	$	122,847
National Rural Utilities Cooperative Finance Corp. Collateral Trust Notes 2.40% due 04/25/2022		104,000		100,500
				460,933
Food-Meat Products — 0.0%
Smithfield Foods, Inc. Senior Notes 2.65% due 10/03/2021*		73,000		69,584
Food-Misc./Diversified — 0.3%
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020		115,000		114,019
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		815,000		719,807
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029		1,345,000		1,342,761
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025*		196,000		199,208
Nestle Holdings, Inc. Company Guar. Notes 3.50% due 09/24/2025*		184,000		182,663
Nestle Holdings, Inc. Company Guar. Notes 3.90% due 09/24/2038*		311,000		305,935
Nestle Holdings, Inc. Company Guar. Notes 4.00% due 09/24/2048*		198,000		193,564
				3,057,957
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		161,000		144,900
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		525,000		512,678
Gambling (Non-Hotel) — 0.0%
Delta Merger Sub, Inc. Senior Notes 6.00% due 09/15/2026*		110,000		111,375
Scientific Games International, Inc. Senior Sec. Notes 5.00% due 10/15/2025*		90,000		85,500

250

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Gambling (Non-Hotel) (continued)
Waterford Gaming LLC/ Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(8)(11)	$	1,320	$	23
				196,898
Gas-Distribution — 0.0%
NiSource, Inc. Senior Notes 4.38% due 05/15/2047		66,000		63,029
Hotels/Motels — 0.0%
Wyndham Worldwide Corp. Senior Sec. Notes 4.15% due 04/01/2024		85,000		82,450
Wyndham Worldwide Corp. Senior Sec. Notes 4.50% due 04/01/2027		75,000		70,687
				153,137
Independent Power Producers — 0.0%
NRG Yield Operating LLC Company Guar. Notes 5.38% due 08/15/2024		85,000		85,425
Insurance Brokers — 0.2%
Aon Corp. Company Guar. Notes 5.00% due 09/30/2020		275,000		283,092
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		290,000		282,148
Marsh & McLennan Cos., Inc. Senior Notes 4.05% due 10/15/2023		295,000		297,720
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		610,000		592,775
Willis North America, Inc. Company Guar. Notes 5.05% due 09/15/2048		102,000		101,839
				1,557,574
Insurance-Life/Health — 0.1%
AXA Equitable Holdings, Inc. Senior Notes 5.00% due 04/20/2048*		58,000		54,179
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047		151,000		124,965
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020*		575,000		566,862
				746,006

Security Description	Principal Amount(7)		Value (Note 2)
Insurance-Multi-line — 0.4%
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021	$	3,560,000	$	3,566,840
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		117,000		134,134
Metropolitan Life Global Funding I Sec. Notes 2.30% due 04/10/2019*		205,000		204,596
				3,905,570
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065*		56,000		52,343
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		149,000		228,826
MassMutual Global Funding II Senior Sec. Notes 2.75% due 06/22/2024*		200,000		190,663
New York Life Global Funding Sec. Notes 1.95% due 09/28/2020*		324,000		317,230
				789,062
Insurance-Property/Casualty — 0.0%
ACE INA Holdings, Inc. Company Guar. Notes 2.88% due 11/03/2022		166,000		162,491
AmWINS Group, Inc. Company Guar. Notes 7.75% due 07/01/2026*		85,000		88,400
				250,891
Insurance-Reinsurance — 0.1%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.20% due 08/15/2048		515,000		511,550
Internet Connectivity Services — 0.0%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		135,000		137,025
Internet Content-Entertainment — 0.0%
Netflix, Inc. Senior Notes 5.88% due 02/15/2025		85,000		87,869
Investment Companies — 0.0%
FS Energy & Power Fund Senior Sec. Notes 7.50% due 08/15/2023*		60,000		61,200

251

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Machinery-Construction & Mining — 0.1%
Caterpillar Financial Services Corp. Senior Notes 2.55% due 11/29/2022	$	123,000	$	119,364
Caterpillar Financial Services Corp. Senior Notes 3.15% due 09/07/2021		83,000		82,903
Caterpillar Financial Services Corp. Senior Notes 3.45% due 05/15/2023		174,000		174,012
Terex Corp. Company Guar. Notes 5.63% due 02/01/2025*		63,000		62,606
				438,885
Machinery-Electrical — 0.0%
ABB Finance USA, Inc. Company Guar. Notes 3.38% due 04/03/2023		214,000		213,194
Machinery-Farming — 0.0%
CNH Industrial Capital LLC Company Guar. Notes 4.20% due 01/15/2024		261,000		260,106
John Deere Capital Corp. Senior Notes 2.35% due 01/08/2021		148,000		145,388
				405,494
Machinery-General Industrial — 0.0%
Roper Technologies, Inc. Senior Notes 4.20% due 09/15/2028		294,000		291,658
Stevens Holding Co, Inc. Company Guar. Notes 6.13% due 10/01/2026*		20,000		20,325
				311,983
Machinery-Thermal Process — 0.0%
Cleaver-Brooks, Inc. Senior Sec. Notes 7.88% due 03/01/2023*		67,000		68,507
Marine Services — 0.0%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022		71,000		72,952
Medical Instruments — 0.1%
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028		1,230,000		1,215,279
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		193,000		191,715
				1,406,994

Security Description	Principal Amount(7)		Value (Note 2)
Medical Labs & Testing Services — 0.0%
Laboratory Corp. of America Holdings Senior Notes 3.25% due 09/01/2024	$	207,000	$	198,268
Roche Holdings, Inc. Company Guar. Notes 1.75% due 01/28/2022*		204,000		193,901
				392,169
Medical Products — 0.4%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		2,340,000		2,260,866
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027		1,345,000		1,286,139
				3,547,005
Medical-Biomedical/Gene — 0.4%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		1,185,000		1,150,852
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		24,000		23,829
Celgene Corp. Senior Notes 3.63% due 05/15/2024		140,000		138,043
Celgene Corp. Senior Notes 4.55% due 02/20/2048		119,000		110,722
Celgene Corp. Senior Notes 4.63% due 05/15/2044		495,000		465,820
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		310,000		308,469
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024		515,000		516,594
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047		1,160,000		1,098,987
				3,813,316
Medical-Drugs — 0.5%
AbbVie, Inc. Senior Notes 2.00% due 11/06/2018		940,000		939,586
AbbVie, Inc. Senior Notes 4.88% due 11/14/2048		128,000		125,938
Bayer US Finance II LLC Company Guar. Notes 4.25% due 12/15/2025*		1,060,000		1,053,485
Bayer US Finance II LLC Company Guar. Notes 4.63% due 06/25/2038*		216,000		206,796

252

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Drugs (continued)
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023*	$	52,000	$	45,760
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.38% due 05/15/2023		131,000		130,459
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		1,475,000		1,472,834
Pfizer, Inc. Senior Notes 3.00% due 09/15/2021		90,000		89,980
Wyeth LLC Company Guar. Notes 6.50% due 02/01/2034		750,000		939,695
				5,004,533
Medical-Generic Drugs — 0.1%
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028*		565,000		549,262
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048*		679,000		627,475
				1,176,737
Medical-HMO — 1.0%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		375,000		359,309
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		785,000		769,098
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		400,000		390,871
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		780,000		808,519
Centene Corp. Senior Notes 5.38% due 06/01/2026*		65,000		66,550
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025*		770,000		767,806
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028*		4,095,000		4,083,071
Halfmoon Parent, Inc. Senior Sec. Notes 4.80% due 08/15/2038*		148,000		148,415
Halfmoon Parent, Inc. Senior Notes 4.90% due 12/15/2048*		146,000		144,945
UnitedHealth Group, Inc. Senior Bonds 2.38% due 10/15/2022		596,000		571,577

Security Description	Principal Amount(7)		Value (Note 2)
Medical-HMO (continued)
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023	$	600,000	$	601,229
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		505,000		507,401
UnitedHealth Group, Inc. Senior Notes 4.25% due 04/15/2047		130,000		130,450
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048		345,000		346,261
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		800,000		856,157
				10,551,659
Medical-Hospitals — 0.2%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		43,000		41,818
Dignity Health Sec. Notes 2.64% due 11/01/2019		2,115,000		2,101,822
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		70,000		72,012
				2,215,652
Medical-Wholesale Drug Distribution — 0.1%
Allergan Sales LLC Company Guar. Notes 4.88% due 02/15/2021*		75,000		77,219
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		930,000		889,784
				967,003
Metal Processors & Fabrication — 0.0%
Grinding Media, Inc./ Moly-Cop AltaSteel, Ltd. Senior Sec. Notes 7.38% due 12/15/2023*		9,000		9,367
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026*		40,000		39,080
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024*		84,000		85,995
Timken Co. Senior Notes 4.50% due 12/15/2028		82,000		80,533
				214,975
Metal-Copper — 0.0%
Freeport-McMoRan Copper & Gold, Inc. Company Guar. Notes 3.88% due 03/15/2023		99,000		95,703

253

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Metal-Iron — 0.0%
Cleveland-Cliffs, Inc. Company Guar. Notes 5.75% due 03/01/2025	$	100,000	$	97,250
Multimedia — 0.6%
21st Century Fox America, Inc. Company Guar. Notes 3.00% due 09/15/2022		380,000		374,132
21st Century Fox America, Inc. Company Guar. Notes 6.15% due 02/15/2041		470,000		599,147
21st Century Fox America, Inc. Company Guar. Notes 6.40% due 12/15/2035		150,000		191,168
21st Century Fox America, Inc. Company Guar. Notes 7.28% due 06/30/2028		95,000		116,414
E.W. Scripps Co. Company Guar. Notes 5.13% due 05/15/2025*		74,000		71,133
Time Warner, Inc. Company Guar. Notes 2.95% due 07/15/2026		545,000		494,188
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045		132,000		123,106
Viacom, Inc. Senior Notes 4.25% due 09/01/2023		2,550,000		2,567,380
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		450,000		392,724
Viacom, Inc. Senior Notes 4.85% due 12/15/2034		184,000		174,047
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027		1,155,000		1,104,827
				6,208,266
Networking Products — 0.1%
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		629,000		615,896
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		1,020,000		933,004
Oil Companies-Exploration & Production — 0.5%
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024		770,000		741,214
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044		115,000		105,332
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		415,000		440,352

Security Description	Principal Amount(7)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036	$	178,000	$	203,112
Apache Corp. Senior Notes 4.38% due 10/15/2028		72,000		70,615
Callon Petroleum Co. Company Guar. Notes 6.38% due 07/01/2026		85,000		86,488
Chaparral Energy, Inc. Senior Notes 8.75% due 07/15/2023*		75,000		74,813
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		179,000		182,151
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.50% due 01/30/2026*		100,000		100,000
Extraction Oil & Gas, Inc. Company Guar. Notes 5.63% due 02/01/2026*		75,000		66,375
Hess Corp. Senior Notes 4.30% due 04/01/2027		450,000		436,356
Hess Corp. Senior Notes 5.60% due 02/15/2041		175,000		177,691
Hess Corp. Senior Notes 7.30% due 08/15/2031		150,000		173,249
Hess Corp. Senior Notes 7.88% due 10/01/2029		230,000		278,030
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		119,000		116,114
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		375,000		422,275
Lonestar Resources America, Inc. Company Guar. Notes 11.25% due 01/01/2023*		69,000		75,728
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025		350,000		342,143
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037		188,000		221,869
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		90,000		93,262
QEP Resources, Inc. Senior Notes 5.63% due 03/01/2026		80,000		76,500

254

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023	$	49,000	$	27,930
Southwestern Energy Co. Company Guar. Notes 7.50% due 04/01/2026		75,000		78,563
WildHorse Resource Development Corp. Company Guar. Notes 6.88% due 02/01/2025		85,000		87,762
				4,677,924
Oil Companies-Integrated — 0.1%
Chevron Corp. Senior Notes 3.19% due 06/24/2023		490,000		486,446
Oil Field Machinery & Equipment — 0.0%
Forum Energy Technologies, Inc. Company Guar. Notes 6.25% due 10/01/2021		94,000		93,765
Oil Refining & Marketing — 0.2%
Andeavor Senior Notes 3.80% due 04/01/2028		445,000		423,161
PBF Holding Co. LLC/ PBF Finance Corp. Company Guar. Notes 7.25% due 06/15/2025		26,000		27,300
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028		780,000		769,296
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		900,000		855,542
				2,075,299
Oil-Field Services — 0.0%
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026*		34,000		34,935
Calfrac Holdings LP Senior Notes 8.50% due 06/15/2026*		85,000		79,263
Halliburton Co. Senior Notes 4.85% due 11/15/2035		51,000		53,347
Pioneer Energy Services Corp. Company Guar. Notes 6.13% due 03/15/2022		83,000		72,625
USA Compression Partners LP/ USA Compression Finance Corp. Senior Notes 6.88% due 04/01/2026*		64,000		66,080
				306,250

Security Description	Principal Amount(7)		Value (Note 2)
Paper & Related Products — 0.1%
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044	$	255,000	$	266,347
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		351,000		352,725
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		112,000		116,531
International Paper Co. Senior Notes 7.30% due 11/15/2039		115,000		146,090
				881,693
Petrochemicals — 0.0%
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP Senior Notes 3.30% due 05/01/2023*		128,000		126,309
Pharmacy Services — 1.0%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		4,539,000		4,496,859
CVS Health Corp. Senior Notes 3.13% due 03/09/2020		1,505,000		1,505,212
CVS Health Corp. Senior Notes 4.10% due 03/25/2025		765,000		762,952
CVS Health Corp. Senior Notes 4.78% due 03/25/2038		180,000		179,137
CVS Health Corp. Senior Notes 5.05% due 03/25/2048		1,224,000		1,251,961
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		1,140,000		1,171,960
CVS Pass-Through Trust Pass-Through Certs. 4.70% due 01/10/2036*		73,491		72,389
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		51,554		54,714
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		95,823		102,687
				9,597,871
Physicians Practice Management — 0.0%
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023*		155,000		155,194
Pipelines — 1.1%
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027		1,045,000		1,021,061

255

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.20% due 12/01/2047	$	240,000	$	239,666
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027		190,000		190,712
Energy Transfer Equity LP Senior Sec. Notes 4.25% due 03/15/2023		95,000		94,406
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023		390,000		393,096
Energy Transfer Partners LP Company Guar. Notes 4.90% due 03/15/2035		43,000		40,431
Energy Transfer Partners LP Company Guar. Notes 6.63% due 10/15/2036		35,000		39,058
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026		54,000		52,354
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045		46,000		38,170
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023		490,000		497,244
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028		610,000		626,827
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		74,000		69,930
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023		70,000		69,037
Holly Energy Partners LP/ Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024*		85,000		86,912
Kinder Morgan Energy Partners LP Company Guar. Notes 4.30% due 05/01/2024		154,000		155,490
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042		130,000		127,445
Kinder Morgan Energy Partners LP Company Guar. Notes 6.95% due 01/15/2038		53,000		64,245

Security Description	Principal Amount(7)		Value (Note 2)
Pipelines (continued)
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021*	$	102,000	$	105,237
MPLX LP Senior Notes 4.00% due 03/15/2028		638,000		613,640
MPLX LP Senior Notes 4.13% due 03/01/2027		500,000		487,007
MPLX LP Senior Notes 4.70% due 04/15/2048		250,000		232,974
MPLX LP Senior Notes 5.20% due 03/01/2047		310,000		310,623
NGPL PipeCo LLC Senior Notes 4.38% due 08/15/2022*		156,000		157,170
Northern Natural Gas Co. Senior Notes 4.30% due 01/15/2049*		73,000		70,251
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		430,000		417,131
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		112,000		111,160
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023		37,000		35,982
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		93,000		92,651
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		980,000		939,419
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028*		275,000		259,754
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028		300,000		293,142
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028		1,065,000		1,046,146
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028		1,075,000		1,031,187
Western Gas Partners LP Senior Notes 4.65% due 07/01/2026		223,000		218,582
Western Gas Partners LP Senior Notes 4.75% due 08/15/2028		55,000		53,943

256

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Western Gas Partners LP Senior Notes 5.50% due 08/15/2048	$	55,000	$	51,852
Williams Cos., Inc. Senior Notes 3.70% due 01/15/2023		277,000		274,116
Williams Cos., Inc. Senior Notes 5.75% due 06/24/2044		125,000		133,771
				10,741,822
Poultry — 0.0%
Pilgrim's Pride Corp. Senior Notes 5.88% due 09/30/2027*		115,000		108,675
Publishing-Books — 0.0%
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance Senior Notes 7.88% due 05/15/2024*		95,000		85,144
Quarrying — 0.0%
Hi-Crush Partners LP Senior Notes 9.50% due 08/01/2026*		125,000		116,250
Racetracks — 0.1%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		635,000		636,842
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		120,000		121,861
				758,703
Radio — 0.0%
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 07/15/2026*		120,000		119,100
Real Estate Investment Trusts — 0.2%
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023		735,000		708,300
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		425,000		403,864
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025		102,000		99,450
Duke Realty LP Senior Notes 4.00% due 09/15/2028		116,000		114,355
EPR Properties Company Guar. Notes 4.95% due 04/15/2028		56,000		55,029

Security Description	Principal Amount(7)		Value (Note 2)
Real Estate Investment Trusts (continued)
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*	$	125,000	$	120,938
GEO Group, Inc. Company Guar. Notes 5.13% due 04/01/2023		85,000		81,388
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027*		90,000		82,575
iStar, Inc. Senior Notes 5.25% due 09/15/2022		106,000		104,410
iStar, Inc. Senior Notes 6.00% due 04/01/2022		48,000		48,360
Kimco Realty Corp. Senior Notes 4.25% due 04/01/2045		71,000		63,593
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027		105,000		101,194
National Retail Properties, Inc. Senior Notes 4.80% due 10/15/2048		55,000		55,167
Sabra Health Care LP Company Guar. Notes 5.13% due 08/15/2026		53,000		51,885
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025		100,000		95,761
Washington Prime Group LP Senior Notes 5.95% due 08/15/2024		93,000		88,019
Welltower, Inc. Senior Notes 3.95% due 09/01/2023		97,000		96,933
				2,371,221
Real Estate Management/Services — 0.0%
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		135,000		132,975
Realogy Group LLC/Realogy Co-Issuer Corp. Company Guar. Notes 4.88% due 06/01/2023*		120,000		112,350
				245,325
Real Estate Operations & Development — 0.0%
Greystar Real Estate Partners LLC Senior Sec. Notes 5.75% due 12/01/2025*		85,000		82,875
Rental Auto/Equipment — 0.0%
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023*		85,000		83,725

257

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Rental Auto/Equipment (continued)
Jurassic Holdings III, Inc. Sec. Notes 6.88% due 02/15/2021*	$	86,000	$	83,850
				167,575
Retail-Appliances — 0.0%
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022		109,000		108,182
Retail-Automobile — 0.0%
Asbury Automotive Group, Inc. Company Guar. Notes 6.00% due 12/15/2024		31,000		31,310
AutoNation, Inc. Company Guar. Notes 3.50% due 11/15/2024		157,000		148,758
Lithia Motors, Inc. Company Guar. Notes 5.25% due 08/01/2025*		45,000		43,087
				223,155
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		425,000		367,283
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		215,000		195,230
				562,513
Retail-Discount — 0.2%
Walmart, Inc. Senior Notes 3.40% due 06/26/2023		610,000		612,655
Walmart, Inc. Senior Notes 3.70% due 06/26/2028		610,000		610,165
Walmart, Inc. Senior Notes 3.95% due 06/28/2038		490,000		488,981
				1,711,801
Retail-Leisure Products — 0.0%
Party City Holdings, Inc. Company Guar. Notes 6.63% due 08/01/2026*		83,000		84,037
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024		363,000		359,254
Retail-Office Supplies — 0.0%
Staples, Inc. Company Guar. Notes 8.50% due 09/15/2025*		159,000		149,857
Retail-Pawn Shops — 0.0%
FirstCash, Inc. Company Guar. Notes 5.38% due 06/01/2024*		62,000		62,310

Security Description	Principal Amount(7)		Value (Note 2)
Retail-Restaurants — 0.2%
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024*	$	52,000	$	49,140
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025*		61,000		63,945
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		830,000		822,947
McDonald's Corp. Senior Notes 4.88% due 12/09/2045		50,000		52,289
Starbucks Corp. Senior Notes 3.80% due 08/15/2025		620,000		615,904
Starbucks Corp. Senior Notes 4.00% due 11/15/2028		375,000		373,944
				1,978,169
Satellite Telecom — 0.0%
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026		108,000		104,490
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp. Senior Notes 3.50% due 06/08/2020		299,000		297,999
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		479,000		501,981
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		294,000		323,910
				1,123,890
Schools — 0.0%
Graham Holdings Co. Company Guar. Notes 5.75% due 06/01/2026*		85,000		87,019
Security Services — 0.0%
ADT Corp. Senior Sec. Notes 4.13% due 06/15/2023		115,000		109,967
ADT Corp. Senior Sec. Notes 6.25% due 10/15/2021		16,000		16,784
				126,751
Semiconductor Components-Integrated Circuits — 0.0%
QUALCOMM, Inc. Senior Notes 3.45% due 05/20/2025		161,000		156,189
Steel-Producers — 0.0%
AK Steel Corp. Company Guar. Notes 6.38% due 10/15/2025		75,000		71,344

258

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel-Producers (continued)
Commercial Metals Co. Senior Notes 5.75% due 04/15/2026*	$	57,000	$	55,290
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025		205,000		195,262
United States Steel Corp. Senior Notes 6.88% due 08/15/2025		75,000		76,594
				398,490
Telephone-Integrated — 1.3%
AT&T, Inc. Senior Notes 4.10% due 02/15/2028*		270,000		262,123
AT&T, Inc. Senior Notes 4.30% due 02/15/2030*		2,353,000		2,262,874
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		382,000		356,889
AT&T, Inc. Senior Notes 4.55% due 03/09/2049		999,000		876,691
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		410,000		374,591
AT&T, Inc. Senior Notes 4.90% due 08/15/2037*		463,000		444,321
AT&T, Inc. Senior Notes 5.15% due 03/15/2042		220,000		212,334
CenturyLink, Inc. Senior Notes 6.75% due 12/01/2023		120,000		124,650
Citizens Communications Co. Senior Notes 9.00% due 08/15/2031		141,000		89,535
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		825,000		786,217
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		70,000		68,263
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		2,305,000		2,286,030
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		780,000		741,760
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		1,115,000		1,124,036
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		430,000		431,429

Security Description	Principal Amount(7)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037	$	2,042,000	$	2,177,119
				12,618,862
Television — 0.0%
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027		87,000		93,307
CBS Corp. Company Guar. Notes 3.70% due 08/15/2024		166,000		161,391
Gray Television, Inc. Company Guar. Notes 5.13% due 10/15/2024*		74,000		71,503
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026*		16,000		15,860
				342,061
Tobacco — 0.7%
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		1,345,000		1,176,452
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		3,040,000		2,979,098
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024*		900,000		857,824
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		1,650,000		1,535,048
Philip Morris International, Inc. Senior Notes 4.13% due 03/04/2043		825,000		764,171
				7,312,593
Transport-Marine — 0.0%
Kirby Corp. Senior Notes 4.20% due 03/01/2028		135,000		131,965
Transport-Rail — 0.3%
CSX Corp. Senior Notes 3.25% due 06/01/2027		1,960,000		1,857,452
Kansas City Southern Company Guar. Notes 4.70% due 05/01/2048		180,000		179,080
Norfolk Southern Corp. Senior Notes 5.10% due 12/31/2049		170,000		167,833
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038		1,000,000		1,017,045
				3,221,410

259

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Services — 0.1%
CH Robinson Worldwide, Inc. Senior Notes 4.20% due 04/15/2028	$	133,000	$	130,974
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048		321,000		291,285
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		445,000		406,087
FedEx Corp. Company Guar. Notes 4.40% due 01/15/2047		185,000		176,706
				1,005,052
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.95% due 03/10/2025*		214,000		209,674
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		1,060,000		1,092,558
				1,302,232
Veterinary Diagnostics — 0.1%
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021*		740,000		740,697
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023*		700,000		702,836
				1,443,533
Vitamins & Nutrition Products — 0.0%
HLF Financing SARL LLC/ Herbalife International, Inc. Senior Notes 7.25% due 08/15/2026*		10,000		10,162
Total U.S. Corporate Bonds & Notes (cost $277,148,161)				272,395,854
FOREIGN CORPORATE BONDS & NOTES — 5.8%
Agricultural Chemicals — 0.3%
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025*		150,000		155,812
Nutrien, Ltd. Senior Notes 4.90% due 06/01/2043		200,000		196,879
Syngenta Finance NV Company Guar. Notes 4.44% due 04/24/2023*		456,000		453,220
Syngenta Finance NV Company Guar. Notes 4.89% due 04/24/2025*		895,000		878,520
Syngenta Finance NV Company Guar. Notes 5.18% due 04/24/2028*		1,205,000		1,152,844
				2,837,275

Security Description	Principal Amount(7)		Value (Note 2)
Airport Development/Maintenance — 0.1%
Mexico City Airport Trust Senior Sec. Notes 3.88% due 04/30/2028*	$	630,000	$	563,856
Auto/Truck Parts & Equipment-Original — 0.1%
Delphi Jersey Holdings PLC Company Guar. Notes 5.00% due 10/01/2025*		95,000		89,419
Toyota Industries Corp. Senior Notes 3.24% due 03/16/2023*		529,000		520,637
				610,056
Banks-Commercial — 0.6%
Barclays Bank PLC Senior Notes 2.65% due 01/11/2021		710,000		696,040
BPCE SA Senior Notes 2.75% due 01/11/2023*		640,000		611,884
BPCE SA Company Guar. Notes 3.00% due 05/22/2022*		345,000		333,487
Canadian Imperial Bank of Commerce Senior Notes 2.10% due 10/05/2020		316,000		308,674
Credit Suisse AG Senior Notes 3.00% due 10/29/2021		300,000		295,791
Danske Bank A/S Senior Notes 3.88% due 09/12/2023*		200,000		195,887
Intesa Sanpaolo SpA Senior Notes 3.38% due 01/12/2023*		285,000		263,848
Intesa Sanpaolo SpA Senior Notes 3.88% due 01/12/2028*		475,000		401,257
Intesa Sanpaolo SpA Sub. Notes 5.71% due 01/15/2026*		265,000		241,067
National Australia Bank, Ltd. Senior Notes 3.63% due 06/20/2023		250,000		248,620
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020		2,005,000		1,964,877
Toronto-Dominion Bank Senior Notes 1.85% due 09/11/2020		224,000		218,916
Westpac Banking Corp. Senior Notes 3.05% due 05/15/2020		124,000		123,661
				5,904,009
Building Societies — 0.0%
Nationwide Building Society Sub. Notes 4.13% due 10/18/2032*		250,000		229,279

260

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Building-Residential/Commercial — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025*	$	109,000	$	105,730
Cable/Satellite TV — 0.1%
SFR Group SA Senior Sec. Notes 7.38% due 05/01/2026*		400,000		400,000
UPCB Finance IV, Ltd. Senior Sec. Notes 5.38% due 01/15/2025*		200,000		199,750
				599,750
Cellular Telecom — 0.2%
Vodafone Group PLC Senior Notes 4.13% due 05/30/2025		67,000		66,482
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028		1,840,000		1,812,818
				1,879,300
Chemicals-Diversified — 0.1%
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055		560,000		503,282
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025*		70,000		66,500
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025*		85,000		81,944
				651,726
Chemicals-Specialty — 0.1%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		755,000		738,103
Methanex Corp. Senior Notes 5.65% due 12/01/2044		300,000		288,938
				1,027,041
Computers-Memory Devices — 0.0%
Seagate HDD Cayman Company Guar. Notes 4.75% due 01/01/2025		120,000		115,059
Diversified Banking Institutions — 1.3%
Banco Santander SA Senior Notes 3.80% due 02/23/2028		800,000		726,842
Banco Santander SA Senior Notes 3.85% due 04/12/2023		800,000		781,598
BNP Paribas SA Senior Notes 2.95% due 05/23/2022*		360,000		348,505

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Banking Institutions (continued)
BNP Paribas SA Senior Notes 3.38% due 01/09/2025*	$	1,235,000	$	1,169,121
BNP Paribas SA Senior Notes 3.80% due 01/10/2024*		240,000		234,965
BNP Paribas SA Senior Notes 4.40% due 08/14/2028*		1,260,000		1,236,485
Credit Agricole SA Sub. Notes 4.00% due 01/10/2033*		360,000		334,090
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023		1,630,000		1,574,303
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		1,485,000		1,482,107
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025		1,000,000		981,086
HSBC Holdings PLC Senior Notes 4.29% due 09/12/2026		205,000		202,986
HSBC Holdings PLC Sub. Notes 4.38% due 11/23/2026		565,000		555,311
HSBC Holdings PLC Senior Notes 4.58% due 06/19/2029		440,000		440,007
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.67% due 07/25/2022		167,000		161,064
Mitsubishi UFJ Financial Group, Inc. Senior Notes 3.78% due 03/02/2025		64,000		63,337
Mizuho Financial Group, Inc. Senior Notes 2.27% due 09/13/2021		202,000		194,355
Mizuho Financial Group, Inc. Senior Notes 3.55% due 03/05/2023		704,000		695,382
Royal Bank of Scotland Group PLC Senior Notes 4.52% due 06/25/2024		200,000		199,432
Royal Bank of Scotland Group PLC Senior Notes 5.08% due 01/27/2030		209,000		208,631
UBS AG Senior Notes 2.45% due 12/01/2020*		860,000		842,164
UniCredit SpA Sub. Notes 5.86% due 06/19/2032*		560,000		499,284
				12,931,055

261

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Financial Services — 0.1%
GE Capital International Funding Co. ULC Company Guar. Notes 2.34% due 11/15/2020	$	333,000	$	325,380
GE Capital International Funding Co. ULC Company Guar. Notes 4.42% due 11/15/2035		255,000		239,994
				565,374
Diversified Manufacturing Operations — 0.0%
Siemens Financieringsmaatschappij NV Company Guar. Notes 2.20% due 03/16/2020*		321,000		317,061
Diversified Minerals — 0.2%
Anglo American Capital PLC Company Guar. Notes 3.75% due 04/10/2022*		2,005,000		1,979,276
Anglo American Capital PLC Company Guar. Notes 4.75% due 04/10/2027*		455,000		443,573
				2,422,849
E-Commerce/Products — 0.2%
Alibaba Group Holding, Ltd. Senior Notes 3.40% due 12/06/2027		1,030,000		960,057
Alibaba Group Holding, Ltd. Senior Notes 4.00% due 12/06/2037		980,000		899,776
				1,859,833
Electric-Generation — 0.2%
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039*		1,499,000		1,449,353
Electricite de France SA Senior Notes 4.88% due 09/21/2038*		200,000		195,104
Electricite de France SA Senior Notes 5.00% due 09/21/2048*		410,000		399,183
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		75,000		73,123
				2,116,763
Electric-Integrated — 0.1%
EDP Finance BV Senior Notes 3.63% due 07/15/2024*		309,000		294,983
Enel Finance International NV Company Guar. Notes 3.50% due 04/06/2028*		200,000		176,047
Enel Finance International NV Company Guar. Notes 3.63% due 05/25/2027*		425,000		384,929

Security Description	Principal Amount(7)		Value (Note 2)
Electric-Integrated (continued)
Fortis, Inc. Senior Notes 2.10% due 10/04/2021	$	340,000	$	324,806
				1,180,765
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 4.40% due 09/25/2023		73,000		73,010
Food-Meat Products — 0.0%
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.75% due 06/15/2025*		31,000		30,186
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.88% due 07/15/2024*		96,000		94,560
				124,746
Gold Mining — 0.0%
Kinross Gold Corp. Company Guar. Notes 4.50% due 07/15/2027		112,000		100,106
Insurance-Life/Health — 0.0%
Athene Holding, Ltd. Senior Notes 4.13% due 01/12/2028		380,000		355,033
Insurance-Multi-line — 0.0%
XLIT, Ltd. Company Guar. Notes 5.50% due 03/31/2045		118,000		124,184
Insurance-Property/Casualty — 0.0%
Enstar Group, Ltd. Senior Notes 4.50% due 03/10/2022		69,000		69,302
Internet Application Software — 0.2%
Tencent Holdings, Ltd. Senior Notes 2.99% due 01/19/2023*		1,235,000		1,196,148
Tencent Holdings, Ltd. Senior Notes 3.60% due 01/19/2028*		495,000		468,524
				1,664,672
Machinery-Farming — 0.0%
CNH Industrial NV Senior Notes 3.85% due 11/15/2027		177,000		167,472
CNH Industrial NV Senior Notes 4.50% due 08/15/2023		112,000		113,725
				281,197
Machinery-Pumps — 0.0%
Nvent Finance SARL Company Guar. Notes 4.55% due 04/15/2028*		112,000		109,039

262

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Medical-Drugs — 0.2%
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037	$	315,000	$	395,446
Bausch Health Cos., Inc. Company Guar. Notes 5.88% due 05/15/2023*		176,000		171,600
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021		380,000		379,407
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		1,160,000		1,120,430
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023		122,000		116,185
				2,183,068
Medical-Generic Drugs — 0.2%
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022		515,000		511,548
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		495,000		487,607
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		395,000		395,295
Mylan NV Company Guar. Notes 3.95% due 06/15/2026		726,000		686,745
				2,081,195
Metal-Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 6.50% due 03/01/2024*		200,000		183,000
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 04/01/2023*		200,000		191,125
Hudbay Minerals, Inc. Company Guar. Notes 7.25% due 01/15/2023*		87,000		89,402
				463,527
Metal-Iron — 0.2%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		1,170,000		1,282,203
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039		555,000		650,183
				1,932,386
Oil & Gas Drilling — 0.0%
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024		95,000		94,287

Security Description	Principal Amount(7)		Value (Note 2)
Oil & Gas Drilling (continued)
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026*	$	57,000	$	59,138
Shelf Drilling Holdings, Ltd. Company Guar. Notes 8.25% due 02/15/2025*		85,000		87,656
Trinidad Drilling, Ltd. Company Guar. Notes 6.63% due 02/15/2025*		75,000		74,250
				315,331
Oil Companies-Exploration & Production — 0.4%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		1,710,000		1,665,315
CNOOC Curtis Funding No. 1 Pty, Ltd. Company Guar. Notes 4.50% due 10/03/2023		200,000		204,076
Encana Corp. Senior Notes 3.90% due 11/15/2021		650,000		652,776
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		148,000		134,680
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025*		123,000		121,770
Nexen Energy ULC Company Guar. Notes 6.20% due 07/30/2019		100,000		102,335
Sinopec Group Overseas Development 2015, Ltd. Company Guar. Notes 2.50% due 04/28/2020		200,000		196,756
Tullow Oil PLC Senior Notes 7.00% due 03/01/2025*		540,000		526,500
				3,604,208
Oil Companies-Integrated — 0.2%
BP Capital Markets PLC Company Guar. Notes 3.25% due 05/06/2022		206,000		204,656
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027		169,000		163,364
Eni SpA Senior Notes 4.75% due 09/12/2028*		212,000		209,980
Petroleos Mexicanos Company Guar. Notes 4.88% due 01/24/2022		180,000		182,070
Petroleos Mexicanos Company Guar. Notes 6.63% due 06/15/2035		200,000		198,700
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		434,000		414,118

