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, Woodland Hills, CA | 91367 | |
(Address of principal executive offices) | (Zip code) |
John T. Genoy
President
SunAmerica Asset Management, LLC
30 Hudson Street, 16th Floor
Jersey City, NJ 07302
(Name and address of agent for service)
Registrants telephone number, including area code: (201) 324-6414
Date of fiscal year end: March 31
Date of reporting period: March 31, 2023
Item 1. Reports to Stockholders
Explanatory Note
The Registrant is filing this N-CSR for the period ended March 31, 2023, originally filed with the Securities and Exchange Commission on June 08, 2023 (Accession Number 0001193125-23-163182), that was filed erroneously as an N-CSRS. Except for a correction to the form submission type, this does not amend, update or change any items or disclosures found in the original filing on June 08, 2023 (Accession Number 0001193125-23-163182)
SEASONS SERIES TRUST
ANNUAL REPORT
MARCH 31, 2023
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Dear Seasons Series Trust Investor:
We are pleased to present the annual report for the Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our affiliated life companies.
This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended March 31, 2023.
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 issuers creditworthiness.
Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.
There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.
Investments are not guaranteed or endorsed by any bank, are not a deposit or obligation of any bank, and are not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.
* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank or Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency
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1 |
SEASONS SERIES TRUST
EXPENSE EXAMPLE March 31, 2023 |
(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 October 1, 2022 and held until March 31, 2023. 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 Trusts 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 March 31, 2023 to estimate the expenses you paid on your account during this period. The Expenses Paid During the Six Months Ended March 31, 2023 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 March 31, 2023 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 Portfolios actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolios 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 March 31, 2023 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 March 31, 2023 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.
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2 |
SEASONS SERIES TRUST
EXPENSE EXAMPLE (continued) March 31, 2023 |
(unaudited)
Actual | Hypothetical | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value at October 1, 2022 |
Ending Account Value Using Actual Return at March 31, 2023 |
Expenses Paid During the Six Months Ended March 31, 2023* |
Beginning Account Value at October 1, 2022 |
Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2023 |
Expenses Paid During the Six Months Ended March 31, 2023* |
Annualized Expense Ratio* |
|||||||||||||||||||||
SA Multi-Managed Growth# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,107.30 | $ | 5.78 | $ | 1,000.00 | $ | 1,019.45 | $ | 5.54 | 1.10 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,108.05 | $ | 6.57 | $ | 1,000.00 | $ | 1,018.70 | $ | 6.29 | 1.25 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,106.55 | $ | 7.09 | $ | 1,000.00 | $ | 1,018.20 | $ | 6.79 | 1.35 | % | ||||||||||||||
SA Multi-Managed Moderate Growth# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,099.41 | $ | 5.50 | $ | 1,000.00 | $ | 1,019.70 | $ | 5.29 | 1.05 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,098.42 | $ | 6.28 | $ | 1,000.00 | $ | 1,018.95 | $ | 6.04 | 1.20 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,098.67 | $ | 6.80 | $ | 1,000.00 | $ | 1,018.45 | $ | 6.54 | 1.30 | % | ||||||||||||||
SA Multi-Managed Income/Equity# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,079.61 | $ | 5.86 | $ | 1,000.00 | $ | 1,019.30 | $ | 5.69 | 1.13 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,079.95 | $ | 6.64 | $ | 1,000.00 | $ | 1,018.55 | $ | 6.44 | 1.28 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,079.79 | $ | 7.16 | $ | 1,000.00 | $ | 1,018.05 | $ | 6.94 | 1.38 | % | ||||||||||||||
SA Multi-Managed Income# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,070.69 | $ | 6.14 | $ | 1,000.00 | $ | 1,019.00 | $ | 5.99 | 1.19 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,068.38 | $ | 6.91 | $ | 1,000.00 | $ | 1,018.25 | $ | 6.74 | 1.34 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,069.28 | $ | 7.43 | $ | 1,000.00 | $ | 1,017.75 | $ | 7.24 | 1.44 | % | ||||||||||||||
SA Putnam Asset Allocation: Diversified Growth# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,135.80 | $ | 4.74 | $ | 1,000.00 | $ | 1,020.49 | $ | 4.48 | 0.89 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,135.05 | $ | 5.54 | $ | 1,000.00 | $ | 1,019.75 | $ | 5.24 | 1.04 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,136.15 | $ | 6.07 | $ | 1,000.00 | $ | 1,019.25 | $ | 5.74 | 1.14 | % | ||||||||||||||
SA T. Rowe Price Growth Stock |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,136.86 | $ | 4.85 | $ | 1,000.00 | $ | 1,020.39 | $ | 4.58 | 0.91 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,136.51 | $ | 5.65 | $ | 1,000.00 | $ | 1,019.65 | $ | 5.34 | 1.06 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,135.62 | $ | 6.18 | $ | 1,000.00 | $ | 1,019.15 | $ | 5.84 | 1.16 | % | ||||||||||||||
SA Multi-Managed Large Cap Growth# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,137.22 | $ | 4.10 | $ | 1,000.00 | $ | 1,021.09 | $ | 3.88 | 0.77 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,136.07 | $ | 4.90 | $ | 1,000.00 | $ | 1,020.34 | $ | 4.63 | 0.92 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,136.03 | $ | 5.43 | $ | 1,000.00 | $ | 1,019.85 | $ | 5.14 | 1.02 | % | ||||||||||||||
SA Multi-Managed Large Cap Value |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,146.14 | $ | 4.33 | $ | 1,000.00 | $ | 1,020.89 | $ | 4.08 | 0.81 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,145.75 | $ | 5.14 | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | 0.96 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,145.00 | $ | 5.67 | $ | 1,000.00 | $ | 1,019.65 | $ | 5.34 | 1.06 | % | ||||||||||||||
SA Multi-Managed Mid Cap Growth |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,156.52 | $ | 5.27 | $ | 1,000.00 | $ | 1,020.04 | $ | 4.94 | 0.98 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,156.52 | $ | 6.08 | $ | 1,000.00 | $ | 1,019.30 | $ | 5.69 | 1.13 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,154.99 | $ | 6.61 | $ | 1,000.00 | $ | 1,018.80 | $ | 6.19 | 1.23 | % | ||||||||||||||
SA Multi-Managed Mid Cap Value |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,137.81 | $ | 5.17 | $ | 1,000.00 | $ | 1,020.09 | $ | 4.89 | 0.97 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,137.57 | $ | 5.97 | $ | 1,000.00 | $ | 1,019.35 | $ | 5.64 | 1.12 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,136.26 | $ | 6.50 | $ | 1,000.00 | $ | 1,018.85 | $ | 6.14 | 1.22 | % | ||||||||||||||
SA Multi-Managed Small Cap |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,123.13 | $ | 5.13 | $ | 1,000.00 | $ | 1,020.09 | $ | 4.89 | 0.97 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,123.00 | $ | 5.93 | $ | 1,000.00 | $ | 1,019.35 | $ | 5.64 | 1.12 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,122.04 | $ | 6.45 | $ | 1,000.00 | $ | 1,018.85 | $ | 6.14 | 1.22 | % | ||||||||||||||
SA Multi-Managed International Equity# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,279.29 | $ | 5.97 | $ | 1,000.00 | $ | 1,019.70 | $ | 5.29 | 1.05 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,275.73 | $ | 6.81 | $ | 1,000.00 | $ | 1,018.95 | $ | 6.04 | 1.20 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,276.66 | $ | 7.38 | $ | 1,000.00 | $ | 1,018.45 | $ | 6.54 | 1.30 | % | ||||||||||||||
SA Multi-Managed Diversified Fixed Income |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,053.18 | $ | 3.63 | $ | 1,000.00 | $ | 1,021.39 | $ | 3.58 | 0.71 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,052.20 | $ | 4.40 | $ | 1,000.00 | $ | 1,020.64 | $ | 4.33 | 0.86 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,051.87 | $ | 4.91 | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | 0.96 | % | ||||||||||||||
SA American Century Inflation Protection# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,056.57 | $ | 2.97 | $ | 1,000.00 | $ | 1,022.04 | $ | 2.92 | 0.58 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,055.44 | $ | 4.25 | $ | 1,000.00 | $ | 1,020.79 | $ | 4.18 | 0.83 | % |
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3 |
SEASONS SERIES TRUST
EXPENSE EXAMPLE (continued) March 31, 2023 |
(unaudited)
Actual | Hypothetical | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value at October 1, 2022 |
Ending Account Value Using Actual Return at March 31, 2023 |
Expenses Paid During the Six Months Ended March 31, 2023* |
Beginning Account Value at October 1, 2022 |
Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2023 |
Expenses Paid During the Six Months Ended March 31, 2023* |
Annualized Expense Ratio* |
|||||||||||||||||||||
SA Columbia Focused Value# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,141.24 | $ | 3.90 | $ | 1,000.00 | $ | 1,021.29 | $ | 3.68 | 0.73 | % | ||||||||||||||
Class 2 |
$ | 1,000.00 | $ | 1,140.57 | $ | 4.70 | $ | 1,000.00 | $ | 1,020.54 | $ | 4.43 | 0.88 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,140.09 | $ | 5.23 | $ | 1,000.00 | $ | 1,020.04 | $ | 4.94 | 0.98 | % | ||||||||||||||
SA Allocation Growth# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,148.12 | $ | 0.70 | $ | 1,000.00 | $ | 1,024.28 | $ | 0.66 | 0.13 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,146.27 | $ | 2.03 | $ | 1,000.00 | $ | 1,023.04 | $ | 1.92 | 0.38 | % | ||||||||||||||
SA Allocation Moderate Growth# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,128.97 | $ | 0.64 | $ | 1,000.00 | $ | 1,024.33 | $ | 0.61 | 0.12 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,127.11 | $ | 1.96 | $ | 1,000.00 | $ | 1,023.09 | $ | 1.87 | 0.37 | % | ||||||||||||||
SA Allocation Moderate# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,114.22 | $ | 0.74 | $ | 1,000.00 | $ | 1,024.23 | $ | 0.71 | 0.14 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,112.30 | $ | 2.05 | $ | 1,000.00 | $ | 1,022.99 | $ | 1.97 | 0.39 | % | ||||||||||||||
SA Allocation Balanced# |
||||||||||||||||||||||||||||
Class 1 |
$ | 1,000.00 | $ | 1,094.44 | $ | 0.73 | $ | 1,000.00 | $ | 1,024.23 | $ | 0.71 | 0.14 | % | ||||||||||||||
Class 3 |
$ | 1,000.00 | $ | 1,093.68 | $ | 2.04 | $ | 1,000.00 | $ | 1,022.99 | $ | 1.97 | 0.39 | % |
* | Expenses are equal to each Portfolios annualized expense ratio multiplied by the average account value over the period, multiplied by 182 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 March 31, 2023 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 March 31, 2023 and the Annualized Expense Ratio would have been lower. |