263

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Suncor Energy, Inc. Senior Notes 5.95% due 12/01/2034	$	78,000	$	89,328
YPF SA Senior Notes 16.50% due 05/09/2022*(11)	ARS	22,904,817		288,457
				1,750,673
Oil-Field Services — 0.0%
KCA Deutag UK Finance PLC Senior Sec. Notes 9.88% due 04/01/2022*		200,000		199,000
Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022*		60,000		60,450
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*		31,000		31,000
Suzano Austria GmbH Senior Notes 6.00% due 01/15/2029*		285,000		286,140
				377,590
Pipelines — 0.0%
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038		345,000		351,258
TransCanada PipeLines, Ltd. Senior Notes 6.10% due 06/01/2040		125,000		143,750
				495,008
Printing-Commercial — 0.0%
Cimpress NV Company Guar. Notes 7.00% due 06/15/2026*		150,000		152,420
Satellite Telecom — 0.1%
Inmarsat Finance PLC Company Guar. Notes 6.50% due 10/01/2024*		200,000		203,000
Intelsat Jackson Holdings SA Company Guar. Notes 5.50% due 08/01/2023		185,000		170,431
Intelsat Jackson Holdings SA Company Guar. Notes 8.50% due 10/15/2024*		60,000		60,660
Telesat Canada/Telesat LLC Company Guar. Notes 8.88% due 11/15/2024*		80,000		85,600
				519,691
Telephone-Integrated — 0.4%
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		500,000		530,000
Telecom Italia SpA Senior Notes 5.30% due 05/30/2024*		2,055,000		2,001,056

Security Description	Principal Amount(7)		Value (Note 2)
Telephone-Integrated (continued)
Telefonica Emisiones SAU Company Guar. Notes 4.67% due 03/06/2038	$	700,000	$	657,648
Telefonica Emisiones SAU Company Guar. Notes 4.90% due 03/06/2048		525,000		488,976
Telefonica Emisiones SAU Company Guar. Notes 5.21% due 03/08/2047		367,000		359,059
				4,036,739
Tobacco — 0.1%
Imperial Brands Finance PLC Company Guar. Notes 3.75% due 07/21/2022*		510,000		507,698
Transport-Equipment & Leasing — 0.0%
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.13% due 10/01/2023*		75,000		75,809
Transport-Rail — 0.1%
Canadian National Railway Co. Senior Notes 2.85% due 12/15/2021		124,000		122,287
Canadian Pacific Railway Co. Senior Notes 4.50% due 01/15/2022		425,000		437,633
Canadian Pacific Railway Co. Senior Notes 5.95% due 05/15/2037		285,000		338,307
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		99,000		116,933
Kazakhstan Temir Zholy Finance BV Company Guar. Notes 6.95% due 07/10/2042		200,000		220,500
				1,235,660
Wireless Equipment — 0.0%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		385,000		370,563
Total Foreign Corporate Bonds & Notes (cost $62,060,739)				59,118,636
U.S. GOVERNMENT AGENCIES — 23.7%
Federal Home Loan Bank — 0.1%
1.88% due 12/09/2022		1,000,000		956,543
Federal Home Loan Mtg. Corp. — 5.1%
1.25% due 10/02/2019		1,272,000		1,254,473
2.38% due 01/13/2022		1,097,000		1,078,049
2.50% due 01/01/2028		132,578		128,797
2.50% due 04/01/2028		448,311		435,522
2.50% due 03/01/2031		253,171		244,228
2.50% due 10/01/2032		357,039		344,390
2.50% due 11/01/2032		1,172,887		1,131,349
3.00% due 08/01/2027		279,703		277,642
3.00% due 10/01/2042		269,778		260,654
3.00% due 11/01/2042		291,398		281,526

264

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.00% due 02/01/2043	$	562,330	$	539,552
3.00% due 04/01/2043		322,330		311,078
3.00% due 08/01/2043		1,227,347		1,184,620
3.00% due 07/01/2045		1,078,979		1,036,248
3.00% due 10/01/2045		558,867		536,279
3.00% due 08/01/2046		671,031		643,181
3.50% due 01/01/2032		820,786		825,933
3.50% due 11/01/2041		282,327		280,056
3.50% due 03/01/2042		140,283		139,152
3.50% due 08/01/2042		247,127		245,137
3.50% due 09/01/2043		93,155		92,404
3.50% due 03/01/2045		818,147		807,744
3.50% due 07/01/2045		1,804,307		1,780,833
3.50% due 08/01/2045		414,026		408,895
3.50% due 10/01/2045		755,954		746,116
3.50% due 11/01/2045		952,493		940,097
3.50% due 01/01/2046		34,756		34,299
3.50% due 11/01/2047		956,904		942,510
3.50% due October TBA		13,100,000		12,893,266
3.75% due 03/27/2019		796,000		801,194
3.99% (6 ML+1.49%) due 02/01/2037 FRS		25,770		26,529
Federal Home Loan Mtg. Corp. 4.00% due 09/01/2040		213,448		217,428
4.00% due 07/01/2044		351,336		355,838
4.00% due 10/01/2045		362,738		367,012
4.00% due October TBA		10,300,000		10,400,953
4.20% (12 ML+1.89%) due 11/01/2037 FRS		204,054		214,710
4.50% due 04/01/2044		76,572		79,144
4.50% due 09/01/2044		783,759		810,193
4.50% due October TBA		1,300,000		1,341,691
5.00% due 11/01/2043		390,020		414,185
5.00% due October TBA		2,000,000		2,099,844
5.50% due 01/01/2036		144,137		156,115
6.00% due 03/01/2040		11,146		12,332
6.25% due 07/15/2032		206,000		271,593
6.75% due 03/15/2031		100,000		133,939
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(3)(4)		730,000		728,188
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K013, Class X1VRS 0.69% due 01/25/2021(3)(4)(5)		2,017,780		21,668
Series K064, Class X1 VRS 0.74% due 03/25/2027(3)(4)(5)		5,165,272		225,005
Series K068, Class A2 3.24% due 08/25/2027(4)		1,113,000		1,086,222

Security Description	Principal Amount(7)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2017-HQA1, Class M1 3.42% (1 ML+1.20%) due 08/25/2029(1)	$	414,759	$	417,556
Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043*(1)		197,093		199,397
Series 2015-DNA1, Class M2 4.07% (1 ML+1.85%) due 10/25/2027(1)		100,069		101,853
Series 2014-DN1, Class M2 4.42% (1 ML+2.20%) due 02/25/2024(1)		210,321		216,103
Series 2014-HQ2, Class M2 4.42% (1 ML+2.20%) due 09/25/2024(1)		368,329		379,398
Series 2015-HQA2, Class M2 5.02% (1 ML+2.80%) due 05/25/2028(1)		165,447		170,218
Federal Home Loan Mtg. Corp., REMIC Series 3883, Class PB 3.00% due 05/15/2041(1)		314,064		308,195
Series 4740, Class BA 3.00% due 09/15/2045(1)		475,986		465,175
Series 3820, Class DA 4.00% due 11/15/2035(1)		122,285		123,321
				51,969,029
Federal National Mtg. Assoc. — 14.3%
zero coupon due 10/09/2019		7,452,000		7,246,613
1.88% due 09/24/2026		837,000		758,996
2.50% due 04/01/2028		297,471		289,199
2.50% due 08/01/2031		938,790		906,550
2.50% due 01/01/2032		1,065,098		1,028,520
2.50% due October TBA		2,600,000		2,406,523
2.63% due 09/06/2024		2,025,000		1,976,175
2.64% due 03/01/2027		289,503		275,074
2.78% due 03/01/2027		588,076		563,048
2.88% due 11/01/2027		2,145,000		2,031,804
2.97% due 06/01/2027		1,066,169		1,029,319
2.97% due 06/01/2030		1,235,000		1,141,763
3.00% due 04/01/2027		31,914		31,713
3.00% due 07/01/2027		1,510,000		1,445,440
3.00% due 10/01/2027		411,449		408,854
3.00% due 03/01/2030		975,963		967,408
3.00% due 10/01/2030		394,684		391,222
3.00% due 03/01/2042		525,847		507,983
3.00% due 12/01/2042		150,908		145,715
3.00% due 05/01/2043		370,150		357,238
3.00% due 02/01/2045		309,010		297,187
3.00% due 08/01/2046		481,150		461,249
3.00% due 09/01/2046		335,858		321,706
3.00% due 12/01/2046		529,862		507,481
3.00% due 01/01/2047		713,048		682,892

265

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
3.00% due 02/01/2048	$	1,538,231	$	1,473,088
3.00% due October TBA		2,600,000		2,567,746
3.13% due 02/01/2027		402,000		391,790
3.16% due 08/01/2027		2,025,000		1,963,546
3.50% due 08/01/2026		145,190		146,007
3.50% due 09/01/2026		172,824		173,800
3.50% due 08/01/2027		26,388		26,537
3.50% due 10/01/2028		63,157		63,740
3.50% due 03/01/2042		306,336		303,856
3.50% due 08/01/2042		711,779		703,830
3.50% due 07/01/2045		248,490		245,595
3.50% due 08/01/2045		606,180		599,112
3.50% due 09/01/2045		549,249		542,845
3.50% due 10/01/2045		490,240		484,524
3.50% due 11/01/2045		560,846		554,396
3.50% due 12/01/2045		791,777		782,545
3.50% due 02/01/2046		341,651		337,632
3.50% due 03/01/2046		531,560		524,380
3.50% due 07/01/2046		858,715		848,702
3.50% due 12/01/2047		1,647,898		1,624,960
3.50% due 04/01/2048		1,615,286		1,592,688
3.50% due October TBA		73,100,000		71,932,513
3.59% (12 ML+1.76%) due 05/01/2040 FRS		197,049		206,336
3.81% (12 ML+1.83%) due 10/01/2040 FRS		114,214		119,887
3.90% (12 ML+1.57%) due 05/01/2037 FRS		40,221		41,883
3.98% (12 ML+1.66%) due 07/01/2039 FRS		147,746		154,287
4.00% due 10/01/2040		153,535		156,208
4.00% due 11/01/2040		273,181		277,934
4.00% due 10/01/2041		241,789		246,000
4.00% due 11/01/2041		218,658		222,577
4.00% due 01/01/2043		814,960		829,565
4.00% due 10/01/2044		455,478		461,014
4.00% due 02/01/2045		832,616		846,416
4.00% due 02/01/2046		56,369		56,994
4.00% due 01/01/2047		936,544		946,404
4.00% due 05/01/2047		210,832		213,036
4.00% due 07/01/2047		2,587,743		2,614,662
4.00% due 08/01/2047		431,643		436,112
4.00% due 06/01/2048		1,175,537		1,191,630
4.04% (6 ML+1.54%) due 09/01/2035 FRS		176,280		182,272
4.15% (1 Yr USTYCR+2.19%) due 10/01/2035 FRS		224,746		236,149
4.25% (1 Yr USTYCR+2.26%) due 11/01/2036 FRS		81,946		86,227
4.40% (12 ML+1.91%) due 08/01/2035 FRS		124,551		131,231
4.50% due 10/01/2024		47,541		48,148
4.50% due 06/01/2039		145,115		150,336
4.50% due 05/01/2041		98,525		102,509
4.50% due 03/01/2042		289,699		301,177
4.50% due 08/01/2045		930,503		975,388

Security Description	Principal Amount(7)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
4.50% due 04/01/2047	$	710,032	$	733,148
4.50% due 11/01/2047		861,614		889,414
4.55% (12 ML+1.82%) due 10/01/2040 FRS		47,401		49,467
5.00% due 05/01/2040		227,955		242,538
5.00% due 06/01/2040		22,230		23,616
5.00% due 07/01/2040		522,638		556,064
5.00% due 02/01/2045		576,599		613,310
5.50% due 12/01/2029		35,723		38,115
5.50% due 08/01/2037		133,398		143,835
5.50% due 06/01/2038		79,242		85,525
5.50% due October TBA		1,900,000		2,027,508
6.00% due 11/01/2038		9,016		9,930
6.00% due 06/01/2040		73,029		80,432
6.50% due 10/01/2037		959		1,052
6.63% due 11/15/2030		871,000		1,147,684
7.25% due 05/15/2030		2,260,000		3,091,122
Fannie Mae Connecticut Avenue Securities FRS Series 2018-C05, Class 1M1 2.94% (1 ML+0.72%) due 01/25/2031(1)		826,858		828,352
Series 2013-C01, Class M1 4.22% (1 ML+2.00%) due 10/25/2023(1)		3,257		3,263
Series 2016-C07, Class 2M2 6.57% (1 ML+4.35%) due 05/25/2029(1)		940,000		1,051,511
Series 2014-C04, Class 1M2 7.12% (1 ML+4.90%) due 11/25/2024(1)		325,380		372,578
Series 2015-C04, Class 1M2 7.92% (1 ML+5.70%) due 04/25/2028(1)		163,348		189,922
Series 2016-C02, Class 1M2 8.22% (1 ML+6.00%) due 09/25/2028(1)		113,000		132,939
Federal National Mtg. Assoc., REMIC Series 2012-21, Class PQ 2.00% due 09/25/2041(1)		274,538		257,253
Series 2012-18, Class GA 2.00% due 12/25/2041(1)		526,782		494,890
Series 2012-75, Class KC 2.50% due 12/25/2041(1)		566,661		542,977
Series 2015-48, Class QB 3.00% due 02/25/2043(1)		747,388		730,055
Series 2017-94, Class DA 3.00% due 06/25/2045(1)		140,912		137,525
Series 2017-72, Class B 3.00% due 09/25/2047(1)		671,894		654,870
Series 2017-72, Class CD 3.00% due 09/25/2047(1)		693,409		675,822
Series 2018-27, Class EA 3.00% due 05/25/2048(1)		725,112		692,630
Series 2017-96, Class PA 3.00% due 12/25/2054(1)		757,785		738,711

266

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Series 2012-52, Class PA 3.50% due 05/25/2042(1)	$	292,367	$	292,737
Series 2018-38, Class PC 3.50% due 03/25/2045(1)		743,036		743,516
Series 2018-77, Class PA 3.50% due 02/25/2048(1)		342,000		340,178
Series 2018-23, Class LA 3.50% due 04/25/2048(1)		635,345		632,625
				144,543,000
Government National Mtg. Assoc. — 4.1%
3.00% due 02/20/2045		295,486		288,548
3.00% due 05/20/2045		238,221		231,645
3.00% due 07/20/2045		53,172		51,693
3.00% due October TBA		7,000,000		6,779,063
3.50% due 03/20/2045		199,178		198,573
3.50% due 04/20/2045		307,785		306,851
3.50% due 07/20/2045		94,459		94,173
3.50% due 03/20/2047		495,716		493,291
3.50% due October TBA		14,300,000		14,215,151
4.00% due 03/15/2039		101,816		103,591
4.00% due 04/15/2039		8,250		8,394
4.00% due 05/15/2039		37,287		37,938
4.00% due 08/15/2039		9,837		10,009
4.00% due 10/15/2039		39,436		40,123
4.00% due 03/15/2040		31,593		32,144
4.00% due 09/15/2040		27,691		28,243
4.00% due 10/15/2040		21,670		22,180
4.00% due 12/15/2040		13,973		14,263
4.00% due 01/15/2041		4,451		4,530
4.00% due 02/15/2041		8,807		9,020
4.00% due 06/15/2041		120,598		123,478
4.00% due 07/15/2041		27,929		28,585
4.00% due 08/15/2041		318,395		325,326
4.00% due 09/15/2041		59,709		61,103
4.00% due 10/15/2041		135,471		138,481
4.00% due 11/15/2041		136,842		139,627
4.00% due 12/15/2041		135,577		138,412
4.00% due 01/15/2042		29,058		29,671
4.00% due 02/15/2042		7,129		7,253
4.00% due 03/15/2042		99,535		101,858
4.00% due 04/15/2042		4,259		4,333
4.00% due 03/20/2044		135,309		138,689
4.00% due 07/20/2045		386,915		396,584
4.00% due 10/20/2045		66,776		68,444
4.00% due October TBA		6,500,000		6,610,449
4.50% due 10/15/2018		316		319
4.50% due 09/15/2033		55,818		58,200
4.50% due 03/15/2039		82,103		85,579
4.50% due 05/15/2039		46,799		48,813
4.50% due 07/15/2039		27,126		28,305
4.50% due 10/15/2039		97,971		102,201
4.50% due 01/15/2040		30,087		31,390
4.50% due 02/15/2040		49,603		51,762
4.50% due 03/15/2040		31,206		32,279
4.50% due 04/15/2040		1,583		1,652

Security Description	Principal Amount(7)		Value (Note 2)
Government National Mtg. Assoc. (continued)
4.50% due 05/15/2040	$	7,350	$	7,670
4.50% due 07/15/2040		31,693		33,178
4.50% due 04/15/2041		10,388		10,743
4.50% due 05/15/2041		124,695		130,147
4.50% due 06/15/2041		17,346		18,077
4.50% due 07/15/2041		106,083		110,377
4.50% due 08/15/2041		59,104		61,650
4.50% due 04/20/2047		240,984		250,360
4.50% due October TBA		6,800,000		7,027,150
5.00% due 06/15/2033		2,215		2,352
5.00% due 08/15/2033		17,308		18,381
5.00% due 09/15/2033		35,686		37,900
5.00% due 10/15/2033		19,361		20,560
5.00% due 11/15/2033		3,945		4,199
5.00% due 06/15/2034		60,933		64,297
5.00% due 05/15/2035		2,728		2,843
5.00% due 09/15/2035		2,277		2,417
5.00% due 11/15/2035		89,468		93,221
5.00% due 02/15/2036		25,067		26,121
5.00% due 02/20/2036		96,359		102,673
5.00% due 05/15/2036		80,477		85,277
5.00% due 06/15/2036		41,007		42,728
5.00% due 08/15/2038		270,694		283,770
5.50% due 02/15/2032		1,582		1,696
5.50% due 03/15/2032		4,336		4,655
5.50% due 12/15/2032		3,873		4,168
5.50% due 01/15/2033		2,130		2,313
5.50% due 02/15/2033		11,358		12,321
5.50% due 03/15/2033		51,270		55,271
5.50% due 04/15/2033		44,879		48,606
5.50% due 06/15/2033		51,339		55,474
5.50% due 07/15/2033		206,932		223,144
5.50% due 08/15/2033		41,889		45,080
5.50% due 09/15/2033		9,739		10,589
5.50% due 11/15/2033		34,310		36,788
5.50% due 12/15/2033		1,450		1,555
5.50% due 01/15/2034		73,806		80,048
5.50% due 02/15/2034		29,795		31,947
6.00% due 04/15/2028		83,409		91,068
6.00% due 01/15/2029		15,769		17,037
6.00% due 03/15/2029		20,599		22,255
6.00% due 11/15/2031		3,500		3,781
6.00% due 12/15/2031		3,446		3,723
6.00% due 04/15/2032		11,820		12,898
6.00% due 09/15/2032		9,966		10,880
6.00% due 10/15/2032		65,041		71,080
6.00% due 11/15/2032		18,123		19,806
6.00% due 01/15/2033		2,588		2,827
6.00% due 02/15/2033		25,920		28,459
6.00% due 03/15/2033		8,546		9,256
6.00% due 09/15/2033		14,017		15,145
6.00% due 01/15/2034		77,926		84,194
6.00% due 03/15/2034		14,926		16,126
6.00% due 05/15/2034		2,228		2,407
6.00% due 07/15/2034		4,015		4,337
6.00% due 08/15/2034		76,388		82,532

267

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
6.00% due 09/15/2034	$	4,137	$	4,485
6.00% due 11/15/2034		68,480		73,988
6.00% due 03/15/2035		41,795		45,157
6.00% due 08/15/2035		39,146		42,309
6.00% due 01/15/2036		27,620		30,273
6.00% due 02/15/2036		36,533		39,471
6.00% due 04/15/2036		43,256		46,734
6.00% due 05/15/2036		28,813		31,305
6.00% due 06/15/2036		47,668		51,797
6.00% due 07/15/2036		4,033		4,357
6.00% due 08/15/2036		53,519		58,642
6.00% due 09/15/2036		12,568		13,579
6.00% due 10/15/2036		151,480		163,879
6.00% due 11/15/2036		41,949		45,749
6.00% due 12/15/2036		11,902		12,859
6.50% due 09/15/2028		3,635		3,989
6.50% due 09/15/2031		6,835		7,498
6.50% due 10/15/2031		4,570		5,014
6.50% due 11/15/2031		1,171		1,285
6.50% due 12/15/2031		3,862		4,237
7.50% due 09/15/2030		17,562		17,828
				41,974,208
Tennessee Valley Authority — 0.1%
1.75% due 10/15/2018		105,000		104,980
4.25% due 09/15/2065		577,000		630,445
				735,425
Total U.S. Government Agencies (cost $243,292,943)				240,178,205
U.S. GOVERNMENT TREASURIES — 35.6%
United States Treasury Bonds — 7.8%
2.25% due 08/15/2046		2,722,000		2,247,777
2.50% due 02/15/2045		5,500,000		4,817,012
2.50% due 02/15/2046		1,638,000		1,429,539
2.50% due 05/15/2046		3,258,000		2,841,078
2.75% due 08/15/2042		2,787,000		2,580,915
2.75% due 11/15/2042		1,787,000		1,653,813
2.75% due 08/15/2047		568,000		520,186
2.75% due 11/15/2047		1,004,000		919,091
2.88% due 05/15/2043		1,774,000		1,677,123
2.88% due 08/15/2045		2,826,000		2,661,076
2.88% due 11/15/2046		499,000		469,294
3.00% due 05/15/2042		875,000		847,485
3.00% due 11/15/2044		2,911,000		2,809,911
3.00% due 05/15/2045		787,000		759,394
3.00% due 11/15/2045		4,773,000		4,603,148
3.00% due 05/15/2047		3,224,000		3,105,115
3.00% due 02/15/2048		2,170,000		2,088,371
3.00% due 08/15/2048		500,000		481,191
3.13% due 02/15/2043		1,770,000		1,748,566
3.13% due 08/15/2044		3,825,000		3,777,038
3.13% due 05/15/2048		1,327,000		1,309,324
3.38% due 05/15/2044		869,000		896,054
3.63% due 08/15/2043		3,158,000		3,388,805
3.63% due 02/15/2044		4,740,000		5,091,797
3.75% due 11/15/2043		2,990,000		3,273,933

Security Description	Principal Amount(7)		Value (Note 2)
United States Treasury Bonds (continued)
3.88% due 08/15/2040	$	1,577,000	$	1,750,901
4.25% due 11/15/2040		1,100,000		1,287,258
4.38% due 11/15/2039		1,082,000		1,283,903
4.38% due 05/15/2040		953,000		1,132,395
4.50% due 02/15/2036		1,034,000		1,226,825
4.63% due 02/15/2040		1,159,000		1,420,997
4.75% due 02/15/2041		1,123,000		1,405,110
5.25% due 11/15/2028		1,045,000		1,242,938
5.25% due 02/15/2029		1,966,000		2,346,913
5.38% due 02/15/2031		1,289,000		1,592,872
6.13% due 11/15/2027		544,000		676,791
6.25% due 08/15/2023		1,613,000		1,854,068
6.38% due 08/15/2027		1,217,000		1,530,853
6.75% due 08/15/2026		377,000		475,329
7.88% due 02/15/2021		1,267,000		1,412,012
8.75% due 05/15/2020		1,035,000		1,133,204
8.75% due 08/15/2020		1,389,000		1,537,992
				79,307,397
United States Treasury Notes — 27.8%
0.01% due 01/24/2019		172,000		170,788
0.38% due 07/15/2027 TIPS(12)(15)(16)		15,041,950		14,369,763
0.88% due 07/31/2019		4,109,000		4,051,217
1.00% due 06/30/2019		5,150,000		5,092,264
1.00% due 11/30/2019		7,446,000		7,301,443
1.13% due 05/31/2019		1,362,000		1,349,604
1.13% due 12/31/2019		4,241,000		4,158,665
1.13% due 04/30/2020		2,743,000		2,673,139
1.13% due 02/28/2021		2,872,000		2,756,335
1.13% due 07/31/2021		2,131,000		2,029,694
1.13% due 08/31/2021		3,679,000		3,498,786
1.13% due 09/30/2021		2,760,000		2,621,137
1.25% due 01/31/2020		3,306,000		3,241,946
1.25% due 02/29/2020		7,378,000		7,224,676
1.25% due 10/31/2021		7,625,000		7,257,749
1.38% due 02/29/2020		6,085,000		5,969,005
1.38% due 05/31/2020		4,553,000		4,448,245
1.38% due 08/31/2020		3,758,000		3,657,297
1.38% due 10/31/2020		1,229,000		1,192,850
1.38% due 05/31/2021		2,443,000		2,349,479
1.50% due 07/15/2020		3,447,000		3,368,635
1.50% due 01/31/2022		12,752,000		12,185,632
1.50% due 02/28/2023		6,709,000		6,310,129
1.50% due 08/15/2026		3,171,000		2,831,356
1.63% due 08/15/2022		4,238,000		4,036,529
1.63% due 11/15/2022		4,550,000		4,319,478
1.63% due 02/15/2026		3,744,000		3,397,534
1.63% due 05/15/2026		2,455,000		2,220,816
1.75% due 10/31/2020		3,843,000		3,758,784
1.75% due 05/15/2022		4,641,000		4,455,722
1.75% due 05/15/2023		9,605,000		9,110,117
1.88% due 11/30/2021		9,434,000		9,146,189
1.88% due 01/31/2022		69,000		66,744
1.88% due 10/31/2022		967,000		927,829
1.88% due 08/31/2024		7,174,000		6,744,961
2.00% due 05/31/2021		3,075,000		3,006,293
2.00% due 11/15/2021		4,434,000		4,316,395

268

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Notes (continued)
2.00% due 02/15/2023	$	8,911,000	$	8,567,787
2.00% due 02/15/2025		8,867,000		8,350,913
2.00% due 08/15/2025		3,825,000		3,584,443
2.00% due 11/15/2026		4,490,000		4,153,952
2.13% due 06/30/2021		4,986,000		4,887,254
2.13% due 08/15/2021		6,481,000		6,346,317
2.13% due 02/29/2024		3,937,000		3,771,369
2.13% due 03/31/2024		4,502,000		4,309,610
2.13% due 09/30/2024		1,983,000		1,889,350
2.13% due 05/15/2025		3,749,000		3,549,688
2.25% due 07/31/2021		3,756,000		3,691,444
2.25% due 11/15/2024		3,725,000		3,569,743
2.25% due 12/31/2024		3,515,000		3,366,299
2.25% due 11/15/2025		5,147,000		4,892,264
2.25% due 08/15/2027		2,623,000		2,459,882
2.25% due 11/15/2027		3,771,000		3,529,715
2.38% due 04/30/2020		300,000		298,113
2.38% due 08/15/2024		5,657,000		5,470,275
2.38% due 05/15/2027		3,936,000		3,736,894
2.50% due 08/15/2023		6,555,000		6,421,852
2.63% due 08/15/2020		922,000		918,723
2.63% due 11/15/2020		2,646,000		2,633,804
2.63% due 05/15/2021		4,907,000		4,876,140
2.63% due 06/30/2023		285,000		280,948
2.63% due 03/31/2025		3,886,000		3,798,413
2.88% due 05/15/2028		2,104,000		2,072,276
3.38% due 11/15/2019		759,000		764,515
3.50% due 05/15/2020		671,000		678,418
3.63% due 02/15/2020		3,814,000		3,858,248
3.63% due 02/15/2021		8,096,000		8,234,834
				280,580,708
Total U.S. Government Treasuries (cost $368,644,321)				359,888,105
MUNICIPAL BONDS & NOTES — 0.3%
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		160,000		151,413
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029		355,000		351,887
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		460,000		584,715
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029		245,000		261,743
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033		910,000		989,752
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		700,000		708,050
Total Municipal Bonds & Notes (cost $3,072,757)				3,047,560

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(9)(10)(13) — 1.2%
Aerospace/Defense-Equipment — 0.0%
Transdigm, Inc. FRS BTL 4.74% (1 ML+2.50) due 05/30/2025	$	207,936	$	208,441
Applications Software — 0.0%
SS&C European Holdings SARL FRS BTL-B4 4.49% (1 ML + 2.25%) due 04/16/2025		25,529		25,542
SS&C Technologies, Inc. FRS BTL-B3 4.49% (1 ML + 2.25) due 04/16/2025		65,769		65,800
				91,342
Broadcast Services/Program — 0.0%
Univision Communications, Inc. FRS BTL 4.99% (1 ML+2.75) due 03/15/2024		162,955		158,270
Building & Construction-Misc. — 0.0%
Ply Gem Industries, Inc. FRS BTL-B 6.09% (3 ML+3.75%) due 04/12/2025		99,750		100,290
Building Products-Cement — 0.0%
Quikrete Holdings, Inc. FRS BTL-B 4.99% (1 ML+2.75) due 11/15/2023		125,000		125,156
Building-Heavy Construction — 0.0%
Brand Industrial Services, Inc. FRS 1st Lien 6.60% (3 ML+4.25) due 06/21/2024		296,250		297,967
Cable/Satellite TV — 0.1%
Altice Financing SA FRS 1st Lien 4.91% (1 ML+2.75%) due 01/31/2026		99,250		96,521
CSC Holdings LLC FRS BTL-B 4.41% (1 ML+2.25%) due 07/17/2025		149,051		148,895
Numericable Group SA FRS BTL-B2 5.85% (1 ML+3.69%) due 01/31/2026		99,250		97,947
Unitymedia Finance LLC FRS BTL-B 4.41% (1 ML+2.25%) due 09/30/2025		145,000		145,091
				488,454

269

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(9)(10)(13) (continued)
Casino Hotels — 0.0%
Boyd Gaming Corp. FRS BTL-B 4.46% (1 ML+2.25%) due 09/15/2023	$	118,504	$	119,008
Caesars Resort Collection LLC FRS BTL-B 4.99% (1 ML+2.75) due 12/23/2024		147,274		148,037
				267,045
Cellular Telecom — 0.1%
Sprint Communications, Inc. FRS BTL-B 4.75% (1 ML+2.50%) due 02/02/2024		320,125		320,685
Chemicals-Specialty — 0.1%
Chemours Co. FRS BTL-B2 4.00% (1 ML+1.75%) due 04/03/2025		137,923		137,708
HB Fuller Co. FRS BTL-B 4.17% (1 ML+2.00%) due 10/20/2024		96,709		96,548
MacDermid, Inc. FRS BTL-B6 5.24% (1 ML +3.00%) due 06/07/2023		184,451		184,912
W.R. Grace & Co. FRS BTL-B1 4.14% (3 ML+1.75%) due 04/03/2025		36,842		36,965
W.R. Grace & Co. FRS BTL-B2 4.14% (3 ML+1.75%) due 04/03/2025		63,158		63,368
				519,501
Coal — 0.0%
Foresight Energy LLC 1st Lien 7.99% (1 ML+5.75%) due 03/28/2022		189,117		189,117
Commercial Services — 0.1%
AVSC Holding Corp. FRS BTL-B 5.59% (3 ML+3.25%) due 03/03/2025		174,312		174,094
Brightview Landscapes LLC FRS BTL-B 4.74% (3 ML+2.50%) due 08/15/2025		250,376		251,159
				425,253

Security Description	Principal Amount(7)		Value (Note 2)
Commercial Services-Finance — 0.0%
WEX, Inc. FRS BTL-B2 4.49% (1 ML +2.25%) due 06/30/2023	$	293,250	$	294,289
Computer Services — 0.1%
Tempo Acquisition LLC FRS BTL-B 5.24% (1 ML+3.00) due 05/01/2024		217,250		217,956
Xerox Business Services LLC FRS BTL-B 4.74% (1 ML +2.50%) due 12/07/2023		127,725		128,108
				346,064
Consulting Services — 0.0%
AlixPartners LLP FRS BTL-B 4.99% (1 ML+2.75) due 04/04/2024		98,500		98,887
Containers-Paper/Plastic — 0.1%
Berry Global, Inc. FRS BTL-T 3.94% (2 ML+1.75%) due 01/06/2021		427,179		427,102
Flex Acquisition Co, Inc. FRS BTL 5.26% (3 ML+3.00%) due 12/29/2023		98,750		98,647
Reynolds Group Holdings, Inc. FRS BTL-B 4.99% (1 ML+2.75) due 02/05/2023		244,272		245,357
				771,106
Cosmetics & Toiletries — 0.0%
Coty, Inc. FRS BTL-B 4.38% (1 ML+2.25%) due 04/07/2025		109,451		108,014
Data Processing/Management — 0.1%
First Data Corp. FRS BTL 4.21% (1 ML+2.00%) due 07/08/2022		517,823		518,098
Diagnostic Equipment — 0.0%
Lifescan Global Corp. FRS 1st Lien Coupon TBD due 09/28/2024		100,000		98,625
Dialysis Centers — 0.0%
U.S. Renal Care, Inc. FRS BTL 6.64% (3 ML+4.25) due 12/30/2022		233,400		227,273

270

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(9)(10)(13) (continued)
Direct Marketing — 0.0%
Acosta, Inc. FRS BTL 5.49% (1 ML+3.25%) due 09/26/2021	$	125,146	$	93,109
Distribution/Wholesale — 0.0%
Univar USA, Inc. FRS BTL-B3 4.49% (1 ML+2.25) due 07/01/2024		123,777		124,001
E-Commerce/Services — 0.0%
Shutterfly, Inc. FRS BTL-B2 5.00% (1ML+2.75%) due 08/17/2024		99,750		99,999
Electronic Components-Semiconductors — 0.0%
Microchip Technology, Inc. FRS BTL-B 4.25% (1ML+2.00%) due 05/29/2025		91,100		91,119
Enterprise Software/Service — 0.0%
Almonde, Inc. FRS BTL-B 5.89% (3 ML+3.50%) due 06/13/2024		225,851		225,936
Finance-Credit Card — 0.0%
Blackhawk Network Holdings LLC FRS BTL 5.39% (3 ML+3.00%) due 06/15/2025		99,750		100,290
Finance-Other Services — 0.0%
Financial Risk US Holdings, Inc. FRS BTL Coupon TBD due 10/01/2025		105,000		104,756
Food-Baking — 0.0%
Hostess Brands LLC FRS BTL-B 4.49% (1 ML+2.25) due 08/03/2022		145,910		145,982
Food-Meat Products — 0.0%
Informatica LLC FRS BTL-B 4.84% (3 ML+2.50) due 10/30/2022		103,079		103,208
Food-Misc./Diversified — 0.0%
Post Holdings, Inc. FRS BTL 4.22% (1 ML+2.00%) due 05/24/2024		207,375		207,297
Food-Retail — 0.0%
Albertson's LLC FRS BTL-B4 4.99% (1 ML+2.75) due 08/25/2021		139,054		139,159

Security Description	Principal Amount(7)		Value (Note 2)
Food-Retail (continued)
Albertson's LLC FRS BTL-B5 5.38% (3 ML+3.00) due 12/21/2022	$	98,011	$	98,060
				237,219
Gambling (Non-Hotel) — 0.1%
CEOC LLC FRS BTL-B 4.24% (1 ML+2.00%) due 10/07/2024		158,800		158,658
Golden Entertainment, Inc. FRS BTL-B 5.25% (1 ML+3.00) due 10/20/2024		208,425		209,207
Scientific Games International, Inc. FRS BTL-B4 5.03% (1 ML+2.75) due 08/14/2024		114,139		113,925
				481,790
Health Care Providers & Services — 0.0%
Enterprise Merger Sub, Inc. FRS BTL Coupon TBD due 09/26/2025		115,000		114,713
Insurance Brokers — 0.0%
HUB International, Ltd. FRS BTL-B1 5.34% (3 ML + 3.00%) due 04/25/2025		174,563		174,809
USI, Inc. FRS BTL-B 5.39% (3 ML + 3.00%) due 05/16/2024		108,900		108,861
				283,670
Insurance-Property/Casualty — 0.1%
Asurion LLC FRS BTL-B6 5.24% (1 ML+3.00%) due 11/03/2023		292,699		294,650
Sedgwick Claims Management Services, Inc. FRS 1st Lien 4.99% (1 ML+2.75) due 03/01/2021		159,559		159,592
Sedgwick Claims Management Services, Inc. FRS 2nd Lien 8.01% (1 ML+5.75) due 02/28/2022		125,000		125,351
				579,593
Investment Companies — 0.0%
Techem GmbH FRS BTL-B1 5.75% (2 ML+3.75%) due 07/31/2025	EUR	144,000		168,293

271

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(9)(10)(13) (continued)
Machinery-Electrical — 0.0%
Brookfield Wec Holdings, Inc. FRS BTL-B 5.99% (1 ML+3.75%) due 08/01/2025	$	100,000	$	101,188
Machinery-General Industrial — 0.0%
Gardner Denver, Inc. FRS BTL-B1 4.99% (1 ML+2.75) due 07/30/2024		135,807		136,580
RBS Global, Inc. FRS BTL-B 4.24% (1 ML+2.00%) due 08/21/2024		93,538		93,989
				230,569
Medical Labs & Testing Services — 0.1%
Jaguar Holding Co. II FRS BTL 4.74% (1 ML+2.50) due 08/18/2022		218,955		219,037
Syneos Health, Inc. FRS BTL-B 4.24% (1 ML+2.00%) due 08/01/2024		187,650		187,963
				407,000
Medical-Drugs — 0.0%
Valeant Pharmaceuticals International, Inc. FRS 5.10% (1 ML+3.00) due 06/02/2025		97,500		97,974
Medical-Generic Drugs — 0.0%
Endo Luxembourg Finance Co. I SARL FRS BTL-B 6.50% (1 ML+4.25) due 04/29/2024		182,688		183,886
Medical-HMO — 0.1%
MultiPlan, Inc. FRS BTL-B 5.14% (3 ML+2.75) due 06/07/2023		333,674		334,195
One Call Corp. FRS BTL-B1 7.38% (1 ML+5.25%) due 11/27/2022		236,369		223,861
				558,056
Metal Processors & Fabrication — 0.1%
CIRCOR International, Inc. FRS 1st Lien 5.64% (1 ML+3.50%) due 12/11/2024		99,250		99,746

Security Description	Principal Amount(7)		Value (Note 2)
Metal Processors & Fabrication (continued)
Crosby US Acquisition Corp. FRS 1st Lien 5.21% (1 ML+3.00%) due 11/23/2020	$	222,229	$	219,915
				319,661
Motion Pictures & Services — 0.0%
Delta 2 Lux SARL FRS BTL-B 4.74% (1 ML+2.50) due 02/01/2024		153,800		152,455
Oil & Gas Drilling — 0.0%
Paragon Offshore Finance Co. Escrow Loans †(8)(11)		706		0
Oil Companies-Exploration & Production — 0.0%
Ascent Resources — Marcellus LLC FRS 1st Lien 8.62% (1 ML+6.50%) due 03/30/2023		16,667		16,708
California Resources Corp. BTL 12.61% (1 ML+10.38%) due 12/31/2021		130,000		143,325
				160,033
Oil Companies-Integrated — 0.0%
PowerTeam Services LLC FRS BTL 5.64% (3 ML+3.25%) due 03/06/2025		237,095		236,305
Pharmacy Services — 0.0%
Change Healthcare Holdings LLC FRS BTL-B 4.99% (1 ML+2.75) due 03/01/2024		146,250		146,677
Publishing-Periodicals — 0.0%
Meredith Corp. FRS BTL-B 5.24% (1 ML+3.00) due 01/31/2025		88,639		89,119
Retail-Office Supplies — 0.0%
Staples, Inc. FRS BTL 6.34% (3 ML+4.00) due 09/12/2024		129,025		128,864
Retail-Sporting Goods — 0.0%
Bass Pro Group LLC FRS BTL-B 7.24% (1 ML+5.00) due 09/25/2024		123,750		124,949

272

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(9)(10)(13) (continued)
Rubber/Plastic Products — 0.0%
Gates Global LLC FRS BTL-B2 4.99% (1 ML+2.75) due 04/01/2024	$	124,076	$	124,774
Security Services — 0.0%
APX Group, Inc. FRS BTL-B 7.32% (3 ML+5.00%) due 04/01/2024		100,000		99,625
Soap & Cleaning Preparation — 0.0%
Diamond BC BV FRS BTL 5.24% (1 ML+3.00) due 09/06/2024		114,138		111,783
Telecom Services — 0.0%
Telenet Financing USD LLC FRS BTL Coupon TBD due 08/15/2026		100,000		99,521
Television — 0.0%
ION Media Networks, Inc. FRS BTL-B3 5.05% (2 ML+2.75%) due 12/18/2020		172,113		172,687
Theaters — 0.0%
Cineworld, Ltd. FRS BTL-B 4.74% (1 ML+2.50) due 02/28/2025		104,475		104,286
Transport-Services — 0.0%
Savage Enterprises LLC FRS BTL 6.77% (1 ML+4.50%) due 08/01/2025		98,750		99,943
Total Loans (cost $12,557,000)				12,564,207
FOREIGN GOVERNMENT OBLIGATIONS — 1.3%
Banks-Special Purpose — 0.0%
Brazilian Development Bank Senior Notes 5.50% due 07/12/2020		250,000		257,890
Sovereign — 1.3%
Abu Dhabi Government Senior Notes 3.13% due 10/11/2027		200,000		189,000
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047*		1,620,000		1,547,100
Dominican Republic Senior Bonds 7.45% due 04/30/2044		280,000		298,200
Federative Republic of Brazil Bonds 8.25% due 01/20/2034		53,000		62,143

Security Description	Principal Amount(7)		Value (Note 2)
Sovereign (continued)
Federative Republic of Brazil Notes 8.25% due 01/20/2034	$	27,000	$	31,658
Government of Egypt Senior Notes 7.50% due 01/31/2027		200,000		203,513
Government of Egypt Senior Notes 8.50% due 01/31/2047		400,000		400,863
Government of Romania Senior Notes 6.13% due 01/22/2044		882,000		994,455
Government of Ukraine Senior Notes 7.38% due 09/25/2032*		200,000		173,660
Government of Ukraine Senior Notes 7.75% due 09/01/2027		100,000		92,880
Kingdom of Saudi Arabia Senior Notes 4.50% due 10/26/2046		652,000		620,235
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047*		520,000		500,916
Kingdom of Saudi Arabia Senior Notes 5.00% due 04/17/2049		200,000		203,000
Lebanese Republic Senior Notes 6.38% due 03/09/2020		40,000		37,764
Oriental Republic of Uruguay Senior Notes 4.38% due 10/27/2027		100,000		101,851
Republic of Argentina Senior Notes 5.25% due 01/15/2028	EUR	385,000		355,655
Republic of Argentina Senior Notes 6.88% due 04/22/2021		150,000		143,250
Republic of Argentina Senior Notes 6.88% due 01/26/2027		50,000		42,500
Republic of Argentina Senior Notes 8.28% due 12/31/2033		280,408		253,068
Republic of Chile Senior Notes 3.24% due 02/06/2028		270,000		258,660
Republic of Chile Senior Notes 3.25% due 09/14/2021		100,000		100,072
Republic of Colombia Senior Notes 8.13% due 05/21/2024		300,000		360,000

273

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of Croatia Senior Notes 6.38% due 03/24/2021	$	200,000	$	212,000
Republic of Ecuador Senior Notes 9.63% due 06/02/2027		250,000		247,175
Republic of Ghana Senior Notes 8.63% due 06/16/2049*		410,000		410,000
Republic of Honduras Senior Notes 6.25% due 01/19/2027		150,000		153,952
Republic of Hungary Senior Notes 5.38% due 02/21/2023		250,000		264,876
Republic of Indonesia Senior Notes 2.95% due 01/11/2023		200,000		191,030
Republic of Ivory Coast Senior Notes 5.75% due 12/31/2032(6)		138,750		131,180
Republic of Panama Senior Notes 4.30% due 04/29/2053		557,000		536,112
Republic of Panama Senior Notes 4.50% due 04/16/2050		200,000		198,302
Republic of Peru Senior Notes 8.75% due 11/21/2033		100,000		147,750
Republic of Poland Senior Notes 5.13% due 04/21/2021		100,000		104,556
Republic of Senegal Senior Notes 6.75% due 03/13/2048*		200,000		178,808
Republic of Serbia Senior Bonds 4.88% due 02/25/2020		200,000		202,554
Republic of South Africa Senior Notes 5.65% due 09/27/2047		200,000		182,412
Republic of South Africa Senior Notes 5.88% due 09/16/2025		200,000		203,220
Republic of Sri Lanka Senior Notes 6.83% due 07/18/2026		250,000		245,411
Republic of the Philippines Senior Notes 4.00% due 01/15/2021		170,000		172,853
Republic of Turkey Senior Notes 7.00% due 06/05/2020		150,000		151,448
Republic of Turkey Senior Bonds 11.88% due 01/15/2030		200,000		260,720

Security Description	Shares/ Principal Amount(7)		Value (Note 2)
Sovereign (continued)
Russian Federation Senior Notes 4.75% due 05/27/2026	$	200,000	$	199,715
State of Qatar Senior Notes 4.50% due 01/20/2022		200,000		206,040
State of Qatar Senior Notes 5.10% due 04/23/2048*		600,000		624,000
Sultanate of Oman Senior Notes 4.75% due 06/15/2026		200,000		189,760
Sultanate of Oman Senior Notes 6.75% due 01/17/2048		200,000		194,524
United Mexican States Senior Notes 4.35% due 01/15/2047		200,000		181,302
United Mexican States Senior Bonds 4.75% due 03/08/2044		100,000		95,550
				12,855,693
Total Foreign Government Obligations (cost $13,502,023)				13,113,583
COMMON STOCKS — 0.0%
Insurance-Reinsurance — 0.0%
WMIH Corp.†		1,989		2,765
Oil & Gas Drilling — 0.0%
Paragon Offshore Litigation Trust Class A†(11)(17)		162		131
Paragon Offshore Litigation Trust Class B†(11)(17)		81		3,139
				3,270
Oil Companies-Exploration & Production — 0.0%
Ascent Resources — Marcellus LLC†(8)(11)(17)		11,973		37,715
TE Holdcorp LLC, Class A†(8)(11)(17)		2,426		2,547
				40,262
Television — 0.0%
ION Media Networks, Inc.†(8)(11)(17)		22		18,484
Total Common Stocks (cost $126,741)				64,781
PREFERRED SECURITIES — 0.0%
Electric-Distribution — 0.0%
Entergy Louisiana LLC 4.70%		7,606		173,037
Telecom Services — 0.0%
Qwest Corp. 6.13%		9,010		202,995
Total Preferred Securities (cost $415,371)				376,032

274

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.6%
Banks-Commercial — 0.5%
Banco Bilbao Vizcaya Argentaria SA 6.13% due 11/16/2027(14)	$	1,200,000	$	1,078,500
Banco Bilbao Vizcaya Argentaria SA 8.88% due 04/14/2021(14)	EUR	200,000		259,495
Banco de Sabadell SA 6.13% due 11/23/2022(14)	EUR	400,000		458,615
Banco de Sabadell SA 6.50% due 05/18/2022(14)	EUR	400,000		468,184
Caixa Geral de Depositos SA 10.75% due 03/30/2022(11)(14)	EUR	200,000		262,397
CaixaBank SA 6.75% due 06/13/2024(14)	EUR	400,000		501,182
Cooperatieve Rabobank UA 11.00% due 06/30/2019*(14)		147,000		155,159
Danske Bank A/S 5.88% due 04/06/2022(14)	EUR	200,000		236,274
DNB Bank ASA 6.50% due 03/26/2022(14)		200,000		204,769
Intesa Sanpaolo SpA 7.70% due 09/17/2025*(14)		825,000		795,102
Intesa Sanpaolo SpA 7.75% due 01/11/2027(14)	EUR	200,000		249,026
Standard Chartered PLC 7.50% due 04/02/2022(14)		405,000		416,137
				5,084,840
Banks-Fiduciary — 0.0%
State Street Corp. FRS 3.33% (3 ML+1.00%) due 06/01/2077		300,000		268,500
Banks-Money Center — 0.0%
BBVA Bancomer SA 5.13% due 01/18/2033*		200,000		181,750
Banks-Super Regional — 0.0%
Huntington Bancshares, Inc. Series E 5.70% due 04/15/2023(14)		122,000		120,932
Wells Fargo Capital X 5.95% due 12/01/2086		74,000		79,180
				200,112
Diversified Banking Institutions — 0.8%
Bank of Nova Scotia 4.65% due 10/12/2022(14)		363,000		340,539
Barclays PLC 7.88% due 03/15/2022(14)		225,000		232,594
BNP Paribas SA 5.13% due 11/15/2027*(14)		285,000		255,075
BNP Paribas SA 7.63% due 03/30/2021*(14)		270,000		283,500
Credit Agricole SA 8.13% due 12/23/2025*(14)		925,000		1,017,474
Credit Suisse Group AG 6.25% due 12/18/2024*(14)		1,535,000		1,513,894

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Banking Institutions (continued)
HSBC Holdings PLC 6.00% due 05/22/2027(14)	$	981,000	$	941,024
HSBC Holdings PLC 6.25% due 03/23/2023(14)		400,000		398,500
JPMorgan Chase & Co. Series CC 4.63% due 11/01/2022(14)		293,000		276,925
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(14)		170,000		176,375
Societe Generale SA 7.38% due 09/13/2021*(14)		800,000		825,000
UBS Group AG 6.88% due 03/22/2021(14)		450,000		463,235
UBS Group AG 7.00% due 02/19/2025(14)		450,000		477,745
UniCredit SpA 6.63% due 06/03/2023(14)	EUR	600,000		687,923
UniCredit SpA 8.00% due 06/03/2024(14)		400,000		376,408
				8,266,211
Electric-Integrated — 0.0%
Dominion Resources, Inc. 5.75% due 10/01/2054		109,000		113,431
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(8)(11)		58,000		6
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043		126,000		126,884
Insurance-Life/Health — 0.1%
Hanwha Life Insurance Co., Ltd. 4.70% due 04/23/2048*		318,000		302,504
Prudential Financial, Inc. 4.50% due 09/15/2047		77,000		71,032
Prudential Financial, Inc. 5.63% due 06/15/2043		148,000		154,290
				527,826
Insurance-Multi-line — 0.1%
Assurant, Inc. 7.00% due 03/27/2048		225,000		228,375
MetLife, Inc. 6.40% due 12/15/2066		167,000		177,020
				405,395
Pipelines — 0.1%
Energy Transfer Partners LP 6.25% due 02/15/2023(14)		149,000		143,412
EnLink Midstream Partners LP 6.00% due 12/15/2022(14)		124,000		112,104
Enterprise Products Operating LLC 5.25% due 08/16/2077		96,000		89,462

275

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares/ Principal Amount(7)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Pipelines (continued)
TransCanada Trust 5.30% due 03/15/2077	$	99,000	$	94,174
TransCanada Trust 5.63% due 05/20/2075		73,000		71,540
				510,692
Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. 5.75% due 12/15/2053		251,000		254,137
Total Preferred Securities/Capital Securities (cost $15,831,693)				15,939,784
OPTIONS — PURCHASED†(11)(20) — 0.0%
Over the Counter Purchased Put Options on Interest Rate Swap Contracts (cost $335,094)		22,290,000		336,844
WARRANTS† — 0.0%
Oil Companies-Exploration & Production — 0.0%
Ascent Resources — Marcellus LLC(8)(11))(17) Expires 03/30/2023 (cost $296)		3,100		93
Total Long-Term Investment Securities (cost $1,151,732,970)				1,130,992,764
SHORT-TERM INVESTMENT SECURITIES — 0.8%
Foreign Government Obligations — 0.1%
Government of Egypt Bills 16.77% due 03/05/2019	EGP	4,275,000		220,385
Government of Egypt Bills 17.41% due 10/16/2018	EGP	11,075,000		614,211
				834,596
Registered Investment Companies — 0.7%
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(18)		7,078,657		7,078,657
Total Short-Term Investment Securities (cost $7,928,283)				7,913,253
REPURCHASE AGREEMENTS — 1.2%
Bank of America Securities LLC Joint Repurchase Agreement(19)		2,270,000		2,270,000
Barclays Capital, Inc. Joint Repurchase Agreement(19)		755,000		755,000
BNP Paribas SA Joint Repurchase Agreement(19)		4,310,000		4,310,000
Deutsche Bank AG Joint Repurchase Agreement(19)		800,000		800,000

Security Description	Principal Amount(7)			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
RBS Securities, Inc. Joint Repurchase Agreement(19)	$	3,535,000		$	3,535,000
Total Repurchase Agreements (cost $11,670,000)					11,670,000
TOTAL INVESTMENTS (cost $1,171,331,253)(21)		113.6	%		1,150,576,017
Liabilities in excess of other assets		(13.6	)		(138,135,899	)
NET ASSETS		100.0	%	$	1,012,440,118

*  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, 2018, the aggregate value of these securities was $198,796,483 representing 19.6% 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)  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.

(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, 2018.

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

(8)  Securities classified as Level 3 (see Note 2).

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

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

(11)  Illiquid security. At September 30, 2018, the aggregate value of these securities was $6,069,895 representing 0.6% of net assets.

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

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

276

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

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

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

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

(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, 2018, the Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks:
Ascent Resources — Marcellus LLC	03/30/2018		11,973	$	36,240	$	37,715	$	3.15		0.00	%
ION Media Networks, Inc.	03/05/2014		22		0		18,484		840.18		0.00
Paragon Offshore Litigation Trust, Class A	07/11/2014		162		92		131		0.81		0.00
Paragon Offshore Litigation Trust, Class B	07/14/2014		81		1,377		3,139		38.75		0.00
TE Holdcorp. LLC, Class A	09/18/2014		2,426		89,032		2,547		1.05		0.00
Warrants:
Ascent Resources — Marcellus LLC	03/30/2018		3,100		296		93		0.03		0.00
						$	62,109				0.00	%

(18)  The rate shown is the 7-day yield as of September 30, 2018.

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

(20)  Purchased Options

Over the Counter Purchased Put Options on Interest Rate Swap Contracts

Issue	Counterparty	Expiration Month	Strike Rate			Notional Amount(000's)		Premiums Paid		Value at September 30, 2018		Unrealized Appreciation (Depreciation)
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.20% versus 10 Yr. U.S. Treasury Bonds maturing on 05/31/2019	Bank of America, N.A.	May 2019		3.20	%	$	13,760	$	213,968	$	207,940	$	(6,028	)
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.20% versus 10 Yr. U.S. Treasury Bonds maturing on 05/31/2019	Goldman Sachs International	May 2019		3.20			8,530		121,126		128,904		7,778
								$	335,094	$	336,844	$	1,750

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

ARS — Argentine Peso

BTL — Bank Term Loan

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EGP — Egyptian Pound

EUR — Euro Currency

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.

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, 2018 and unless otherwise, the dates shown are the original maturity dates.

277

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Index Legend

1 ML — 1 Month USD LIBOR

2 ML — 2 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

COFI — 11th District Cost of Funds

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	61	Long	Canadian 10 Year Bonds	December 2018	$	6,268,416	$	6,263,167	$	(5,249	)
	41	Long	Long Gilt Future	December 2018		6,457,846		6,462,963		5,117
	156	Short	U.S. Treasury 10 Year Notes	December 2018		18,726,867		18,529,875		196,992
	118	Short	U.S. Treasury 10 Year Ultra Bonds	December 2018		15,072,517		14,868,000		204,517
	221	Long	U.S. Treasury 5 Year Notes	December 2018		25,034,961		24,857,320		(177,641	)
	80	Long	U.S. Treasury Long Bonds	December 2018		11,549,943		11,240,000		(309,943	)
	11	Short	U.S. Treasury Ultra Bonds	December 2018		1,743,315		1,697,094		46,221
									$	(39,986	)

*  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
HSBC Bank USA	EUR	2,887,000	USD	3,401,573	10/31/2018	$	42,031	$	—
State Street Bank and Trust Co.	EUR	384,000	USD	447,966	12/19/2018		—		(800	)
Net Unrealized Appreciation (Depreciation)						$	42,031	$	(800	)

EUR — Euro Currency

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	24,026	06/20/2028	USD-LIBOR-BBA/Quarterly	2.25%/Semi-annually	$	1,269,169		$	476,073
USD	4,835	12/20/2047	USD-LIBOR-BBA/Quarterly	2.75%/Semi-annually		(105,737	)		467,328
					$	1,163,432		$	943,401

278

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection(1)

										Value(4)
Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Implied Credit Spread at September 30, 2018(2)			Notional Amount (000's)(3)		Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Markit CDX Investment Grade Index		(1.00	)%	06/20/2023		0.55	%	$	4,820	$	(72,422	)	$	(22,993	)

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

USD — United States Dollar

(1)  If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation.

(3)  The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)  The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	—	$	153,626,141	$	342,939	$	153,969,080
U.S. Corporate Bonds & Notes:
Airlines		—		1,147,736		12,158		1,159,894
Finance-Investment Banker/Broker		—		188,484		23		188,507
Gambling (Non-Hotel)		—		196,875		23		196,898
Other Industries		—		270,850,555		—		270,850,555
Foreign Corporate Bonds & Notes		—		59,118,636		—		59,118,636
U.S. Government Agencies		—		240,178,205		—		240,178,205
U.S. Government Treasuries		—		359,888,105		—		359,888,105
Municipal Bond & Notes		—		3,047,560		—		3,047,560
Loans:
Oil & Gas Drilling		—		—		0		0
Other Industries		—		12,564,207		—		12,564,207
Foreign Government Obligations		—		13,113,583		—		13,113,583
Common Stocks:
Oil Companies-Exploration & Production		—		—		40,262		40,262
Television		—		—		18,484		18,484
Other Industries		2,765		3,270		—		6,035
Preferred Securities		376,032		—		—		376,032
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		6		6
Other Industries		—		15,939,778		—		15,939,778

279

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Options — Purchased	$	—	$	336,844	$	—	$	336,844
Warrants		—		—		93		93
Short-Term Investment Securities:
Foreign Government Obligations		—		834,596		—		834,596
Registered Investment Companies		7,078,657		—		—		7,078,657
Repurchase Agreements		—		11,670,000		—		11,670,000
Total Investments at Value	$	7,457,454	$	1,142,704,575	$	413,988	$	1,150,576,017
Other Financial Instruments:†
Futures Contracts	$	452,847	$	—	$	—	$	452,847
Forward Foreign Currency Contracts		—		42,031		—		42,031
Centrally Cleared Interest Rate Swap Contracts		—		943,401		—		943,401
Total Other Financial Instruments	$	452,847	$	985,432	$	—	$	1,438,279
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	492,833	$	—	$	—	$	492,833
Forward Foreign Currency Contracts		—		800		—		800
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection		—		22,993		—		22,993
Total Other Financial Instruments	$	492,833	$	23,793	$	—	$	516,626

*   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

280

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
United States Treasury Notes	38.5	%
Sovereign	37.9
United States Treasury Bonds	13.3
Federal National Mtg. Assoc.	11.7
Diversified Financial Services	5.5
Repurchase Agreements	0.9
Federal Home Loan Mtg. Corp.	0.4
Airlines	0.1
Theaters	0.1
Motion Pictures & Services	0.1
Telecom Equipment-Fiber Optics	0.1
Research & Development	0.1
Insurance Brokers	0.1
	108.8	%
Credit Quality†#
Aaa	67.5	%
Aa	18.1
A	2.3
Baa	5.8
Ba	0.1
B	0.3
Caa	0.2
Not Rated##	5.7
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

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

281

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Principal Amount(13)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS(1) — 37.9%
Sovereign — 37.9%
Federal Republic of Germany Bonds 0.10% due 04/15/2023	EUR	25,170,240	$	31,348,235
Government of Australia Senior Notes 1.00% due 11/21/2018	AUD	6,244,830		4,507,495
Government of Australia Senior Notes 3.00% due 09/20/2025	AUD	3,484,813		2,899,653
Government of Australia Senior Notes 4.00% due 08/20/2020	AUD	19,160,960		14,761,937
Government of Canada Bonds 2.00% due 12/01/2041	CAD	12,803,629		12,696,473
Government of Canada Bonds 4.25% due 12/01/2021	CAD	14,384,981		12,447,048
Government of France Bonds 0.10% due 03/01/2025	EUR	4,969,131		6,180,344
Government of France Bonds 0.25% due 07/25/2024	EUR	14,789,031		18,728,033
Government of France Bonds 1.10% due 07/25/2022	EUR	16,291,926		20,928,384
Government of France Bonds 1.30% due 07/25/2019	EUR	11,446,337		13,660,720
Government of France Bonds 2.10% due 07/25/2023	EUR	6,757,964		9,160,975
Government of Japan Senior Bonds 0.10% due 03/10/2025	JPY	469,084,100		4,281,290
Government of Japan Senior Bonds 0.10% due 03/10/2027	JPY	2,077,515,170		19,052,727
Government of Japan Senior Notes 0.10% due 03/10/2028	JPY	360,831,600		3,315,510
Government of New Zealand Senior Notes 2.00% due 09/20/2025	NZD	2,477,568		1,735,987
Government of Spain Senior Notes 0.55% due 11/30/2019*	EUR	8,253,456		9,861,343
Republic of Italy Senior Notes 2.35% due 09/15/2024*	EUR	17,916,936		21,848,998
Republic of Italy Senior Notes 2.60% due 09/15/2023	EUR	8,719,500		10,759,856
United Kingdom Gilt Treasury Bonds 0.13% due 03/22/2024	GBP	9,063,678		13,215,414

Security Description	Principal Amount(13)		Value (Note 2)
Sovereign (continued)
United Kingdom Gilt Treasury Notes 0.13% due 03/22/2026	GBP	5,434,415	$	8,145,539
United Kingdom Inflation Linked Gilt Treasury Bonds 1.88% due 11/22/2022	GBP	8,321,049		12,753,301
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 04/16/2020	GBP	12,372,174		17,375,681
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 07/17/2024	GBP	10,355,109		16,965,504
Total Foreign Government Obligations (cost $296,559,296)				286,630,447
U.S. GOVERNMENT AGENCIES — 12.1%
Federal Home Loan Mtg. Corp. — 0.4%
Structured Agency Credit Risk FRS Series 2018-HQA1, Class M2 4.52% (1 ML+2.30%) due 09/25/2030(2)		3,000,000		3,037,234
Federal National Mtg. Assoc. — 11.7%
3.50% due October TBA		71,600,000		70,456,469
Fannie Mae Connecticut Avenue Securities FRS Series 2018-C03, Class 1M2 4.37% (1 ML+2.15%) due 10/25/2030(2)		3,715,000		3,762,840
Series 2018-C02, Class 2M2 4.42% (1 ML+2.20%) due 08/25/2030(2)		3,700,000		3,747,727
Series 2018-C01, Class 1M2 4.47% (1 ML+2.25%) due 07/25/2030(2)		3,500,000		3,579,780
Series 2018-C05, Class 1M2 4.57% (1 ML+2.35%) due 01/25/2031(2)		3,690,000		3,749,976
Series 2018-C04, Class 2M2 4.77% (1 ML+2.55%) due 12/25/2030(2)		3,500,000		3,580,991
				88,877,783
Total U.S. Government Agencies (cost $92,163,611)				91,915,017
U.S. GOVERNMENT TREASURIES(1) — 51.8%
United States Treasury Bonds — 13.3%
2.38% due 01/15/2025 TIPS		47,991,417		52,283,136
2.50% due 01/15/2029 TIPS		42,100,424		48,371,633
				100,654,769
United States Treasury Notes — 38.5%
0.13% due 04/15/2019 TIPS(7)		1,782,070		1,770,724

282

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Notes (continued)
0.13% due 04/15/2021 TIPS	$	76,824,107	$	75,236,609
0.13% due 01/15/2022 TIPS		484,338		472,345
0.13% due 07/15/2024 TIPS		40,785,466		39,177,878
0.25% due 01/15/2025 TIPS		12,111,171		11,620,235
0.38% due 07/15/2025 TIPS		40,870,288		39,559,033
0.50% due 01/15/2028 TIPS		32,524,228		31,208,436
0.63% due 07/15/2021 TIPS		36,670,982		36,573,338
0.63% due 01/15/2024 TIPS		20,040,142		19,770,716
0.63% due 01/15/2026 TIPS		24,559,851		24,027,081
0.75% due 07/15/2028 TIPS		12,002,103		11,808,319
				291,224,714
Total U.S. Government Treasuries (cost $402,265,883)				391,879,483
ASSET BACKED SECURITIES — 5.5%
Diversified Financial Services — 5.5%
Atlas Senior Loan Fund, Ltd. FRS Series 2018-9A, Class A 3.22% (3 ML+0.87%) due 04/20/2028*		3,700,000		3,674,636
Atrium XIII FRS Series 13A, Class A1 3.53% (3 ML+1.18%) due 11/21/2030*		3,700,000		3,701,913
Bear Stearns ARM Trust VRS Series 2005-6, Class 3A1 4.38% due 08/25/2035(2)(3)		1,785,670		1,788,757
BlueMountain CLO, Ltd. FRS Series 2013-2A, Class A1R 3.53% (3 ML+1.18%) due 10/22/2030*		3,700,000		3,701,687
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-4A, Class A1RR 3.34% (3 ML+1.00%) due 01/15/2031*		2,000,000		1,988,782
CSMC Trust Series 2018-RPL8, Class A1 4.13% due 07/25/2058*		1,548,000		1,542,283
Dryden Senior Loan Fund FRS Series 2013-26A, Class AR 3.25% (3 ML+0.90%) due 04/15/2029*		3,700,000		3,672,783
Dryden Senior Loan Fund FRS Series 2015-41A, Class AR 3.31% (3 ML+0.97%) due 04/15/2031*		3,700,000		3,672,920

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
Dryden Senior Loan Fund FRS Series 2015-37A, Class AR 3.44% (3 ML+1.10%) due 01/15/2031*	$	2,500,000	$	2,499,677
LCM XX LP FRS Series –20A, Class AR 3.38% (3 ML+1.04%) due 10/20/2027*		1,625,000		1,625,000
Magnetite VII, Ltd. FRS Series 2012-7A, Class A1R2 3.14% (3 ML+0.80%) due 01/15/2028*		2,000,000		1,984,228
Neuberger Berman CLO XIX, Ltd. FRS Series 2015-19A, Class A1R2 3.14% (3 ML+0.80%) due 07/15/2027*		2,500,000		2,495,660
Sounds Point CLO IV-R, Ltd. FRS Series 2013-3RA, Class A 3.65% (3 ML+1.15%) due 04/18/2031*		3,700,000		3,694,128
Venture CLO, Ltd. FRS Series 2018-34A, Class A 3.55% (3 ML+1.23%) due 10/15/2031*		3,040,000		3,040,000
Venture CLO, Ltd. FRS Series 2017-29A, Class A 3.59% (3 ML+1.28%) due 09/07/2030*		1,110,000		1,112,155
VOLT LLC VRS Series 2018-NPL6, Class A1A 4.11% due 09/25/2048*(3)		1,270,000		1,269,495
Total Asset Backed Securities (cost $41,549,412)				41,464,104
LOANS(4)(5)(6) — 0.6%
Airlines — 0.1%
American Airlines, Inc. FRS BTL coupon TBD due 10/10/2021		900,000		899,578
Chemicals-Specialty — 0.0%
Starfruit Finco BV FRS BTL-B coupon TBD due 09/20/2025	EUR	100,000		117,092
Starfruit Finco BV FRS coupon TBD due 09/20/2025	EUR	130,000		130,522
				247,614
Food-Catering — 0.0%
8th Avenue Food & Provisions, Inc. FRS 1st Lien coupon TBD due 09/20/2025		150,000		151,188

283

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Security Description	Shares/ Principal Amount(13)		Value (Note 2)
LOANS(4)(5)(6) (continued)
Insurance Brokers — 0.1%
Financial & Risk Holdings, Inc. FRS BTL 6.00% (1ML+3.75%) due 09/17/2025	$	315,000	$	314,269
Leisure Products — 0.0%
Hayward Industries, Inc. FRS BTL-B coupon TBD due 08/04/2024		145,000		145,816
Motion Pictures & Services — 0.1%
Delta 2 Lux SARL FRS BTL-B 4.74% (1 ML+2.50) due 02/01/2024	EUR	750,000		743,437
Pipelines — 0.0%
Traverse Midstream Partners LLC FRS BTL-B 6.60% (3 ML+4.00) due 09/27/2024		100,000		100,536
Research & Development — 0.1%
PAREXEL International Corp. FRS BTL-B 4.99% (1 ML+2.75) due 09/27/2024		500,000		496,719
Telecom Equipment-Fiber Optics — 0.1%
Ciena Corp. FRS BTL-B coupon TBD due 09/20/2025		680,000		682,125
Theaters — 0.1%
Cineworld, Ltd. FRS BTL-B 4.74% (1 ML+2.50) due 02/28/2025		750,000		748,645
Web Hosting/Design — 0.0%
WEB.COM Group, Inc. FRS BTL-B coupon TBD due 09/14/2025		295,000		296,726
Total Loans (cost $4,821,835)				4,826,653
COMMON STOCKS — 0.0%
Printing-Commercial — 0.0%
Quad/Graphics, Inc.		56		1,167
Television — 0.0%
ION Media Networks, Inc.†(8)(9)(10)		233		195,762
Total Common Stocks (cost $2)				196,929
Total Long-Term Investment Securities (cost $837,360,039)				816,912,633

Security Description	Principal Amount(13)			Value (Note 2)
REPURCHASE AGREEMENTS — 0.9%
Bank of America Securities LLC Joint Repurchase Agreement(11)	$	1,255,000		$	1,255,000
Barclays Capital, Inc. Joint Repurchase Agreement(11)		415,000			415,000
BNP Paribas SA Joint Repurchase Agreement(11)		2,385,000			2,385,000
Deutsche Bank AG Joint Repurchase Agreement(11)		440,000			440,000
RBS Securities, Inc. Joint Repurchase Agreement(11)		1,950,000			1,950,000
Total Repurchase Agreements (cost $6,445,000)					6,445,000
TOTAL INVESTMENTS (cost $843,805,039)(12)		108.8	%		823,357,633
Liabilities in excess of other assets		(8.8	)		(66,308,410	)
NET ASSETS		100.0	%	$	757,049,223

*  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, 2018, the aggregate value of these securities was $71,385,688 representing 9.4% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

†  Non-income producing security

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

(2)  Collateralized Mortgage Obligation

(3)  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.

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

(5)  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.

(6)  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.

284

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

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

(8)  Illiquid security. At September 30, 2018, the aggregate value of this security was $195,762 representing 0.0% of net assets.

(9)  Securities classified as Level 3 (see Note 2).

(I0)  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, 2018, 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	$	195,762	$	840.18		0.03	%

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

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

(13)  Denominated in United States dollars unless otherwise indicated

AUD — Australian Dollar

BTL — Bank Term Loan

CAD — Canadian Dollar

CLO — Collateralized Loan Obligation

EUR — Euro Currency

GBP — Pound Sterling

JPY — Japanese Yen

NZD — New Zealand Dollar

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, 2018 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

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	90	Long	Canadian 10 Year Bonds	December 2018	$	9,248,366	$	9,240,739	$	(7,627	)
	59	Long	Long Gilt Future	December 2018		9,291,575		9,300,361		8,786
	87	Short	U.S. Treasury 10 Year Notes	December 2018		10,443,654		10,333,969		109,685
	131	Short	U.S. Treasury 10 Year Ultra Notes	December 2018		16,699,276		16,506,000		193,276
	85	Short	U.S. Treasury Ultra Bonds	December 2018		13,553,736		13,113,906		439,830
									$	743,950

*  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.