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4 |
Interest Rate Swaps | ||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Notional
amount |
Currency | Payments
made |
Payments
received |
Fixed
payment frequency |
Floating
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value | ||
Centrally Cleared | 105,000 | USD | Fixed 1.560% | USD-12-Month SOFR | Annual | Annual | Dec 2051 | $ (626) | $ 28,612 | $ 27,986 | ||
Centrally Cleared | 20,000 | USD | Fixed 2.880 | 12-Month SOFR | Annual | Annual | Mar 2053 | 221 | 11 | 232 | ||
Centrally Cleared | 75,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 242 | (687) | (445) | ||
$(163) | $27,936 | $27,773 |
Credit Default Swaps - Buyer(1) | |||||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Reference
obligation |
Notional
amount(2) |
Currency | USD
notional amount(2) |
Pay
fixed rate |
Fixed
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value(3) | |||||
Centrally Cleared | Federative Republic of Brazil | $39,000 | USD | $39,000 | 1.000% | Quarterly | Jun 2027 | $1,818 | $(684) | $1,134 |
(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) | 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. |
(3) | 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. |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
1 | Long | E-Mini Russell 2000 Index | June 2023 | $ 86,667 | $ 90,675 | $ 4,008 |
3 | Long | Euro-Schatz | June 2023 | 340,544 | 343,879 | 3,335 |
2 | Long | U.S. Treasury 10 Year Notes | June 2023 | 228,463 | 229,844 | 1,381 |
5 | Long | U.S. Treasury 2 Year Notes | June 2023 | 1,026,886 | 1,032,265 | 5,379 |
3 | Long | U.S. Treasury Ultra 10 Year Notes | June 2023 | 351,881 | 363,422 | 11,541 |
$25,644 |
Unrealized
(Depreciation) | ||||||
5 | Long | U.S. Treasury 5 Year Notes | June 2023 | $548,005 | $547,539 | $ (466) |
3 | Short | Canada 10 Year Bonds | June 2023 | 269,501 | 280,045 | (10,544) |
2 | Short | Euro-BUND | June 2023 | 283,279 | 294,637 | (11,358) |
2 | Short | U.S. Treasury Long Bonds | June 2023 | 251,335 | 262,313 | (10,978) |
$(33,346) | ||||||
Net Unrealized Appreciation (Depreciation) | $ (7,702) |
* | 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) | |||
BNP Paribas SA | USD | 3,194 | EUR | 3,000 | 06/21/2023 | $ 74 | $ — | |
Deutsche Bank AG | EUR | 69,000 | USD | 74,082 | 06/21/2023 | — | (1,077) | |
Goldman Sachs International | BRL | 176,000 | USD | 33,587 | 06/21/2023 | — | (646) | |
Unrealized Appreciation (Depreciation) | $ 74 | $ (1,723) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $ 2,127,946 | $ — | $ 0 | $ 2,127,946 | |||
Commercial Services | 851,289 | 913,315 | — | 1,764,604 | |||
Other Industries | 21,904,108 | — | — | 21,904,108 | |||
Corporate Bonds & Notes | — | 2,878,939 | — | 2,878,939 | |||
Asset Backed Securities | — | 588,660 | — | 588,660 | |||
Collateralized Mortgage Obligations | — | 1,689,970 | — | 1,689,970 | |||
U.S. Government & Agency Obligations | — | 5,092,917 | — | 5,092,917 | |||
Foreign Government Obligations | — | 105,754 | — | 105,754 | |||
Municipal Securities | — | 176,446 | — | 176,446 | |||
Escrows and Litigation Trusts | — | 14 | — | 14 | |||
Purchased Options | — | 20,136 | — | 20,136 | |||
Repurchase Agreements | — | 585,000 | — | 585,000 | |||
Total Investments at Value | $24,883,343 | $12,051,151 | $ 0 | $36,934,494 | |||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 28,623 | $— | $ 28,623 | |||
Futures Contracts | 25,644 | — | — | 25,644 | |||
Forward Foreign Currency Contracts | — | 74 | — | 74 | |||
Total Other Financial Instruments | $ 25,644 | $ 28,697 | $— | $ 54,341 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 1,371 | $— | $ 1,371 | |||
Futures Contracts | 33,346 | — | — | 33,346 | |||
Forward Foreign Currency Contracts | — | 1,723 | — | 1,723 | |||
Total Other Financial Instruments | $ 33,346 | $ 3,094 | $— | $ 36,440 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Interest Rate Swaps | ||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Notional
amount |
Currency | Payments
made |
Payments
received |
Fixed
payment frequency |
Floating
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value | ||
Centrally Cleared | 65,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 741 | $ 14 | $ 755 | ||
Centrally Cleared | 180,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 348 | (1,418) | (1,070) | ||
$1,089 | $(1,404) | $ (315) |
Credit Default Swaps - Buyer(1) | |||||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Reference
obligation |
Notional
amount(2) |
Currency | USD
notional amount(2) |
Pay
fixed rate |
Fixed
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value(3) | |||||
Centrally Cleared | Federative Republic of Brazil | $103,000 | USD | $103,000 | 1.000% | Quarterly | Jun 2027 | $4,801 | $(1,806) | $2,995 |
(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) | 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. |
(3) | 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. |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
2 | Long | E-Mini Russell 2000 Index | June 2023 | $ 173,324 | $ 181,350 | $ 8,026 |
12 | Long | U.S. Treasury 2 Year Notes | June 2023 | 2,469,099 | 2,477,438 | 8,339 |
22 | Long | U.S. Treasury 5 Year Notes | June 2023 | 2,407,495 | 2,409,172 | 1,677 |
7 | Long | U.S. Treasury Ultra 10 Year Notes | June 2023 | 821,057 | 847,984 | 26,927 |
$44,969 |
Unrealized
(Depreciation) | ||||||
8 | Short | Canada 10 Year Bonds | June 2023 | $ 718,668 | $ 746,785 | $ (28,117) |
2 | Short | Euro Buxl 30 Year Bonds | June 2023 | 284,790 | 305,525 | (20,735) |
2 | Short | Euro-BUND | June 2023 | 283,476 | 294,637 | (11,161) |
6 | Short | U.S. Treasury 10 Year Notes | June 2023 | 685,710 | 689,531 | (3,821) |
8 | Short | U.S. Treasury Long Bonds | June 2023 | 1,005,338 | 1,049,250 | (43,912) |
1 | Short | U.S. Treasury Ultra Bonds | June 2023 | 139,000 | 141,125 | (2,125) |
$(109,871) | ||||||
Net Unrealized Appreciation (Depreciation) | $ (64,902) |
* | 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) | |||
Deutsche Bank AG | EUR | 627,000 | USD | 673,446 | 06/21/2023 | $ — | $ (9,522) | |
Goldman Sachs International | BRL | 496,000 | USD | 94,654 | 06/21/2023 | — | (1,820) | |
State Street Bank & Trust Company | USD | 118,365 | EUR | 111,000 | 06/21/2023 | 2,543 | — | |
Unrealized Appreciation (Depreciation) | $ 2,543 | $ (11,342) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $ 2,770,472 | $ — | $ 0 | $ 2,770,472 | |||
Commercial Services | 1,182,025 | 1,154,329 | — | 2,336,354 | |||
Other Industries | 29,177,219 | — | — | 29,177,219 | |||
Corporate Bonds & Notes | — | 7,212,363 | — | 7,212,363 | |||
Asset Backed Securities | — | 2,376,439 | — | 2,376,439 | |||
Collateralized Mortgage Obligations | — | 4,577,818 | — | 4,577,818 | |||
U.S. Government & Agency Obligations | — | 14,117,247 | — | 14,117,247 | |||
Foreign Government Obligations | — | 651,041 | — | 651,041 | |||
Municipal Securities | — | 476,294 | — | 476,294 | |||
Escrows and Litigation Trusts | — | 20 | — | 20 | |||
Purchased Options | — | 26,167 | — | 26,167 | |||
Repurchase Agreements | — | 1,000,000 | — | 1,000,000 | |||
Total Investments at Value | $33,129,716 | $31,591,718 | $ 0 | $64,721,434 | |||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 14 | $— | $ 14 | |||
Futures Contracts | 44,969 | — | — | 44,969 | |||
Forward Foreign Currency Contracts | — | 2,543 | — | 2,543 | |||
Total Other Financial Instruments | $ 44,969 | $ 2,557 | $— | $ 47,526 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 3,224 | $— | $ 3,224 | |||
Futures Contracts | 109,871 | — | — | 109,871 | |||
Forward Foreign Currency Contracts | — | 11,342 | — | 11,342 | |||
Total Other Financial Instruments | $ 109,871 | $ 14,566 | $— | $ 124,437 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Interest Rate Swaps | ||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Notional
amount |
Currency | Payments
made |
Payments
received |
Fixed
payment frequency |
Floating
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value | ||
Centrally Cleared | 85,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 970 | $ 18 | $ 988 | ||
Centrally Cleared | 220,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 710 | (2,017) | (1,307) | ||
$1,680 | $(1,999) | $ (319) |
Credit Default Swaps - Buyer(1) | |||||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Reference
obligation |
Notional
amount(2) |
Currency | USD
notional amount(2) |
Pay
fixed rate |
Fixed
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value(3) | |||||
Centrally Cleared | Federative Republic of Brazil | $103,000 | USD | $103,000 | 1.000% | Quarterly | Jun 2027 | $4,794 | $(1,800) | $2,994 |
(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) | 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. |
(3) | 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. |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
16 | Long | U.S. Treasury 2 Year Notes | June 2023 | $3,285,821 | $3,303,250 | $17,429 |
6 | Long | U.S. Treasury 5 Year Notes | June 2023 | 655,589 | 657,047 | 1,458 |
6 | Long | U.S. Treasury Ultra 10 Year Notes | June 2023 | 703,763 | 726,844 | 23,081 |
1 | Long | U.S. Treasury Ultra Bonds | June 2023 | 135,313 | 141,126 | 5,813 |
$47,781 |
Unrealized
(Depreciation) | ||||||
6 | Long | U.S. Treasury 10 Year Notes | June 2023 | $ 694,202 | $ 689,531 | $ (4,671) |
8 | Short | Canada 10 Year Bonds | June 2023 | 718,668 | 746,785 | (28,117) |
2 | Short | Euro Buxl 30 Year Bonds | June 2023 | 284,811 | 305,525 | (20,714) |
2 | Short | Euro-BUND | June 2023 | 283,476 | 294,637 | (11,161) |
9 | Short | U.S. Treasury Long Bonds | June 2023 | 1,131,006 | 1,180,407 | (49,401) |
$(114,064) | ||||||
Net Unrealized Appreciation (Depreciation) | $ (66,283) |
* | 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) | |||
Deutsche Bank AG | EUR | 609,000 | USD | 654,121 | 06/21/2023 | $ — | $ (9,241) | |
Goldman Sachs International | BRL | 508,000 | USD | 96,944 | 06/21/2023 | — | (1,864) | |
State Street Bank & Trust Company | USD | 118,365 | EUR | 111,000 | 06/21/2023 | 2,543 | — | |
Unrealized Appreciation (Depreciation) | $ 2,543 | $ (11,105) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $ — | $ 7,459,503 | $— | $ 7,459,503 | |||
Asset Backed Securities | — | 2,437,424 | — | 2,437,424 | |||
Collateralized Mortgage Obligations | — | 5,029,930 | — | 5,029,930 | |||
U.S. Government & Agency Obligations | — | 14,621,906 | — | 14,621,906 | |||
Foreign Government Obligations | — | 631,201 | — | 631,201 | |||
Municipal Securities | — | 509,288 | — | 509,288 | |||
Common Stocks: | |||||||
Commercial Services | 269,039 | 578,750 | — | 847,789 | |||
Other Industries | 11,136,560 | — | — | 11,136,560 | |||
Escrows and Litigation Trusts | — | 38 | — | 38 | |||
Purchased Options | — | 12,966 | — | 12,966 | |||
Repurchase Agreements | — | 780,000 | — | 780,000 | |||
Total Investments at Value | $11,405,599 | $32,061,006 | $— | $43,466,605 | |||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 18 | $— | $ 18 | |||
Futures Contracts | 47,781 | — | — | 47,781 | |||
Forward Foreign Currency Contracts | — | 2,543 | — | 2,543 | |||
Total Other Financial Instruments | $ 47,781 | $ 2,561 | $— | $ 50,342 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 3,817 | $— | $ 3,817 | |||
Futures Contracts | 114,064 | — | — | 114,064 | |||
Forward Foreign Currency Contracts | — | 11,105 | — | 11,105 | |||
Total Other Financial Instruments | $ 114,064 | $ 14,922 | $— | $ 128,986 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Interest Rate Swaps | ||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Notional
amount |
Currency | Payments
made |
Payments
received |
Fixed
payment frequency |
Floating
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value | ||
Centrally Cleared | 60,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 597 | $ 100 | $ 697 | ||
Centrally Cleared | 175,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 325 | (1,365) | (1,040) | ||
$922 | $(1,265) | $ (343) |
Credit Default Swaps - Buyer(1) | |||||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Reference
obligation |
Notional
amount(2) |
Currency | USD
notional amount(2) |
Pay
fixed rate |
Fixed
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value(3) | |||||
Centrally Cleared | Federative Republic of Brazil | $103,000 | USD | $103,000 | 1.000% | Quarterly | Jun 2027 | $4,794 | $(1,800) | $2,994 |
(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) | 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. |
(3) | 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. |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
5 | Long | U.S. Treasury Ultra 10 Year Notes | June 2023 | $585,816 | $605,703 | $19,887 |
Unrealized
(Depreciation) | ||||||
1 | Long | U.S. Treasury 10 Year Notes | June 2023 | $ 115,137 | $ 114,923 | $ (214) |
9 | Long | U.S. Treasury 2 Year Notes | June 2023 | 1,860,333 | 1,858,078 | (2,255) |
21 | Long | U.S. Treasury 5 Year Notes | June 2023 | 2,300,607 | 2,299,664 | (943) |
8 | Short | Canada 10 Year Bonds | June 2023 | 718,668 | 746,785 | (28,117) |
2 | Short | Euro Buxl 30 Year Bonds | June 2023 | 284,790 | 305,526 | (20,736) |
3 | Short | Euro-BUND | June 2023 | 425,115 | 441,955 | (16,840) |
4 | Short | U.S. Treasury Long Bonds | June 2023 | 502,669 | 524,625 | (21,956) |
7 | Short | U.S. Treasury Ultra Bonds | June 2023 | 955,362 | 987,875 | (32,513) |
$(123,574) | ||||||
Net Unrealized Appreciation (Depreciation) | $(103,687) |
* | 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) | |||
Deutsche Bank AG | EUR | 693,000 | USD | 744,371 | 06/21/2023 | $ — | $ (10,488) | |
Goldman Sachs International | BRL | 509,000 | USD | 97,135 | 06/21/2023 | — | (1,868) | |
State Street Bank & Trust Company | USD | 124,806 | EUR | 117,000 | 06/21/2023 | 2,637 | — | |
Unrealized Appreciation (Depreciation) | $ 2,637 | $ (12,356) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $ — | $ 7,364,132 | $— | $ 7,364,132 | |||
Asset Backed Securities | — | 2,407,566 | — | 2,407,566 | |||
Collateralized Mortgage Obligations | — | 4,662,054 | — | 4,662,054 | |||
U.S. Government & Agency Obligations | — | 14,297,455 | — | 14,297,455 | |||
Foreign Government Obligations | — | 718,182 | — | 718,182 | |||
Municipal Securities | — | 492,705 | — | 492,705 | |||
Common Stocks: | |||||||
Commercial Services | 109,703 | 236,257 | — | 345,960 | |||
Other Industries | 4,547,743 | — | — | 4,547,743 | |||
Escrows and Litigation Trusts | — | 20 | — | 20 | |||
Purchased Options | — | 5,475 | — | 5,475 | |||
Repurchase Agreements | — | 785,000 | — | 785,000 | |||
Total Investments at Value | $4,657,446 | $30,968,846 | $— | $35,626,292 | |||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 100 | $— | $ 100 | |||
Futures Contracts | 19,887 | — | — | 19,887 | |||
Forward Foreign Currency Contracts | — | 2,637 | — | 2,637 | |||
Total Other Financial Instruments | $ 19,887 | $ 2,737 | $— | $ 22,624 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 3,165 | $— | $ 3,165 | |||
Futures Contracts | 123,574 | — | — | 123,574 | |||
Forward Foreign Currency Contracts | — | 12,356 | — | 12,356 | |||
Total Other Financial Instruments | $ 123,574 | $ 15,521 | $— | $ 139,095 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Total Return Swaps | |||||||||||
Counterparty | Pay/
Recieve |
Underlying
Reference |
Financing
Rate |
Payment
Frequency |
Maturity
Date |
Notional
Amount |
Premiums
Paid/ (Received) |
Unrealized
Appreciation/ (Depreciation) |
Value | ||
Bank of America N.A. | Pay | Alinma Bank | 12-Month SOFR + 1.000% | Monthly | 06/20/2023 | $25,202 | $— | $ 319 | $ 319 | ||
Bank of America N.A. | Pay | Alinma Bank | 12-Month SOFR + 1.000 | Monthly | 06/20/2023 | 89,667 | — | 1,137 | 1,137 | ||
Bank of America N.A. | Pay | Alinma Bank | 12-Month SOFR + 1.000 | Monthly | 06/23/2023 | 4,075 | — | 52 | 52 | ||
$— | $1,508 | $1,508 |
SOFR—Secured Overnight Financing Rate |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
2 | Long | E-Mini Russell 2000 Index | June 2023 | $ 176,163 | $ 181,350 | $ 5,187 |
10 | Long | S&P 500 E-Mini Index | June 2023 | 1,947,624 | 2,068,875 | 121,251 |
3 | Long | U.S. Treasury 10 Year Notes | June 2023 | 332,438 | 344,766 | 12,328 |
9 | Long | U.S. Treasury 2 Year Notes | June 2023 | 1,839,172 | 1,858,078 | 18,906 |
16 | Long | U.S. Treasury 5 Year Notes | June 2023 | 1,717,273 | 1,752,125 | 34,852 |
5 | Long | U.S. Treasury Long Bonds | June 2023 | 629,648 | 655,781 | 26,133 |
4 | Long | U.S. Treasury Ultra Bonds | June 2023 | 543,125 | 564,500 | 21,375 |
$240,032 |
Unrealized
(Depreciation) | ||||||
82 | Short | S&P 500 E-Mini Index | June 2023 | $15,970,281 | $16,964,775 | $(994,494) |
Net Unrealized Appreciation (Depreciation) | $(754,462) |
* | 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. | USD | 508,721 | TWD | 15,032,700 | 05/17/2023 | $ — | $ (14,619) | |
Citibank, N.A. | DKK | 632,700 | USD | 90,877 | 06/21/2023 | — | (1,704) | |
Goldman Sachs International | ILS | 1,738,000 | USD | 492,134 | 04/19/2023 | 8,667 | — | |
USD | 929,143 | CNH | 6,240,500 | 05/17/2023 | — | (18,067) | ||
8,667 | (18,067) | |||||||
HSBC Bank PLC | EUR | 578,000 | USD | 628,828 | 06/21/2023 | — | (766) | |
USD | 90,185 | JPY | 11,588,600 | 05/17/2023 | — | (2,361) | ||
USD | 245,873 | SEK | 2,570,500 | 06/21/2023 | 2,794 | — | ||
2,794 | (3,127) | |||||||
JPMorgan Chase Bank, N.A. | NOK | 450,600 | USD | 43,290 | 06/21/2023 | 101 | — | |
SGD | 310,500 | USD | 236,649 | 05/17/2023 | 3,016 | — | ||
USD | 77,128 | GBP | 64,400 | 06/21/2023 | 2,437 | — | ||
USD | 523,888 | KRW | 641,501,100 | 05/17/2023 | — | (31,605) | ||
5,554 | (31,605) | |||||||
Morgan Stanley & Co. International PLC | USD | 35,633 | EUR | 33,400 | 06/21/2023 | 749 | — | |
State Street Bank & Trust Company | USD | 86,706 | AUD | 127,100 | 04/19/2023 | — | (1,701) | |
USD | 433,792 | CHF | 404,300 | 06/21/2023 | 11,807 | — | ||
USD | 507,432 | EUR | 475,700 | 06/21/2023 | 10,730 | — | ||
22,537 | (1,701) | |||||||
Toronto Dominion Bank | HKD | 598,900 | USD | 76,724 | 05/17/2023 | 264 | — | |
Unrealized Appreciation (Depreciation) | $ 40,565 | $ (70,823) |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Aerospace/Defense | $ 1,725,113 | $ 652,444 | $ — | $ 2,377,557 |
Agriculture | 1,792,051 | 308,984 | — | 2,101,035 |
Airlines | 281,523 | 266,858 | — | 548,381 |
Apparel | 257,355 | 1,192,867 | — | 1,450,222 |
Auto Manufacturers | 1,904,514 | 865,915 | — | 2,770,429 |
Banks | 5,460,628 | 3,010,018 | — | 8,470,646 |
Beverages | 2,381,021 | 417,785 | — | 2,798,806 |
Building Materials | 789,536 | 714,878 | — | 1,504,414 |
Chemicals | 1,081,992 | 637,007 | — | 1,718,999 |
Commercial Services | 3,039,562 | 463,469 | — | 3,503,031 |
Computers | 9,749,223 | 519,650 | — | 10,268,873 |
Cosmetics/Personal Care | 2,176,726 | 807,155 | — | 2,983,881 |
Distribution/Wholesale | 193,624 | 722,904 | — | 916,528 |
Diversified Financial Services | 2,833,373 | 294,233 | — | 3,127,606 |
Electric | 2,592,591 | 890,412 | — | 3,483,003 |
Electrical Components & Equipment | 847,339 | 650,674 | — | 1,498,013 |
Electronics | 1,496,899 | 798,389 | — | 2,295,288 |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
Engineering & Construction | $ 204,679 | $ 156,205 | $ — | $ 360,884 | |||
Entertainment | 174,095 | 333,140 | — | 507,235 | |||
Food | 700,744 | 1,696,632 | — | 2,397,376 | |||
Food Service | — | 92,614 | — | 92,614 | |||
Gas | 168,646 | 211,551 | — | 380,197 | |||
Healthcare-Products | 2,882,260 | 348,835 | — | 3,231,095 | |||
Healthcare-Services | 1,365,549 | 423,766 | — | 1,789,315 | |||
Holding Companies-Diversified | — | 63,328 | — | 63,328 | |||
Home Builders | 513,337 | 46,813 | — | 560,150 | |||
Home Furnishings | — | 31,457 | — | 31,457 | |||
Insurance | 2,871,131 | 1,284,284 | — | 4,155,415 | |||
Internet | 14,208,371 | 806,739 | — | 15,015,110 | |||
Investment Companies | 5,165 | 351,526 | — | 356,691 | |||
Iron/Steel | 236,714 | 144,852 | — | 381,566 | |||
Lodging | 476,533 | 109,098 | — | 585,631 | |||
Machinery-Construction & Mining | 329,595 | 210,177 | — | 539,772 | |||
Machinery-Diversified | 431,872 | 260,725 | — | 692,597 | |||
Media | 802,070 | 52,621 | — | 854,691 | |||
Metal Fabricate/Hardware | 106,309 | 25,159 | — | 131,468 | |||
Mining | 297,582 | 1,139,301 | — | 1,436,883 | |||
Oil & Gas | 4,476,378 | 1,406,373 | — | 5,882,751 | |||
Pharmaceuticals | 7,889,764 | 2,833,221 | 854 | 10,723,839 | |||
Private Equity | — | 326,873 | — | 326,873 | |||
Real Estate | 290,760 | 551,366 | — | 842,126 | |||
REITS | 3,264,869 | 335,769 | — | 3,600,638 | |||
Retail | 3,097,387 | 1,054,157 | — | 4,151,544 | |||
Semiconductors | 5,361,298 | 1,840,117 | — | 7,201,415 | |||
Shipbuilding | — | 33,442 | — | 33,442 | |||
Software | 11,610,533 | 501,860 | — | 12,112,393 | |||
Telecommunications | 3,007,845 | 765,135 | — | 3,772,980 | |||
Toys/Games/Hobbies | — | 577,623 | — | 577,623 | |||
Transportation | 1,172,926 | 507,211 | — | 1,680,137 | |||
Other Industries | 6,774,750 | — | — | 6,774,750 | |||
Corporate Bonds & Notes | — | 14,424,564 | — | 14,424,564 | |||
Convertible Bonds & Notes | — | 39,735 | — | 39,735 | |||
Loans | — | 523,133 | — | 523,133 | |||
Asset Backed Securities | — | 129,386 | — | 129,386 | |||
Collateralized Mortgage Obligations | — | 4,982,785 | — | 4,982,785 | |||
U.S. Government & Agency Obligations | — | 12,650,916 | — | 12,650,916 | |||
Municipal Securities | — | 84,174 | — | 84,174 | |||
Unaffiliated Investment Companies | 1,923,247 | — | — | 1,923,247 | |||
Escrows and Litigation Trusts | — | 1,600 | 2 | 1,602 | |||
Warrants | — | 196,116 | — | 196,116 | |||
Short-Term Investments | — | 8,137,600 | — | 8,137,600 | |||
Repurchase Agreements | — | 6,000,000 | — | 6,000,000 | |||
Total Investments at Value | $113,247,479 | $78,905,621 | $856 | $192,153,956 | |||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 1,508 | $ — | $ 1,508 | |||
Futures Contracts | 240,032 | — | — | 240,032 | |||
Forward Foreign Currency Contracts | — | 40,565 | — | 40,565 | |||
Total Other Financial Instruments | $ 240,032 | $ 42,073 | $ — | $ 282,105 |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 994,494 | $ — | $ — | $ 994,494 | |||
Forward Foreign Currency Contracts | — | 70,823 | — | 70,823 | |||
Total Other Financial Instruments | $ 994,494 | $ 70,823 | $ — | $ 1,065,317 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Industry Allocation* | |
Software | 22.4% |
Internet | 17.5 |
Computers | 10.6 |
Semiconductors | 9.6 |