285

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
HSBC Bank USA	EUR	123,172,519	USD	145,126,542	10/31/2018	$	1,793,229	$	—
Morgan Stanley and Co., International PLC	GBP	52,750,000	USD	69,468,585	10/31/2018		625,912		—
	JPY	3,068,383,000	USD	27,317,009	10/31/2018		254,779		—
							880,691		—
State Street Bank and Trust Co.	AUD	30,870,000	USD	22,395,876	10/31/2018		77,450		—
	CAD	32,923,000	USD	25,446,215	10/31/2018		—		(59,716	)
	NZD	2,607,000	USD	1,734,580	10/31/2018		6,237		—
							83,687		(59,716	)
Net Unrealized Appreciation (Depreciation)						$	2,757,607	$	(59,716	)

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro Currency

GBP — Pound Sterling

JPY — Japanese Yen

NZD — New Zealand Dollar

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	—	$	286,630,447	$	—	$	286,630,447
U.S. Government Agencies		—		91,915,017		—		91,915,017
U.S. Government Treasuries		—		391,879,483		—		391,879,483
Asset Backed Securities		—		41,464,104		—		41,464,104
Loans		—		4,826,653		—		4,826,653
Common Stocks:
Printing-Commercial		1,167		—		—		1,167
Television		—		—		195,762		195,762
Repurchase Agreements		—		6,445,000		—		6,445,000
Total Investments at Value	$	1,167	$	823,160,704	$	195,762	$	823,357,633
Other Financial Instruments:†
Futures Contracts	$	751,577	$	—	$	—	$	751,577
Forward Foreign Currency Contracts		—		2,757,607		—		2,757,607
Total Other Financial Instruments	$	751,577	$	2,757,607	$		$	3,509,184
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	7,627	$	—	$	—	$	7,627
Forward Foreign Currency Contracts		—		59,716		—		59,716
Total Other Financial Instruments	$	7,627	$	59,716	$	—	$	67,343

*  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

286

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Medical-Biomedical/Gene	14.0	%
E-Commerce/Products	8.7
Applications Software	7.5
E-Commerce/Services	7.2
Repurchase Agreements	4.2
Finance-Credit Card	3.9
Internet Content-Entertainment	3.9
Electronic Components-Semiconductors	3.8
Computer Software	3.6
Commercial Services-Finance	3.4
Entertainment Software	3.4
Electronic Forms	3.2
Medical-Drugs	3.1
Industrial Automated/Robotic	2.8
Aerospace/Defense	2.7
Schools	2.6
Medical Instruments	2.5
Decision Support Software	2.4
Athletic Footwear	2.4
Medical-HMO	2.4
Finance-Investment Banker/Broker	2.3
Diagnostic Kits	2.2
Banks-Commercial	2.1
Retail-Discount	2.1
Oil Companies-Exploration & Production	2.0
Retail-Perfume & Cosmetics	1.9
	100.3	%

*  Calculated as a percentage of net assets

287

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.1%
Aerospace/Defense — 2.7%
Northrop Grumman Corp.		9,194	$	2,917,900
Applications Software — 7.5%
salesforce.com, Inc.†		25,599		4,071,009
ServiceNow, Inc.†		21,340		4,174,744
				8,245,753
Athletic Footwear — 2.4%
NIKE, Inc., Class B		30,712		2,601,921
Banks-Commercial — 2.1%
First Republic Bank		24,458		2,347,968
Commercial Services-Finance — 3.4%
PayPal Holdings, Inc.†		43,116		3,787,309
Computer Software — 3.6%
Splunk, Inc.†		32,362		3,912,889
Decision Support Software — 2.4%
MSCI, Inc.		14,676		2,603,669
Diagnostic Kits — 2.2%
IDEXX Laboratories, Inc.†		9,481		2,367,027
E-Commerce/Products — 8.7%
Alibaba Group Holding, Ltd. ADR†		26,325		4,337,307
Amazon.com, Inc.†		2,615		5,237,845
				9,575,152
E-Commerce/Services — 7.2%
Booking Holdings, Inc.†		1,803		3,577,152
Ctrip.com International, Ltd. ADR†		68,784		2,556,701
MercadoLibre, Inc.		5,312		1,808,577
				7,942,430
Electronic Components-Semiconductors — 3.8%
NVIDIA Corp.		14,667		4,121,720
Electronic Forms — 3.2%
Adobe Systems, Inc.†		13,029		3,517,179
Entertainment Software — 3.4%
Activision Blizzard, Inc.		45,338		3,771,668
Finance-Credit Card — 3.9%
Visa, Inc., Class A		28,580		4,289,572
Finance-Investment Banker/Broker — 2.3%
Charles Schwab Corp.		50,693		2,491,561
Industrial Automated/Robotic — 2.8%
Cognex Corp.		55,606		3,103,927
Internet Content-Entertainment — 3.9%
Facebook, Inc., Class A†		25,785		4,240,601
Medical Instruments — 2.5%
Edwards Lifesciences Corp.†		15,680		2,729,888
Medical-Biomedical/Gene — 14.0%
Alexion Pharmaceuticals, Inc.†		25,579		3,555,737
Celgene Corp.†		34,430		3,081,140
Exact Sciences Corp.†		18,410		1,452,917
Illumina, Inc.†		9,547		3,504,322
Vertex Pharmaceuticals, Inc.†		19,581		3,774,042
				15,368,158

Security Description	Shares/ Principal Amount			Value (Note 2)
Medical-Drugs — 3.1%
Bristol-Myers Squibb Co.		55,110		$	3,421,229
Medical-HMO — 2.4%
UnitedHealth Group, Inc.		9,768			2,598,679
Oil Companies-Exploration & Production — 2.0%
Pioneer Natural Resources Co.		12,455			2,169,536
Retail-Discount — 2.1%
Costco Wholesale Corp.		9,974			2,342,693
Retail-Perfume & Cosmetics — 1.9%
Ulta Beauty, Inc.†		7,557			2,131,981
Schools — 2.6%
New Oriental Education & Technology Group, Inc. ADR†		38,278			2,832,955
Total Long-Term Investment Securities (cost $71,007,033)					105,433,365
REPURCHASE AGREEMENTS — 4.2%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42% dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $4,567,160 and collateralized by $4,690,000 of United States Treasury Bonds, bearing interest at 3.13% due 02/15/2043 and having an approximate value of $4,660,270. (cost $4,567,000)	$	4,567,000			4,567,000
TOTAL INVESTMENTS (cost $75,574,033)(1)		100.3	%		110,000,365
Liabilities in excess of other assets		(0.3	)		(337,205	)
NET ASSETS		100.0	%	$	109,663,160

†  Non-income producing security

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

ADR — American Depositary Receipt

288

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	105,433,365	$	—	$	—	$	105,433,365
Repurchase Agreements		—		4,567,000		—		4,567,000
Total Investments at Value	$	105,433,365	$	4,567,000	$	—	$	110,000,365

*  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

289

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Diversified Banking Institutions	13.8	%
Electric-Integrated	5.2
Transport-Rail	5.0
Tobacco	4.5
Telephone-Integrated	4.2
Chemicals-Diversified	4.2
Medical-HMO	3.8
Oil-Field Services	3.8
Oil Refining & Marketing	3.7
Oil Companies-Exploration & Production	3.6
Food-Meat Products	3.4
Medical-Drugs	3.4
Instruments-Controls	3.3
Electronic Components-Misc.	3.2
Banks-Super Regional	3.0
Medical Products	2.9
Retail-Building Products	2.9
Insurance-Multi-line	2.8
Retail-Catalog Shopping	2.8
Semiconductor Equipment	2.7
Aerospace/Defense-Equipment	2.7
Computer Services	2.5
Insurance-Life/Health	2.5
Pharmacy Services	2.4
Oil Companies-Integrated	2.2
Semiconductor Components-Integrated Circuits	2.2
Pipelines	1.9
Repurchase Agreements	1.7
	100.3	%

*  Calculated as a percentage of net assets

290

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.6%
Aerospace/Defense-Equipment — 2.7%
United Technologies Corp.		63,000	$	8,808,030
Banks-Super Regional — 3.0%
Wells Fargo & Co.		185,000		9,723,600
Chemicals-Diversified — 4.2%
FMC Corp.		157,000		13,687,260
Computer Services — 2.5%
Teradata Corp.†		222,000		8,371,620
Diversified Banking Institutions — 13.8%
Bank of America Corp.		400,000		11,784,000
Citigroup, Inc.		160,000		11,478,400
JPMorgan Chase & Co.		117,000		13,202,280
Morgan Stanley		190,000		8,848,300
				45,312,980
Electric-Integrated — 5.2%
AES Corp.		670,000		9,380,000
NextEra Energy, Inc.		45,500		7,625,800
				17,005,800
Electronic Components-Misc. — 3.2%
Corning, Inc.		301,200		10,632,360
Food-Meat Products — 3.4%
Tyson Foods, Inc., Class A		189,769		11,296,949
Instruments-Controls — 3.3%
Honeywell International, Inc.		65,000		10,816,000
Insurance-Life/Health — 2.5%
Unum Group		206,000		8,048,420
Insurance-Multi-line — 2.8%
MetLife, Inc.		200,000		9,344,000
Medical Products — 2.9%
Baxter International, Inc.		124,000		9,559,160
Medical-Drugs — 3.4%
Bristol-Myers Squibb Co.		179,000		11,112,320
Medical-HMO — 3.8%
Humana, Inc.		37,000		12,525,240
Oil Companies-Exploration & Production — 3.6%
Anadarko Petroleum Corp.		175,000		11,796,750
Oil Companies-Integrated — 2.2%
Chevron Corp.		59,204		7,239,465
Oil Refining & Marketing — 3.7%
Marathon Petroleum Corp.		90,000		7,197,300
Valero Energy Corp.		43,800		4,982,250
				12,179,550
Oil-Field Services — 3.8%
Halliburton Co.		163,500		6,626,655
TechnipFMC PLC		185,000		5,781,250
				12,407,905
Pharmacy Services — 2.4%
Express Scripts Holding Co.†		84,000		7,980,840
Pipelines — 1.9%
Williams Cos., Inc.		231,500		6,294,485

Security Description	Shares/ Principal Amount			Value (Note 2)
Retail-Building Products — 2.9%
Lowe's Cos., Inc.		82,800		$	9,507,096
Retail-Catalog Shopping — 2.8%
Qurate Retail Group, Inc.†		411,100			9,130,531
Semiconductor Components-Integrated Circuits — 2.2%
QUALCOMM, Inc.		99,384			7,158,629
Semiconductor Equipment — 2.7%
Applied Materials, Inc.		228,850			8,845,052
Telephone-Integrated — 4.2%
Verizon Communications, Inc.		257,000			13,721,230
Tobacco — 4.5%
Altria Group, Inc.		108,312			6,532,297
Philip Morris International, Inc.		100,000			8,154,000
					14,686,297
Transport-Rail — 5.0%
CSX Corp.		160,000			11,848,000
Union Pacific Corp.		27,100			4,412,693
					16,260,693
Total Long-Term Investment Securities (cost $238,927,307)					323,452,262
REPURCHASE AGREEMENTS — 1.7%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42% dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $5,608,196 and collateralized by $5,760,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $5,720,786. (cost $5,608,000)	$	5,608,000			5,608,000
TOTAL INVESTMENTS (cost $244,535,307)(1)		100.3	%		329,060,262
Liabilities in excess of other assets		(0.3	)		(888,368	)
NET ASSETS		100.0	%	$	328,171,894

†  Non-income producing security

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

291

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	323,452,262	$	—	$	—	$	323,452,262
Repurchase Agreements		—		5,608,000		—		5,608,000
Total Investments at Value	$	323,452,262	$	5,608,000	$	—	$	329,060,262

*  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 SA Allocation Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	60.9	%
Domestic Fixed Income Investment Companies	20.3
International Equity Investment Companies	18.8
	100.0	%

*  Calculated as a percentage of net assets

293

Seasons Series Trust SA Allocation Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 60.9%
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1		809,316	$	14,171,122
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1		892,500		15,841,877
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1		92,609		1,965,154
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1		136,442		2,416,384
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1		141,127		2,221,338
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		88,961		4,620,656
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1†		34,650		851,359
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1		106,407		1,173,672
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1		192,290		7,318,569
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1		107,915		2,279,175
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1†		137,693		2,347,673
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		422,539		10,407,127
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1†		138,221		2,217,069
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		126,571		3,004,787
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1		407,185		6,136,283
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		193,882		2,324,640
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1		225,363		5,460,547
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1		364,731		4,595,613
Total Domestic Equity Investment Companies (cost $79,783,954)				89,353,045
Domestic Fixed Income Investment Companies — 20.3%
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1		152,849		2,265,223
Seasons Series Trust SA Multi -Managed Diversified Fixed Income Portfolio, Class 1		499,757		5,747,210
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1		386,519		3,741,503
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1†		65,513		698,367
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1		155,268		2,066,614

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies (continued)
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1†		602,405		$	6,066,220
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1†		572,881			5,648,604
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		312,253			2,750,952
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1		152,931			894,648
Total Domestic Fixed Income Investment Companies (cost $30,251,431)					29,879,341
International Equity Investment Companies — 18.8%
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1		1,358,912			13,140,676
SunAmerica Series Trust SA Emerging Market Equity Index, Class 1†		116,796			1,632,805
SunAmerica Series Trust SA International Index Portfolio, Class 1		316,494			3,598,538
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1		310,667			2,553,687
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1		406,057			4,373,233
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1		215,710			2,301,622
Total International Equity Investment Companies (cost $26,549,238)					27,600,561
TOTAL INVESTMENTS (cost $136,584,623)(2)		100.0	%		146,832,947
Liabilities in excess of other assets		(0.0	)		(67,563	)
NET ASSETS		100.0	%	$	146,765,384

#  The Seasons Series Trust SA 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

†  Non-income producing security

(1)  See Note 8

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

294

Seasons Series Trust SA Allocation Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	146,832,947	$	—	$	—	$	146,832,947

*  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

295

Seasons Series Trust SA Allocation Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	50.5	%
Domestic Fixed Income Investment Companies	34.9
International Equity Investment Companies	14.6
	100.0	%

*  Calculated as a percentage of net assets

296

Seasons Series Trust SA Allocation Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 50.5%
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1		2,235,702	$	39,147,148
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1		2,449,220		43,473,654
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1		230,368		4,888,400
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1		388,009		6,871,647
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1		376,593		5,927,569
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		260,607		13,535,908
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1†		121,059		2,974,426
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1		302,269		3,334,022
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1		536,591		20,422,663
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1		274,797		5,803,721
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1†		397,479		6,777,015
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		1,254,681		30,902,799
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1†		396,564		6,360,883
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		374,854		8,899,040
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1		1,255,145		18,915,035
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		254,804		3,055,105
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1		625,958		15,166,973
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1		1,027,394		12,945,167
Total Domestic Equity Investment Companies (cost $215,513,517)				249,401,175
Domestic Fixed Income Investment Companies — 34.9%
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1		863,589		12,798,382
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		5,261,046		60,502,027
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1		2,195,931		21,256,613

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies (continued)
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1†		452,334		$	4,821,877
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1		941,307			12,528,796
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1†		1,827,450			18,402,421
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1†		1,770,470			17,456,832
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		2,208,985			19,461,158
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1		843,381			4,933,778
Total Domestic Fixed Income Investment Companies (cost $174,734,865)					172,161,884
International Equity Investment Companies — 14.6%
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1		3,479,775			33,649,424
SunAmerica Series Trust SA Emerging Market Equity Index, Class 1†		292,736			4,092,446
SunAmerica Series Trust SA International Index Portfolio, Class 1		888,223			10,099,097
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1		767,994			6,312,913
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1		1,132,880			12,201,113
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1		530,779			5,663,418
Total International Equity Investment Companies (cost $67,104,164)					72,018,411
TOTAL INVESTMENTS (cost $457,352,546)(2)		100.0	%		493,581,470
Liabilities in excess of other assets		(0.0	)		(194,064	)
NET ASSETS		100.0	%	$	493,387,406

#  The Seasons Series Trust SA 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

†  Non-income producing security

(1)  See Note 8

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

297

Seasons Series Trust SA Allocation Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	493,581,470	$	—	$	—	$	493,581,470

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

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

See Notes to Financial Statements

298

Seasons Series Trust SA Allocation Moderate Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	44.8	%
Domestic Equity Investment Companies	44.5
International Equity Investment Companies	10.7
	100.0	%

*  Calculated as a percentage of net assets

299

Seasons Series Trust SA Allocation Moderate Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 44.5%
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1		1,315,391	$	23,032,494
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1		1,362,099		24,177,257
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1		128,685		2,730,687
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1		221,484		3,922,490
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1		207,085		3,259,521
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		141,889		7,369,736
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1†		49,796		1,223,484
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1		155,229		1,712,177
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1		290,758		11,066,263
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1		155,320		3,280,353
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1†		197,948		3,375,004
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		663,439		16,340,512
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1†		197,613		3,169,713
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		195,974		4,652,421
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1		660,930		9,960,216
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		115,021		1,379,106
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1		361,520		8,759,633
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1		638,827		8,049,220
Total Domestic Equity Investment Companies (cost $119,187,730)				137,460,287
Domestic Fixed Income Investment Companies — 44.8%
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1		674,930		10,002,464
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		4,190,802		48,194,227
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1		1,719,356		16,643,365
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1†		281,789		3,003,871

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies (continued)
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1		764,373		$	10,173,804
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1†		1,589,149			16,002,725
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1†		1,550,768			15,290,572
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		1,727,082			15,215,590
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1		680,919			3,983,378
Total Domestic Fixed Income Investment Companies (cost $140,833,506)					138,509,996
International Equity Investment Companies — 10.7%
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1		1,805,179			17,456,080
SunAmerica Series Trust SA Emerging Market Equity Index, Class 1†		145,984			2,040,855
SunAmerica Series Trust SA International Index Portfolio, Class 1		134,176			1,525,585
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1		407,295			3,347,966
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1		548,773			5,910,283
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1		266,466			2,843,190
Total International Equity Investment Companies (cost $30,916,971)					33,123,959
TOTAL INVESTMENTS (cost $290,938,207)(2)		100.0	%		309,094,242
Liabilities in excess of other assets		(0.0	)		(126,653	)
NET ASSETS		100.0	%	$	308,967,589

#  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.

†  Non-income producing security

(1)  See Note 8

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

300

Seasons Series Trust SA Allocation Moderate Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	309,094,242	$	—	$	—	$	309,094,242

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

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

See Notes to Financial Statements

301

Seasons Series Trust SA Allocation Balanced Portfolio

PORTFOLIO PROFILE — September 30, 2018 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	59.5	%
Domestic Equity Investment Companies	32.3
International Equity Investment Companies	8.2
	100.0	%

*  Calculated as a percentage of net assets

302

Seasons Series Trust SA Allocation Balanced Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 32.3%
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1		672,834	$	11,781,324
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1		720,286		12,785,073
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1		68,510		1,453,775
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1		111,841		1,980,701
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1		112,979		1,778,289
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		75,154		3,903,517
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1†		22,776		559,611
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1		88,361		974,617
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1		157,747		6,003,832
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1		85,679		1,809,546
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1†		110,647		1,886,534
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		322,529		7,943,881
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1†		110,539		1,773,044
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		109,666		2,603,483
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1		329,312		4,962,730
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		58,892		706,114
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1		195,765		4,743,378
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1		358,485		4,516,910
Total Domestic Equity Investment Companies (cost $62,966,385)				72,166,359
Domestic Fixed Income Investment Companies — 59.5%
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1		648,048		9,604,070
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		4,384,292		50,419,359
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1		1,710,786		16,560,412
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1†		300,085		3,198,904
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1		735,439		9,788,696

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies (continued)
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1†		1,314,829		$	13,240,325
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1†		1,231,638			12,143,954
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		1,667,430			14,690,054
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1		612,562			3,583,487
Total Domestic Fixed Income Investment Companies (cost $135,522,834)					133,229,261
International Equity Investment Companies — 8.2%
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1		956,639			9,250,697
SunAmerica Series Trust SA Emerging Market Equity Index, Class 1†		74,191			1,037,195
SunAmerica Series Trust SA International Index Portfolio, Class 1		141,671			1,610,803
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1		176,068			1,447,277
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1		314,397			3,386,058
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1		156,970			1,674,875
Total International Equity Investment Companies (cost $17,154,353)					18,406,905
TOTAL INVESTMENTS (cost $215,643,572)(2)		100.0	%		223,802,525
Liabilities in excess of other assets		(0.0	)		(96,013	)
NET ASSETS		100.0	%	$	223,706,512

#  The Seasons Series Trust SA 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.

†  Non-income producing security

(1)  See Note 8

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

303

Seasons Series Trust SA Allocation Balanced Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2018 (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	$	223,802,525	$	—	$	—	$	223,802,525

*  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

304

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES

September 30, 2018 (unaudited)

	SA Multi- Managed Growth Portfolio		SA Multi- Managed Moderate Growth Portfolio		SA Multi- Managed Income/ Equity Portfolio		SA Multi- Managed Income Portfolio		SA Putnam Asset Allocation Diversified Growth Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	56,425,710	$	96,666,300	$	69,559,736	$	60,040,046	$	164,906,926
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		380,000		1,920,000		1,880,000		1,320,000		3,023,000
Cash		593,695		1,064,655		37,179		54,990		—
Foreign cash*		93		205		228		252		85,063
Cash collateral for futures contracts		—		59,958		—		—		—
Due from broker		15,051		—		—		—		1,484
Receivable for:
Fund shares sold		2,070		148		72,917		4,544		36,140
Dividends and interest		120,203		254,788		261,863		266,592		458,446
Investments sold		535,805		667,550		328,863		157,270		1,132,417
Investments sold on an extended settlement basis		261,891		1,452,758		2,440,086		370,898		26,047
Receipts on swap contracts		93		243		282		208		14,794
Prepaid expenses and other assets		5,639		5,686		5,601		5,585		5,788
Due from investment adviser for expense reimbursements/fee waivers		1,763		2,176		1,479		793		13,606
Variation margin on futures contracts		1,494		2,169		2,333		2,216		36,758
Unrealized appreciation on forward foreign currency contracts		8,209		27,554		31,164		31,055		10,859
Swap premiums paid		—		—		—		2,157		—
Unrealized appreciation on swap contracts		18,814		49,532		58,183		64,918		47,484
Total assets		58,370,530		102,173,722		74,679,914		62,321,524		169,798,812
LIABILITIES:
Payable for:
Fund shares redeemed		52,078		366,520		18,369		11,656		493,182
Investments purchased		652,390		1,117,015		624,664		305,306		64,258
Investments purchased on an extended settlement basis		4,013,982		12,378,919		13,538,611		13,257,439		3,090,973
Payments on swap contracts		1,003		2,623		3,048		2,276		5,499
Investment advisory and management fees		39,222		61,649		39,926		30,528		115,654
Service fees — Class 2		2,414		5,268		4,041		3,249		6,840
Service fees — Class 3		4,906		7,375		3,814		3,394		19,345
Transfer agent fees and expenses		95		95		95		119		475
Trustees' fees and expenses		370		614		423		344		981
Other accrued expenses		79,226		87,598		79,500		77,397		100,219
Accrued foreign tax on capital gains		—		—		—		—		1,475
Variation margin on futures contracts		1,317		4,449		3,952		4,327		4,914
Due to custodian		—		—		—		—		33,722
Due to broker		—		39,399		46,459		66,741		17,742
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		59,478
Swap premiums received		2,843		7,435		8,638		—		—
Unrealized depreciation on swap contracts		—		—		—		—		40,328
Total liabilities		4,849,846		14,078,959		14,371,540		13,762,776		4,055,085
NET ASSETS	$	53,520,684	$	88,094,763	$	60,308,374	$	48,558,748	$	165,743,727
* Cost
Investments (unaffiliated)	$	46,600,686	$	84,341,569	$	65,149,479	$	58,616,099	$	151,613,531
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	94	$	232	$	259	$	257	$	84,131

See Notes to Financial Statements

305

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2018 (unaudited)

	SA Multi- Managed Growth Portfolio		SA Multi- Managed Moderate Growth Portfolio		SA Multi- Managed Income/ Equity Portfolio		SA Multi- Managed Income Portfolio		SA Putnam Asset Allocation Diversified Growth Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	35,841,774	$	65,040,634	$	50,575,405	$	44,065,470	$	134,438,377
Accumulated undistributed net investment income (loss)		474,099		1,305,337		1,491,157		1,426,714		3,930,046
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		7,353,245		9,358,746		3,733,843		1,516,349		14,181,771
Unrealized appreciation (depreciation) on investments		9,825,024		12,324,731		4,410,257		1,423,947		13,293,395
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		18,712		38,783		67,733		96,388		(50,049	)
Unrealized foreign exchange gain (loss) on other assets and liabilities		7,830		26,532		29,979		29,880		(48,338	)
Accrued capital gains tax on unrealized appreciation (depreciation)		—		—		—		—		(1,475	)
NET ASSETS	$	53,520,684	$	88,094,763	$	60,308,374	$	48,558,748	$	165,743,727
Class 1 (unlimited shares authorized):
Net assets	$	10,163,058	$	9,668,775	$	8,678,236	$	5,426,616	$	15,887,588
Shares of beneficial interest issued and outstanding		546,783		699,297		743,348		480,599		1,233,947
Net asset value, offering and redemption price per share	$	18.59	$	13.83	$	11.67	$	11.29	$	12.88
Class 2 (unlimited shares authorized):
Net assets	$	19,537,506	$	42,793,804	$	32,879,145	$	26,653,907	$	55,180,959
Shares of beneficial interest issued and outstanding		1,052,746		3,102,103		2,822,284		2,365,604		4,288,793
Net asset value, offering and redemption price per share	$	18.56	$	13.80	$	11.65	$	11.27	$	12.87
Class 3 (unlimited shares authorized):
Net assets	$	23,820,120	$	35,632,184	$	18,750,993	$	16,478,225	$	94,675,180
Shares of beneficial interest issued and outstanding		1,286,897		2,587,609		1,609,723		1,463,398		7,381,524
Net asset value, offering and redemption price per share	$	18.51	$	13.77	$	11.65	$	11.26	$	12.83

See Notes to Financial Statements

306

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2018 (unaudited)

	SA T. Rowe Price Growth Stock Portfolio		SA Multi- Managed Large Cap Growth Portfolio		SA Multi- Managed Large Cap Value Portfolio		SA Multi- Managed Mid Cap Growth Portfolio		SA Multi- Managed Mid Cap Value Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	427,008,212	$	543,665,732	$	773,584,030	$	231,058,772	$	254,299,937
Investments at value (affiliated)*		—		—		1,130,498		—		—
Repurchase agreements (cost approximates value)		—		826,000		9,936,000		4,314,000		489,000
Cash		—		83,133		7,095,594		4,031		2,851
Foreign cash*		—		—		2		—		4,144
Cash collateral for futures contracts		—		—		—		—		18
Due from broker		—		—		—		—		—
Receivable for:
Fund shares sold		28,740		98,749		138,756		6,104		175,100
Dividends and interest		154,689		325,083		1,290,200		75,192		384,789
Investments sold		1,030,334		6,353,715		1,962,503		239,790		99,360
Investments sold on an extended settlement basis		—		—		—		—		—
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		5,861		6,013		6,291		5,692		5,753
Due from investment adviser for expense reimbursements/fee waivers		—		26,045		—		—		—
Variation margin on futures contracts		—		1,100		—		1,300		2,600
Unrealized appreciation on forward foreign currency contracts		—		—		223,433		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		428,227,836		551,385,570		795,367,307		235,704,881		255,463,552
LIABILITIES:
Payable for:
Fund shares redeemed		956,516		1,383,778		1,761,568		549,353		512,088
Investments purchased		504,076		5,051,929		859,631		779,027		120,830
Investments purchased on an extended settlement basis		—		—		—		—		605,304
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		290,602		342,592		489,514		164,614		178,536
Service fees — Class 2		5,468		4,453		3,331		3,045		3,066
Service fees — Class 3		7,516		3,943		2,923		3,206		3,261
Transfer agent fees and expenses		451		285		261		356		356
Trustees' fees and expenses		2,961		3,603		6,329		1,561		1,815
Other accrued expenses		88,807		90,397		140,604		58,238		63,960
Accrued foreign tax on capital gains		—		—		—		—		—
Variation margin on futures contracts		—		—		1,100		—		—
Due to custodian		—		—		—		—		—
Due to broker		—		26		28		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		1,755		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Total liabilities		1,856,397		6,881,006		3,267,044		1,559,400		1,489,216
NET ASSETS	$	426,371,439	$	544,504,564	$	792,100,263	$	234,145,481	$	253,974,336
* Cost
Investments (unaffiliated)	$	300,842,508	$	389,322,978	$	678,811,819	$	169,756,033	$	221,858,600
Investments (affiliated)	$	—	$	—	$	1,180,116	$	—	$	—
Foreign cash	$	—	$	—	$	2	$	—	$	4,142

See Notes to Financial Statements

307

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2018 (unaudited)

	SA T. Rowe Price Growth Stock Portfolio			SA Multi- Managed Large Cap Growth Portfolio			SA Multi- Managed Large Cap Value Portfolio			SA Multi- Managed Mid Cap Growth Portfolio			SA Multi- Managed Mid Cap Value Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	182,338,594		$	273,702,431		$	569,479,868		$	133,041,483		$	195,182,990
Accumulated undistributed net investment income (loss)		(174,235	)		3,846,948			22,357,214			28,650			3,627,597
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		118,041,383			112,601,660			105,326,694			39,776,310			22,729,486
Unrealized appreciation (depreciation) on investments		126,165,704			154,342,754			94,722,593			61,302,739			32,441,337
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—			10,780			(7,120	)		(3,654	)		(7,308	)
Unrealized foreign exchange gain (loss) on other assets and liabilities		(7	)		(9	)		221,014			(47	)		234
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
NET ASSETS	$	426,371,439		$	544,504,564		$	792,100,263		$	234,145,481		$	253,974,336
Class 1 (unlimited shares authorized):
Net assets	$	346,319,266		$	489,527,007		$	751,044,632		$	194,276,790		$	213,333,312
Shares of beneficial interest issued and outstanding		11,428,493			27,950,077			42,311,224			9,154,770			12,042,776
Net asset value, offering and redemption price per share	$	30.30		$	17.51		$	17.75		$	21.22		$	17.71
Class 2 (unlimited shares authorized):
Net assets	$	43,906,141		$	35,722,330		$	26,832,864		$	24,276,605		$	24,747,400
Shares of beneficial interest issued and outstanding		1,490,366			2,082,737			1,514,623			1,196,585			1,402,376
Net asset value, offering and redemption price per share	$	29.46		$	17.15		$	17.72		$	20.29		$	17.65
Class 3 (unlimited shares authorized):
Net assets	$	36,146,032		$	19,255,227		$	14,222,767		$	15,592,086		$	15,893,624
Shares of beneficial interest issued and outstanding		1,248,620			1,134,459			803,472			788,786			903,006
Net asset value, offering and redemption price per share	$	28.95		$	16.97		$	17.70		$	19.77		$	17.60

See Notes to Financial Statements

308

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2018 (unaudited)

	SA Multi- Managed Small Cap Portfolio		SA Multi- Managed International Equity Portfolio		SA Multi- Managed Diversified Fixed Income Portfolio		SA Wellington Real Return Portfolio		SA Columbia Focused Growth Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	298,962,012	$	471,316,152	$	1,138,906,017	$	816,912,633	$	105,433,365
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		696,000		717,000		11,670,000		6,445,000		4,567,000
Cash		4,294,020		—		70,543		—		976
Foreign cash*		—		653,602		44,593		172		—
Cash collateral for futures contracts		245,028		—		88		789		—
Due from broker		—		—		—		—		—
Receivable for:
Fund shares sold		114,709		347,119		171,892		10,699,150		—
Dividends and interest		202,924		2,432,368		6,895,331		1,861,131		26,015
Investments sold		589,769		1,105,464		5,993,956		—		—
Investments sold on an extended settlement basis		—		41,422		970,646		—		—
Receipts on swap contracts		—		—		20,458		—		—
Prepaid expenses and other assets		6,709		6,270		8,267		6,020		2,722
Due from investment adviser for expense reimbursements/fee waivers		—		15,520		—		30,632		28,467
Variation margin on futures contracts		13,545		—		24,418		41,523		—
Unrealized appreciation on forward foreign currency contracts		—		—		42,031		2,757,607		—
Swap premiums paid		—		—		1,269,169		—		—
Unrealized appreciation on swap contracts		—		—		943,401		—		—
Total assets		305,124,716		476,634,917		1,167,030,810		838,754,657		110,058,545
LIABILITIES:
Payable for:
Fund shares redeemed		626,542		1,051,148		2,259,272		796,190		258,101
Investments purchased		706,185		75,637		6,419,203		42		—
Investments purchased on an extended settlement basis		—		41,071		142,837,997		80,219,804		—
Payments on swap contracts		—		—		190,435		—		—
Investment advisory and management fees		214,413		359,484		524,586		357,501		91,830
Service fees — Class 2		2,270		2,471		2,672		—		3,717
Service fees — Class 3		2,595		3,180		2,814		81,276		4,483
Transfer agent fees and expenses		261		332		309		396		261
Trustees' fees and expenses		2,037		4,342		7,424		5,184		933
Other accrued expenses		65,921		142,490		270,083		145,865		36,060
Accrued foreign tax on capital gains		—		—		—		—		—
Line of credit		—		—		—		—		—
Variation margin on futures contracts		—		19,470		25,598		14,721		—
Due to custodian		—		7,021		—		23,608		—
Due to custodian for foreign cash		—		—		—		—		—
Due to broker		—		9		1,848,347		1,131		—
Call and put options written, at value@		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		800		59,716		—
Swap premiums received		—		—		178,159		—		—
Unrealized depreciation on swap contracts		—		—		22,993		—		—
Total liabilities		1,620,224		1,706,655		154,590,692		81,705,434		395,385
NET ASSETS	$	303,504,492	$	474,928,262	$	1,012,440,118	$	757,049,223	$	109,663,160
* Cost
Investments (unaffiliated)	$	228,864,607	$	420,299,973	$	1,159,661,253	$	837,360,039	$	71,007,033
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	—	$	657,350	$	47,996	$	1,161	$	—

See Notes to Financial Statements

309

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2018 (unaudited)

	SA Multi- Managed Small Cap Portfolio			SA Multi- Managed International Equity Portfolio			SA Multi- Managed Diversified Fixed Income Portfolio			SA Wellington Real Return Portfolio			SA Columbia Focused Growth Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	195,987,941		$	381,733,800		$	997,657,972		$	773,248,071		$	54,972,585
Accumulated undistributed net investment income (loss)		955,055			19,113,726			40,197,857			(11,392,402	)		(447,925	)
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		36,546,145			23,065,195			(5,562,389	)		12,202,402			20,712,168
Unrealized appreciation (depreciation) on investments		70,097,405			51,016,179			(20,755,236	)		(20,447,406	)		34,426,332
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		(82,054	)		4,692			880,422			743,950			—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—			(5,330	)		21,492			2,694,608			—
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
NET ASSETS	$	303,504,492		$	474,928,262		$	1,012,440,118		$	757,049,223		$	109,663,160
Class 1 (unlimited shares authorized):
Net assets	$	273,125,615		$	439,054,983		$	977,098,342		$	352,949,785		$	57,113,264
Shares of beneficial interest issued and outstanding		17,356,489			45,416,956			84,929,566			36,452,445			4,644,035
Net asset value, offering and redemption price per share	$	15.74		$	9.67		$	11.50		$	9.68		$	12.30
Class 2 (unlimited shares authorized):
Net assets	$	17,860,018		$	20,254,437		$	21,669,422		$	—		$	30,635,786
Shares of beneficial interest issued and outstanding		1,166,020			2,093,557			1,887,253			—			2,606,983
Net asset value, offering and redemption price per share	$	15.32		$	9.67		$	11.48		$	—		$	11.75
Class 3 (unlimited shares authorized):
Net assets	$	12,518,859		$	15,618,842		$	13,672,354		$	404,099,438		$	21,914,110
Shares of beneficial interest issued and outstanding		830,974			1,620,588			1,197,276			42,128,563			1,916,026
Net asset value, offering and redemption price per share	$	15.07		$	9.64		$	11.42		$	9.59		$	11.44