Diversified Financial Services | 6.5 |
Healthcare-Services | 5.0 |
Auto Manufacturers | 4.6 |
Pharmaceuticals | 3.4 |
Healthcare-Products | 3.1 |
Retail | 3.0 |
Miscellaneous Manufacturing | 1.5 |
Lodging | 1.5 |
Commercial Services | 1.3 |
Cosmetics/Personal Care | 1.3 |
Transportation | 1.0 |
Biotechnology | 1.0 |
Aerospace/Defense | 0.9 |
Insurance | 0.8 |
Chemicals | 0.8 |
Beverages | 0.6 |
Advertising | 0.5 |
Automotive - Cars & Lt. Trucks | 0.5 |
Telecommunications | 0.5 |
Entertainment Software | 0.5 |
Electronics | 0.4 |
Industrial Automation/Robotics | 0.3 |
Short-Term Investments | 0.2 |
Leisure Time | 0.2 |
Recycling | 0.2 |
E-Commerce/Services | 0.2 |
Electrical Components & Equipment | 0.1 |
Applications Software | 0.1 |
Computer Software | 0.1 |
100.2% |
* | Calculated as a percentage of net assets |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Aerospace/Defense | $ — | $2,539,867 | $ — | $ 2,539,867 | |||
Applications Software | — | — | 216,599 | 216,599 | |||
Auto Manufacturers | 9,807,046 | 2,835,626 | — | 12,642,672 | |||
Commercial Services | 3,197,436 | 450,315 | — | 3,647,751 | |||
Computer Graphics | — | — | 118,637 | 118,637 | |||
Diversified Financial Services | 16,944,753 | — | 744,423 | 17,689,176 | |||
E-Commerce/Services | — | — | 124,986 | 124,986 | |||
Electronics | — | 1,116,883 | — | 1,116,883 | |||
Entertainment Software | — | — | 1,234,192 | 1,234,192 | |||
Software | 61,033,448 | — | 25,208 | 61,058,656 | |||
Other Industries | 168,513,620 | — | — | 168,513,620 | |||
Convertible Preferred Stocks | — | — | 3,732,941 | 3,732,941 | |||
Short-Term Investments | 586,514 | — | — | 586,514 | |||
Total Investments at Value | $260,082,817 | $6,942,691 | $6,196,986 | $273,222,494 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Common Stocks | Convertible
Preferred Securities | ||
Balance as of March 31, 2022 | $ 3,747,609 | $ 5,625,976 | |
Accrued Discounts | — | — | |
Accrued Premiums | — | — | |
Realized Gain | 10,295 | — | |
Realized Loss | — | — | |
Change in unrealized appreciation(1) | — | — | |
Change in unrealized depreciation(1) | (1,233,619) | (1,962,185) | |
Net purchases | 1,230 | 69,150 | |
Net sales | (61,470) | — | |
Transfers into Level 3 | — | — | |
Transfers out of Level 3 | — | __ | |
Balance as of March 31, 2023 | $ 2,464,045 | $ 3,732,941 |
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2023 includes: |
Common Stocks | Convertible
Preferred Securities | ||
$(1,206,874) | $(1,962,185) |
Description | Fair
Value at March 31, 2023 |
Valuation
Technique(s) |
Unobservable
Input (1) |
Range
(weighted average) |
Common Stocks | $1,450,791 | Market Approach | Transaction Price* | $20.13-$690.65 ($590.5433)# |
$124,986 | Market Approach | EBITDA Multiple* | 22.65x | |
Gross Merchandise Value ("GMV") Multiple* | 0.3x | |||
Discount for Lack of Marketability | 10.00% | |||
$118,637 | Market Approach | Primary Transaction Price* | $1,704.18 | |
Sales Multiple* | 9.2x | |||
Gross Profit Multiple* | 11.7x | |||
Discount for Lack of Marketability | 10.00% | |||
$744,423 | Market Approach | Exchange Rate Utilized HKD to USD | 6.9874 | |
Price to Earnings Multiple* | 12.5x | |||
Sales Multiple* | 3.4x | |||
Dividend Yield | 4.98% | |||
Discount for Lack of Marketability | 10.00% | |||
$25,208 | Market Approach & | Transaction Price* | $19.20 | |
Cost Approach | Tangible Book Value* | $0.00 | ||
Convertible Preferred Securities | $500,123 | Market Approach | Transaction Price* | $50.63 |
$61,701 | Market Approach | Transaction Price* | $369.79 | |
Revenue Multiple* | 17.3x | |||
Gross Profit Multiple* | 22.6x | |||
$292,263 | Market Approach | EBITDA Multiple* | 22.7x | |
Gross Merchandise Value ("GMV") Multiple* | 0.3x | |||
Discount for Lack of Marketability | 10.00% | |||
$16,554 | Market Approach | Primary Transaction Price* | $1,704.18 | |
Sales Multiple* | 9.2x | |||
Gross Profit Multiple* | 11.7x | |||
Discount for Lack of Marketability | 10.00% | |||
$177,278 | Market Approach | Primary Transaction Price* | $187.28 | |
Sales Multiple* | 5.8x | |||
Gross Profit Multiple* | 7.0x | |||
Discount for Lack of Marketability | 10.00% | |||
$330,968 | Market Approach | Primary Transaction Price* | $64.42 | |
Sales Multiple* | 2.7x | |||
Gross Merchandise Volume Multiple* | 0.5x | |||
Discount for Lack of Marketability | 10.00% | |||
$275,325 | Market Approach | Primary Transaction Price* | $41.27 | |
Sales Multiple* | 6.2x | |||
Projected EBITDA Multiple* | 4.3x | |||
Discount for Cost of Capital/Risk | 30.00% | |||
Discount for Lack of Marketability | 10.00% | |||
$231,889 | Market Approach | Primary Transaction Price* | $91.72 | |
Sales Multiple* | 6.5x | |||
Discount for Cost of Capital/Risk | 25.00% | |||
Discount for Lack of Marketability | 10.00% | |||
$1,048,337 | Market Approach | Sales Multiple* | 5.5x | |
Discount for Lack of Marketability | 10.00% | |||
$798,503 | Income | Discounted Cash Flow Rate | 25.00% | |
Discount for Lack of Marketability | 10.00% |
(1) | The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship. |
# | The average represents the arithmetic average of the inputs and is weighted by the relative fair value or notional amount. |
Industry Allocation* | |
Software | 18.8% |
Internet | 18.1 |
Computers | 9.4 |
Semiconductors | 7.1 |
Biotechnology | 4.6 |
Retail | 4.2 |
Diversified Financial Services | 4.0 |
Pharmaceuticals | 3.9 |
Commercial Services | 3.1 |
Healthcare-Products | 2.7 |
Healthcare-Services | 2.3 |
Oil & Gas | 2.2 |
Chemicals | 2.1 |
Auto Manufacturers | 1.8 |
Advertising | 1.8 |
Beverages | 1.5 |
Cosmetics/Personal Care | 1.2 |
Unaffiliated Investment Companies | 1.0 |
REITS | 0.8 |
Food | 0.8 |
Transportation | 0.8 |
Machinery-Diversified | 0.7 |
Insurance | 0.6 |
Apparel | 0.5 |
Aerospace/Defense | 0.5 |
Electronics | 0.5 |
Machinery-Construction & Mining | 0.5 |
Environmental Control | 0.4 |
Energy-Alternate Sources | 0.3 |
Building Materials | 0.3 |
Pipelines | 0.3 |
Agriculture | 0.3 |
Mining | 0.2 |
Telecommunications | 0.2 |
Auto Parts & Equipment | 0.2 |
Short-Term Investments | 0.2 |
Entertainment | 0.2 |
Distribution/Wholesale | 0.2 |
Electric | 0.2 |
Iron/Steel | 0.1 |
Lodging | 0.1 |
Repurchase Agreements | 0.1 |
Oil & Gas Services | 0.1 |
Miscellaneous Manufacturing | 0.1 |
Household Products/Wares | 0.1 |
99.1% |
* | Calculated as a percentage of net assets |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
2 | Long | S&P 500 E-Mini Index | June 2023 | $395,148 | $413,776 | $18,628 |
* | 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. |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Commercial Services | $ 6,169,022 | $5,346,699 | $— | $ 11,515,721 | |||
Other Industries | 348,033,601 | — | — | 348,033,601 | |||
Unaffiliated Investment Companies | 3,441,731 | — | — | 3,441,731 | |||
Purchased Options | — | 106,481 | — | 106,481 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 97,638 | — | 97,638 | |||
Other Short-Term Investments | 669,726 | — | — | 669,726 | |||
Repurchase Agreements | — | 265,334 | — | 265,334 | |||
Total Investments at Value | $358,314,080 | $5,816,152 | $— | $364,130,232 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 18,628 | $ — | $— | $ 18,628 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Industry Allocation* | |
Banks | 9.0% |
Pharmaceuticals | 7.7 |
Software | 6.3 |
Insurance | 5.4 |
Electric | 5.2 |
Telecommunications | 4.5 |
Internet | 4.4 |
Healthcare-Products | 4.1 |
Retail | 3.7 |
Oil & Gas | 3.3 |
Semiconductors | 3.2 |
Aerospace/Defense | 3.1 |
REITS | 3.1 |
Healthcare-Services | 2.9 |
Cosmetics/Personal Care | 2.5 |
Diversified Financial Services | 2.5 |
Food | 2.4 |
Commercial Services | 1.9 |
Computers | 1.8 |
Media | 1.4 |
Chemicals | 1.4 |
Transportation | 1.3 |
Unaffiliated Investment Companies | 1.3 |
Packaging & Containers | 1.3 |
Electronics | 1.3 |
Building Materials | 1.2 |
Household Products/Wares | 1.2 |
Miscellaneous Manufacturing | 1.0 |
Electrical Components & Equipment | 0.9 |
Beverages | 0.9 |
Private Equity | 0.9 |
Agriculture | 0.7 |
Machinery-Diversified | 0.7 |
Repurchase Agreements | 0.6 |
Home Builders | 0.5 |
Distribution/Wholesale | 0.5 |
Oil & Gas Services | 0.5 |
Real Estate | 0.5 |
Auto Manufacturers | 0.5 |
Auto Parts & Equipment | 0.5 |
Machinery-Construction & Mining | 0.5 |
Gas | 0.5 |
Airlines | 0.5 |
Advertising | 0.5 |
Apparel | 0.4 |
Food Service | 0.2 |
Lodging | 0.2 |
Biotechnology | 0.2 |
Environmental Control | 0.1 |
Mining | 0.1 |
Pipelines | 0.1 |
Leisure Time | 0.1 |
Water | 0.1 |
99.6% |
* | Calculated as a percentage of net assets |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
3 | Long | S&P 500 E-Mini Index | June 2023 | $592,721 | $620,662 | $27,941 |
* | 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. | GBP | 2,342,672 | USD | 2,878,418 | 06/30/2023 | $— | $ (16,369) | |
JPMorgan Chase Bank, N.A. | EUR | 9,097,812 | USD | 9,828,366 | 06/30/2023 | — | (86,477) | |
Morgan Stanley & Co. International PLC | CHF | 1,360,332 | USD | 1,499,644 | 06/30/2023 | — | (1,067) | |
Unrealized Appreciation (Depreciation) | $— | $(103,913) |
CHF—Swiss Franc |
EUR—Euro Currency |
GBP—British Pound |
USD—United States Dollar |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Chemicals | $ 5,929,928 | $ 1,757,736 | $— | $ 7,687,664 | |||
Food | 11,136,626 | 2,264,092 | — | 13,400,718 | |||
Food Service | — | 1,260,155 | — | 1,260,155 | |||
Household Products/Wares | 4,589,858 | 1,819,145 | — | 6,409,003 | |||
Miscellaneous Manufacturing | 4,035,399 | 1,375,561 | — | 5,410,960 | |||
Pharmaceuticals | 40,785,366 | 1,757,190 | — | 42,542,556 | |||
Other Industries | 466,415,929 | — | — | 466,415,929 | |||
Unaffiliated Investment Companies | 7,000,166 | — | — | 7,000,166 | |||
Short-Term Investments | — | 97,638 | — | 97,638 | |||
Repurchase Agreements | — | 3,021,532 | — | 3,021,532 | |||
Total Investments at Value | $539,893,272 | $13,353,049 | $— | $553,246,321 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 27,941 | $ — | $— | $ 27,941 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Forward Foreign Currency Contracts | $ — | $ 103,913 | $— | $ 103,913 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Industry Allocation* | |
Software | 14.6% |
Retail | 8.4 |
Healthcare-Products | 7.0 |
Commercial Services | 6.1 |
Electronics | 4.4 |
Internet | 4.1 |
Pharmaceuticals | 3.1 |
Semiconductors | 3.0 |
Unaffiliated Investment Companies | 3.0 |
Computers | 3.0 |
Oil & Gas | 2.9 |
Distribution/Wholesale | 2.8 |
Telecommunications | 2.3 |
Biotechnology | 2.3 |
Diversified Financial Services | 2.1 |
Building Materials | 1.9 |
Healthcare-Services | 1.9 |
Energy-Alternate Sources | 1.8 |
Chemicals | 1.8 |
Lodging | 1.7 |
Food | 1.5 |
Entertainment | 1.5 |
Machinery-Diversified | 1.5 |
Pipelines | 1.3 |
REITS | 1.3 |
Transportation | 1.1 |
Repurchase Agreements | 1.0 |
Insurance | 0.9 |
Aerospace/Defense | 0.9 |
Media | 0.9 |
Home Builders | 0.9 |
Apparel | 0.9 |
Advertising | 0.8 |
Beverages | 0.8 |
Engineering & Construction | 0.8 |
Electrical Components & Equipment | 0.7 |
Private Equity | 0.6 |
Miscellaneous Manufacturing | 0.5 |
Environmental Control | 0.5 |
Household Products/Wares | 0.5 |
Auto Parts & Equipment | 0.4 |
Airlines | 0.4 |
Packaging & Containers | 0.4 |
Food Service | 0.3 |
Oil & Gas Services | 0.3 |