See Notes to Financial Statements

310

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2018 (unaudited)

	SA Columbia Focused Value Portfolio		SA Allocation Growth Portfolio		SA Allocation Moderate Growth Portfolio		SA Allocation Moderate Portfolio		SA Allocation Balanced Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	323,452,262	$	—	$	—	$	—	$	—
Investments at value (affiliated)*		—		146,832,947		493,581,470		309,094,242		223,802,525
Repurchase agreements (cost approximates value)		5,608,000		—		—		—		—
Cash		485		—		—		—		—
Foreign cash*		—		—		—		—		—
Cash collateral for futures contracts		—		—		—		—		—
Due from broker		—		—		—		—		—
Receivable for:
Fund shares sold		—		729,873		277,393		102,725		152,355
Dividends and interest		296,954		—		—		—		—
Investments sold		—		—		1,856,602		177,705		—
Investments sold on an extended settlement basis		—		—		—		—		—
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		5,825		5,541		5,542		5,541		5,541
Due from investment adviser for expense reimbursements/fee waivers		86,082		1,189		4,084		2,544		1,842
Variation margin on futures contracts		—		—		—		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		329,449,608		147,569,550		495,725,091		309,382,757		223,962,263
LIABILITIES:
Payable for:
Fund shares redeemed		769,692		252,783		2,127,640		276,491		43,242
Investments purchased		168,565		475,300		—		—		106,259
Investments purchased on an extended settlement basis		—		—		—		—		—
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		267,481		11,889		40,836		25,439		18,422
Service fees — Class 2		1,818		—		—		—		—
Service fees — Class 3		2,110		29,667		102,062		63,575		46,031
Transfer agent fees and expenses		190		166		166		142		142
Trustees' fees and expenses		2,279		795		3,531		2,194		1,599
Other accrued expenses		65,579		33,566		63,450		47,327		40,056
Accrued foreign tax on capital gains		—		—		—		—		—
Variation margin on futures contracts		—		—		—		—		—
Due to custodian		—		—		—		—		—
Due to broker		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Total liabilities		1,277,714		804,166		2,337,685		415,168		255,751
NET ASSETS	$	328,171,894	$	146,765,384	$	493,387,406	$	308,967,589	$	223,706,512
* Cost
Investments (unaffiliated)	$	238,927,307	$	—	$	—	$	—	$	—
Investments (affiliated)	$	—	$	136,584,623	$	457,352,546	$	290,938,207	$	215,643,572
Foreign cash	$	—	$	—	$	—	$	—	$	—

See Notes to Financial Statements

311

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2018 (unaudited)

	SA Columbia Focused Value Portfolio		SA Allocation Growth Portfolio		SA Allocation Moderate Growth Portfolio		SA Allocation Moderate Portfolio		SA Allocation Balanced Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	211,699,416	$	125,840,775	$	398,054,500	$	258,675,920	$	195,179,559
Accumulated undistributed net investment income (loss)		7,390,710		1,501,505		7,948,131		5,016,883		3,921,090
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		24,556,813		9,174,780		51,155,851		27,118,751		16,446,910
Unrealized appreciation (depreciation) on investments		84,524,955		10,248,324		36,228,924		18,156,035		8,158,953
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	$	328,171,894	$	146,765,384	$	493,387,406	$	308,967,589	$	223,706,512
Class 1 (unlimited shares authorized):
Net assets	$	303,262,430	$	271,155	$	141,224	$	117,581	$	112,661
Shares of beneficial interest issued and outstanding		13,883,760		17,785		11,494		9,735		10,107
Net asset value, offering and redemption price per share	$	21.84	$	15.25	$	12.29	$	12.08	$	11.15
Class 2 (unlimited shares authorized):
Net assets	$	14,719,261	$	—	$	—	$	—	$	—
Shares of beneficial interest issued and outstanding		675,361		—		—		—		—
Net asset value, offering and redemption price per share	$	21.79	$	—	$	—	$	—	$	—
Class 3 (unlimited shares authorized):
Net assets	$	10,190,203	$	146,494,229	$	493,246,182	$	308,850,008	$	223,593,851
Shares of beneficial interest issued and outstanding		468,984		9,648,899		40,298,965		25,670,051		20,131,280
Net asset value, offering and redemption price per share	$	21.73	$	15.18	$	12.24	$	12.03	$	11.11

See Notes to Financial Statements

312

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS

For the Six Months Ended September 30, 2018 (unaudited)

	SA Multi- Managed Growth Portfolio			SA Multi- Managed Moderate Growth Portfolio			SA Multi- Managed Income/ Equity Portfolio			SA Multi- Managed Income Portfolio			SA Putnam Asset Allocation Diversified Growth Portfolio
Investment Income:
Dividends (unaffiliated)	$	206,801		$	273,829		$	96,913		$	40,891		$	1,555,824
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		256,551			627,708			739,664			742,117			579,227
Total investment income*		463,352			901,537			836,577			783,008			2,135,051
Expenses:
Investment advisory and management fees		238,591			375,161			244,193			187,999			678,473
Service Fees:
Class 2		14,633			32,013			24,749			20,021			41,801
Class 3		30,058			44,974			23,334			20,843			110,002
Transfer agent fees and expenses		286			286			286			358			1,448
Custodian and accounting fees		53,588			59,323			51,496			50,112			64,876
Reports to shareholders		2,976			4,883			3,323			2,621			10,127
Audit and tax fees		31,092			31,092			29,567			29,567			35,413
Legal fees		6,319			5,738			5,719			5,574			11,578
Trustees' fees and expenses		536			960			616			489			1,714
Interest expense		138			155			88			47			—
Other expenses		14,730			14,947			10,835			10,762			10,718
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		392,947			569,532			394,206			328,393			966,150
Fees waived and expenses reimbursed by investment advisor (Note 3)		(9,058	)		(11,141	)		(7,558	)		(4,076	)		(79,820	)
Fees paid indirectly (Note 5)		(708	)		(991	)		(258	)		(111	)		(379	)
Net expenses		383,181			557,400			386,390			324,206			885,951
Net investment income (loss)		80,171			344,137			450,187			458,802			1,249,100
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		3,051,398			4,094,900			1,318,652			447,426			7,775,761
Investments (affiliated)		—			—			—			—			—
Futures contracts		33,806			141,022			52,817			40,106			826,152
Forward contracts		614			6,904			24,019			7,183			(299,359	)
Swap contracts		2,855			8,527			9,508			9,372			110,142
Written options contracts		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		(1,022	)		(2,268	)		(3,214	)		(2,731	)		(16,345	)
Net realized gain (loss) on investments and foreign currencies		3,087,651			4,249,085			1,401,782			501,356			8,396,351
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		1,444,375			1,321,642			515,068			(126,899	)		(580,201	)
Investments (affiliated)		—			—			—			—			—
Futures contracts		9,922			(3,253	)		27,514			69,845			141,751
Forward contracts		22,827			66,223			75,376			75,966			(70,931	)
Swap contracts		9,828			25,350			29,442			24,582			(39,015	)
Change in net realized foreign exchange gain (loss) on other assets and liabilities		(263	)		(689	)		(803	)		(794	)		(500	)
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			4,583
Net unrealized gain (loss) on investments and foreign currencies		1,486,689			1,409,273			646,597			42,700			(544,313	)
Net realized and unrealized gain (loss) on investments and foreign currencies		4,574,340			5,658,358			2,048,379			544,056			7,852,038
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	4,654,511		$	6,002,495		$	2,498,566		$	1,002,858		$	9,101,138
* Net of foreign withholding taxes on interest and dividends of	$	14		$	20		$	—		$	—		$	60,715
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	7,211

See Notes to Financial Statements

313

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2018 (unaudited)

	SA T. Rowe Price Growth Stock Portfolio			SA Multi- Managed Large Cap Growth Portfolio			SA Multi- Managed Large Cap Value Portfolio			SA Multi- Managed Mid Cap Growth Portfolio			SA Multi- Managed Mid Cap Value Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,749,623		$	2,867,456		$	10,612,176		$	1,109,019		$	2,705,601
Dividends (affiliated)		—			—			13,668			—			—
Interest (unaffiliated)		18,302			35,313			54,481			28,207			71,170
Total investment income*		1,767,925			2,902,769			10,680,325			1,137,226			2,776,771
Expenses:
Investment advisory and management fees		1,763,410			1,940,950			3,019,061			979,556			1,087,354
Service Fees:
Class 2		33,415			26,643			20,296			18,034			18,825
Class 3		46,061			23,717			18,181			19,244			20,246
Transfer agent fees and expenses		1,359			858			787			1,073			1,073
Custodian and accounting fees		36,650			36,949			69,747			25,687			29,549
Reports to shareholders		23,610			28,479			38,810			12,920			14,428
Audit and tax fees		20,021			21,533			21,164			21,583			22,023
Legal fees		4,851			16,973			17,280			3,754			9,846
Trustees' fees and expenses		5,014			6,218			10,229			2,702			2,942
Interest expense		—			528			196			287			12
Other expenses		7,767			11,681			13,528			25,893			25,787
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,942,158			2,114,529			3,229,279			1,110,733			1,232,085
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			(116,462	)		—			—			—
Fees paid indirectly (Note 5)		—			(1,923	)		—			(192	)		—
Net expenses		1,942,158			1,996,144			3,229,279			1,110,541			1,232,085
Net investment income (loss)		(174,233	)		906,625			7,451,046			26,685			1,544,686
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		23,181,367			38,318,988			25,368,175			16,254,672			8,837,903
Investments (affiliated)		—			—			16,015			—			—
Futures contracts		—			112,120			20,220			17,425			34,850
Forward contracts		—			—			1,082,500			—			—
Swap contracts		—			—			—			—			—
Written options contracts		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		(275	)		—			(3,741	)		496			(1,038	)
Net realized gain (loss) on investments and foreign currencies		23,181,092			38,431,108			26,483,169			16,272,593			8,871,715
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		20,904,405			26,480,182			13,208,376			9,355,131			3,171,739
Investments (affiliated)		—			—			(39,220	)		—			—
Futures contracts		—			96,400			30,400			8,789			17,579
Forward contracts		—			—			212,713			—			—
Swap contracts		—			—			—			—			—
Change in net realized foreign exchange gain (loss) on other assets and liabilities		2			3			(540	)		(40	)		(484	)
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		20,904,407			26,576,585			13,411,729			9,363,880			3,188,834
Net realized and unrealized gain (loss) on investments and foreign currencies		44,085,499			65,007,693			39,894,898			25,636,473			12,060,549
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	43,911,266		$	65,914,318		$	47,345,944		$	25,663,158		$	13,605,235
* Net of foreign withholding taxes on interest and dividends of	$	8,149		$	482		$	160,478		$	3,505		$	9,477
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

314

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2018 (unaudited)

	SA Multi- Managed Small Cap Portfolio			SA Multi- Managed International Equity Portfolio			SA Multi- Managed Diversified Fixed Income Portfolio			SA Wellington Real Return Portfolio			SA Columbia Focused Growth Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,845,408		$	10,608,639		$	11,367		$	34		$	233,897
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		22,878			5,301			17,027,893			11,215,208			1,964
Total investment income*		1,868,286			10,613,940			17,039,260			11,215,242			235,861
Expenses:
Investment advisory and management fees		1,261,610			2,511,971			3,226,272			2,219,337			635,009
Service Fees:
Class 2		13,731			15,811			17,154			—			22,147
Class 3		15,892			20,435			17,800			505,719			27,619
Transfer agent fees and expenses		787			1,001			930			1,183			691
Custodian and accounting fees		36,381			83,946			160,379			73,885			13,149
Reports to shareholders		18,829			18,316			55,165			44,096			6,821
Audit and tax fees		22,236			56,558			31,318			28,307			11,844
Legal fees		3,742			12,729			9,010			30,051			2,649
Trustees' fees and expenses		3,356			7,217			12,163			9,079			1,511
Interest expense		340			4,468			68			47			663
Other expenses		12,986			15,283			16,402			10,564			10,159
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,389,890			2,747,735			3,546,661			2,922,268			732,262
Fees waived and expenses reimbursed by investment advisor (Note 3)		(112	)		(109,456	)		—			(190,363	)		(196,861	)
Fees paid indirectly (Note 5)		(4,053	)		—			—			—			(1,864	)
Net expenses		1,385,725			2,638,279			3,546,661			2,731,905			533,537
Net investment income (loss)		482,561			7,975,661			13,492,599			8,483,337			(297,676	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		18,156,317			30,174,944			(3,855,257	)		(963,455	)		11,680,759
Investments (affiliated)		—			—			—			—			—
Futures contracts		212,167			(100,397	)		326,289			541,185			—
Forward contracts					—			171,981			24,663,626			—
Swap contracts		—			—			57,483			49,610			—
Written options contracts		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		—			(117,728	)		(12,373	)		(3,548,412	)		—
Net realized gain (loss) on investments and foreign currencies		18,368,484			29,956,819			(3,311,877	)		20,742,554			11,680,759
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		9,450,068			(38,486,695	)		(13,575,820	)		(28,883,027	)		3,284,165
Investments (affiliated)		—			—			—			—			—
Futures contracts		5,093			59,113			277,443			1,758,033			—
Forward contracts		—			—			33,047			660,191			—
Swap contracts		—			—			949,195			50,130			—
Change in net realized foreign exchange gain (loss) on other assets and liabilities		—			(53,032	)		(13,157	)		3,256			—
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		9,455,161			(38,480,614	)		(12,329,292	)		(26,411,417	)		3,284,165
Net realized and unrealized gain (loss) on investments and foreign currencies		27,823,645			(8,523,795	)		(15,641,169	)		(5,668,863	)		14,964,924
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	28,306,206		$	(548,134	)	$	(2,148,570	)	$	2,814,474		$	14,667,248
* Net of foreign withholding taxes on interest and dividends of	$	1,901		$	1,070,315		$	(72	)	$	425		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

315

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2018 (unaudited)

	SA Columbia Focused Value Portfolio			SA Allocation Growth Portfolio			SA Allocation Moderate Growth Portfolio			SA Allocation Moderate Portfolio			SA Allocation Balanced Portfolio
Investment Income:
Dividends (unaffiliated)	$	3,639,231		$	—		$	—		$	—		$	—
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		7,173			—			—			—			—
Total investment income*		3,646,404			—			—			—			—
Expenses:
Investment advisory and management fees		1,596,636			67,145			251,830			156,127			112,716
Service Fees:
Class 2		11,087			—			—			—			—
Class 3		12,983			167,608			629,389			390,172			281,651
Transfer agent fees and expenses		572			518			509			421			429
Custodian and accounting fees		22,118			7,667			7,667			7,667			7,667
Reports to shareholders		18,592			9,086			27,036			16,715			12,179
Audit and tax fees		17,588			12,087			12,087			12,087			12,087
Legal fees		11,189			3,323			5,455			4,132			3,756
Trustees' fees and expenses		3,780			1,393			5,997			3,681			2,613
Interest expense		—			—			—			—			—
Other expenses		7,908			4,208			5,090			4,407			4,248
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,702,453			273,035			945,060			595,409			437,346
Fees waived and expenses reimbursed by investment advisor (Note 3)		(514,772	)		(6,714	)		(25,183	)		(15,613	)		(11,272	)
Fees paid indirectly (Note 5)		(1,115	)		—			—			—			—
Net expenses		1,186,566			266,321			919,877			579,796			426,074
Net investment income (loss)		2,459,838			(266,321	)		(919,877	)		(579,796	)		(426,074	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		5,329,111			—			—			—			—
Investments (affiliated)		—			1,314,434			5,769,723			2,341,603			1,236,421
Futures contracts		—			—			—			—			—
Forward contracts		—			—			—			—			—
Swap contracts		—			—			—			—			—
Written options contracts		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		5,329,111			1,314,434			5,769,723			2,341,603			1,236,421
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		14,864,781			—			—			—			—
Investments (affiliated)		—			5,949,126			17,051,685			10,292,824			5,426,885
Futures contracts		—			—			—			—			—
Forward contracts		—			—			—			—			—
Swap contracts		—			—			—			—			—
Change in net realized 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		14,864,781			5,949,126			17,051,685			10,292,824			5,426,885
Net realized and unrealized gain (loss) on investments and foreign currencies		20,193,892			7,263,560			22,821,408			12,634,427			6,663,306
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	22,653,730		$	6,997,239		$	21,901,531		$	12,054,631		$	6,237,232
* Net of foreign withholding taxes on interest and dividends of	$	—		$	—		$	—		$	—		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

316

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS

	SA Multi-Managed Growth						SA Multi-Managed Moderate Growth						SA Multi-Managed Income/Equity
	For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	80,171		$	133,727		$	344,137		$	599,022		$	450,187		$	784,473
Net realized gain (loss) on investments and foreign currencies		3,087,651			4,812,386			4,249,085			6,111,595			1,401,782			2,951,352
Net unrealized gain (loss) on investments and foreign currencies		1,486,689			930,509			1,409,273			1,206,342			646,597			334,424
Net increase (decrease) in net assets resulting from operations		4,654,511			5,876,622			6,002,495			7,916,959			2,498,566			4,070,249
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(47,140	)		—			(90,803	)		—			(139,685	)
Net investment income — Class 2		—			(65,113	)		—			(339,045	)		—			(501,793	)
Net investment income — Class 3		—			(55,234	)		—			(251,891	)		—			(263,436	)
Net realized gain on investments — Class 1		—			(678,837	)		—			(473,212	)		—			(255,134	)
Net realized gain on investments — Class 2		—			(1,353,925	)		—			(2,105,054	)		—			(1,016,154	)
Net realized gain on investments — Class 3		—			(1,723,144	)		—			(1,830,810	)		—			(579,934	)
Total distributions to shareholders		—			(3,923,393	)		—			(5,090,815	)		—			(2,756,136	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(4,116,332	)		(4,599,313	)		(5,853,596	)		(5,230,490	)		(2,827,299	)		(5,244,909	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		538,179			(2,646,084	)		148,899			(2,404,346	)		(328,733	)		(3,930,796	)
NET ASSETS:
Beginning of period		52,982,505			55,628,589			87,945,864			90,350,210			60,637,107			64,567,903
End of period†	$	53,520,684		$	52,982,505		$	88,094,763		$	87,945,864		$	60,308,374		$	60,637,107
† Includes accumulated undistributed net investment income (loss)	$	474,099		$	393,928		$	1,305,337		$	961,200		$	1,491,157		$	1,040,970

See Notes to Financial Statements

317

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Multi-Managed Income						SA Putnam Asset Allocation Diversified Growth						SA T. Rowe Price Growth Stock
	For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	458,802		$	812,753		$	1,249,100		$	1,775,201		$	(174,233	)	$	(80,380	)
Net realized gain (loss) on investments and foreign currencies		501,356			1,473,531			8,396,351			7,116,053			23,181,092			95,939,674
Net unrealized gain (loss) on investments and foreign currencies		42,700			(276,015	)		(544,313	)		6,152,167			20,904,407			3,383,815
Net increase (decrease) in net assets resulting from operations		1,002,858			2,010,269			9,101,138			15,043,421			43,911,266			99,243,109
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(108,409	)		—			(247,682	)		—			—
Net investment income — Class 2		—			(494,379	)		—			(814,369	)		—			—
Net investment income — Class 3		—			(288,283	)		—			(967,861	)		—			—
Net realized gain on investments — Class 1		—			(109,537	)		—			(1,156,276	)		—			(42,229,712	)
Net realized gain on investments — Class 2		—			(544,692	)		—			(4,211,004	)		—			(5,508,566	)
Net realized gain on investments — Class 3		—			(337,480	)		—			(5,090,124	)		—			(4,686,165	)
Total distributions to shareholders		—			(1,882,780	)		—			(12,487,316	)		—			(52,424,443	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(1,949,973	)		(3,484,613	)		7,869,165			23,592,001			(30,004,860	)		(75,721,148	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(947,115	)		(3,357,124	)		16,970,303			26,148,106			13,906,406			(28,902,482	)
NET ASSETS:
Beginning of period		49,505,863			52,862,987			148,773,424			122,625,318			412,465,033			441,367,515
End of period†	$	48,558,748		$	49,505,863		$	165,743,727		$	148,773,424		$	426,371,439		$	412,465,033
† Includes accumulated undistributed net investment income (loss)	$	1,426,714		$	967,912		$	3,930,046		$	2,680,946		$	(174,235	)	$	(2	)

See Notes to Financial Statements

318

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Multi-Managed Large Cap Growth						SA Multi-Managed Large Cap Value						SA Multi-Managed Mid Cap Growth
	For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	906,625		$	2,577,216		$	7,451,046		$	16,621,607		$	26,685		$	(144,661	)
Net realized gain (loss) on investments and foreign currencies		38,431,108			75,998,601			26,483,169			85,051,729			16,272,593			24,378,292
Net unrealized gain (loss) on investments and foreign currencies		26,576,585			17,017,859			13,411,729			(40,830,939	)		9,363,880			17,435,052
Net increase (decrease) in net assets resulting from operations		65,914,318			95,593,676			47,345,944			60,842,397			25,663,158			41,668,683
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(2,356,489	)		—			(17,894,250	)		—			—
Net investment income — Class 2		—			(130,076	)		—			(581,718	)		—			—
Net investment income — Class 3		—			(47,820	)		—			(296,099	)		—			—
Net realized gain on investments — Class 1		—			(27,776,840	)		—			(63,574,076	)		—			(15,475,813	)
Net realized gain on investments — Class 2		—			(2,044,679	)		—			(2,203,293	)		—			(2,014,389	)
Net realized gain on investments — Class 3		—			(1,103,867	)		—			(1,198,254	)		—			(1,395,287	)
Total distributions to shareholders		—			(33,459,771	)		—			(85,747,690	)		—			(18,885,489	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(33,324,699	)		(77,101,935	)		(123,048,036	)		(133,117,091	)		(21,442,375	)		3,278,212
TOTAL INCREASE (DECREASE) IN NET ASSETS		32,589,619			(14,968,030	)		(75,702,092	)		(158,022,384	)		4,220,783			26,061,406
NET ASSETS:
Beginning of period		511,914,945			526,882,975			867,802,355			1,025,824,739			229,924,698			203,863,292
End of period†	$	544,504,564		$	511,914,945		$	792,100,263		$	867,802,355		$	234,145,481		$	229,924,698
† Includes accumulated undistributed net investment income (loss)	$	3,846,948		$	2,940,323		$	22,357,214		$	14,906,168		$	28,650		$	1,965

See Notes to Financial Statements

319

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Multi-Managed Mid Cap Value						SA Multi-Managed Small Cap						SA Multi-Managed International Equity
	For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	1,544,686		$	2,102,967		$	482,561		$	484,950		$	7,975,661		$	11,520,950
Net realized gain (loss) on investments and foreign currencies		8,871,715			16,217,038			18,368,484			20,700,892			29,956,819			38,703,941
Net unrealized gain (loss) on investments and foreign currencies		3,188,834			(2,259,573	)		9,455,161			8,613,340			(38,480,614	)		55,237,293
Net increase (decrease) in net assets resulting from operations		13,605,235			16,060,432			28,306,206			29,799,182			(548,134	)		105,462,184
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(2,594,232	)		—			(918,885	)		—			(12,521,978	)
Net investment income — Class 2		—			(296,949	)		—			(44,242	)		—			(432,780	)
Net investment income — Class 3		—			(177,672	)		—			(17,981	)		—			(318,610	)
Net realized gain on investments — Class 1		—			(25,124,578	)		—			(21,895,260	)		—			—
Net realized gain on investments — Class 2		—			(3,220,882	)		—			(1,618,164	)		—			—
Net realized gain on investments — Class 3		—			(2,122,841	)		—			(1,128,985	)		—			—
Total distributions to shareholders		—			(33,537,154	)		—			(25,623,517	)		—			(13,273,368	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(12,191,687	)		(15,009,851	)		(10,142,595	)		(16,219,792	)		(140,634,282	)		(144,836,267	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		1,413,548			(32,486,573	)		18,163,611			(12,044,127	)		(141,182,416	)		(52,647,451	)
NET ASSETS:
Beginning of period		252,560,788			285,047,361			285,340,881			297,385,008			616,110,678			668,758,129
End of period†	$	253,974,336		$	252,560,788		$	303,504,492		$	285,340,881		$	474,928,262		$	616,110,678
† Includes accumulated undistributed net investment income (loss)	$	3,627,597		$	2,082,911		$	955,055		$	472,494		$	19,113,726		$	11,138,065

See Notes to Financial Statements

320

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Multi-Managed Diversified Fixed Income						SA Wellington Real Return						SA Columbia Focused Growth
	For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	13,492,599		$	25,254,079		$	8,483,337		$	6,082,035		$	(297,676	)	$	(381,494	)
Net realized gain (loss) on investments and foreign currencies		(3,311,877	)		9,375,290			20,742,554			(22,210,051	)		11,680,759			11,878,332
Net unrealized gain (loss) on investments and foreign currencies		(12,329,292	)		(16,729,409	)		(26,411,417	)		25,443,702			3,284,165			17,282,438
Net increase (decrease) in net assets resulting from operations		(2,148,570	)		17,899,960			2,814,474			9,315,686			14,667,248			28,779,276
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(21,767,568	)		—			(8,021,823	)		—			—
Net investment income — Class 2		—			(539,386	)		—			—			—			—
Net investment income — Class 3		—			(301,448	)		—			(9,143,842	)		—			—
Net realized gain on investments — Class 1		—			(1,970,059	)		—			—			—			—
Net realized gain on investments — Class 2		—			(52,285	)		—			—			—			—
Net realized gain on investments — Class 3		—			(31,635	)		—			—			—			—
Total distributions to shareholders		—			(24,662,381	)		—			(17,165,665	)		—			—
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(47,956,935	)		(103,782,499	)		(23,210,717	)		91,051,046			(34,807,404	)		(30,714,115	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(50,105,505	)		(110,544,920	)		(20,396,243	)		83,201,067			(20,140,156	)		(1,934,839	)
NET ASSETS:
Beginning of period		1,062,545,623			1,173,090,543			777,445,466			694,244,399			129,803,316			131,738,155
End of period†	$	1,012,440,118		$	1,062,545,623		$	757,049,223		$	777,445,466		$	109,663,160		$	129,803,316
† Includes accumulated undistributed net investment income (loss)	$	40,197,857		$	26,705,258		$	(11,392,402	)	$	(19,875,739	)	$	(447,925	)	$	(150,249	)

See Notes to Financial Statements

321

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Columbia Focused Value						SA Allocation Growth						SA Allocation Moderate Growth
	For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	2,459,838		$	4,930,871		$	(266,321	)	$	1,227,484		$	(919,877	)	$	6,724,368
Net realized gain (loss) on investments and foreign currencies		5,329,111			19,313,183			1,314,434			11,374,415			5,769,723			55,777,279
Net unrealized gain (loss) on investments and foreign currencies		14,864,781			15,540,404			5,949,126			(1,673,483	)		17,051,685			(15,508,839	)
Net increase (decrease) in net assets resulting from operations		22,653,730			39,784,458			6,997,239			10,928,416			21,901,531			46,992,808
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(4,577,879	)		—			(1,246	)		—			(1,817	)
Net investment income — Class 2		—			(212,077	)		—			—			—			—
Net investment income — Class 3		—			(151,261	)		—			(1,106,919	)		—			(7,249,386	)
Net realized gain on investments — Class 1		—			(8,278,697	)		—			(2,631	)		—			(3,821	)
Net realized gain on investments — Class 2		—			(418,595	)		—			—			—			—
Net realized gain on investments — Class 3		—			(321,671	)		—			(2,578,625	)		—			(16,626,862	)
Total distributions to shareholders		—			(13,960,180	)		—			(3,689,421	)		—			(23,881,886	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(7,375,111	)		(72,887,023	)		18,329,729			20,843,164			(36,274,546	)		(31,459,406	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		15,278,619			(47,062,745	)		25,326,968			28,082,159			(14,373,015	)		(8,348,484	)
NET ASSETS:
Beginning of period		312,893,275			359,956,020			121,438,416			93,356,257			507,760,421			516,108,905
End of period†	$	328,171,894		$	312,893,275		$	146,765,384		$	121,438,416		$	493,387,406		$	507,760,421
† Includes accumulated undistributed net investment income (loss)	$	7,390,710		$	4,930,872		$	1,501,505		$	1,767,826		$	7,948,131		$	8,868,008

See Notes to Financial Statements

322

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Allocation Moderate						SA Allocation Balanced
	For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018			For the six months ended September 30, 2018 (unaudited)			For the year ended March 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	(579,796	)	$	4,380,481		$	(426,074	)	$	3,631,509
Net realized gain (loss) on investments and foreign currencies		2,341,603			31,904,359			1,236,421			17,835,679
Net unrealized gain (loss) on investments and foreign currencies		10,292,824			(10,880,670	)		5,426,885			(7,073,919	)
Net increase (decrease) in net assets resulting from operations		12,054,631			25,404,170			6,237,232			14,393,269
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(1,760	)		—			(1,867	)
Net investment income — Class 2		—			—			—			—
Net investment income — Class 3		—			(4,667,853	)		—			(3,727,674	)
Net realized gain on investments — Class 1		—			(2,407	)		—			(3,570	)
Net realized gain on investments — Class 2		—			—			—			—
Net realized gain on investments — Class 3		—			(6,951,317	)		—			(7,730,428	)
Total distributions to shareholders		—			(11,623,337	)		—			(11,463,539	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(17,494,339	)		(23,480,398	)		(8,389,039	)		(17,990,794	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(5,439,708	)		(9,699,565	)		(2,151,807	)		(15,061,064	)
NET ASSETS:
Beginning of period		314,407,297			324,106,862			225,858,319			240,919,383
End of period†	$	308,967,589		$	314,407,297		$	223,706,512		$	225,858,319
† Includes accumulated undistributed net investment income (loss)	$	5,016,883		$	5,596,679		$	3,921,090		$	4,347,164

See Notes to Financial Statements

323

SEASONS SERIES TRUST
NOTES TO FINANCIALS STATEMENTS

Note 1.  Description of Business and Basis of Presentation: Seasons Series Trust (the "Trust"), organized as a Massachusetts business trust on October 10, 1995, is an open-end management investment company. The Trust consists of 20 separate series or portfolios (each, a "Portfolio," and collectively, the "Portfolios"). Shares of the Portfolios are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life policies (collectively, the "Variable Contracts"). Shares of the Trust are not offered directly to the public. Instead, they are offered through the Variable Contracts issued by life insurance companies affiliated with the Trust's adviser, SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser"). SAAMCo and the life companies are indirect wholly-owned subsidiaries of American International Group, Inc., a Delaware corporation ("AIG"). SAAMCo serves as investment adviser for all the Portfolios of the Trust. Shares of the Trust are held by separate accounts of American General Life Insurance Company ("AGL"), a Texas life insurer, The Variable Annuity Life Insurance Company ("VALIC"), a Texas life insurer and The United States Life Insurance Company in The City of New York ("USL"), a New York life insurer. 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.

The investment goal for each Portfolio is as follows:

Seasons Strategies Portfolios

The SA Multi-Managed Growth Portfolio seeks long-term growth of capital.

The SA Multi-Managed Moderate Growth Portfolio seeks long-term growth of capital, with capital preservation as a secondary objective.

The SA Multi-Managed Income/Equity Portfolio seeks conservation of principal while maintaining some potential for long-term growth of capital.

The SA Multi-Managed Income Portfolio seeks capital preservation.

The SA Putnam 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 SA T. Rowe Price Growth 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.

324

Seasons Select Portfolios

The SA Multi-Managed 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 SA Multi-Managed 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 SA Multi-Managed 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 SA Multi-Managed 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 SA Multi-Managed 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 SA Multi-Managed 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 SA Multi-Managed Diversified Fixed Income Portfolio seeks relatively high current income and, secondarily, capital appreciation by investing, under normal circumstances, at least 80% of its net assets in fixed income securities including U.S. and foreign government securities, asset- and mortgage-backed securities, investment-grade debt securities, and lower-rated fixed income securities, or junk bonds.

The SA Wellington 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 SA 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 SA 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 SA 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 SA 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").

325

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 Portfolios are considered investment companies under GAAP and follow the accounting and reporting guidance applicable to investment companies. 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 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, 2018, is reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price ("NOCP"). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

326

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.

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 the over-the-counter ("OTC") market are valued 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 in the OTC market 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

327

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 SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Putnam Asset Allocation Diversified Growth, SA Multi-Managed Large Cap Value, SA Multi-Managed Diversified Fixed Income and SA Wellington 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.

Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Futures: During the period, the SA Multi-Managed Large Cap Growth, SA Multi-Managed Large Cap Value, SA Multi-Managed Mid Cap Growth, SA Multi-Managed Mid Cap Value, SA Multi-Managed Small Cap and SA Multi-Managed International Equity Portfolios used futures contracts to increase or decrease exposure to equity or bond markets. The SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Multi-Managed Diversified Fixed Income and SA Wellington Real Return Portfolios used futures contracts to manage duration and yield curve positioning and to increase exposure to equity or bond markets. The SA Putnam 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 or securities. 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

328

Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to a Portfolio since the futures contracts are generally exchange-traded.

Futures contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Options: During the period, the SA Multi-Managed 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 security, and for written options, may result in losses in excess of the amounts shown on the statement of assets and liabilities. There is also the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market. In addition, unlisted options are not traded on an exchange and may not be as actively traded as listed options, making the valuation of such securities more difficult. An unlisted option also entails a greater risk that the party on the other side of the option transaction may default, which would make it impossible to close out an unlisted option position in some cases, and profits related to the transaction lost thereby.

Option contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Swap Contracts: Certain 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).

329

Credit Default Swap Agreements: During the period, the SA Multi-Managed Diversified Fixed Income Portfolio 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 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

330

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 at the end of each Portfolio's Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding at the end of the period, for which a Portfolio is the seller of protection, if any, are disclosed on a schedule at the end of each Portfolio's Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Portfolio for the same referenced entity or entities.

Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Equity Swap Agreements: During the period, the SA Putnam Asset Allocation Diversified Growth Portfolio used equity swaps, a type of total return swap, to hedge the portfolio's sector exposure, to gain exposure to certain sectors and to enhance total return.

Equity swaps are contracts that are typically entered into for the purpose of investing in a security or index without owning or taking physical custody of securities. Total return swaps are contracts that obligate a party to pay or receive interest in exchange for the payment by the other party of the total return generated by a security, a basket of securities, an index or an index component. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

The counterparty to an equity swap will typically be a bank, investment banking firm or broker/dealer. Equity swaps may be structured in different ways. The counterparty will generally agree to pay a Portfolio the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, a Portfolio may agree to pay to the counterparty a floating rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks.

Therefore, the return to a Portfolio on any equity swap should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Portfolio on the notional amount. In other cases, the counterparty and a Portfolio may agree to pay to the other the difference between the relative investment performances that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).

A Portfolio will generally enter into equity swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of an equity swap contract or periodically during its term. Equity swaps normally do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that a Portfolio is contractually obligated to make. If the counterparty to an equity swap defaults, a Portfolio's risk of loss consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock) may also be sensitive to changes in interest rates.