Metal Fabricate/Hardware | 0.2 |
Office/Business Equipment | 0.1 |
Leisure Time | 0.1 |
Electric | 0.1 |
Hand/Machine Tools | 0.1 |
Real Estate | 0.1 |
Auto Manufacturers | 0.1 |
Computer Data Security | 0.1 |
Short-Term Investments | 0.1 |
Machinery-Construction & Mining | 0.1 |
Iron/Steel | 0.1 |
Toys/Games/Hobbies | 0.1 |
Shipbuilding | 0.1 |
Agriculture | 0.1 |
Banks | 0.1 |
100.5% |
* | Calculated as a percentage of net assets |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
1 | Long | S&P Mid Cap 400 E-Mini Index | June 2023 | $246,992 | $252,970 | $5,978 |
* | 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. |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Computer Data Security | $ — | $ — | $ 49,092 | $ 49,092 | |||
Computer Graphics | — | — | 22,624 | 22,624 | |||
Enterprise Software / Services | — | — | 6,882 | 6,882 | |||
Oil & Gas | 3,803,614 | — | 770,778 | 4,574,392 | |||
Packaging & Containers | 608,937 | 2,958 | — | 611,895 | |||
Software | 22,656,518 | — | 132,547 | 22,789,065 | |||
Other Industries | 124,973,166 | — | — | 124,973,166 | |||
Convertible Preferred Stocks | — | — | 737,377 | 737,377 | |||
Unaffiliated Investment Companies | 4,841,612 | — | — | 4,841,612 | |||
Warrants | — | — | 0 | 0 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 43,937 | — | 43,937 | |||
Other Short-Term Investments | 83,890 | — | — | 83,890 | |||
Repurchase Agreements | — | 1,629,273 | — | 1,629,273 | |||
Total Investments at Value | $156,967,737 | $1,676,168 | $1,719,300 | $160,363,205 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 5,978 | $ — | $ — | $ 5,978 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Common Stocks | Convertible
Preferred Securities |
Warrants | |||
Balance as of March 31, 2022 | $531,823 | $1,011,669 | $0 | ||
Accrued Discounts | - | - | - | ||
Accrued Premiums | - | - | - | ||
Realized Gain | - | - | - | ||
Realized Loss | - | - | - | ||
Change in unrealized appreciation (1) | 512,751 | 31,149 | - | ||
Change in unrealized depreciation (1) | (62,651) | (305,441) | - | ||
Net Purchases | - | - | - | ||
Net Sales | - | - | - | ||
Transfers into Level 3 | - | - | - | ||
Transfers out of Level 3 | - | - | - | ||
Balance as of March 31, 2023 | $981,923 | $ 737,377 | $0 |
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2023 includes: |
Common Stocks | Convertible
Preferred Securities |
Warrants | |||
$450,100 | $(274,292) | $— |
Description | Fair
Value at March 31, 2023 |
Valuation
Technique(s) |
Unobservable
Input (1) |
Range
(weighted average) |
Common Stocks | $49,092 | Market Approach | Transaction Price* | $11.4861 |
$124,020 | Market Approach | Pending Secondary Transaction Price* | $60.0000 | |
$22,624 | Market Approach | Primary Transaction Price* | $1,704.1800 | |
Sales Multiple* | 9.2x | |||
Gross Profit Multiple* | 11.7x | |||
Discount for Lack of Marketability | 10.0% | |||
$6,882 | Market Approach | Primary Transaction Price* | $16.0700 | |
Sales Multiple* | 14.3x | |||
Gross Profit Multiple* | 18.4x | |||
Discount for Lack of Marketability | 10.0% | |||
$8,423 | Market Approach | Sales Multiple* | 5.6x | |
Gross Profit Multiple* | 6.6x | |||
Billings Multiple* | 5.4x | |||
Discount for Lack of Marketability | 10.0% | |||
$770,778 | Market Approach | EBITDA Multiple* | 9.45x | |
Discount for Lack of Marketability | 10.0% | |||
$104 | Market Approach & | Transaction Price* | $19.20 | |
Cost Approach | Tangible Book Value* | $0.00 | ||
Convertible Preferred Securities | $82,286 | Market Approach | Transaction Price* | $11.4861 |
$397,080 | Market Approach | Pending Secondary Transaction Price* | $60.0000 | |
$1,104 | Market Approach | Primary Transaction Price* | $1,704.1800 | |
Sales Multiple* | 9.2x | |||
Gross Profit Multiple* | 11.7x | |||
Discount for Lack of Marketability | 10.0% | |||
$70,544 | Market Approach | Primary Transaction Price* | $64.4231 | |
Sales Multiple* | 2.7x | |||
Gross Merchandise Volume Multiple* | 0.5x | |||
Discount for Lack of Marketability | 10.0% | |||
$31,266 | Market Approach | Primary Transaction Price* | $16.0700 | |
Sales Multiple* | 14.3x | |||
Gross Profit Multiple* | 18.4x | |||
Discount for Lack of Marketability | 10.0% | |||
$143,850 | Market Approach | Sales Multiple* | 5.6x | |
Gross Profit Multiple* | 6.6x | |||
Billings Multiple* | 5.4x | |||
Discount for Lack of Marketability | 10.0% | |||
$11,247 | Market Approach | Sales Multiple* | 3.9x | |
Gross Profit Multiple* | 4.9x | |||
Discount for Lack of Marketability | 10.0% | |||
$0 | Income | Estimated Future Cash Distribution* | $0.00 | |
Warrants | $0 | Income | Estimated Future Cash Distribution* | $0.00 |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
1 | Long | S&P Mid Cap 400 E-Mini Index | June 2023 | $246,992 | $252,970 | $5,978 |
* | 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. |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Aerospace/Defense | $ 2,365,919 | $ 687,490 | $— | $ 3,053,409 | |||
Commercial Services | 5,609,207 | 437,638 | — | 6,046,845 | |||
Food Service | 564,960 | 705,765 | — | 1,270,725 | |||
Healthcare-Products | 6,365,799 | 736,770 | — | 7,102,569 | |||
Healthcare-Services | 5,309,966 | 228,431 | — | 5,538,397 | |||
Household Products/Wares | 972,933 | 312,738 | — | 1,285,671 | |||
Mining | 1,625,728 | 305,816 | — | 1,931,544 | |||
Miscellaneous Manufacturing | 3,429,280 | 480,381 | — | 3,909,661 | |||
Packaging & Containers | 3,909,024 | 6,212 | — | 3,915,236 | |||
Other Industries | 159,241,967 | — | — | 159,241,967 | |||
Unaffiliated Investment Companies | 1,814,958 | — | — | 1,814,958 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 48,819 | — | 48,819 | |||
Other Short-Term Investments | 3,347,229 | — | — | 3,347,229 | |||
Repurchase Agreements | — | 971,772 | — | 971,772 | |||
Total Investments at Value | $194,556,970 | $4,921,832 | $— | $199,478,802 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 5,978 | $ — | $— | $ 5,978 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
14 | Long | E-Mini Russell 2000 Index | June 2023 | $1,244,639 | $1,269,450 | $24,811 |
* | 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. |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $ 6,221,626 | $ — | $ 0 | $ 6,221,626 | |||
Other Industries | 167,003,403 | — | — | 167,003,403 | |||
Unaffiliated Investment Companies | 1,611,119 | — | — | 1,611,119 | |||
Warrants | 4,968 | — | — | 4,968 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 68,347 | — | 68,347 | |||
Other Short-Term Investments | 2,009,282 | — | — | 2,009,282 | |||
Total Investments at Value | $176,850,398 | $68,347 | $ 0 | $176,918,745 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 24,811 | $ — | $— | $ 24,811 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
47 | Long | MSCI EAFE Index | June 2023 | $4,591,981 | $4,926,775 | $334,794 |
* | 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. |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Brazil | $ 455,104 | $ — | $— | $ 455,104 | |||
Canada | 5,495,760 | — | — | 5,495,760 | |||
Cayman Islands | 510,294 | 1,667,323 | — | 2,177,617 | |||
India | 1,023,051 | 505,717 | — | 1,528,768 | |||
Ireland | 742,870 | 1,300,045 | — | 2,042,915 | |||
Israel | 1,010,746 | 440,724 | — | 1,451,470 | |||
Netherlands | 956,642 | 15,751,244 | — | 16,707,886 | |||
Spain | 31,379 | 6,816,747 | — | 6,848,126 | |||
Switzerland | 716,110 | 28,294,058 | — | 29,010,168 | |||
United Kingdom | 3,159,368 | 44,587,874 | — | 47,747,242 | |||
United States | 3,937,137 | 474,801 | — | 4,411,938 | |||
Other Countries | — | 186,983,733 | — | 186,983,733 | |||
Warrants | 10,249 | — | — | 10,249 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 269,741 | — | 269,741 | |||
Other Short-Term Investments | 440,023 | — | — | 440,023 | |||
Repurchase Agreements | — | 3,751,489 | — | 3,751,489 | |||
Total Investments at Value | $18,488,733 | $290,843,496 | $— | $309,332,229 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 334,794 | $ — | $— | $ 334,794 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Interest Rate Swaps | ||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Notional
amount |
Currency | Payments
made |
Payments
received |
Fixed
payment frequency |
Floating
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value | ||
Centrally Cleared | 830,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 9,674 | $ (33) | $ 9,641 | ||
Centrally Cleared | 3,170,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 8,097 | (26,932) | (18,835) | ||
Centrally Cleared | 1,380,000 | USD | Fixed 3.250 | 12-Month SOFR | Annual | Annual | Jun 2053 | (15,224) | (75,752) | (90,976) | ||
$ 2,547 | $(102,717) | $(100,170) |
Credit Default Swaps - Buyer(1) | |||||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Reference
obligation |
Notional
amount(2) |
Currency | USD
notional amount(2) |
Pay
fixed rate |
Fixed
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value(3) | |||||
Centrally Cleared | Federative Republic of Brazil | $1,720,000 | USD | $1,720,000 | 1.000% | Quarterly | Jun 2027 | $80,167 | $(30,159) | $50,008 |
(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) | 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. |
(3) | 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. |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
87 | Long | U.S. Treasury 5 Year Notes | June 2023 | $9,507,688 | $9,527,180 | $ 19,492 |
43 | Long | U.S. Treasury Long Bonds | June 2023 | 5,403,521 | 5,639,719 | 236,198 |
22 | Short | U.S. Treasury 10 Year Notes | June 2023 | 2,549,571 | 2,528,281 | 21,290 |
$276,980 |
Unrealized
(Depreciation) | ||||||
167 | Long | U.S. Treasury 2 Year Notes | June 2023 | $34,492,438 | $34,477,672 | $ (14,766) |
146 | Short | Canada 10 Year Bonds | June 2023 | 13,116,159 | 13,628,827 | (512,668) |
18 | Short | Euro Buxl 30 Year Bonds | June 2023 | 2,563,259 | 2,749,728 | (186,469) |
55 | Short | Euro-BUND | June 2023 | 7,792,658 | 8,102,516 | (309,858) |
133 | Short | U.S. Treasury Ultra 10 Year Notes | June 2023 | 15,595,101 | 16,111,703 | (516,602) |
51 | Short | U.S. Treasury Ultra Bonds | June 2023 | 6,998,513 | 7,197,375 | (198,862) |
$(1,739,225) | ||||||
Net Unrealized Appreciation (Depreciation) | $(1,462,245) |
* | 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) | |||
Deutsche Bank AG | EUR | 7,094,000 | USD | 7,619,431 | 06/21/2023 | $ — | $ (107,800) | |
Goldman Sachs International | BRL | 9,135,000 | USD | 1,743,277 | 06/21/2023 | — | (33,525) | |
State Street Bank & Trust Company | USD | 415,463 | EUR | 387,000 | 06/21/2023 | 6,082 | — | |
Unrealized Appreciation (Depreciation) | $ 6,082 | $ (141,325) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $ — | $230,489,533 | $ — | $230,489,533 | |||
Loans | — | 42,030 | — | 42,030 | |||
Asset Backed Securities | — | 44,866,070 | — | 44,866,070 | |||
Collateralized Mortgage Obligations | — | 69,516,349 | — | 69,516,349 | |||
U.S. Government & Agency Obligations | — | 547,864,741 | — | 547,864,741 | |||
Foreign Government Obligations | — | 12,053,469 | — | 12,053,469 | |||
Municipal Securities | — | 3,878,857 | — | 3,878,857 | |||
Common Stocks: | |||||||
Oil Companies - Exploration & Production | — | — | 24,694 | 24,694 | |||
Other Industries | — | 14,948 | — | 14,948 | |||
Escrows and Litigation Trusts | — | — | 0 | 0 | |||
Short-Term Investments | 2,064,755 | — | — | 2,064,755 | |||
Repurchase Agreements | — | 13,770,000 | — | 13,770,000 | |||
Total Investments at Value | $2,064,755 | $922,495,997 | $24,694 | $924,585,446 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 276,980 | $ — | $ — | $ 276,980 | |||
Forward Foreign Currency Contracts | — | 6,082 | — | 6,082 | |||
Total Other Financial Instruments | $ 276,980 | $ 6,082 | $ — | $ 283,062 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 132,876 | $ — | $ 132,876 | |||
Futures Contracts | 1,739,225 | — | — | 1,739,225 | |||
Forward Foreign Currency Contracts | — | 141,325 | — | 141,325 | |||
Total Other Financial Instruments | $1,739,225 | $ 274,201 | $ — | $ 2,013,426 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Industry Allocation* | |
U.S. Government & Agency Obligations | 68.9% |
Short-Term Investments | 9.2 |
Other Asset Backed Securities | 7.3 |
Collateralized Mortgage Obligations | 6.5 |
Banks | 4.0 |
Auto Manufacturers | 0.8 |
Healthcare-Products | 0.6 |
Oil & Gas | 0.6 |
Machinery-Construction & Mining | 0.4 |
Diversified Financial Services | 0.3 |
Healthcare-Services | 0.3 |
Pharmaceuticals | 0.2 |
Internet | 0.1 |
Electric | 0.1 |
99.3% |
Credit Quality†# | |
Aaa | 75.0% |
Aa | 2.5 |
A | 6.6 |
Baa | 2.4 |
Not Rated@ | 13.5 |
100.0 |
| |
* | Calculated as a percentage of net assets |
† | Source: Moody's |
# | Calculated as a percentage of total debt issues, excluding short-term securities. |
@ | Represents debt issues that either have no rating, or the rating is unavailable from the data source. |
Interest Rate Swaps | ||||||||||
Counterparty
(OTC)/ Centrally cleared |
Notional
amount |
Currency | Payments
made |
Payments
received |
Fixed
payment frequency |
Floating
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value |
Centrally Cleared | 10,000,000 | USD | Fixed 3.445% | 12-Month USA CPI | Maturity | Maturity | Apr 2027 | $ 452 | $ (78,562) | $ (78,110) |
Centrally Cleared | 50,000,000 | USD | Fixed 3.537 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 637 | (408,383) | (407,746) |
Centrally Cleared | 50,000,000 | USD | Fixed 3.540 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 637 | (414,648) | (414,011) |
Centrally Cleared | 25,000,000 | USD | Fixed 3.710 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 521 | (465,446) | (464,925) |
Centrally Cleared | 10,000,000 | USD | Fixed 3.060 | 12-Month USA CPI | Maturity | Maturity | Mar 2032 | 545 | (77,176) | (76,631) |
Centrally Cleared | 20,000,000 | USD | Fixed 3.040 | 12-Month USA CPI | Maturity | Maturity | Mar 2032 | 642 | (102,430) | (101,788) |
Centrally Cleared | 25,000,000 | USD | Fixed 3.990 | 12-Month USA CPI | Maturity | Maturity | Jun 2024 | 365 | (139,053) | (138,688) |
Centrally Cleared | 13,550,000 | USD | Fixed 2.900 | 12-Month USA CPI | Maturity | Maturity | Oct 2023 | 274 | 90,415 | 90,689 |
Centrally Cleared | 10,000,000 | USD | Fixed 2.875 | 12-Month USA CPI | Maturity | Maturity | Dec 2023 | 345 | 64,290 | 64,635 |
Centrally Cleared | 20,000,000 | USD | Fixed 2.310 | 12-Month USA CPI | Maturity | Maturity | Jan 2026 | 527 | 178,849 | 179,376 |
Centrally Cleared | 12,500,000 | USD | Fixed 2.415 | 12-Month USA CPI | Maturity | Maturity | Feb 2028 | 558 | 127,940 | 128,498 |
Interest Rate Swaps — (continued) | ||||||||||||
Counterparty
(OTC)/ Centrally cleared |
Notional
amount |
Currency | Payments
made |
Payments
received |
Fixed
payment frequency |
Floating
payment frequency |
Maturity
date |
Upfront
payment paid (received) |
Unrealized
appreciation (depreciation) |
Value | ||
Centrally Cleared | 10,000,000 | USD | Fixed 2.438% | 12-Month USA CPI | Maturity | Maturity | Feb 2030 | $ 568 | $ 126,309 | $ 126,877 | ||
Centrally Cleared | 3,800,000 | USD | Fixed 2.619 | 12-Month USA CPI | Maturity | Maturity | Mar 2033 | 536 | 2,842 | 3,378 | ||
$6,607 | $(1,095,053) | $(1,088,446) |
CPI—Consumer Price Index |
USD—United States Dollar |
Number
of Contracts |
Type | Description | Expiration
Month |
Notional
Basis* |
Notional
Value* |
Unrealized
Appreciation |
73 | Long | U.S. Treasury 10 Year Notes | June 2023 | $ 8,149,480 | $ 8,389,297 | $ 239,817 |
352 | Long | U.S. Treasury 2 Year Notes | June 2023 | 71,920,437 | 72,671,500 | 751,063 |
280 | Long | U.S. Treasury 5 Year Notes | June 2023 | 29,962,984 | 30,662,187 | 699,203 |
123 | Long | U.S. Treasury Ultra 10 Year Notes | June 2023 | 14,399,886 | 14,900,297 | 500,411 |
3 | Long | U.S. Treasury Ultra Bonds | June 2023 | 405,462 | 423,376 | 17,914 |
$2,208,408 |
* | 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. |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $ — | $ 47,377,678 | $— | $ 47,377,678 | |||
Asset Backed Securities | — | 46,294,298 | — | 46,294,298 | |||
Collateralized Mortgage Obligations | — | 41,246,804 | — | 41,246,804 | |||
U.S. Government & Agency Obligations | — | 439,442,361 | — | 439,442,361 | |||
Short-Term Investments | 58,841,854 | — | — | 58,841,854 | |||
Total Investments at Value | $58,841,854 | $574,361,141 | $— | $633,202,995 | |||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 590,645 | $— | $ 590,645 | |||
Futures Contracts | 2,208,408 | — | — | 2,208,408 | |||
Total Other Financial Instruments | $ 2,208,408 | $ 590,645 | $— | $ 2,799,053 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $ — | $ 1,685,698 | $— | $ 1,685,698 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Industry Allocation* | |
Banks | 12.5% |
Telecommunications | 11.4 |
Electric | 10.0 |
Mining | 6.8 |
Semiconductors | 6.5 |
Pharmaceuticals | 5.9 |
Oil & Gas | 5.4 |
Healthcare-Services | 4.7 |
Retail | 3.6 |
Chemicals | 3.4 |
Agriculture | 3.1 |
Oil & Gas Services | 2.9 |
Aerospace/Defense | 2.8 |
Insurance | 2.8 |
Pipelines | 2.8 |
Airlines | 2.7 |
Software | 2.6 |
Repurchase Agreements | 2.5 |
Transportation | 2.5 |
Internet | 2.2 |
Healthcare-Products | 1.5 |
Machinery-Construction & Mining | 1.4 |
100.0% |
* | Calculated as a percentage of net assets |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $326,186,582 | $ — | $— | $326,186,582 | |||
Preferred Stocks | 483,791 | — | — | 483,791 | |||
Repurchase Agreements | — | 8,569,287 | — | 8,569,287 | |||
Total Investments at Value | $326,670,373 | $8,569,287 | $— | $335,239,660 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Industry Allocation* | |
Domestic Equity Investment Companies | 57.5% |
International Equity Investment Companies | 22.3 |
Domestic Fixed Income Investment Companies | 20.2 |
100.0% |
* | Calculated as a percentage of net assets |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $396,153,043 | $— | $— | $396,153,043 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Industry Allocation* | |
Domestic Equity Investment Companies | 47.7% |
Domestic Fixed Income Investment Companies | 35.2 |
International Equity Investment Companies | 17.1 |
100.0% |
* | Calculated as a percentage of net assets |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $466,138,667 | $— | $— | $466,138,667 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Industry Allocation* | |
Domestic Fixed Income Investment Companies | 45.4% |
Domestic Equity Investment Companies | 41.8 |
International Equity Investment Companies | 12.9 |
100.1% |
* | Calculated as a percentage of net assets |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $273,411,014 | $— | $— | $273,411,014 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Industry Allocation* | |
Domestic Fixed Income Investment Companies | 60.4% |
Domestic Equity Investment Companies | 30.7 |
International Equity Investment Companies | 9.0 |
100.1% |
* | Calculated as a percentage of net assets |
Level
1 - Unadjusted Quoted Prices |
Level
2 - Other Observable Inputs |
Level
3 - Significant Unobservable Inputs |
Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $238,011,036 | $— | $— | $238,011,036 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2023
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)* |
$ | 36,349,494 | $ | 63,721,434 | $ | 42,686,605 | $ | 34,841,292 | $ | 186,153,956 | ||||||||||
Investments at value (affiliated)* |
| | | | | |||||||||||||||
Repurchase agreements (cost approximates value) |
585,000 | 1,000,000 | 780,000 | 785,000 | 6,000,000 | |||||||||||||||
Cash |
429,616 | 603,224 | 195,719 | 42,993 | | |||||||||||||||
Foreign cash* |
1,974 | 1,538 | 2,232 | 1,590 | 52,450 | |||||||||||||||
Cash collateral for futures contracts |
52,805 | 65,273 | | | | |||||||||||||||
Cash collateral for centrally cleared swap contracts |
| | | | | |||||||||||||||
Due from broker |
| | | | | |||||||||||||||
Receivable for: |
||||||||||||||||||||
Fund shares sold |
| | | | | |||||||||||||||
Dividends and interest |
62,234 | 165,486 | 168,750 | 162,416 | 583,970 | |||||||||||||||
Investments sold |
36,145 | 92,288 | 61,031 | 65,105 | 237,363 | |||||||||||||||
Investments sold on an extended settlement basis |
| | | | 6,259,241 | |||||||||||||||
Receipts on swap contracts |
1,590 | | 750 | 575 | | |||||||||||||||
Prepaid expenses and other assets |
1,757 | 1,886 | 1,564 | 1,535 | 3,054 | |||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers |
15,488 | 16,673 | 13,589 | 13,328 | 22,608 | |||||||||||||||
Variation margin on futures contracts |
5,980 | 13,840 | 10,297 | 9,102 | 48,512 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts |
74 | 2,543 | 2,543 | 2,637 | 40,565 | |||||||||||||||
Swap premiums paid |
2,281 | 5,890 | 6,474 | 5,716 | | |||||||||||||||
Unrealized appreciation on swap contracts |
28,623 | 14 | 18 | 100 | 1,508 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total assets |
37,573,061 | 65,690,089 | 43,929,572 | 35,931,389 | 199,403,227 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
LIABILITIES: |
||||||||||||||||||||
Payable for: |
||||||||||||||||||||
Fund shares redeemed |
199,136 | 60,553 | 87,294 | 17,450 | 1,286,919 | |||||||||||||||
Investments purchased |
343,185 | 425,687 | 130,577 | 3,847 | 162,585 | |||||||||||||||
Investments purchased on an extended settlement basis |
2,133,962 | 6,829,725 | 7,177,850 | 7,273,220 | 15,122,333 | |||||||||||||||
Payments on swap contracts |
629 | 31 | 505 | 398 | 282 | |||||||||||||||
Investment advisory and management fees |
25,592 | 40,881 | 24,494 | 18,355 | 128,112 | |||||||||||||||
Service fees Class 2 |
1,723 | 3,578 | 2,419 | 2,031 | 4,373 | |||||||||||||||
Service fees Class 3 |
2,773 | 4,720 | 2,610 | 1,957 | 28,312 | |||||||||||||||
Transfer agent fees and expenses |
101 | 101 | 101 | 127 | 532 | |||||||||||||||
Trustees fees and expenses |
239 | 409 | 246 | 194 | 1,113 | |||||||||||||||
Other accrued expenses |
111,389 | 120,390 | 108,343 | 107,670 | 158,866 | |||||||||||||||
Accrued foreign tax on capital gains |
| | | | 1,478 | |||||||||||||||
Line of credit |
| | | | 175,000 | |||||||||||||||
Variation margin on futures contracts |
4,321 | 17,741 | 15,335 | 20,414 | 236,775 | |||||||||||||||
Due to custodian |
| | | | 96,092 | |||||||||||||||
Due to custodian for foreign cash |
| | | | | |||||||||||||||
Due to broker |
62,175 | 46,116 | 17,703 | 7,187 | 15 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts |
1,723 | 11,342 | 11,105 | 12,356 | 70,823 | |||||||||||||||
Swap premiums received |