331

Equity swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Interest Rate Swap Agreements: During the period, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Multi-Managed Diversified Fixed Income and SA Wellington 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 at the end of each Portfolio's Portfolio of Investments.

Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset's perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss, which may be in excess of the amount reflected on the statement of assets and liabilities.

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

332

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, 2018, 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, 2018. 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, 2018, please refer to a schedule at the end of each Portfolio's Portfolio of Investments.

	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)		Swap Contracts(2)		Foreign Exchange Contracts(4)		Total
SA Multi-Managed Growth Portfolio	$	849	$	18,814	$	—	$	645	$	—	$	—	$	8,209	$	28,517
SA Multi-Managed Moderate Growth Portfolio		1,094		49,532		—		1,075		—		—		27,554		79,255
SA Multi-Managed Income/ Equity Portfolio		2,333		58,183		—		—		—		—		31,164		91,680
SA Multi-Managed Income Portfolio		2,216		64,918		—		—		—		—		31,055		98,189
SA Putnam Asset Allocation Diversified Growth Portfolio		2,297		—		—		34,461		47,484		—		10,859		95,101
SA Multi-Managed Large Cap Growth Portfolio		—		—		—		1,100		—		—		—		1,100
SA Multi-Managed Large Cap Value Portfolio		—		—		—		—		—		—		223,433		223,433
SA Multi-Managed Mid Cap Growth Portfolio		—		—		—		1,300		—		—		—		1,300
SA Multi-Managed Mid Cap Value Portfolio		—		—		—		2,600		—		—		—		2,600
SA Multi-Managed Small Cap Portfolio		—		—		—		13,545		—		—		—		13,545
SA Multi-Managed International Equity Portfolio		—		—		—		—		—		—		—		—
SA Multi-Managed Diversified Fixed Income Portfolio		24,418		943,401		336,844		—		—		—		42,031		1,346,694
SA Wellington Real Return Portfolio		41,523		—		—		—		—		—		2,757,607		2,799,130

333

	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)		Swap Contracts(5)		Foreign Exchange Contracts(7)		Total
SA Multi-Managed Growth Portfolio	$	1,317	$	—	$	—	$	—	$	—	$	—	$	—	$	1,317
SA Multi-Managed Moderate Growth Portfolio		4,449		—		—		—		—		—		—		4,449
SA Multi-Managed Income/ Equity Portfolio		3,952		—		—		—		—		—		—		3,952
SA Multi-Managed Income Portfolio		4,327		—		—		—		—		—		—		4,327
SA Putnam Asset Allocation Diversified Growth Portfolio		4,914		—		—		—		40,328		—		59,478		104,720
SA Multi-Managed Large Cap Growth Portfolio		—		—		—		—		—		—		—		—
SA Multi-Managed Large Cap Value Portfolio		—		—		—		1,100		—		—		1,755		2,855
SA Multi-Managed Mid Cap Growth Portfolio		—		—		—		—		—		—		—		—
SA Multi-Managed Mid Cap Value Portfolio		—		—		—		—		—		—		—		—
SA Multi-Managed Small Cap Portfolio		—		—		—		—		—		—		—		—
SA Multi-Managed International Equity Portfolio		—		—		—		19,470		—		—		—		19,470
SA Multi-Managed Diversified Fixed Income Portfolio		25,598		—		—		—		—		22,993		800		49,391
SA Wellington Real Return Portfolio		14,721		—		—		—		—		—		59,716		74,437

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)
SA Multi-Managed Growth Portfolio	$	(102	)
SA Multi-Managed Moderate Growth Portfolio		(10,749	)
SA Multi-Managed Income/Equity Portfolio		9,550
SA Multi-Managed Income Portfolio		31,470
SA Putnam Asset Allocation Diversified Growth Portfolio		(57,205	)
SA Multi-Managed Large Cap Growth Portfolio		10,780
SA Multi-Managed Large Cap Value Portfolio		(7,120	)
SA Multi-Managed Mid Cap Growth Portfolio		(3,654	)
SA Multi-Managed Mid Cap Value Portfolio		(7,308	)

334

Portfolio	Cumulative Appreciation (Depreciation)
SA Multi-Managed Small Cap Portfolio	$	(82,054	)
SA Multi-Managed International Equity Portfolio		4,692
SA Multi-Managed Diversified Fixed Income Portfolio		(39,986	)
SA Wellington Real Return Portfolio		743,950

	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
SA Multi-Managed Growth Portfolio	$	16,912	$	2,855	$	—	$	16,894		$	—	$	—	$	—	$	614		$	—	$	37,275
SA Multi-Managed Moderate Growth Portfolio		65,225		8,527		—		75,797			—		—		—		6,904			—		156,453
SA Multi-Managed Income/Equity Portfolio		52,817		9,508		—		—			—		—		—		24,019			—		86,344
SA Multi-Managed Income Portfolio		40,106		9,372		—		—			—		—		—		7,183			—		56,661
SA Putnam Asset Allocation Diversified Growth Portfolio		120,586		—		—		705,566			110,142		—		—		(299,359	)		—		636,935
SA Multi-Managed Large Cap Growth Portfolio		—		—		—		112,120			—		—		—		—			—		112,120
SA Multi-Managed Large Cap Value Portfolio		—		—		—		20,220			—		—		—		1,082,500			—		1,102,720
SA Multi-Managed Mid Cap Growth Portfolio		—		—		—		17,425			—		—		—		—			—		17,425
SA Multi-Managed Mid Cap Value Portfolio		—		—		—		34,850			—		—		—		—			—		34,850
SA Multi-Managed Small Cap Portfolio		—		—		—		212,167			—		—		—		—			—		212,167
SA Multi-Managed International Equity Portfolio		—		—		—		(100,397	)		—		—		—		—			—		(100,397	)

335

	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
SA Multi-Managed Diversified Fixed Income Portfolio	$	326,289		$	73,925	$	32,107	$	—		$	—		$	—	$	(16,442	)	$	171,981		$	—	$	587,860
SA Wellington Real Return Portfolio		541,185			49,610		—		—			—			—		—			24,663,626			—		25,254,421
	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
SA Multi-Managed Growth Portfolio	$	9,515		$	9,828	$	—	$	407		$	—		$	—	$	—		$	22,827		$	—	$	42,577
SA Multi-Managed Moderate Growth Portfolio		467			25,350		—		(3,720	)		—			—		—			66,223			—		88,320
SA Multi-Managed Income/Equity Portfolio		27,514			29,442		—		—			—			—		—			75,376			—		132,332
SA Multi-Managed Income Portfolio		69,845			24,582		—		—			—			—		—			75,966			—		170,393
SA Putnam Asset Allocation Diversified Growth Portfolio		(25,828	)		—		—		167,579			(39,015	)		—		—			(70,931	)		—		31,805
SA Multi-Managed Large Cap Growth Portfolio		—			—		—		96,400			—			—		—			—			—		96,400
SA Multi-Managed Large Cap Value Portfolio		—			—		—		30,400			—			—		—			212,713			—		243,113
SA Multi-Managed Mid Cap Growth Portfolio		—			—		—		8,789			—			—		—			—			—		8,789
SA Multi-Managed Mid Cap Value Portfolio		—			—		—		17,579			—			—		—			—			—		17,579
SA Multi-Managed Small Cap Portfolio		—			—		—		5,093			—			—		—			—			—		5,093

336

	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
SA Multi-Managed International Equity Portfolio	$	—	$	—	$	—	$	59,113	$	—	$	—	$	—		$	—	$	—	$	59,113
SA Multi-Managed Diversified Fixed Income Portfolio		277,443		964,360		204,765		—		—		—		(15,165	)		33,047		—		1,464,450
SA Wellington Real Return Portfolio		1,758,033		50,130		—		—		—		—		—			660,191		—		2,468,354

*  Includes amounts relating to purchased and written options as follows:

Realized Gain (Loss) on Derivatives Recognized in Statement of Operations

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations

Interest Rate Contracts

Equity Contracts

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)

SA Multi-Managed Growth Portfolio

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

—

SA Multi-Managed Moderate Growth Portfolio

—

—

—

—

—

—

—

—

—

—

—

—

SA Multi-Managed Income/Equity Portfolio

—

—

—

—

—

—

—

—

—

—

—

—

SA Multi-Managed Income Portfolio

—

—

—

—

—

—

—

—

—

—

—

—

SA Putnam Asset Allocation Diversified Growth Portfolio

—

—

—

—

—

—

—

—

—

—

—

—

SA Multi-Managed Large Cap Growth Portfolio

—

—

—

—

—

—

—

—

—

—

—

—

SA Multi-Managed Large Cap Value Portfolio

—

—

—

—

—

—

—

—

—

—

—

—

SA Multi-Managed Mid Cap Growth Portfolio

—

—

—

—

—

—

—

—

—

—

—

—

SA Multi-Managed Mid Cap Value Portfolio

—

—

—

—

—

—

—

—

—

—

—

—

337

	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)
SA Multi-Managed Small Cap Portfolio	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
SA Multi-Managed International Equity Portfolio		—		—		—		—		—		—		—		—		—		—		—		—
SA Multi-Managed Diversified Fixed Income Portfolio		21,436		—		—		—		—		—		204,765		—		—		—		—		—
SA Wellington Real Return Portfolio		—		—		—		—		—		—		—		—		—		—		—		—

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

The following table represents the average monthly balances of derivatives held during the six months ended September 30, 2018.

	Average Amount Outstanding During the Period
Portfolio	Futures Contracts(1)		Foreign Exchange Contracts(1)		Purchased Options Contracts(2)		Interest Rate Swap Contracts(1)		Credit Swap Contracts(1)		Total Return Swap Contracts(2)
SA Multi-Managed Growth Portfolio .	$	5,188,502	$	281,871	$	—	$	328,667	$	—	$	—
SA Multi-Managed Moderate Growth Portfolio		10,140,382		1,064,187		—		842,667		—		—
SA Multi-Managed Income/Equity Portfolio		12,457,219		1,310,541		—		963,333		—		—
SA Multi-Managed Income Portfolio .		14,360,295		1,184,553		—		980,000		—		—
SA Putnam Asset Allocation Diversified Growth Portfolio		44,105,818		5,988,673		—		—		—		14,098,094
SA Multi-Managed Large Cap Growth Portfolio		1,674,500		—		—		—		—		—
SA Multi-Managed Large Cap Value Portfolio		1,107,867		20,698,672		—		—		—		—
SA Multi-Managed Mid Cap Growth Portfolio		394,400		—		—		—		—		—
SA Multi-Managed Mid Cap Value Portfolio		788,800		—		—		—		—		—
SA Multi-Managed Small Cap Portfolio		3,948,768		—		—		—		—		—
SA Multi-Managed International Equity Portfolio		2,766,289		—		—		—		—		—
SA Multi-Managed Diversified Fixed Income Portfolio		117,116,463		3,359,141		511,747		38,971,882		1,870,833		—
SA Wellington Real Return Portfolio		63,533,921		359,177,471		—		6,423,909		—		—

(1)  Amounts represent notional amounts in US dollars.

(2)  Amounts represent values in US dollars.

338

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, 2018. The repurchase agreements held by the Portfolios as of September 30, 2018, 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.

	SA 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)
JPMorgan Chase Bank	$	8,209	$	—	$	—	$	8,209	$	—	$	—	$	—	$	—	$	8,209	$	—	$	8,209

(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.

	SA 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)
HSBC Bank USA	$	5,853	$	—	$	—	$	5,853	$	—	$	—	$	—	$	—	$	5,853	$	—	$	5,853
JPMorgan Chase Bank		21,701		—		—		21,701		—		—		—		—		21,701		—		21,701
Total	$	27,554	$	—	$	—	$	27,554	$	—	$	—	$	—	$	—	$	27,554	$	—	$	27,554

(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.

	SA 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)
HSBC Bank USA	$	5,896	$	—	$	—	$	5,896	$	—	$	—	$	—	$	—	$	5,896	$	—	$	5,896
JPMorgan Chase Bank		25,268		—		—		25,268		—		—		—		—		25,268		—		25,268
Total	$	31,164	$	—	$	—	$	31,164	$	—	$	—	$	—	$	—	$	31,164	$	—	$	31,164

(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.

339

	SA 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)
HSBC Bank USA	$	5,853	$	—	$	—	$	5,853	$	—	$	—	$	—	$	—	$	5,853	$	—	$	5,853
JPMorgan Chase Bank		25,202		—		—		25,202		—		—		—		—		25,202		—		25,202
Total	$	31,055	$	—	$	—	$	31,055	$	—	$	—	$	—	$	—	$	31,055	$	—	$	31,055

(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.

	SA Putnam 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.	$	2,543	$	—	$	—	$	2,543	$	16,186	$	—	$	—	$	16,186	$	(13,643	)	$	—	$	(13,643	)
Citibank N.A.		7,218		47,484		—		54,702		6,749		40,328		—		47,077		7,625			—		7,625
Goldman Sachs International		—		—		—		—		742		—		—		742		(742	)		—		(742	)
JPMorgan Chase Bank		1,098		—		—		1,098		26,583		—		—		26,583		(25,485	)		—		(25,485	)
State Street Bank and Trust Co.		—		—		—		—		4,572		—		—		4,572		(4,572	)		—		(4,572	)
UBS AG		—		—		—		—		4,646		—		—		4,646		(4,646	)		—		(4,646	)
Total	$	10,859	$	47,484	$	—	$	58,343	$	59,478	$	40,328	$	—	$	99,806	$	(41,463	)	$	—	$	(41,463	)

(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.

340

	SA Multi-Managed 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)
Bank of America, N.A.	$	20,904	$	—	$	—	$	20,904	$	—	$	—	$	—	$	—	$	20,904	$	—	$	20,904
Credit Suisse AG		108,287		—		—		108,287		—		—		—		—		108,287		—		108,287
Goldman Sachs International		32,617		—		—		32,617		—		—		—		—		32,617		—		32,617
Morgan Stanley and Co., Inc.		25,965		—		—		25,965		1,755		—		—		1,755		24,210		—		24,210
UBS AG		35,660		—		—		35,660		—		—		—		—		35,660		—		35,660
Total	$	223,433	$	—	$	—	$	223,433	$	1,755	$	—	$	—	$	1,755	$	221,678	$	—	$	221,678

(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.

	SA Multi-Managed Diversified Fixed Income Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Bank of America, N.A.	$	—	$	—	$	207,940	$	207,940	$	—	$	—	$	—	$	—	$	207,940		$	—	$	207,940
Goldman Sachs International		—		—		128,904		128,904		—		—		—		—		128,904			—		128,904
HSBC Bank USA		42,031		—		—		42,031		—		—		—		—		42,031			—		42,031
State Street Bank and Trust Co.		—		—		—		—		800		—		—		800		(800	)		—		(800	)
Total	$	42,031	$	—	$	336,844	$	378,875	$	800	$	—	$	—	$	800	$	378,075		$	—	$	378,075

(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.

341

	SA Wellington 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)
HSBC Bank USA	$	1,793,229	$	—	$	—	$	1,793,229	$	—	$	—	$	—	$	—	$	1,793,229	$	—	$	1,793,229
Morgan Stanley and Co., Inc.		880,691		—		—		880,691		—		—		—		—		880,691		—		880,691
State Street Bank and Trust Co.		83,687		—		—		83,687		59,716		—		—		59,716		23,971		—		23,971
Total	$	2,757,607	$	—	$	—	$	2,757,607	$	59,716	$	—	$	—	$	59,716	$	2,697,891	$	—	$	2,697,891

(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.

342

As of September 30, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with Bank of America Securities LLC:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.16	%	$	70,000
SA Multi-Managed Moderate Growth		0.82			370,000
SA Multi-Managed Income/Equity		0.81			365,000
SA Multi-Managed Income		0.57			255,000
SA Multi-Managed Large Cap Value		4.00			1,800,000
SA Multi-Managed Mid Cap Growth		1.76			790,000
SA Multi-Managed Diversified Fixed Income		5.04			2,270,000
SA Wellington Real Return		2.79			1,255,000

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 28, 2018, bearing interest at a rate of 2.24% per annum, with a principal amount of $45,000,000, a repurchase price of $45,008,400, and a maturity date of October 01, 2018. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.25	%	06/30/2019	$	46,306,000	$	46,007,779

As of September 30, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.13	%	$	20,000
SA Multi-Managed Moderate Growth		0.80			120,000
SA Multi-Managed Income/Equity		0.80			120,000
SA Multi-Managed Income		0.57			85,000
SA Multi-Managed Large Cap Value		4.00			600,000
SA Multi-Managed Mid Cap Growth		1.73			260,000
SA Multi-Managed Diversified Fixed Income		5.03			755,000
SA Wellington Real Return		2.77			415,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Barclays Capital, Inc., dated September 28, 2018, bearing interest at a rate of 2.20% per annum, with a principal amount of $15,000,000, a repurchase price of $15,002,750 and a maturity date of October 01, 2018. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.50	%	05/15/2024	$	15,514,000	$	15,270,540

343

As of September 30, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.18	%	$	150,000
SA Multi-Managed Moderate Growth		0.85			720,000
SA Multi-Managed Income/Equity		0.82			700,000
SA Multi-Managed Income		0.58			490,000
SA Multi-Managed Large Cap Value		4.02			3,420,000
SA Multi-Managed Mid Cap Growth		1.78			1,510,000
SA Multi-Managed Diversified Fixed Income		5.07			4,310,000
SA Wellington Real Return		2.81			2,385,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

BNP Paribas SA, dated September 28, 2018, bearing interest at a rate of 2.22% per annum, with a principal amount of $85,000,000, a repurchase price of $85,015,725, and a maturity date of October 01, 2018. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.38	%	08/15/2024	$	89,302,200	$	86,599,929

As of September 30, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.16	%	$	25,000
SA Multi-Managed Moderate Growth		0.82			130,000
SA Multi-Managed Income/Equity		0.79			125,000
SA Multi-Managed Income		0.57			90,000
SA Multi-Managed Large Cap Value		4.00			635,000
SA Multi-Managed Mid Cap Growth		1.73			275,000
SA Multi-Managed Diversified Fixed Income		5.04			800,000
SA Wellington Real Return		2.77			440,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Deutsche Bank AG, dated September 28, 2018, bearing interest at a rate of 2.23% per annum, with a principal amount of $15,865,000, a repurchase price of $15,867,948 and a maturity date of October 01, 2018. 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	$	17,085,000	$	16,309,182

344

As of September 30, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.16	%	$	115,000
SA Multi-Managed Moderate Growth		0.83			580,000
SA Multi-Managed Income/Equity		0.81			570,000
SA Multi-Managed Income		0.57			400,000
SA Multi-Managed Large Cap Value		4.01			2,805,000
SA Multi-Managed Mid Cap Growth		1.76			1,230,000
SA Multi-Managed Diversified Fixed Income		5.05			3,535,000
SA Wellington Real Return		2.79			1,950,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

RBS Securities, Inc., dated September 28, 2018, bearing interest at a rate of 2.23% per annum, with a principal amount of $70,000,000, a repurchase price of $70,013,008, and a maturity date of October 01, 2018. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate	Maturity Date	Principal Amount		Value
U.S. Treasury Bills	Zero Coupon	05/23/2019	$	72,610,000	$	71,469,932

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, 2018, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Multi-Managed Asset Allocation Diversified Growth and SA Multi-Managed 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 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. Mortgage-Backed Dollar Rolls outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

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

345

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, 2018, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Putnam Asset Allocation Diversified Growth and SA Multi-Managed Diversified Fixed Income Portfolios purchased and/or sold when-issued securities. Securities purchased or sold on a when-issued or forward commitment basis outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.

The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.

Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios' books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates.

Loans: Certain Portfolios may invest in senior loans which generally consist of direct debt obligations of companies (collectively, "Borrowers"), primarily U.S. companies and their affiliates, undertaken to finance the growth of the Borrower's business internally and externally, or to finance a capital restructuring. Transactions in senior loans may settle on a delayed basis. Unsettled loans at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders: Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities.

Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations.

Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and 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).

346

Expenses common to all Portfolios, are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.

For the Seasons Managed Allocation Portfolios, the expenses included in the accompanying financial statements reflect the expenses of the Seasons Managed Allocation Portfolios and do not include indirect expenses borne by each Underlying Portfolio in connection with its investment in the Underlying Portfolio.

Distributions received from Real Estate Investment Trust ("REIT") investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year's allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.

Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.

For Seasons Managed Allocation Portfolios, distributions from income from the underlying Seasons Portfolios, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from underlying Seasons Portfolios, if any, are recorded to realized gains on the ex-dividend date.

The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.

Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.

The Portfolios recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2014-2016 or expected to be taken in each Portfolio's 2017 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 2014.

New Accounting Pronouncements: In August 2018, the SEC adopted amendments to certain financial statement disclosure requirements of Regulation S-X to conform them to GAAP for investment companies. The final rule became effective on November 5, 2018. Management is currently evaluating the amendments and their impact, if any, on the Funds' financial statements.

In August 2018, the FASB issued Accounting Standards Update ("ASU") No. 2018-13 "Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement". The ASU eliminates, modifies, and adds disclosure requirements for fair value measurements and is for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management is currently evaluating the amendments and their impact, if any, on the Portfolios' financial statements.

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

347

certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:

Portfolio	Assets	Management Fees
SA Multi-Managed Growth(1)(8)	0-$250 million		0.89	%
	>$250 million		0.84	%
	>$500 million		0.79	%
SA Multi-Managed Moderate Growth(1)(9)	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
SA Multi-Managed Income/Equity(10)	0-$250 million		0.81	%
	>$250 million		0.76	%
	>$500 million		0.71	%
SA Multi-Managed Income(11)	0-$250 million		0.77	%
	>$250 million		0.72	%
	>$500 million		0.67	%
SA Putnam Asset Allocation Diversified Growth(2)	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
SA T. Rowe Price Growth Stock	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
SA Multi-Managed Large Cap Growth(12), SA Multi-Managed Large Cap Value	0-$250 million		0.80	%
	>$250 million		0.75	%
	>$500 million		0.70	%
SA Multi-Managed Mid Cap Growth, SA Multi-Managed Mid Cap Value,	0-$250 million		0.85	%
SA Multi-Managed Small Cap(1)	>$250 million		0.80	%
	>$500 million		0.75	%
SA Multi-Managed International Equity(3)	0-$250 million		0.95	%
	>$250 million		0.90	%
	>$500 million		0.85	%
SA Multi-Managed Diversified Fixed Income	0-$200 million		0.70	%
	>$200 million		0.65	%
	>$400 million		0.60	%
SA Wellington 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	%
SA Allocation Growth(7), SA Allocation Moderate Growth(7),
SA Allocation Moderate(7), SA 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, 2018, the amount of advisory fees waived were $78, $55, and $112 for the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, and SA Multi-Managed Small Cap Portfolios, respectively.

(2)  The Adviser voluntarily agreed, until further notice, to waive 0.10% of advisory fees for the SA Putnam Asset Allocation Diversified Growth Portfolio. For the six months ended September 30, 2018, the amount of advisory fees waived was $79,820.

(3)  The Adviser contractually agreed to waive 0.04% of advisory fees for the SA Multi-Managed International Equity Portfolio. For the six months ended September 30, 2018, the amount of advisory fees waived was $109,456.

(4)  The Adviser voluntarily agreed to waive 0.05% of advisory fees for the SA Wellington Real Return Portfolio. For the six months ended September 30, 2018, the amount of advisory fees waived was $190,363.

348

(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, 2018, the amount of advisory fees waived was $196,861.

(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, 2018, the amount of advisory fees waived was $514,772.

(7)  The Adviser contractually agreed to waive its advisory fee for the SA Allocation Growth, SA Allocation Moderate Growth, SA Allocation Moderate and SA Allocation Balanced Portfolios so that the advisory fee payable to SAAMCo equals 0.09% of average daily net assets. For the six months ended September 30, 2018, the amount of advisory fees waived was $6,714, $25,183, $15,613 and $11,272, respectively.

(8)  Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Growth Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.85% on the first $250 million, 0.80% on the next $250 million, and 0.75% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $8,980.

(9)  Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Moderate Growth Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.82% on the first $250 million, 0.77% on the next $250 million, and 0.72% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $11,086.

(10)  Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Income/Equity Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.78% on the first $250 million, 0.73% on the next $250 million, and 0.68% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $7,558.

(11)  Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Income Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.75% on the first $250 million, 0.70% on the next $250 million, and 0.65% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $4,076.

(12)  Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Large Cap Growth Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.75% on the first $250 million, 0.69% on the next $250 million, and 0.60% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $116,462.

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
SA Multi-Managed Growth	Janus J.P. Morgan WMC
SA Multi-Managed Moderate Growth	Janus J.P. Morgan WMC
SA Multi-Managed Income/Equity	Janus WMC
SA Multi-Managed Income	Janus WMC
SA Putnam Asset Allocation Diversified Growth	Putnam Investment Management, LLC
SA T. Rowe Price Growth Stock	T. Rowe Price Associates, Inc. ("T. Rowe Price")
SA Multi-Managed Large Cap Growth	Goldman Sachs Asset Management, L.P. Janus SAAMCo
SA Multi-Managed Large Cap Value	SAAMCo American Century Investment Management, Inc. WMC
SA Multi-Managed Mid Cap Growth	SAAMCo T. Rowe Price WMC

349

Portfolio	Subadviser/Adviser
SA Multi-Managed Mid Cap Value	T. Rowe Price Massachusetts Financial Services Company SAAMCo
SA Multi-Managed Small Cap	PNC Capital Advisors, LLC J.P. Morgan SAAMCo
SA Multi-Managed International Equity	Schroder Investment Management T. Rowe Price SAAMCo
SA Multi-Managed Diversified Fixed Income	PineBridge WMC
SA Wellington Real Return	WMC
SA Columbia Focused Growth	Columbia Management Investment Advisers LLC ("Columbia")
SA Columbia Focused Value	Columbia
SA Allocation Growth	SAAMCo
SA Allocation Moderate Growth	SAAMCo
SA Allocation Moderate	SAAMCo
SA Allocation Balanced	SAAMCo

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, 2018, 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, 2018, service fees were paid (see Statement of Operations) based on the aforementioned rates.

On December 14, 2011, the SA Putnam Asset Allocation Diversified Growth Portfolio engaged in an investment transaction that violated Sections 17(a)(1) and 17(a)(2) of the Act. The violation resulted in a loss to the Fund of $0.38, which was reimbursed during November 2018.

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, 2018
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses		Unrealized Appreciation (Depreciation)*		Ordinary Income		Long-Term Capital Gains
SA Multi-Managed Growth	$	684,498	$	4,230,941	$	8,126,945	$	514,991	$	3,408,402
SA Multi-Managed Moderate Growth		1,309,877		5,277,063		10,532,777		1,293,194		3,797,621
SA Multi-Managed Income/Equity		1,096,652		2,528,786		3,659,675		1,519,779		1,236,357
SA Multi-Managed Income		1,069,552		1,173,445		1,309,680		1,345,161		537,619
SA Putnam Asset Allocation Diversified Growth		4,314,411		4,347,882		13,690,428		4,616,798		7,870,518

350

	Distributable Earnings								Tax Distributions
	For the year ended March 31, 2018
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses			Unrealized Appreciation (Depreciation)*			Ordinary Income		Long-Term Capital Gains
SA T. Rowe Price Growth Stock	$	4,586,404	$	91,202,977		$	104,332,196		$	195,863	$	52,228,580
SA Multi-Managed Large Cap Growth		6,479,465		71,166,524			127,241,822			4,607,346		28,852,425
SA Multi-Managed Large Cap Value		28,626,228		74,542,792			72,105,424			38,237,364		47,510,326
SA Multi-Managed Mid Cap Growth		6,085,193		17,875,668			51,479,966			1,199,515		17,685,974
SA Multi-Managed Mid Cap Value		6,834,271		11,578,176			26,773,664			15,227,040		18,310,114
SA Multi-Managed Small Cap		2,650,053		17,861,284			58,699,006			2,599,148		23,024,369
SA Multi-Managed International Equity		12,595,043		—			81,311,379			13,273,368		—
SA Multi-Managed Diversified Fixed Income		28,570,835		1,076,122			(9,576,054	)		24,662,381		—
SA Wellington Real Return		5,207,182		(8,114,835	)		6,972,702			17,165,665		—
SA Columbia Focused Growth		1,044,355		8,692,341			30,436,881			—		—
SA Columbia Focused Value		4,930,871		19,351,095			69,536,779			8,866,802		5,093,378
SA Allocation Growth		2,276,021		8,068,156			3,583,192			1,132,967		2,556,454
SA Allocation Moderate Growth		10,784,561		44,552,972			18,093,842			7,365,719		16,516,167
SA Allocation Moderate		6,643,043		25,466,001			6,127,995			4,669,613		6,953,724
SA Allocation Balanced		4,930,034		16,302,435			985,911			3,729,541		7,733,998

*  Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.

As of March 31, 2018, 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:

	Unlimited†
Portfolio	ST		LT
SA Multi-Managed Growth	$	—	$	—
SA Multi-Managed Moderate Growth		—		—
SA Multi-Managed Income/Equity		—		—
SA Multi-Managed Income		—		—
SA Putnam Asset Allocation Diversified Growth		—		—
SA T. Rowe Price Growth Stock		—		—
SA Multi-Managed Large Cap Growth		—		—
SA Multi-Managed Large Cap Value		—		—
SA Multi-Managed Mid Cap Growth		—		—
SA Multi-Managed Mid Cap Value		—		—
SA Multi-Managed Small Cap		—		—
SA Multi-Managed International Equity		—		—
SA Multi-Managed Diversified Fixed Income		—		—
SA Wellington Real Return		2,529,435		5,585,400
SA Columbia Focused Growth		—		—
SA Columbia Focused Value		—		—
SA Allocation Growth		—		—
SA Allocation Moderate Growth		—		—
SA Allocation Moderate		—		—
SA 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.

351

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, 2018, 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
SA Multi-Managed Growth	$	—	$	—	$	—
SA Multi-Managed Moderate Growth		—		—		—
SA Multi-Managed Income/Equity		—		—		—
SA Multi-Managed Income		—		—		—
SA Putnam Asset Allocation Diversified Growth		—		—		—
SA T. Rowe Price Growth Stock		—		—		—
SA Multi-Managed Large Cap Growth		—		—		—
SA Multi-Managed Large Cap Value		—		—		—
SA Multi-Managed Mid Cap Growth		—		—		—
SA Multi-Managed Mid Cap Value		—		—		—
SA Multi-Managed Small Cap		—		—		—
SA Multi-Managed International Equity		—		—		—
SA Multi-Managed Diversified Fixed Income		—		—		—
SA Wellington Real Return		—		—		—
SA Columbia Focused Growth		150,249		—		—
SA Columbia Focused Value		—		—		—
SA Allocation Growth		—		—		—
SA Allocation Moderate Growth		—		—		—
SA Allocation Moderate		—		—		—
SA 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
SA Multi-Managed Growth	$	10,846,510	$	(1,232,497	)	$	9,614,013		$	47,242,819
SA Multi-Managed Moderate Growth		14,106,130		(2,163,058	)		11,943,072			86,754,596
SA Multi-Managed Income/Equity		5,530,116		(1,222,659	)		4,307,457			67,291,778
SA Multi-Managed Income		2,476,806		(1,123,251	)		1,353,555			60,224,253
SA Putnam Asset Allocation Diversified Growth		18,060,795		(4,913,801	)		13,146,994			154,830,569
SA T. Rowe Price Growth Stock		133,198,656		(7,962,046	)		125,236,610			301,771,602
SA Multi-Managed Large Cap Growth . .		158,867,083		(5,048,667	)		153,818,416			390,769,716
SA Multi-Managed Large Cap Value . .		119,282,408		(33,764,591	)		85,517,817			699,375,824
SA Multi-Managed Mid Cap Growth .		69,098,608		(8,254,715	)		60,843,893			174,537,668
SA Multi-Managed Mid Cap Value .		40,982,210		(11,019,946	)		29,962,264			224,844,252
SA Multi-Managed Small Cap . .		83,343,135		(15,188,968	)		68,154,167			231,508,938
SA Multi-Managed International Equity .		66,358,308		(23,521,190	)		42,837,118			429,255,147
SA Multi-Managed Diversified Fixed Income .		4,841,142		(26,726,749	)		(21,885,607	)		1,174,949,550
SA Wellington Real Return		7,460,024		(26,895,456	)		(19,435,432	)		845,182,171
SA Columbia Focused Growth. .		35,197,904		(1,476,858	)		33,721,046			76,279,319
SA Columbia Focused Value. .		86,287,338		(1,885,778	)		84,401,560			244,658,702
SA Allocation Growth		10,799,244		(1,266,926	)		9,532,318			137,300,629
SA Allocation Moderate Growth		39,405,898		(4,260,371	)		35,145,527			458,435,943
SA Allocation Moderate		20,820,957		(4,400,138	)		16,420,819			292,673,423
SA Allocation Balanced		10,674,203		(4,261,407	)		6,412,796			217,389,729

352

On December 22, 2017, the Tax Cuts and Jobs Act (the "Act") was signed into law. Certain provisions of the Act were effective upon enactment with the remainder becoming effective for tax years beginning after December 31, 2017. Management is currently evaluating the impact, if any, on the financial statements and the accompanying notes to financial statements.