626 | | | | | |||||||||||||||
Unrealized depreciation on swap contracts |
1,371 | 3,224 | 3,817 | 3,165 | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liabilities |
2,888,945 | 7,564,498 | 7,582,399 | 7,468,371 | 17,473,610 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS |
$ | 34,684,116 | $ | 58,125,591 | $ | 36,347,173 | $ | 28,463,018 | $ | 181,929,617 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
* Cost |
||||||||||||||||||||
Investments (unaffiliated) |
$ | 38,977,620 | $ | 67,522,964 | $ | 45,917,714 | $ | 37,386,612 | $ | 173,479,124 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments (affiliated) |
$ | | $ | | $ | | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Foreign cash |
$ | 1,705 | $ | 905 | $ | 1,213 | $ | 490 | $ | 52,457 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
212 |
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2023
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 |
$ | 45,622,848 | $ | 74,471,472 | $ | 47,105,447 | $ | 35,231,954 | $ | 174,528,727 | ||||||||||
Total accumulated earnings (loss) |
(10,938,732 | ) | (16,345,881 | ) | (10,758,274 | ) | (6,768,936 | ) | 7,400,890 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS |
$ | 34,684,116 | $ | 58,125,591 | $ | 36,347,173 | $ | 28,463,018 | $ | 181,929,617 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 1 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 7,458,226 | $ | 6,499,959 | $ | 4,452,779 | $ | 2,987,339 | $ | 10,266,310 | ||||||||||
Shares of beneficial interest issued and outstanding |
836,770 | 812,852 | 592,875 | 356,682 | 951,194 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 8.91 | $ | 8.00 | $ | 7.51 | $ | 8.38 | $ | 10.79 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 2 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 13,950,320 | $ | 28,876,479 | $ | 19,375,059 | $ | 16,078,871 | $ | 35,792,147 | ||||||||||
Shares of beneficial interest issued and outstanding |
1,576,978 | 3,626,586 | 2,581,120 | 1,921,143 | 3,313,064 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 8.85 | $ | 7.96 | $ | 7.51 | $ | 8.37 | $ | 10.80 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 3 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 13,275,570 | $ | 22,749,153 | $ | 12,519,335 | $ | 9,396,808 | $ | 135,871,160 | ||||||||||
Shares of beneficial interest issued and outstanding |
1,513,161 | 2,866,638 | 1,665,896 | 1,121,823 | 12,656,015 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 8.77 | $ | 7.94 | $ | 7.52 | $ | 8.38 | $ | 10.74 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
213 |
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2023
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)* |
$ | 273,222,494 | $ | 363,864,898 | $ | 549,794,412 | $ | 158,733,932 | $ | 198,507,030 | ||||||||||
Investments at value (affiliated)* |
| | 430,377 | | | |||||||||||||||
Repurchase agreements (cost approximates value) |
| 265,334 | 3,021,532 | 1,629,273 | 971,772 | |||||||||||||||
Cash |
15 | 4,230,007 | 2,157,826 | 3,863 | 57,771 | |||||||||||||||
Foreign cash* |
26 | 1,536 | 10 | 1 | 109,224 | |||||||||||||||
Cash collateral for futures contracts |
| 1 | 25 | | | |||||||||||||||
Cash collateral for centrally cleared swap contracts |
| | | | | |||||||||||||||
Due from broker |
| | | | | |||||||||||||||
Receivable for: |
||||||||||||||||||||
Fund shares sold |
40,920 | 281,326 | 604,997 | 127,875 | 224,357 | |||||||||||||||
Dividends and interest |
48,852 | 100,006 | 933,634 | 45,114 | 338,824 | |||||||||||||||
Investments sold |
356,624 | | 789,724 | 253,272 | 219,930 | |||||||||||||||
Investments sold on an extended settlement basis |
| | | | | |||||||||||||||
Receipts on swap contracts |
| | | | | |||||||||||||||
Prepaid expenses and other assets |
2,595 | 2,828 | 3,651 | 2,020 | 2,101 | |||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers |
| 21,966 | | | | |||||||||||||||
Variation margin on futures contracts |
| 5,775 | 8,663 | 4,450 | 4,450 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts |
| | | | | |||||||||||||||
Swap premiums paid |
| | | | | |||||||||||||||
Unrealized appreciation on swap contracts |
| | | | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total assets |
273,671,526 | 368,773,677 | 557,744,851 | 160,799,800 | 200,435,459 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
LIABILITIES: |
||||||||||||||||||||
Payable for: |
||||||||||||||||||||
Fund shares redeemed |
531,580 | 716,648 | 624,414 | 190,794 | 230,521 | |||||||||||||||
Investments purchased |
204,586 | | 811,874 | 807,480 | 469,058 | |||||||||||||||
Investments purchased on an extended settlement basis |
| | | | 56,184 | |||||||||||||||
Payments on swap contracts |
| | | | | |||||||||||||||
Investment advisory and management fees |
195,678 | 236,458 | 356,682 | 112,427 | 143,169 | |||||||||||||||
Service fees Class 2 |
3,641 | 3,105 | 2,515 | 2,335 | 2,350 | |||||||||||||||
Service fees Class 3 |
4,722 | 2,875 | 1,902 | 2,402 | 2,195 | |||||||||||||||
Transfer agent fees and expenses |
583 | 304 | 279 | 380 | 372 | |||||||||||||||
Trustees fees and expenses |
2,061 | 2,483 | 3,978 | 1,007 | 1,254 | |||||||||||||||
Other accrued expenses |
87,577 | 104,553 | 136,841 | 93,298 | 106,789 | |||||||||||||||
Accrued foreign tax on capital gains |
| | | | | |||||||||||||||
Line of credit |
| | | | | |||||||||||||||
Variation margin on futures contracts |
| | | | | |||||||||||||||
Due to custodian |
| | | | | |||||||||||||||
Due to custodian for foreign cash |
| | | | | |||||||||||||||
Due to broker |
| 220,000 | | 5 | 22 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts |
| | 103,913 | | | |||||||||||||||
Swap premiums received |
| | | | | |||||||||||||||
Unrealized depreciation on swap contracts |
| | | | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liabilities |
1,030,428 | 1,286,426 | 2,042,398 | 1,210,128 | 1,011,914 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS |
$ | 272,641,098 | $ | 367,487,251 | $ | 555,702,453 | $ | 159,589,672 | $ | 199,423,545 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
* Cost |
||||||||||||||||||||
Investments (unaffiliated) |
$ | 228,520,436 | $ | 320,296,192 | $ | 525,357,629 | $ | 147,707,081 | $ | 173,722,035 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments (affiliated) |
$ | | $ | | $ | 471,098 | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Foreign cash |
$ | 26 | $ | 1,557 | $ | 10 | $ | 1 | $ | 109,174 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
214 |
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2023
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 |
$ | 219,503,528 | $ | 327,602,544 | $ | 460,309,886 | $ | 161,834,798 | $ | 160,208,833 | ||||||||||
Total accumulated earnings (loss) |
53,137,570 | 39,884,707 | 95,392,567 | (2,245,126 | ) | 39,214,712 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS |
$ | 272,641,098 | $ | 367,487,251 | $ | 555,702,453 | $ | 159,589,672 | $ | 199,423,545 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 1 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 221,587,672 | $ | 328,009,882 | $ | 526,294,669 | $ | 129,175,696 | $ | 170,287,770 | ||||||||||
Shares of beneficial interest issued and outstanding |
13,577,608 | 33,892,021 | 38,277,049 | 11,808,050 | 10,927,307 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 16.32 | $ | 9.68 | $ | 13.75 | $ | 10.94 | $ | 15.58 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 2 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 28,749,122 | $ | 25,436,992 | $ | 20,211,939 | $ | 18,824,848 | $ | 18,645,730 | ||||||||||
Shares of beneficial interest issued and outstanding |
1,902,918 | 2,772,036 | 1,471,737 | 1,976,013 | 1,200,981 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 15.11 | $ | 9.18 | $ | 13.73 | $ | 9.53 | $ | 15.53 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 3 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 22,304,304 | $ | 14,040,377 | $ | 9,195,845 | $ | 11,589,128 | $ | 10,490,045 | ||||||||||
Shares of beneficial interest issued and outstanding |
1,552,054 | 1,573,088 | 669,178 | 1,327,356 | 677,158 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 14.37 | $ | 8.93 | $ | 13.74 | $ | 8.73 | $ | 15.49 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
215 |
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2023
SA Multi- Managed Small Cap Portfolio |
SA Multi- Managed International Equity Portfolio |
SA Multi- Managed Diversified Fixed Income Portfolio |
SA American Century Inflation Protection Portfolio |
SA Columbia Focused Value Portfolio |
||||||||||||||||
ASSETS: |
||||||||||||||||||||
Investments at value (unaffiliated)* |
$ | 176,918,745 | $ | 305,580,740 | $ | 910,815,446 | $ | 633,202,995 | $ | 326,670,373 | ||||||||||
Investments at value (affiliated)* |
| | | | | |||||||||||||||
Repurchase agreements (cost approximates value) |
| 3,751,489 | 13,770,000 | | 8,569,287 | |||||||||||||||
Cash |
1,469,754 | 393,186 | 560,354 | 255 | 2 | |||||||||||||||
Foreign cash* |
| 444,606 | 50,432 | | | |||||||||||||||
Cash collateral for futures contracts |
108,253 | 46 | | 1 | | |||||||||||||||
Cash collateral for centrally cleared swap contracts |
| | | 1,160,283 | | |||||||||||||||
Due from broker |
| | | | | |||||||||||||||
Receivable for: |
||||||||||||||||||||
Fund shares sold |
278,346 | 173,910 | 429,737 | 2,920,080 | 371,761 | |||||||||||||||
Dividends and interest |
192,837 | 2,480,559 | 4,975,874 | 2,425,950 | 269,963 | |||||||||||||||
Investments sold |
445,538 | 424,373 | 5,761,813 | | | |||||||||||||||
Investments sold on an extended settlement basis |
| | 31,233 | 1,089 | | |||||||||||||||
Receipts on swap contracts |
| | | | | |||||||||||||||
Prepaid expenses and other assets |
3,427 | 2,552 | 4,378 | 3,532 | 3,542 | |||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers |
| 10,328 | | 31,954 | 89,886 | |||||||||||||||
Variation margin on futures contracts |
23,380 | 20,680 | 86,196 | 201,592 | | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts |
| | 6,082 | | | |||||||||||||||
Swap premiums paid |
| | 97,938 | 6,607 | | |||||||||||||||
Unrealized appreciation on swap contracts |
| | | 590,645 | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total assets |
179,440,280 | 313,282,469 | 936,589,483 | 640,544,983 | 335,974,814 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
LIABILITIES: |
||||||||||||||||||||
Payable for: |
||||||||||||||||||||
Fund shares redeemed |
133,689 | 536,171 | 1,223,963 | 355,671 | 439,733 | |||||||||||||||
Investments purchased |
676,821 | 304,589 | 5,118,546 | | | |||||||||||||||
Investments purchased on an extended settlement basis |
15,372 | | 153,026,635 | | | |||||||||||||||
Payments on swap contracts |
| | 514 | | | |||||||||||||||
Investment advisory and management fees |
134,028 | 242,992 | 417,228 | 314,145 | 279,566 | |||||||||||||||
Service fees Class 2 |
1,553 | 1,802 | 1,753 | | 1,528 | |||||||||||||||
Service fees Class 3 |
1,717 | 1,972 | 1,514 | 81,601 | 1,542 | |||||||||||||||
Transfer agent fees and expenses |
279 | 355 | 329 | 405 | 279 | |||||||||||||||
Trustees fees and expenses |
1,184 | 1,661 | 5,030 | 4,131 | 1,803 | |||||||||||||||
Other accrued expenses |
97,425 | 192,095 | 229,180 | 152,127 | 89,549 | |||||||||||||||