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, 2018, 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, 2018 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
SA Multi-Managed Growth	$	12,713,725	$	18,146,522	$	1,511,551	$	811,804
SA Multi-Managed Moderate Growth		21,222,398		29,308,832		2,843,296		2,283,542
SA Multi-Managed Income/ Equity		12,411,307		17,893,137		4,793,570		3,121,147
SA Multi-Managed Income		10,598,998		14,428,695		3,990,075		2,753,975
SA Putnam Asset Allocation Diversified Growth		71,049,053		65,550,519		18,460,291		15,518,806
SA T. Rowe Price Growth Stock		80,558,366		107,588,855		—		—
SA Multi-Managed Large Cap Growth		120,401,207		152,974,909		—		—
SA Multi-Managed Large Cap Value		107,204,446		225,020,631		—		—
SA Multi-Managed Mid Cap Growth		51,858,902		70,759,191		—		—
SA Multi-Managed Mid Cap Value		37,262,562		51,204,612		—		—
SA Multi-Managed Small Cap		58,347,007		69,283,519		—		—
SA Multi-Managed International Equity		68,646,541		197,883,696		—		—
SA Multi-Managed Diversified Fixed Income		150,753,397		182,069,031		61,808,064		79,188,445
SA Wellington Real Return		71,298,218		10,299,131		184,977,986		95,131,283
SA Columbia Focused Growth Portfolio		8,868,777		48,001,752		—		—
SA Columbia Focused Value Portfolio		23,479,853		28,857,990		—		—
SA Allocation Growth		31,935,465		13,876,267		—		—
SA Allocation Moderate Growth		39,814,683		77,027,625		—		—
SA Allocation Moderate		24,675,629		42,765,628		—		—
SA Allocation Balanced		20,335,932		29,094,541		—		—

353

Note 7.  Capital Share Transactions: Transactions in capital shares of each class of each Portfolio were as follows:

	SA Multi-Managed Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		823		$	15,068			23,923		$	411,195			13,042		$	225,480			54,487		$	933,667
Reinvested dividends		—			—			42,943			725,977			—			—			83,966			1,419,038
Shares redeemed		(40,130	)		(706,531	)		(91,641	)		(1,566,155	)		(92,155	)		(1,635,333	)		(173,913	)		(3,001,214	)
Net increase (decrease)		(39,307	)	$	(691,463	)		(24,775	)	$	(428,983	)		(79,113	)	$	(1,409,853	)		(35,460	)	$	(648,509	)
	SA Multi-Managed Growth Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		11,842		$	208,859			74,588		$	1,280,324
Reinvested dividends		—			—			105,422			1,778,378
Shares redeemed		(124,543	)		(2,223,875	)		(382,459	)		(6,580,523	)
Net increase (decrease)		(112,701	)	$	(2,015,016	)		(202,449	)	$	(3,521,821	)
	SA Multi-Managed Moderate Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,264		$	58,724			29,916		$	388,833			19,709		$	270,401			141,264		$	1,844,423
Reinvested dividends		—			—			43,819			564,015			—			—			190,087			2,444,099
Shares redeemed		(37,420	)		(501,989	)		(106,065	)		(1,385,280	)		(229,252	)		(3,045,280	)		(436,967	)		(5,673,054	)
Net increase (decrease)		(33,156	)	$	(443,265	)		(32,330	)	$	(432,432	)		(209,543	)	$	(2,774,879	)		(105,616	)	$	(1,384,532	)
	SA Multi-Managed Moderate Growth Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		76,403		$	1,033,789			149,916		$	1,942,031
Reinvested dividends		—			—			162,142			2,082,701
Shares redeemed		(274,012	)		(3,669,241	)		(571,672	)		(7,438,258	)
Net increase (decrease)		(197,609	)	$	(2,635,452	)		(259,614	)	$	(3,413,526	)

354

	SA Multi-Managed Income/Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		11,619		$	133,867			62,970		$	712,626			103,143		$	1,173,244			273,512		$	3,092,536
Reinvested dividends		—			—			35,174			394,819			—			—			135,354			1,517,947
Shares redeemed		(38,048	)		(434,638	)		(124,701	)		(1,422,532	)		(244,952	)		(2,787,231	)		(655,871	)		(7,416,972	)
Net increase (decrease)		(26,429	)	$	(300,771	)		(26,557	)	$	(315,087	)		(141,809	)	$	(1,613,987	)		(247,005	)	$	(2,806,489	)
	SA Multi-Managed Income/Equity Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		33,046		$	380,729			184,334		$	2,078,266
Reinvested dividends		—			—			75,151			843,370
Shares redeemed		(113,897	)		(1,293,270	)		(445,308	)		(5,044,969	)
Net increase (decrease)		(80,851	)	$	(912,541	)		(185,823	)	$	(2,123,333	)
	SA Multi-Managed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,816		$	110,133			28,998		$	325,667			90,066		$	1,000,092			192,414		$	2,170,747
Reinvested dividends		—			—			19,541			217,946			—			—			93,252			1,039,071
Shares redeemed		(30,301	)		(338,338	)		(100,282	)		(1,133,798	)		(176,535	)		(1,959,501	)		(469,340	)		(5,281,226	)
Net increase (decrease)		(20,485	)	$	(228,205	)		(51,743	)	$	(590,185	)		(86,469	)	$	(959,409	)		(183,674	)	$	(2,071,408	)
	SA Multi-Managed Income Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		66,171		$	739,013			178,211		$	2,006,383
Reinvested dividends		—			—			56,150			625,763
Shares redeemed		(134,765	)		(1,501,372	)		(306,612	)		(3,455,166	)
Net increase (decrease)		(68,594	)	$	(762,359	)		(72,251	)	$	(823,020	)

355

	SA Putnam Asset Allocation Diversified Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		15,904		$	195,787			66,816		$	822,031			86,880		$	1,072,426			212,616		$	2,643,686
Reinvested dividends		—			—			114,888			1,403,958			—			—			411,013			5,025,373
Shares redeemed		(76,784	)		(962,142	)		(228,767	)		(2,856,980	)		(365,232	)		(4,573,273	)		(879,101	)		(10,951,490	)
Net increase (decrease)		(60,880	)	$	(766,355	)		(47,063	)	$	(630,991	)		(278,352	)	$	(3,500,847	)		(255,472	)	$	(3,282,431	)
	SA Putnam Asset Allocation Diversified Growth Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		1,341,194		$	16,683,077			2,674,876		$	33,454,153
Reinvested dividends		—			—			496,632			6,057,985
Shares redeemed		(362,534	)		(4,546,710	)		(961,653	)		(12,006,715	)
Net increase (decrease)		978,660		$	12,136,367			2,209,855		$	27,505,423
	SA T. Rowe Price Growth Stock Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		26,364		$	794,514			155,378		$	4,280,626			17,618		$	488,231			36,337		$	1,001,184
Reinvested dividends		—			—			1,605,712			42,229,712			—			—			215,185			5,508,566
Shares redeemed		(795,973	)		(23,227,626	)		(3,967,927	)		(108,851,836	)		(160,752	)		(4,541,731	)		(481,656	)		(12,816,114	)
Net increase (decrease)		(769,609	)	$	(22,433,112	)		(2,206,837	)	$	(62,341,498	)		(143,134	)	$	(4,053,500	)		(230,134	)	$	(6,306,364	)
	SA T. Rowe Price Growth Stock Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		20,944		$	591,562			47,633		$	1,246,833
Reinvested dividends		—			—			186,122			4,686,165
Shares redeemed		(147,043	)		(4,109,810	)		(494,727	)		(13,006,284	)
Net increase (decrease)		(126,099	)	$	(3,518,248	)		(260,972	)	$	(7,073,286	)

356

	SA Multi-Managed Large Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		3,590,998		$	60,393,932			5,656,976		$	83,239,821			24,326		$	385,849			89,166		$	1,320,841
Reinvested dividends		—			—			2,021,233			30,133,329			—			—			148,777			2,174,755
Shares redeemed		(5,571,257	)		(88,185,502	)		(12,459,273	)		(186,041,023	)		(265,369	)		(4,253,928	)		(414,853	)		(6,101,050	)
Net increase (decrease)		(1,980,259	)	$	(27,791,570	)		(4,781,064	)	$	(72,667,873	)		(241,043	)	$	(3,868,079	)		(176,910	)	$	(2,605,454	)
	SA Multi-Managed Large Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		8,398		$	136,959			71,362		$	1,025,826
Reinvested dividends		—			—			79,553			1,151,687
Shares redeemed		(112,654	)		(1,802,009	)		(276,177	)		(4,006,121	)
Net increase (decrease)		(104,256	)	$	(1,665,050	)		(125,262	)	$	(1,828,608	)
	SA Multi-Managed Large Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		246,843		$	4,271,788			2,379,575		$	41,593,430			11,476		$	198,304			28,793		$	500,918
Reinvested dividends		—			—			4,780,858			81,468,326			—			—			163,557			2,785,011
Shares redeemed		(7,324,855	)		(123,971,302	)		(14,400,785	)		(253,523,230	)		(123,947	)		(2,134,723	)		(288,712	)		(5,085,722	)
Net increase (decrease)		(7,078,012	)	$	(119,699,514	)		(7,240,352	)	$	(130,461,474	)		(112,471	)	$	(1,936,419	)		(96,362	)	$	(1,799,793	)
	SA Multi-Managed Large Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		12,215		$	211,196			51,676		$	904,916
Reinvested dividends		—			—			87,760			1,494,353
Shares redeemed		(94,198	)		(1,623,299	)		(185,078	)		(3,255,093	)
Net increase (decrease)		(81,983	)	$	(1,412,103	)		(45,642	)	$	(855,824	)

357

	SA Multi-Managed Mid Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		431,553		$	8,631,518			1,127,173		$	20,426,328			24,026		$	462,556			46,660		$	824,719
Reinvested dividends		—			—			847,558			15,475,813			—			—			115,257			2,014,389
Shares redeemed		(1,358,141	)		(27,028,364	)		(1,652,651	)		(30,220,795	)		(114,707	)		(2,210,206	)		(214,888	)		(3,819,674	)
Net increase (decrease)		(926,588	)	$	(18,396,846	)		322,080		$	5,681,346			(90,681	)	$	(1,747,650	)		(52,971	)	$	(980,566	)
	SA Multi-Managed Mid Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		14,046		$	271,035			43,879		$	735,824
Reinvested dividends		—			—			81,872			1,395,287
Shares redeemed		(83,528	)		(1,568,914	)		(205,820	)		(3,553,679	)
Net increase (decrease)		(69,482	)	$	(1,297,879	)		(80,069	)	$	(1,422,568	)
	SA Multi-Managed Mid Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		51,451		$	901,698			1,166,991		$	20,810,766			5,322		$	93,411			22,107		$	391,345
Reinvested dividends		—			—			1,635,891			27,718,810			—			—			208,160			3,517,831
Shares redeemed		(586,262	)		(10,203,558	)		(3,429,926	)		(61,692,352	)		(97,611	)		(1,691,550	)		(251,164	)		(4,471,434	)
Net increase (decrease)		(534,811	)	$	(9,301,860	)		(627,044	)	$	(13,162,776	)		(92,289	)	$	(1,598,139	)		(20,897	)	$	(562,258	)
	SA Multi-Managed Mid Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		17,234		$	301,839			54,713		$	966,461
Reinvested dividends		—			—			136,376			2,300,513
Shares redeemed		(92,200	)		(1,593,527	)		(255,190	)		(4,551,791	)
Net increase (decrease)		(74,966	)	$	(1,291,688	)		(64,101	)	$	(1,284,817	)

358

	SA Multi-Managed Small Cap Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		870,395		$	13,748,741			339,786		$	4,810,859			14,416		$	221,687			44,694		$	632,044
Reinvested dividends		—			—			1,614,464			22,814,145			—			—			120,714			1,662,406
Shares redeemed		(1,386,569	)		(21,262,808	)		(2,986,185	)		(42,227,086	)		(123,316	)		(1,851,068	)		(251,182	)		(3,526,143	)
Net increase (decrease)		(516,174	)	$	(7,514,067	)		(1,031,935	)	$	(14,602,082	)		(108,900	)	$	(1,629,381	)		(85,774	)	$	(1,231,693	)
	SA Multi-Managed Small Cap Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		30,051		$	451,191			58,455		$	803,463
Reinvested dividends		—			—			84,609			1,146,966
Shares redeemed		(98,025	)		(1,450,338	)		(168,765	)		(2,336,446	)
Net increase (decrease)		(67,974	)	$	(999,147	)		(25,701	)	$	(386,017	)
	SA Multi-Managed International Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		352,016		$	3,402,018			1,815,942		$	17,002,884			56,040		$	549,333			153,900		$	1,446,242
Reinvested dividends		—			—			1,303,851			12,521,978			—			—			44,973			432,780
Shares redeemed		(14,528,309	)		(141,464,141	)		(17,779,072	)		(169,940,352	)		(213,340	)		(2,084,355	)		(378,795	)		(3,608,597	)
Net increase (decrease)		(14,176,293	)	$	(138,062,123	)		(14,659,279	)	$	(140,415,490	)		(157,300	)	$	(1,535,022	)		(179,922	)	$	(1,729,575	)
	SA Multi-Managed International Equity Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		57,308		$	552,546			124,217		$	1,141,505
Reinvested dividends		—			—			33,209			318,610
Shares redeemed		(164,884	)		(1,589,683	)		(441,046	)		(4,151,317	)
Net increase (decrease)		(107,576	)	$	(1,037,137	)		(283,620	)	$	(2,691,202	)

359

	SA Multi-Managed Diversified Fixed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,375,859		$	27,316,859			14,859,892		$	173,898,970			21,126		$	242,454			107,109		$	1,269,079
Reinvested dividends		—			—			2,031,030			23,737,627			—			—			50,662			591,671
Shares redeemed		(6,238,828	)		(71,569,027	)		(24,854,157	)		(295,973,448	)		(235,554	)		(2,700,080	)		(472,076	)		(5,575,063	)
Net increase (decrease)		(3,862,969	)	$	(44,252,168	)		(7,963,235	)	$	(98,336,851	)		(214,428	)	$	(2,457,626	)		(314,305	)	$	(3,714,313	)
	SA Multi-Managed Diversified Fixed Income Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		17,198		$	196,302			203,931		$	2,383,117
Reinvested dividends		—			—			28,653			333,083
Shares redeemed		(126,559	)		(1,443,443	)		(380,137	)		(4,447,535	)
Net increase (decrease)		(109,361	)	$	(1,247,141	)		(147,553	)	$	(1,731,335	)
	SA Wellington Real Return Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		813,393		$	7,879,745			11,411,819		$	111,054,532			2,123,104		$	20,368,954			5,144,242		$	49,729,477
Reinvested dividends		—			—			831,044			8,021,823			—			—			954,267			9,143,842
Shares redeemed		(2,218,588	)		(21,459,618	)		(2,701,807	)		(26,317,213	)		(3,127,289	)		(29,999,798	)		(6,266,709	)		(60,581,415	)
Net increase (decrease)		(1,405,195	)	$	(13,579,873	)		9,541,056		$	92,759,142			(1,004,185	)	$	(9,630,844	)		(168,200	)	$	(1,708,096	)
	SA Columbia Focused Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		10,028		$	121,441			103,955		$	1,098,903			103,262		$	1,140,544			99,776		$	950,819
Reinvested dividends		—			—			—			—			—			—			—			—
Shares redeemed		(2,643,262	)		(31,224,097	)		(2,555,405	)		(25,489,519	)		(197,647	)		(2,165,374	)		(407,183	)		(3,902,367	)
Net increase (decrease)		(2,633,234	)	$	(31,102,656	)		(2,451,450	)	$	(24,390,616	)		(94,385	)	$	(1,024,830	)		(307,407	)	$	(2,951,548	)

360

	SA Columbia Focused Growth Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		9,571		$	107,503			119,186		$	1,068,551
Reinvested dividends		—			—			—			—
Shares redeemed		(258,209)			(2,787,421	)		(476,094	)		(4,440,502	)
Net increase (decrease)		(248,638)		$	(2,679,918	)		(356,908	)	$	(3,371,951	)
	SA Columbia Focused Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		408,696		$	8,554,625			138,503		$	2,876,650			3,932		$	82,369			30,929		$	640,330
Reinvested dividends		—			—			615,325			12,856,576			—			—			30,215			630,672
Shares redeemed		(646,864	)		(13,674,067	)		(4,367,370	)		(85,973,760	)		(59,257	)		(1,246,567	)		(111,491	)		(2,216,264	)
Net increase (decrease)		(238,168	)	$	(5,119,442	)		(3,613,542	)	$	(70,240,534	)		(55,325	)	$	(1,164,198	)		(50,347	)	$	(945,262	)
	SA Columbia Focused Value Portfolio
	Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount
Shares sold		3,829		$	79,043			20,952		$	419,647
Reinvested dividends		—			—			22,709			472,932
Shares redeemed		(55,956	)		(1,170,514	)		(128,549	)		(2,593,806	)
Net increase (decrease)		(52,127	)	$	(1,091,471	)		(84,888	)	$	(1,701,227	)
	SA Allocation Growth Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,268		$	108,589			2,396		$	35,885			1,849,372		$	27,405,108			2,409,729		$	34,518,413
Reinvested dividends		—			—			269			3,877			—			—			256,542			3,685,544
Shares redeemed		(62	)		(934	)		(16	)		(229	)		(618,252	)		(9,183,034)			(1,217,632	)		(17,400,326	)
Net increase (decrease)		7,206		$	107,655			2,649		$	39,533			1,231,120		$	18,222,074			1,448,639		$	20,803,631

361

	SA Allocation Moderate Growth Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,090		$	13,043			4,082		$	48,626			974,133		$	11,658,869			2,241,194		$	26,389,464
Reinvested dividends		—			—			480			5,638			—			—			2,038,184			23,876,248
Shares redeemed		(2,146	)		(25,793	)		(1,358	)		(16,505	)		(3,995,717	)		(47,920,665	)		(6,936,893	)		(81,762,877	)
Net increase (decrease)		(1,056	)	$	(12,750	)		3,204		$	37,759			(3,021,584	)	$	(36,261,796	)		(2,657,515	)	$	(31,497,165	)
	SA Allocation Moderate Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		—		$	—			1,712		$	20,000			805,516		$	9,514,600			2,029,171		$	23,566,955
Reinvested dividends		—			—			359			4,167			—			—			1,002,440			11,619,170
Shares redeemed		—			—			(1,711	)		(20,463	)		(2,287,326	)		(27,008,939	)		(5,063,115	)		(58,670,227	)
Net increase (decrease)		—		$	—			360		$	3,704			(1,481,810	)	$	(17,494,339	)		(2,031,504	)	$	(23,484,102	)
	SA Allocation Balanced Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018						For the six months ended September 30, 2018 (unaudited)						For the year ended March 31, 2018
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—			1,129,395		$	12,308,743			2,624,362		$	28,816,830
Reinvested dividends		—			—			500			5,437			—			—			1,056,395			11,458,102
Shares redeemed		—			—			—			—			(1,896,184	)		(20,697,782	)		(5,306,727	)		(58,271,163	)
Net increase (decrease)		—		$	—			500		$	5,437			(766,789	)	$	(8,389,039	)		(1,625,970	)	$	(17,996,231	)

Note 8.  Transactions with Affiliates: 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, 2018, transactions in these securities were as follows:

SA Multi-Managed Large Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2018
American International Group, Inc.	$	13,668	$	—	$	1,311,685	$	1,491	$	159,473	$	16,015	$	(39,220	)	$	1,130,498

362

SA Allocation Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
Anchor Series Trust
SA Wellington Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	1,688,248	$	624,047	$	46,218	$	(1,358	)	$	504		$	2,265,223
Seasons Series Trust
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		—		—		4,936,294		954,419		132,051		(1,584	)		(9,868	)		5,747,210
SA Multi-Managed International Equity Portfolio, Class 1		—		—		12,402,806		2,052,008		1,266,598		175,661			(223,201	)		13,140,676
SA Multi-Managed Large Cap Growth Portfolio, Class 1		—		—		13,269,765		2,010,691		2,809,672		524,054			1,176,284			14,171,122
SA Multi-Managed Large Cap Value Portfolio, Class 1		—		—		14,492,594		2,341,778		1,860,842		205,006			663,341			15,841,877
SA Multi-Managed Mid Cap Growth Portfolio, Class 1		—		—		1,561,521		245,645		37,965		8,599			187,354			1,965,154
SA Multi-Managed Mid Cap Value Portfolio, Class 1		—		—		2,003,239		352,448		54,471		4,809			110,359			2,416,384
SA Multi-Managed Small Cap Portfolio, Class 1		—		—		1,879,175		299,047		146,218		37,236			152,098			2,221,338
SA Wellington Real Return Portfolio, Class 1		—		—		2,790,118		1,016,291		75,929		(1,021	)		12,044			3,741,503
SunAmerica Series Trust
SA AB Growth Portfolio, Class 1		—		—		3,690,816		640,814		249,038		25,273			512,791			4,620,656
SA DFA Ultra Short Bond Portfolio, Class 1		—		—		602,540		106,802		16,506		77			5,454			698,367
SA Emerging Market Equity Index, Class 1		—		—		—		1,779,066		36,303		(2,293	)		(107,665	)		1,632,805
SA Federated Corporate Bond Portfolio, Class 1		—		—		2,238,921		495,169		686,073		(36,848	)		55,445			2,066,614
SA Fixed Income Index Portfolio, Class 1		—		—		3,382,129		2,825,198		129,992		(1,774	)		(9,341	)		6,066,220
SA Fixed Income Intermediate Index Portfolio, Class 1		—		—		3,045,226		2,711,117		120,089		(1,751	)		14,101			5,648,604
SA Franklin Small Company Value Portfolio, Class 1		—		—		703,410		128,163		19,808		534			39,060			851,359
SA International Index Portfolio, Class 1		—		—		6,511,846		770,615		3,656,456		75,589			(103,056	)		3,598,538
SA Invesco Growth Opportunities Portfolio, Class 1		—		—		895,261		149,523		23,109		4,136			147,861			1,173,672
SA JPMorgan Emerging Markets Portfolio, Class 1		—		—		3,178,260		442,385		668,010		151,475			(550,423	)		2,553,687
SA JPMorgan Equity-Income Portfolio, Class 1		—		—		5,893,344		1,068,023		165,063		8,692			513,573			7,318,569

363

SA Allocation Growth Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
SA JPMorgan MFS Core Bond Portfolio, Class 1	$	—	$	—	$	2,262,144	$	555,849	$	62,724	$	(2,700	)	$	(1,617	)	$	2,750,952
SA JPMorgan Mid Cap Growth Portfolio, Class 1		—		—		1,914,367		309,727		147,868		12,929			190,020			2,279,175
SA Large Cap Growth Index Portfolio, Class 1		—		—		—		2,124,879		43,564		3,505			262,853			2,347,673
SA Large Cap Index Portfolio, Class 1		—		—		8,201,940		1,441,831		222,835		24,407			961,784			10,407,127
SA Large Cap Value Index Portfolio, Class 1		—		—		—		2,124,879		43,564		2,023			133,731			2,217,069
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		2,442,778		427,209		66,025		4,381			196,444			3,004,787
SA MFS Blue Chip Growth, Class 1		—		—		5,011,864		854,419		432,051		53,389			648,662			6,136,283
SA Mid Cap Index Portfolio, Class 1		—		—		1,877,058		341,767		52,820		6,801			151,834			2,324,640
SA Morgan Stanley International Equities Portfolio, Class 1		—		—		3,705,149		765,814		99,038		2,377			(1,069	)		4,373,233
SA Oppenheimer Main Street Large Cap Portfolio, Class 1		—		—		4,304,206		801,017		123,797		5,213			473,908			5,460,547
SA PineBridge High-Yield Bond Portfolio, Class 1		—		—		929,768		160,204		224,760		10,622			18,814			894,648
SA Putnam International Growth and Income Portfolio, Class 1		—		—		2,063,994		373,808		57,772		315			(78,723	)		2,301,622
SA Small Cap Index Portfolio, Class 1		—		—		3,631,408		640,813		99,038		16,660			405,770			4,595,613
	$	—	$	—	$	121,510,189	$	31,935,465	$	13,876,267	$	1,314,434		$	5,949,126		$	146,832,947

†  Includes reinvestment of distributions paid.

SA Allocation Moderate Growth Portfolio

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
Anchor Series Trust
SA Wellington Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	12,699,394	$	1,037,552	$	930,663	$	(28,777	)	$	20,876		$	12,798,382
Seasons Series Trust
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		—		—		65,821,188		2,195,585		7,347,203		(154,922	)		(12,621	)		60,502,027
SA Multi-Managed International Equity Portfolio, Class 1		—		—		39,837,999		117,638		6,189,274		769,490			(886,429	)		33,649,424
SA Multi-Managed Large Cap Growth Portfolio, Class 1		—		—		45,059,861		125,799		11,270,966		2,225,336			3,007,118			39,147,148

364

SA Allocation Moderate Growth Portfolio (continued)

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
SA Multi-Managed Large Cap Value Portfolio, Class 1	$	—	$	—	$	48,996,553	$	143,010	$	8,322,519	$	1,384,226		$	1,272,384		$	43,473,654
SA Multi-Managed Mid Cap Growth Portfolio, Class 1		—		—		4,989,245		14,082		648,999		43,133			490,939			4,888,400
SA Multi-Managed Mid Cap Value Portfolio, Class 1		—		—		7,016,979		21,906		542,887		66,870			308,779			6,871,647
SA Multi-Managed Small Cap Portfolio, Class 1		—		—		6,294,200		17,994		970,943		97,409			488,909			5,927,569
SA Wellington Real Return Portfolio, Class 1		—		—		21,262,826		2,262,587		2,351,105		(59,596	)		141,901			21,256,613
SunAmerica Series Trust
SA AB Growth Portfolio, Class 1		—		—		12,190,796		589,117		969,441		101,698			1,623,738			13,535,908
SA DFA Ultra Short Bond Portfolio, Class 1		—		—		4,902,620		265,647		387,776		1,520			39,866			4,821,877
SA Emerging Market Equity Index, Class 1		—		—		—		4,710,766		304,194		(16,042	)		(298,084	)		4,092,446
SA Federated Corporate Bond Portfolio, Class 1		—		—		16,618,759		50,070		4,240,884		(233,211	)		334,062			12,528,796
SA Fixed Income Index Portfolio, Class 1		—		—		13,711,334		6,076,934		1,335,895		(20,343	)		(29,609	)		18,402,421
SA Fixed Income Intermediate Index Portfolio, Class 1		—		—		12,603,221		6,073,804		1,258,340		(19,777	)		57,924			17,456,832
SA Franklin Small Company Value Portfolio, Class 1		—		—		3,031,034		9,388		232,666		4,466			162,204			2,974,426
SA International Index Portfolio, Class 1		—		—		22,990,483		51,036		12,867,194		273,093			(348,321	)		10,099,097
SA Invesco Growth Opportunities Portfolio, Class 1		—		—		3,370,809		9,388		532,666		69,522			416,969			3,334,022
SA JPMorgan Emerging Markets Portfolio, Class 1		—		—		9,338,787		24,934		1,906,739		416,064			(1,560,133	)		6,312,913
SA JPMorgan Equity-Income Portfolio, Class 1		—		—		19,762,726		612,587		1,551,105		67,257			1,531,198			20,422,663
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		20,998,225		62,587		1,551,105		(69,068	)		20,519			19,461,158
SA JPMorgan Mid Cap Growth Portfolio, Class 1		—		—		5,643,278		17,212		426,554		51,585			518,200			5,803,721
SA Large Cap Growth Index Portfolio, Class 1		—		—		—		6,313,458		380,243		29,798			814,002			6,777,015
SA Large Cap Index Portfolio, Class 1		—		—		30,240,515		93,881		2,676,657		262,772			2,982,288			30,902,799
SA Large Cap Value Index Portfolio, Class 1		—		—		—		6,313,458		380,243		15,599			412,069			6,360,883
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		8,549,336		377,382		678,608		39,517			611,413			8,899,040

365

SA Allocation Moderate Growth Portfolio (continued)

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2018
SA MFS Blue Chip Growth, Class 1	$	—	$	—	$	17,469,342	$	479,764	$	1,357,217	$	174,086	$	2,149,060		$	18,915,035
SA Mid Cap Index Portfolio, Class 1		—		—		2,643,057		409,389		232,666		27,898		207,427			3,055,105
SA Morgan Stanley International Equities Portfolio, Class 1		—		—		12,406,294		738,336		950,052		27,689		(21,154	)		12,201,113
SA Oppenheimer Main Street Large Cap Portfolio, Class 1		—		—		14,805,266		46,940		1,163,329		37,287		1,440,809			15,166,973
SA PineBridge High-Yield Bond Portfolio, Class 1		—		—		5,857,818		268,776		1,365,331		1,300		171,215			4,933,778
SA Putnam International Growth and Income Portfolio, Class 1		—		—		6,337,005		19,559		484,720		6,248		(214,674	)		5,663,418
SA Small Cap Index Portfolio, Class 1		—		—		12,524,054		264,117		1,219,441		177,596		1,198,841			12,945,167
	$	—	$	—	$	507,973,004	$	39,814,683	$	77,027,625	$	5,769,723	$	17,051,685		$	493,581,470

†  Includes reinvestment of distributions paid.

SA Allocation Moderate Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
Anchor Series Trust
SA Wellington Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	9,551,306	$	1,096,169	$	638,869	$	(20,195	)	$	14,053		$	10,002,464
Seasons Series Trust
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		—		—		50,947,645		1,058,092		3,675,357		(82,753	)		(53,400	)		48,194,227
SA Multi-Managed International Equity Portfolio, Class 1		—		—		20,117,623		194,461		2,799,779		353,221			(409,446	)		17,456,080
SA Multi-Managed Large Cap Growth Portfolio, Class 1		—		—		24,866,260		225,436		5,063,481		821,589			2,182,690			23,032,494
SA Multi-Managed Large Cap Value Portfolio, Class 1		—		—		26,659,692		252,683		4,194,494		352,265			1,107,111			24,177,257
SA Multi-Managed Mid Cap Growth Portfolio, Class 1		—		—		2,780,236		25,645		370,365		57,251			237,920			2,730,687
SA Multi-Managed Mid Cap Value Portfolio, Class 1		—		—		3,937,088		40,070		266,195		39,765			171,762			3,922,490
SA Multi-Managed Small Cap Portfolio, Class 1		—		—		3,521,399		32,056		612,956		106,850			212,172			3,259,521
SA Wellington Real Return Portfolio, Class 1		—		—		16,083,155		1,560,281		1,064,781		(25,822	)		90,532			16,643,365

366

SA Allocation Moderate Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
SunAmerica Series Trust
SA AB Growth Portfolio, Class 1	$	—	$	—	$	7,268,930	$	72,127	$	929,152	$	90,061		$	867,770		$	7,369,736
SA DFA Ultra Short Bond Portfolio, Class 1		—		—		3,176,754		35,262		234,252		793			25,314			3,003,871
SA Emerging Market Equity Index, Class 1		—		—		—		2,320,857		126,655		(5,544	)		(147,803	)		2,040,855
SA Federated Corporate Bond Portfolio, Class 1		—		—		12,519,249		228,225		2,651,825		(147,601	)		225,756			10,173,804
SA Fixed Income Index Portfolio, Class 1		—		—		11,918,089		5,121,216		993,615		(16,027	)		(26,938	)		16,002,725
SA Fixed Income Intermediate Index Portfolio, Class 1		—		—		11,108,374		5,093,672		944,613		(15,675	)		48,814			15,290,572
SA Franklin Small Company Value Portfolio, Class 1		—		—		1,228,252		12,822		85,183		1,586			66,007			1,223,484
SA International Index Portfolio, Class 1		—		—		11,069,874		54,525		9,582,996		171,462			(187,280	)		1,525,585
SA Invesco Growth Opportunities Portfolio, Class 1		—		—		1,706,056		16,028		266,478		42,162			214,409			1,712,177
SA JPMorgan Emerging Markets Portfolio, Class 1		—		—		4,879,761		41,132		977,216		217,002			(812,713	)		3,347,966
SA JPMorgan Equity-Income Portfolio, Class 1		—		—		10,839,769		112,198		745,347		29,105			830,538			11,066,263
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		16,157,991		160,281		1,064,781		(48,317	)		10,416			15,215,590
SA JPMorgan Mid Cap Growth Portfolio, Class 1		—		—		3,247,985		32,056		322,956		37,533			285,735			3,280,353
SA Large Cap Growth Index Portfolio, Class 1		—		—		—		3,127,809		168,874		11,983			404,086			3,375,004
SA Large Cap Index Portfolio, Class 1		—		—		15,554,961		160,281		1,064,781		102,218			1,587,833			16,340,512
SA Large Cap Value Index Portfolio, Class 1		—		—		—		3,127,809		168,874		6,040			204,738			3,169,713
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		4,585,384		48,084		319,434		17,313			321,074			4,652,421
SA MFS Blue Chip Growth, Class 1		—		—		9,466,907		96,169		838,869		114,775			1,121,234			9,960,216
SA Mid Cap Index Portfolio, Class 1		—		—		1,345,751		12,824		85,183		9,999			95,715			1,379,106
SA Morgan Stanley International Equities Portfolio, Class 1		—		—		6,264,644		64,113		425,913		13,706			(6,267	)		5,910,283
SA Oppenheimer Main Street Large Cap Portfolio, Class 1		—		—		8,413,080		88,156		585,630		16,319			827,708			8,759,633

367

SA Allocation Moderate Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
SA PineBridge High-Yield Bond Portfolio, Class 1	$	—	$	—	$	4,524,111	$	48,085	$	719,434	$	(645	)	$	131,261		$	3,983,378
SA Putnam International Growth and Income Portfolio, Class 1		—		—		3,126,595		32,056		212,956		3,994			(106,499	)		2,843,190
SA Small Cap Index Portfolio, Class 1		—		—		7,682,893		84,949		564,334		87,190			758,522			8,049,220
	$	—	$	—	$	314,549,814	$	24,675,629	$	42,765,628	$	2,341,603		$	10,292,824		$	309,094,242

† Includes reinvestment of distributions paid.

SA Allocation Balanced Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
Anchor Series Trust
SA Wellington Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	9,160,640	$	1,073,437	$	623,783	$	(20,206	)	$	13,982		$	9,604,070
Seasons Series Trust
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		—		—		52,709,087		2,412,010		4,563,352		(110,703	)		(27,683	)		50,419,359
SA Multi-Managed International Equity Portfolio, Class 1		—		—		10,353,942		312,786		1,383,367		158,669			(191,333	)		9,250,697
SA Multi-Managed Large Cap Growth Portfolio, Class 1		—		—		12,754,183		367,521		2,877,313		588,144			948,789			11,781,324
SA Multi-Managed Large Cap Value Portfolio, Class 1		—		—		13,658,003		408,536		2,045,880		169,089			595,325			12,785,073
SA Multi-Managed Mid Cap Growth Portfolio, Class 1		—		—		1,350,326		41,016		93,567		15,884			140,116			1,453,775
SA Multi-Managed Mid Cap Value Portfolio, Class 1		—		—		1,953,788		61,523		140,351		25,470			80,271			1,980,701
SA Multi-Managed Small Cap Portfolio, Class 1		—		—		1,897,092		51,269		341,958		87,153			84,733			1,778,289
SA Wellington Real Return Portfolio, Class 1		—		—		15,407,722		2,454,589		1,362,037		(35,133	)		95,271			16,560,412
SunAmerica Series Trust
SA AB Growth Portfolio, Class 1		—		—		3,672,956		187,793		457,310		41,113			458,965			3,903,517
SA DFA Ultra Short Bond Portfolio, Class 1		—		—		3,302,761		102,540		233,918		1,413			26,108			3,198,904
SA Emerging Market Equity Index, Class 1		—		—		—		1,170,436		55,498		(2,844	)		(74,899	)		1,037,195
SA Federated Corporate Bond Portfolio, Class 1		—		—		11,973,567		358,886		2,618,713		(145,929	)		220,885			9,788,696

368

SA Allocation Balanced Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2018		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2018
SA Fixed Income Index Portfolio, Class 1	$	—	$	—	$	11,554,142	$	2,592,338	$	861,947	$	(14,349	)	$	(29,859	)	$	13,240,325
SA Fixed Income Intermediate Index Portfolio, Class 1		—		—		10,698,114		2,212,800		792,100		(13,673	)		38,813			12,143,954
SA Franklin Small Company Value Portfolio, Class 1		—		—		555,311		20,508		46,784		421			30,155			559,611
SA International Index Portfolio, Class 1		—		—		5,749,650		135,682		4,264,082		83,268			(93,715	)		1,610,803
SA Invesco Growth Opportunities Portfolio, Class 1		—		—		867,692		23,926		54,581		7,945			129,635			974,617
SA JPMorgan Emerging Markets Portfolio, Class 1		—		—		2,258,546		59,844		607,821		138,127			(401,419	)		1,447,277
SA JPMorgan Equity-Income Portfolio, Class 1		—		—		5,517,414		424,316		397,661		12,810			446,953			6,003,832
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		15,308,546		454,589		1,037,037		(47,438	)		11,394			14,690,054
SA JPMorgan Mid Cap Growth Portfolio, Class 1		—		—		1,827,356		51,270		241,959		20,889			151,990			1,809,546
SA Large Cap Growth Index Portfolio, Class 1		—		—		—		1,725,545		69,373		5,134			225,228			1,886,534
SA Large Cap Index Portfolio, Class 1		—		—		7,519,269		229,004		622,417		53,526			764,499			7,943,881
SA Large Cap Value Index Portfolio, Class 1		—		—		—		1,725,545		69,373		2,678			114,194			1,773,044
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		2,388,281		200,195		171,540		8,363			178,184			2,603,483
SA MFS Blue Chip Growth, Class 1		—		—		4,701,090		450,391		843,080		127,014			527,315			4,962,730
SA Mid Cap Index Portfolio, Class 1		—		—		729,026		70,508		146,784		12,580			40,784			706,114
SA Morgan Stanley International Equities Portfolio, Class 1		—		—		3,414,849		202,539		233,918		7,179			(4,591	)		3,386,058
SA Oppenheimer Main Street Large Cap Portfolio, Class 1		—		—		4,466,154		136,719		311,891		5,472			446,924			4,743,378
SA PineBridge High-Yield Bond Portfolio, Class 1		—		—		4,332,788		136,719		1,011,891		111			125,760			3,583,487
SA Putnam International Growth and Income Portfolio, Class 1		—		—		1,698,955		151,269		116,959		2,366			(60,756	)		1,674,875
SA Small Cap Index Portfolio, Class 1		—		—		4,116,578		329,883		396,296		51,878			414,867			4,516,910
	$	—	$	—	$	225,897,828	$	20,335,932	$	29,094,541	$	1,236,421		$	5,426,885		$	223,802,525

† Includes reinvestment of distributions paid.

369

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, 2018, the following affiliates owned outstanding shares of the following Portfolios:

	Holder
Portfolio	USL			AGL			SA Allocation Balanced Portfolio			SA Allocation Growth Portfolio			SA Allocation Moderate Growth Portfolio			SA Allocation Moderate Portfolio			SAST SA VCP Dynamic Allocation Portfolio			SAST SA VCP Dynamic Strategy Portfolio
SA Multi-Managed Growth Portfolio		1.54	%		98.46	%		—	%		—	%		—	%		—	%		—	%		—	%
SA Multi-Managed Moderate Growth Portfolio		0.69			99.31			—			—			—			—			—			—
SA Multi-Managed Income/Equity Portfolio		0.57			99.43			—			—			—			—			—			—
SA Multi-Managed Income Portfolio		0.94			99.06			—			—			—			—			—			—
SA Putnam Asset Allocation Diversified Growth Portfolio		2.60			97.40			—			—			—			—			—			—
SA T. Rowe Price Growth Stock Portfolio		0.21			22.17			—			—			—			—			77.62			—
SA Multi-Managed Large Cap Growth Portfolio		0.15			11.07			2.16			2.60			7.17			4.22			40.59			32.04
SA Multi-Managed Large Cap Value Portfolio		0.05			5.60			1.61			2.00			5.49			3.05			47.05			35.15
SA Multi-Managed Mid Cap Growth Portfolio		0.29			19.11			0.61			0.83			2.07			1.16			42.31			33.62
SA Multi-Managed Mid Cap Value Portfolio		0.24			16.98			0.78			0.95			2.70			1.54			58.23			18.58
SA Multi-Managed Small Cap Portfolio		0.18			10.74			0.58			0.73			1.95			1.07			34.35			50.40
SA Multi-Managed International Equity Portfolio		0.16			7.68			1.95			2.77			7.08			3.67			50.15			26.54
SA Multi-Managed Diversified Fixed Income Portfolio		0.08			3.62			4.98			0.57			5.98			4.76			67.19			12.82
SA Wellington Real Return Portfolio		2.86			50.76			2.18			0.49			2.79			2.19			28.58			10.15
SA Columbia Focused Growth Portfolio		0.79			49.57			—			—			—			—			49.64			—
SA Columbia Focused Value Portfolio		0.09			7.59			—			—			—			—			60.22			32.10
SA Allocation Growth Portfolio		6.31			93.69			—			—			—			—			—			—
SA Allocation Moderate Growth Portfolio		6.04			93.96			—			—			—			—			—			—
SA Allocation Moderate Portfolio		6.34			93.66			—			—			—			—			—			—
SA Allocation Balanced Portfolio		10.04			89.96			—			—			—			—			—			—

Note 9.  Investment Concentration: The International Equity Portfolio invests internationally, including in "emerging market" countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.

Each Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaults, a fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, and SA Multi-Managed Diversified Fixed Income Portfolios' concentration in such investments, these funds may be subject to risks associated with U.S. Government agencies or instrumentalities.

Note 10.  Line of Credit: The Trust 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

370

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, 2018, the following Portfolios had borrowings:

Portfolio	Days Outstanding		Interest Charges		Average Debt Utilized		Weighted Average Interest
SA Multi-Managed Growth		5	$	138	$	289,177		3.34	%
SA Multi-Managed Moderate Growth		3		155		530,924		3.40
SA Multi-Managed Income/Equity		1		88		907,986		3.51
SA Multi-Managed Income		1		47		480,746		3.51
SA Multi-Managed Large Cap Growth		14		528		405,140		3.34
SA Multi-Managed Large Cap Value		12		196		179,469		3.29
SA Multi-Managed Mid Cap Growth		7		287		460,036		3.17
SA Multi-Managed Mid Cap Value		1		12		142,868		3.15
SA Multi-Managed Small Cap		2		340		1,859,384		3.29
SA Multi-Managed International Equity		19		4,468		2,617,072		3.24
SA Multi-Managed Diversified Fixed Income		2		68		386,059		3.16
SA Wellington Real Return		3		47		168,564		3.33
SA Columbia Focused Growth		1		663		7,175,157		3.32

As of September 30, 2018, there were no outstanding borrowings.

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, 2018, the following Portfolios engaged in security transactions with affiliated Portfolios:

Portfolio	Cost of Purchases		Proceeds from Sales		Realized Gain(Loss)
SA T. Rowe Price Growth Stock	$	—	$	1,069,810	$	373,747
SA Multi-Managed Large Cap Value		1,164,955		1,044,841		(56,366	)
SA Multi-Managed Mid Cap Value		10,171		64,514		18,189

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, 2018, none of the Portfolios participated in this program.

Note 13.  Subsequent Event: The Funds Boards of Trustees and shareholders approved the below reorganization:

Target Portfolio	Acquiring Portfolio
Seasons Series Trust — SA Columbia Focused Growth Portfolio	SA AB Growth Portfolio

The Target Portfolio was merged with and into the Acquiring Portfolio indicated above (such combination referred to hereinafter as the "Reorganization"). The Reorganization was effective on October 22, 2018.

371

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
SA Multi-Managed Growth Portfolio Class 1
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
03/31/18		16.48		0.07		1.81			1.88			(0.09	)		(1.25	)		(1.34	)		17.02		11.45			9,976		1.23	(2)		0.41	(2)		51
09/30/18@		17.02		0.04		1.53			1.57			—			—			—			18.59		9.22			10,163		1.27	#(2)		0.46	#(2)		25
SA Multi-Managed Growth Portfolio Class 2
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
03/31/18		16.47		0.05		1.80			1.85			(0.06	)		(1.25	)		(1.31	)		17.01		11.29			19,251		1.38	(2)		0.26	(2)		51
09/30/18@		17.01		0.03		1.52			1.55			—			—			—			18.56		9.11			19,538		1.42	#(2)		0.31	#(2)		25
SA Multi-Managed Growth Portfolio Class 3
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
03/31/18		16.44		0.03		1.79			1.82			(0.04	)		(1.25	)		(1.29	)		16.97		11.13			23,755		1.48	(2)		0.16	(2)		51
09/30/18@		16.97		0.02		1.52			1.54			—			—			—			18.51		9.07			23,820		1.51	#(2)		0.21	#(2)		25

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Growth Portfolio Class 1		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Growth Portfolio Class 2		0.01			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed 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):

	03/31/18			09/30/18#@
SA Multi-Managed Growth Portfolio Class 1		0.00	%		0.03	%
SA Multi-Managed Growth Portfolio Class 2		0.00			0.03
SA Multi-Managed Growth Portfolio Class 3		0.00			0.03

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(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Moderate Growth Portfolio Class 1
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
03/31/18		12.53		0.11		1.05			1.16			(0.13	)		(0.66	)		(0.79	)		12.90		9.25			9,450		1.08	(2)		0.84	(2)		54
09/30/18@		12.90		0.06		0.87			0.93			—			—			—			13.83		7.21			9,669		1.09	#(2)		0.95	#(2)		25
SA Multi-Managed Moderate Growth Portfolio Class 2
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
03/31/18		12.51		0.09		1.05			1.14			(0.11	)		(0.66	)		(0.77	)		12.88		9.10			42,662		1.23	(2)		0.69	(2)		54
09/30/18@		12.88		0.05		0.87			0.92			—			—			—			13.80		7.14			42,794		1.24	#(2)		0.80	#(2)		25
SA Multi-Managed Moderate Growth Portfolio Class 3
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
03/31/18		12.49		0.08		1.05			1.13			(0.09	)		(0.66	)		(0.75	)		12.87		9.07			35,834		1.33	(2)		0.59	(2)		54
09/30/18@		12.87		0.05		0.85			0.90			—			—			—			13.77		6.99			35,632		1.34	#(2)		0.70	#(2)		25

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Moderate Growth Portfolio Class 1		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Moderate Growth Portfolio Class 2		0.01			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Moderate 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):

	03/31/18			09/30/18#@
SA Multi-Managed Moderate Growth Portfolio Class 1		0.00	%		0.03	%
SA Multi-Managed Moderate Growth Portfolio Class 2		0.00			0.03
SA Multi-Managed Moderate Growth Portfolio Class 3		0.00			0.03

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 Multi-Managed Income/Equity Portfolio Class 1
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
03/31/18		10.99		0.16		0.58			0.74			(0.19	)		(0.35	)		(0.54	)		11.19		6.70			8,614		1.08			1.40			62
09/30/18@		11.19		0.09		0.39			0.48			—			—			—			11.67		4.29			8,678		1.12	#(2)		1.65	#(2)		24
SA Multi-Managed Income/Equity Portfolio Class 2
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
03/31/18		10.97		0.14		0.58			0.72			(0.17	)		(0.35	)		(0.52	)		11.17		6.54			33,123		1.23			1.25			62
09/30/18@		11.17		0.09		0.39			0.48			—			—			—			11.65		4.30			32,879		1.27	#(2)		1.50	#(2)		24
SA Multi-Managed Income/Equity Portfolio Class 3
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
03/31/18		10.97		0.13		0.59			0.72			(0.16	)		(0.35	)		(0.51	)		11.18		6.50			18,900		1.33			1.15			62
09/30/18@		11.18		0.08		0.39			0.47			—			—			—			11.65		4.20			18,751		1.37	#(2)		1.40	#(2)		24

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Income/Equity Portfolio Class 1		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Income/Equity Portfolio Class 2		0.01			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Income/Equity 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):

	09/30/18#@
Multi-Managed Income/Equity Portfolio Class 1		0.03	%
Multi-Managed Income/Equity Portfolio Class 2		0.03
Multi-Managed Income/Equity Portfolio Class 3		0.03

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 Multi-Managed Income Portfolio Class 1
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
03/31/18		11.04		0.20		0.25			0.45			(0.22	)		(0.22	)		(0.44	)		11.05		4.08			5,538		1.09			1.74			62
09/30/18@		11.05		0.11		0.13			0.24			—			—			—			11.29		2.17			5,427		1.16	#(2)		2.05	#(2)		24
SA Multi-Managed Income Portfolio Class 2
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
03/31/18		11.03		0.18		0.25			0.43			(0.20	)		(0.22	)		(0.42	)		11.04		3.92			27,062		1.24			1.59			62
09/30/18@		11.04		0.11		0.12			0.23			—			—			—			11.27		2.08			26,654		1.31	#(2)		1.90	#(2)		24
SA Multi-Managed Income Portfolio Class 3
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
03/31/18		11.03		0.17		0.25			0.42			(0.19	)		(0.22	)		(0.41	)		11.04		3.81			16,906		1.34			1.49			62
09/30/18@		11.04		0.10		0.12			0.22			—			—			—			11.26		1.99			16,478		1.41	#(2)		1.80	#(2)		24

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Income Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Income Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Income 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):

	09/30/18#@
Multi-Managed Income Portfolio Class 1		0.02	%
Multi-Managed Income Portfolio Class 2		0.02
Multi-Managed Income Portfolio Class 3		0.02

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)(2)			Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1
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
03/31/18		11.85		0.19		1.29			1.48			(0.21	)		(0.97	)		(1.18	)		12.15		12.43			15,727		0.96			1.49			69
09/30/18@		12.15		0.11		0.62			0.73			—			—			—			12.88		6.01			15,888		0.92	#(2)		1.75	#(2)		57
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2
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
03/31/18		11.85		0.17		1.29			1.46			(0.19	)		(0.97	)		(1.16	)		12.15		12.25			55,477		1.11			1.33			69
09/30/18@		12.15		0.10		0.62			0.72			—			—			—			12.87		5.93			55,181		1.07	#(2)		1.60	#(2)		57
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3
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
03/31/18		11.83		0.15		1.28			1.43			(0.18	)		(0.97	)		(1.15	)		12.11		12.07			77,570		1.21			1.24			69
09/30/18@		12.11		0.09		0.63			0.72			—			—			—			12.83		5.95			94,675		1.17	#(2)		1.51	#(2)		57

  *  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:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Asset Allocation Diversified Growth 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):

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 1		0.10	%		0.10	%		0.10	%		0.10	%		0.10	%		0.10	%
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 2		0.10			0.10			0.10			0.10			0.10			0.10
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 3		0.10			0.10			0.10			0.10			0.10			0.10

See Notes to Financial Statements

376

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 T. Rowe Price Growth Stock Portfolio Class 1
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
03/31/18		24.79		0.01			5.93			5.94			—		(3.42	)		(3.42	)		27.31		24.49			333,144		0.87			0.02			50
09/30/18@		27.31		(0.01	)		3.00			2.99			—		—			—			30.30		10.95			346,319		0.88	#		(0.04	)#		19
SA T. Rowe Price Growth Stock Portfolio Class 2
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
03/31/18		24.23		(0.04	)		5.80			5.76			—		(3.42	)		(3.42	)		26.57		24.31			43,404		1.02			(0.13	)		50
09/30/18@		26.57		(0.03	)		2.92			2.89			—		—			—			29.46		10.88			43,906		1.03	#		(0.19	)#		19
SA T. Rowe Price Growth Stock Portfolio Class 3
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
03/31/18		23.90		(0.06	)		5.71			5.65			—		(3.42	)		(3.42	)		26.13		24.18			35,916		1.12			(0.23	)		50
09/30/18@		26.13		(0.04	)		2.86			2.82			—		—			—			28.95		10.79			36,146		1.13	#		(0.29	)#		19

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  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:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA T. Rowe Price Growth Stock Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		—	%
SA T. Rowe Price Growth Stock Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			—
SA T. Rowe Price Growth Stock Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			—

See Notes to Financial Statements

377

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 Multi-Managed Large Cap Growth Portfolio Class 1
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
03/31/18		13.69		0.07		2.54			2.61			(0.08	)		(0.90	)		(0.98	)		15.32		19.23			458,603		0.81			0.49			36
09/30/18@		15.32		0.03		2.16			2.19			—			—			—			17.51		14.30			489,527		0.78	#(2)		0.38	#(2)		24
SA Multi-Managed Large Cap Growth Portfolio Class 2
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
03/31/18		13.44		0.05		2.49			2.54			(0.06	)		(0.90	)		(0.96	)		15.02		19.07			34,895		0.96			0.34			36
09/30/18@		15.02		0.02		2.11			2.13			—			—			—			17.15		14.18			35,722		0.93	#(2)		0.23	#(2)		24
SA Multi-Managed Large Cap Growth Portfolio Class 3
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
03/31/18		13.31		0.04		2.46			2.50			(0.04	)		(0.90	)		(0.94	)		14.87		18.96			18,417		1.06			0.24			36
09/30/18@		14.87		0.01		2.09			2.10			—			—			—			16.97		14.12			19,255		1.03	#(2)		0.14	#(2)		24

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Large Cap Growth Portfolio Class 1		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Large Cap Growth Portfolio Class 2		0.01			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Large Cap 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):

	09/30/18#@
Multi-Managed Large Cap Growth Portfolio Class 1		0.05	%
Multi-Managed Large Cap Growth Portfolio Class 2		0.05
Multi-Managed Large Cap Growth Portfolio Class 3		0.05

See Notes to Financial Statements

378

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 Multi-Managed Large Cap Value Portfolio Class 1
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
03/31/18		17.30		0.32			0.92			1.24			(0.40	)		(1.42	)		(1.82	)		16.72		6.97			825,844		0.78			1.79			34
09/30/18@		16.72		0.16			0.87			1.03			—			—			—			17.75		6.16			751,045		0.79	#		1.85	#		13
SA Multi-Managed Large Cap Value Portfolio Class 2
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
03/31/18		17.29		0.29			0.92			1.21			(0.38	)		(1.42	)		(1.80	)		16.70		6.77			27,174		0.93			1.63			34
09/30/18@		16.70		0.15			0.87			1.02			—			—			—			17.72		6.11			26,833		0.94	#		1.71	#		13
SA Multi-Managed Large Cap Value Portfolio Class 3
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
03/31/18		17.28		0.27			0.92			1.19			(0.35	)		(1.42	)		(1.77	)		16.70		6.70			14,784		1.03			1.53			34
09/30/18@		16.70		0.14			0.86			1.00			—			—			—			17.70		5.99			14,223		1.04	#		1.61	#		13
SA Multi-Managed Mid Cap Growth Portfolio Class 1
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
03/31/18		17.09		(0.01	)		3.55			3.54			—			(1.65	)		(1.65	)		18.98		21.07			191,355		0.93			(0.03	)		45
09/30/18@		18.98		0.01			2.23			2.24			—			—			—			21.22		11.80			194,277		0.93	#		0.05	#		23
SA Multi-Managed Mid Cap Growth Portfolio Class 2
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
03/31/18		16.43		(0.03	)		3.41			3.38			—			(1.65	)		(1.65	)		18.16		20.94			23,377		1.08			(0.18	)		45
09/30/18@		18.16		(0.01	)		2.14			2.13			—			—			—			20.29		11.73			24,277		1.08	#		(0.09	)#		23
SA Multi-Managed Mid Cap Growth Portfolio Class 3
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
03/31/18		16.07		(0.05	)		3.33			3.28			—			(1.65	)		(1.65	)		17.70		20.79			15,193		1.18			(0.28	)		45
09/30/18@		17.70		(0.02	)		2.09			2.07			—			—			—			19.77		11.69			15,592		1.18	#		(0.19	)#		23

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Large Cap Value Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		—	%
SA Multi-Managed Large Cap Value Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			—
SA Multi-Managed Large Cap Value Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			—
SA Multi-Managed Mid Cap Growth Portfolio Class 1		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Mid Cap Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Mid Cap Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

See Notes to Financial Statements

379

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Mid Cap Value Portfolio Class 1
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
03/31/18		18.09		0.15			1.11			1.26			(0.24	)		(2.32	)		(2.56	)		16.79		6.82			211,203		0.93			0.85			30
09/30/18@		16.79		0.11			0.81			0.92			—			—			—			17.71		5.48			213,333		0.93	#		1.24	#		15
SA Multi-Managed Mid Cap Value Portfolio Class 2
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
03/31/18		18.05		0.13			1.09			1.22			(0.21	)		(2.32	)		(2.53	)		16.74		6.63			25,021		1.08			0.70			30
09/30/18@		16.74		0.09			0.82			0.91			—			—			—			17.65		5.44			24,747		1.08	#		1.08	#		15
SA Multi-Managed Mid Cap Value Portfolio Class 3
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
03/31/18		18.01		0.11			1.09			1.20			(0.19	)		(2.32	)		(2.51	)		16.70		6.53			16,337		1.18			0.60			30
09/30/18@		16.70		0.09			0.81			0.90			—			—			—			17.60		5.39			15,894		1.18	#		0.98	#		15
SA Multi-Managed Small Cap Portfolio Class 1
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
03/31/18		14.08		0.03			1.55			1.58			(0.06	)		(1.32	)		(1.38	)		14.28		11.30			255,293		0.91	(2)		0.19	(2)		30
09/30/18@		14.28		0.03			1.43			1.46			—			—			—			15.74		10.22			273,126		0.91	#(2)		0.34	#(2)		20
SA Multi-Managed Small Cap Portfolio Class 2
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
03/31/18		13.75		0.01			1.51			1.52			(0.04	)		(1.32	)		(1.36	)		13.91		11.13			17,739		1.06	(2)		0.04	(2)		30
09/30/18@		13.91		0.01			1.40			1.41			—			—			—			15.32		10.14			17,860		1.06	#(2)		0.18	#(2)		20
SA Multi-Managed Small Cap Portfolio Class 3
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
03/31/18		13.55		(0.01	)		1.49			1.48			(0.02	)		(1.32	)		(1.34	)		13.69		11.03			12,309		1.16	(2)		(0.06	)(2)		30
09/30/18@		13.69		0.01			1.37			1.38			—			—			—			15.07		10.08			12,519		1.16	#(2)		0.08	#(2)		20

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized anddoes 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:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed Mid Cap Value Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%		—	%
SA Multi-Managed Mid Cap Value Class 2		0.00			0.00			0.01			0.00			0.00			—
SA Multi-Managed Mid Cap Value Class 3		0.00			0.00			0.01			0.01			0.00			—
SA Multi-Managed Small Cap Portfolio Class 1		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Small Cap Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed 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):

	03/31/18			09/30/18#@
SA Multi-Managed Small Cap Portfolio Class 1		0.00	%		0.00	%
SA Multi-Managed Small Cap Portfolio Class 2		0.00			0.00
SA Multi-Managed Small Cap Portfolio Class 3		0.00			0.00

See Notes to Financial Statements

380

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
SA Multi-Managed International Equity Portfolio Class 1
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
03/31/18		8.50		0.16		1.23			1.39			(0.20	)		—			(0.20	)		9.69		16.37	(3)		577,544		0.95	(2)		1.72	(2)		20
09/30/18@		9.69		0.15		(0.17	)		(0.02	)		—			—			—			9.67		(0.21	)		439,055		0.95	#(2)		2.93	#(2)		13
SA Multi-Managed International Equity Portfolio Class 2
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
03/31/18		8.51		0.15		1.24			1.39			(0.19	)		—			(0.19	)		9.71		16.33	(3)		21,848		1.10	(2)		1.54	(2)		20
09/30/18@		9.71		0.13		(0.17	)		(0.04	)		—			—			—			9.67		(0.41	)		20,254		1.10	#(2)		2.74	#(2)		13
SA Multi-Managed International Equity Portfolio Class 3
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
03/31/18		8.48		0.14		1.23			1.37			(0.18	)		—			(0.18	)		9.67		16.12	(3)		16,719		1.20	(2)		1.46	(2)		20
09/30/18@		9.67		0.13		(0.16	)		(0.03	)		—			—			—			9.64		(0.31	)		15,619		1.20	#(2)		2.62	#(2)		13
SA Multi-Managed Diversified Fixed Income Portfolio Class 1
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
03/31/18		11.66		0.27		(0.11	)		0.16			(0.27	)		(0.02	)		(0.29	)		11.53		1.38			1,023,385		0.68			2.29			63
09/30/18@		11.53		0.15		(0.18	)		(0.03	)		—			—			—			11.50		(0.26	)		977,098		0.69	#		2.64	#		18
SA Multi-Managed Diversified Fixed Income Portfolio Class 2
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
03/31/18		11.65		0.25		(0.12	)		0.13			(0.25	)		(0.02	)		(0.27	)		11.51		1.14			24,193		0.83			2.14			63
09/30/18@		11.51		0.14		(0.17	)		(0.03	)		—			—			—			11.48		(0.26	)		21,669		0.83	#		2.49	#		18
SA Multi-Managed Diversified Fixed Income Portfolio Class 3
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
03/31/18		11.58		0.24		(0.12	)		0.12			(0.23	)		(0.02	)		(0.25	)		11.45		1.07			14,967		0.93			2.04			63
09/30/18@		11.45		0.14		(0.17	)		(0.03	)		—			—			—			11.42		(0.26	)		13,672		0.93	#		2.39	#		18

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/14			03/31/15			03/31/16			03/31/17
SA Multi-Managed International Equity Portfolio Class 1		0.01	%		0.01	%		0.00	%		0.00	%
SA Multi-Managed International Equity Portfolio Class 2		0.01			0.01			0.00			0.00
SA Multi-Managed International Equity Portfolio Class 3		0.01			0.01			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Multi-Managed International Equity Portfolio Class 1		0.01	%		0.04	%		0.04	%		0.04	%		0.04	%
SA Multi-Managed International Equity Portfolio Class 2		0.01			0.04			0.04			0.04			0.04
SA Multi-Managed International Equity Portfolio Class 3		0.01			0.04			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

381

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
SA Wellington Real Return Portfolio Class 1
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
03/31/18		9.74		0.09			0.05			0.14			(0.24	)		—		(0.24	)		9.64		1.42			364,977		0.58	(1)		0.96	(1)		23
09/30/18@		9.64		0.11			(0.07	)		0.04			—			—		—			9.68		0.41			352,950		0.58	#(1)		2.36	#(1)		15
SA Wellington Real Return Portfolio Class 3
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
03/31/18		9.66		0.07			0.04			0.11			(0.21	)		—		(0.21	)		9.56		1.18			412,469		0.83	(1)		0.72	(1)		23
09/30/18@		9.56		0.10			(0.07	)		0.03			—			—		—			9.59		0.31			404,099		0.83	#(1)		2.11	#(1)		15

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/17			03/31/18			09/30/18#@
SA Wellington Real Return Portfolio Class 1		0.02	%		0.05	%		0.05	%
SA Wellington Real Return Portfolio Class 3		0.02			0.05			0.05

See Notes to Financial Statements

382

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income		Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Columbia Focused Growth Portfolio Class 1
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
03/31/18		8.80		(0.02	)		2.15			2.13			—		—			—			10.93		24.20			79,540		0.76	(2)		(0.22	)(2)		35
09/30/18@		10.93		(0.02	)		1.39			1.37			—		—			—			12.30		12.53			57,113		0.76	#(2)		(0.39	)#(2)		7
SA Columbia Focused Growth Portfolio Class 2
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
03/31/18		8.43		(0.04	)		2.06			2.02			—		—			—			10.45		23.96			28,233		0.91	(2)		(0.38	)(2)		35
09/30/18@		10.45		(0.03	)		1.33			1.30			—		—			—			11.75		12.44			30,636		0.91	#(2)		(0.55	)#(2)		7
SA Columbia Focused Growth Portfolio Class 3
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
03/31/18		8.22		(0.04	)		2.00			1.96			—		—			—			10.18		23.84			22,030		1.01	(2)		(0.48	)(2)		35
09/30/18@		10.18		(0.04	)		1.30			1.26			—		—			—			11.44		12.38			21,914		1.01	#(2)		(0.65	)#(2)		7

  *  Calculated based upon average shares outstanding

  **  Total return 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:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Columbia Focused Growth Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.01	%		0.01	%		0.00	%
SA Columbia Focused Growth Portfolio Class 2		0.00			0.00			0.01			0.01			0.01			0.00
SA Columbia Focused Growth Portfolio Class 3		0.00			0.00			0.01			0.01			0.01			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/16			03/31/17			03/31/18			09/30/18#@
SA Columbia Focused Growth Portfolio Class 1		0.22	%		0.31	%		0.31	%		0.31	%
SA Columbia Focused Growth Portfolio Class 2		0.20			0.31			0.31			0.31
SA Columbia Focused Growth Portfolio Class 3		0.21			0.31			0.31			0.31

See Notes to Financial Statements

383

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)(2)			Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
SA Columbia Focused Value Portfolio Class 1
03/31/14	$	13.46	$	0.16	$	2.94		$	3.10		$	(0.11	)	$	—		$	(0.11	)	$	16.45		23.06	%	$	177,811		1.05	%		1.05	%		73	%
03/31/15		16.45		0.19		1.48			1.67			(0.11	)		—			(0.11	)		18.01		10.17			276,585		1.00			1.14			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			1.45			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			1.35			13
03/31/18		18.83		0.31		2.14			2.45			(0.33	)		(0.59	)		(0.92	)		20.36		12.87			287,475		0.71			1.51			4
09/30/18@		20.36		0.16		1.32			1.48			—			—			—			21.84		7.27			303,262		0.72	#		1.54	#		7
SA Columbia Focused Value Portfolio Class 2
03/31/14		13.44		0.14		2.92			3.06			(0.08	)		—			(0.08	)		16.42		22.83			18,979		1.21			0.90			73
03/31/15		16.42		0.17		1.48			1.65			(0.08	)		—			(0.08	)		17.99		10.06			17,357		1.15			0.97			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			1.28			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			1.20			13
03/31/18		18.80		0.27		2.15			2.42			(0.30	)		(0.59	)		(0.89	)		20.33		12.74			14,853		0.86			1.35			4
09/30/18@		20.33		0.15		1.31			1.46			—			—			—			21.79		7.18			14,719		0.87	#		1.39	#		7
SA Columbia Focused Value Portfolio Class 3
03/31/14		13.40		0.12		2.92			3.04			(0.06	)		—			(0.06	)		16.38		22.70			40,025		1.31			0.80			73
03/31/15		16.38		0.15		1.48			1.63			(0.06	)		—			(0.06	)		17.95		9.95			34,399		1.25			0.86			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			1.19			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			1.11			13
03/31/18		18.76		0.25		2.14			2.39			(0.28	)		(0.59	)		(0.87	)		20.28		12.60			10,566		0.96			1.25			4
09/30/18@		20.28		0.14		1.31			1.45			—			—			—			21.73		7.15			10,190		0.97	#		1.29	#		7

  *  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:

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Columbia Focused Value Portfolio Class 1		0.01	%		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%
SA Columbia Focused Value Portfolio Class 2		0.01			0.00			0.01			0.00			0.00			0.00
SA Columbia Focused Value Portfolio Class 3		0.01			0.00			0.01			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/14			03/31/15			03/31/16			03/31/17			03/31/18			09/30/18#@
SA Columbia Focused Value Portfolio Class 1		0.03	%		0.05	%		0.23	%		0.31	%		0.32	%		0.32	%
SA Columbia Focused Value Portfolio Class 2		0.02			0.05			0.22			0.31			0.32			0.32
SA Columbia Focused Value Portfolio Class 3		0.02			0.05			0.22			0.31			0.32			0.32

See Notes to Financial Statements

384

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA 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	%
03/31/18		13.40		0.18			1.36			1.54			(0.16	)		(0.33	)		(0.49	)		14.45		11.50			153		0.15	(2)		1.27	(2)		68
09/30/18@		14.45		(0.01	)		0.81			0.80			—			—			—			15.25		5.54			271		0.15	#(2)		(0.15	)#(2)		10
SA Allocation Growth Portfolio Class 3
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
03/31/18		13.38		0.16			1.34			1.50			(0.14	)		(0.33	)		(0.47	)		14.41		11.25			121,286		0.40	(2)		1.14	(2)		68
09/30/18@		14.41		(0.03	)		0.80			0.77			—			—			—			15.18		5.34			146,494		0.40	#(2)		(0.40	)#(2)		10
SA 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
03/31/18		11.24		0.18			0.90			1.08			(0.18	)		(0.39	)		(0.57	)		11.75		9.64			147		0.11	(2)		1.51	(2)		57
09/30/18@		11.75		(0.01	)		0.55			0.54			—			—			—			12.29		4.60			141		0.11	#(2)		(0.11	)#(2)		8
SA Allocation Moderate Growth Portfolio Class 3
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
03/31/18		11.22		0.15			0.91			1.06			(0.17	)		(0.39	)		(0.56	)		11.72		9.43			507,613		0.36	(2)		1.29	(2)		57
09/30/18@		11.72		(0.02	)		0.54			0.52			—			—			—			12.24		4.44			493,246		0.37	#(2)		(0.37	)#(2)		8
SA 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
03/31/18		11.12		0.19			0.75			0.94			(0.19	)		(0.26	)		(0.45	)		11.61		8.40			113		0.12	(2)		1.61	(2)		60
09/30/18@		11.61		(0.01	)		0.48			0.47			—			—			—			12.08		4.05			118		0.12	#(2)		(0.12	)#(2)		8
SA Allocation Moderate Portfolio Class 3
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
03/31/18		11.10		0.16			0.75			0.91			(0.17	)		(0.26	)		(0.43	)		11.58		8.19			314,294		0.37	(2)		1.35	(2)		60
09/30/18@		11.58		(0.02	)		0.47			0.45			—			—			—			12.03		3.89			308,850		0.37	#(2)		(0.37	)#(2)		8
SA 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
03/31/18		10.71		0.20			0.48			0.68			(0.19	)		(0.37	)		(0.56	)		10.83		6.39			109		0.12	(2)		1.77	(2)		60
09/30/18@		10.83		(0.01	)		0.33			0.32			—			—			—			11.15		2.95			113		0.13	#(2)		(0.13	)#(2)		9
SA Allocation Balanced Portfolio Class 3
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
03/31/18		10.69		0.17			0.49			0.66			(0.18	)		(0.37	)		(0.55	)		10.80		6.16			225,749		0.35	(2)		1.53	(2)		60
09/30/18@		10.80		(0.02	)		0.33			0.31			—			—			—			11.11		2.87			223,594		0.38	#(2)		(0.38	)#(2)		9

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.

  #  Annualized.

  ##  Commencement of operations.

  @  Unaudited

  (1)  Does not include underlying fund expenses that the Portfolios bear indirectly.

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/16			03/31/17			03/31/18			09/30/18#@
SA Allocation Growth Portfolio Class 1		N/A			0.01	%#		0.01	%		0.01	%
SA Allocation Growth Portfolio Class 3		0.01	%		0.01			0.01			0.01
SA Allocation Moderate Growth Portfolio Class 1		N/A			0.01	#		0.01			0.01
SA Allocation Moderate Growth Portfolio Class 3		0.01			0.01			0.01			0.01
SA Allocation Moderate Portfolio Class 1		N/A			0.01	#		0.01			0.01
SA Allocation Moderate Portfolio Class 3		0.01			0.01			0.01			0.01
SA Allocation Balanced Portfolio Class 1		N/A			0.01	#		0.01			0.01
SA Allocation Balanced Portfolio Class 3		0.01			0.01			0.04			0.01

See Notes to Financial Statements

385

Filed under Rule 497(e) and 497(k)
Registration No. 333-08653

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 27, 2018

SA Putnam Asset Allocation Diversified Growth Portfolio
(the "Portfolio")

Supplement dated October 29, 2018,
to the Summary Prospectus and Prospectus, each dated July 27, 2018,
as supplemented and amended to date

At the October 10, 2018 meeting of the Board of Trustees (the "Board") of Seasons Series Trust (the "Trust"), the Board approved an amendment to the Subadvisory Agreement (the "Amendment") between SunAmerica Asset Management, LLC ("SunAmerica") and Putnam Investment Management, LLC with respect to the Portfolio. The Amendment reduces the fees payable by SunAmerica under the Subadvisory Agreement.

At the meeting, the Board also approved an Advisory Fee Waiver Agreement (the "Fee Waiver Agreement") with respect to the Portfolio. Pursuant to the Fee Waiver Agreement, SunAmerica is contractually obligated to waive a portion of its advisory fee with respect to the Portfolio so that the advisory fee rate payable by the Portfolio to SunAmerica under the Investment Advisory and Management Agreement with the Trust (the "Advisory Agreement") is equal to 0.70% on the first $250 million, 0.65% on the next $250 million and 0.60% above $500 million.

This Fee Waiver Agreement becomes effective on November 1, 2018, and will continue in effect through July 31, 2020. In addition, the Fee Waiver Agreement will automatically terminate upon the termination of the Advisory Agreement. SunAmerica may not recoup any advisory fees waived with respect to the Portfolio pursuant to the Fee Waiver Agreement.

Capitalized terms used but not defined herein shall have the meanings assigned to them by the Summary Prospectus or Prospectus.

PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.

386

PRSRT BPM
US POSTAGE PAID
MERRILL
CORPORATION
ZIP CODE 10105

ANNUITY SERVICE CENTER
P.O. BOX 15570
AMARILLO, TX 79105-5570

CHANGE SERVICE REQUESTED

J1906SAR.15 (11/18)

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, 2018

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, 2018
By:	/s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: December 7, 2018