Accrued foreign tax on capital gains |
| 13,612 | | | | |||||||||||||||
Line of credit |
| | | | | |||||||||||||||
Variation margin on futures contracts |
| | 254,815 | | | |||||||||||||||
Due to custodian |
| | | | | |||||||||||||||
Due to custodian for foreign cash |
| | | | | |||||||||||||||
Due to broker |
| | 986,193 | | | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts |
| | 141,325 | | | |||||||||||||||
Swap premiums received |
| | 15,224 | | | |||||||||||||||
Unrealized depreciation on swap contracts |
| | 132,876 | 1,685,698 | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liabilities |
1,062,068 | 1,295,249 | 161,555,125 | 2,593,778 | 814,000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS |
$ | 178,378,212 | $ | 311,987,220 | $ | 775,034,358 | $ | 637,951,205 | $ | 335,160,814 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
* Cost |
||||||||||||||||||||
Investments (unaffiliated) |
$ | 168,459,251 | $ | 267,878,578 | $ | 979,588,968 | $ | 690,994,139 | $ | 255,338,289 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments (affiliated) |
$ | | $ | | $ | | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Foreign cash |
$ | | $ | 443,800 | $ | 32,839 | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
216 |
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2023
SA Multi- Managed Small Cap Portfolio |
SA Multi- Managed International Equity Portfolio |
SA Multi- Managed Diversified Fixed Income Portfolio |
SA American Century Inflation Protection Portfolio |
SA Columbia Focused Value Portfolio |
||||||||||||||||
NET ASSETS REPRESENTED BY: |
||||||||||||||||||||
Capital paid-in |
$ | 166,676,339 | $ | 272,973,479 | $ | 883,803,580 | $ | 697,062,618 | $ | 241,862,153 | ||||||||||
Total accumulated earnings (loss) |
11,701,873 | 39,013,741 | (108,769,222 | ) | (59,111,413 | ) | 93,298,661 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS |
$ | 178,378,212 | $ | 311,987,220 | $ | 775,034,358 | $ | 637,951,205 | $ | 335,160,814 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 1 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 158,047,624 | $ | 287,976,252 | $ | 753,833,365 | $ | 245,406,880 | $ | 315,609,597 | ||||||||||
Shares of beneficial interest issued and outstanding |
15,658,229 | 34,966,039 | 75,023,209 | 26,872,188 | 16,247,786 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 10.09 | $ | 8.24 | $ | 10.05 | $ | 9.13 | $ | 19.42 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 2 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 12,204,669 | $ | 14,505,017 | $ | 13,983,940 | $ | | $ | 12,153,681 | ||||||||||
Shares of beneficial interest issued and outstanding |
1,268,087 | 1,755,114 | 1,391,843 | | 623,769 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 9.62 | $ | 8.26 | $ | 10.05 | $ | | $ | 19.48 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class 3 (unlimited shares authorized): |
||||||||||||||||||||
Net assets |
$ | 8,125,919 | $ | 9,505,951 | $ | 7,217,053 | $ | 392,544,325 | $ | 7,397,536 | ||||||||||
Shares of beneficial interest issued and outstanding |
871,613 | 1,154,098 | 721,607 | 43,477,150 | 379,404 | |||||||||||||||
Net asset value, offering and redemption price per share |
$ | 9.32 | $ | 8.24 | $ | 10.00 | $ | 9.03 | $ | 19.50 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
217 |
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2023
SA Allocation Growth Portfolio |
SA Allocation Moderate Growth Portfolio |
SA Allocation Moderate Portfolio |
SA Allocation Balanced Portfolio |
|||||||||||||
ASSETS: |
||||||||||||||||
Investments at value (unaffiliated)* |
$ | | $ | | $ | | $ | | ||||||||
Investments at value (affiliated)* |
396,153,043 | 466,138,667 | 273,411,014 | 238,011,036 | ||||||||||||
Repurchase agreements (cost approximates value) |
| | | | ||||||||||||
Cash |
| | | | ||||||||||||
Foreign cash* |
| | | | ||||||||||||
Cash collateral for futures contracts |
| | | | ||||||||||||
Cash collateral for centrally cleared swap contracts |
| | | | ||||||||||||
Due from broker |
| | | | ||||||||||||
Receivable for: |
||||||||||||||||
Fund shares sold |
| 39,619 | 680 | 38,537 | ||||||||||||
Dividends and interest |
| | | | ||||||||||||
Investments sold |
1,572,163 | 993,807 | 620,323 | 267,345 | ||||||||||||
Investments sold on an extended settlement basis |
| | | | ||||||||||||
Receipts on swap contracts |
| | | | ||||||||||||
Prepaid expenses and other assets |
1,778 | 1,949 | 1,735 | 1,681 | ||||||||||||
Due from investment adviser for expense reimbursements/fee waivers |
3,290 | 3,884 | 2,285 | 1,984 | ||||||||||||
Variation margin on futures contracts |
| | | | ||||||||||||
Unrealized appreciation on forward foreign currency contracts |
| | | | ||||||||||||
Swap premiums paid |
| | | | ||||||||||||
Unrealized appreciation on swap contracts |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
397,730,274 | 467,177,926 | 274,036,037 | 238,320,583 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES: |
||||||||||||||||
Payable for: |
||||||||||||||||
Fund shares redeemed |
1,572,163 | 1,033,427 | 621,003 | 305,882 | ||||||||||||
Investments purchased |
| | | | ||||||||||||
Investments purchased on an extended settlement basis |
| | | | ||||||||||||
Payments on swap contracts |
| | | | ||||||||||||
Investment advisory and management fees |
32,896 | 38,835 | 22,846 | 19,838 | ||||||||||||
Service fees Class 2 |
| | | | ||||||||||||
Service fees Class 3 |
81,347 | 97,022 | 57,074 | 49,581 | ||||||||||||
Transfer agent fees and expenses |
177 | 177 | 177 | 177 | ||||||||||||
Trustees fees and expenses |
2,182 | 2,798 | 1,673 | 1,457 | ||||||||||||
Other accrued expenses |
73,898 | 79,233 | 65,730 | 63,127 | ||||||||||||
Accrued foreign tax on capital gains |
| | | | ||||||||||||
Line of credit |
| | | | ||||||||||||
Variation margin on futures contracts |
| | | | ||||||||||||
Due to custodian |
| | | | ||||||||||||
Due to custodian for foreign cash |
| | | | ||||||||||||
Due to broker |
| | | | ||||||||||||
Unrealized depreciation on forward foreign currency contracts |
| | | | ||||||||||||
Swap premiums received |
| | | | ||||||||||||
Unrealized depreciation on swap contracts |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
1,762,663 | 1,251,492 | 768,503 | 440,062 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 395,967,611 | $ | 465,926,434 | $ | 273,267,534 | $ | 237,880,521 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
* Cost |
||||||||||||||||
Investments (unaffiliated) |
$ | | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Investments (affiliated) |
$ | 448,471,163 | $ | 516,219,487 | $ | 306,224,806 | $ | 269,427,929 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign cash |
$ | | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
218 |
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2023
SA Allocation Growth Portfolio |
SA Allocation Moderate Growth Portfolio |
SA Allocation Moderate Portfolio |
SA Allocation Balanced Portfolio |
|||||||||||||
NET ASSETS REPRESENTED BY: |
||||||||||||||||
Capital paid-in |
$ | 407,890,214 | $ | 474,168,571 | $ | 285,614,679 | $ | 255,902,289 | ||||||||
Total accumulated earnings (loss) |
(11,922,603 | ) | (8,242,137 | ) | (12,347,145 | ) | (18,021,768 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 395,967,611 | $ | 465,926,434 | $ | 273,267,534 | $ | 237,880,521 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class 1 (unlimited shares authorized): |
||||||||||||||||
Net assets |
$ | 4,321,919 | $ | 319,237 | $ | 193,083 | $ | 69,369 | ||||||||
Shares of beneficial interest issued and outstanding |
309,550 | 33,165 | 20,280 | 7,714 | ||||||||||||
Net asset value, offering and redemption price per share |
$ | 13.96 | $ | 9.63 | $ | 9.52 | $ | 8.99 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class 2 (unlimited shares authorized): |
||||||||||||||||
Net assets |
$ | | $ | | $ | | $ | | ||||||||
Shares of beneficial interest issued and outstanding |
| | | | ||||||||||||
Net asset value, offering and redemption price per share |
$ | | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class 3 (unlimited shares authorized): |
||||||||||||||||
Net assets |
$ | 391,645,692 | $ | 465,607,197 | $ | 273,074,451 | $ | 237,811,152 | ||||||||
Shares of beneficial interest issued and outstanding |
28,249,006 | 48,534,697 | 28,784,551 | 26,426,431 | ||||||||||||
Net asset value, offering and redemption price per share |
$ | 13.86 | $ | 9.59 | $ | 9.49 | $ | 9.00 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
219 |
SEASONS SERIES TRUST
For the Year Ended March 31, 2023
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) |
$ | 139,953 | $ | 207,652 | $ | 26,138 | $ | 10,831 | $ | 2,949,473 | ||||||||||
Dividends (affiliated) |
| | | | | |||||||||||||||
Interest (unaffiliated) |
342,560 | 926,276 | 976,486 | 971,756 | 1,482,715 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total investment income* |
482,513 | 1,133,928 | 1,002,624 | 982,587 | 4,432,188 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
EXPENSES: |
||||||||||||||||||||
Investment advisory and management fees |
313,964 | 519,186 | 306,076 | 235,379 | 1,555,564 | |||||||||||||||
Service Fees: |
||||||||||||||||||||
Class 2 |
21,011 | 45,811 | 30,301 | 26,158 | 56,442 | |||||||||||||||
Class 3 |
34,183 | 59,175 | 32,222 | 24,924 | 336,604 | |||||||||||||||
Transfer agent fees and expenses |
617 | 617 | 617 | 771 | 3,240 | |||||||||||||||
Custodian and accounting fees |
100,847 | 125,718 | 87,605 | 87,847 | 168,974 | |||||||||||||||
Reports to shareholders |
4,154 | 5,794 | 4,005 | 3,155 | 12,666 | |||||||||||||||
Audit and tax fees |
63,971 | 64,005 | 61,726 | 61,733 | 76,391 | |||||||||||||||
Legal fees |
9,163 | 9,418 | 9,050 | 9,051 | 25,501 | |||||||||||||||
Trustees fees and expenses |
888 | 1,465 | 950 | 808 | 4,408 | |||||||||||||||
Interest expense |
1,194 | 904 | 804 | 820 | 2,298 | |||||||||||||||
Other expenses |
48,128 | 49,611 | 40,584 | 42,547 | 70,037 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly |
598,120 | 881,704 | 573,940 | 493,193 | 2,312,125 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) |
(101,857 | ) | (100,781 | ) | (64,589 | ) | (59,433 | ) | (274,511 | ) | ||||||||||
Fees paid indirectly (Note 5) |
(676 | ) | (980 | ) | | | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net expenses |
495,587 | 779,943 | 509,351 | 433,760 | 2,037,614 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income (loss) |
(13,074 | ) | 353,985 | 493,273 | 548,827 | 2,394,574 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: |
||||||||||||||||||||
Net realized gain (loss) on: |
||||||||||||||||||||
Investments (unaffiliated)** |
(8,077,451 | ) | (12,368,653 | ) | (7,911,491 | ) | (4,846,222 | ) | (6,054,159 | ) | ||||||||||
Investments (affiliated) |
| | | | | |||||||||||||||
Futures contracts |
320,007 | 1,050,163 | 1,055,475 | 1,172,223 | (339,792 | ) | ||||||||||||||
Forward contracts |
(1,494 | ) | 64,337 | 62,836 | 65,733 | (124,914 | ) | |||||||||||||
Swap contracts |
1,831 | 1,857 | 24,326 | 26,203 | (60,721 | ) | ||||||||||||||
Written options contracts |
| | | | 376,675 | |||||||||||||||
Net realized gain from capital gain distributions received from underlying funds (affiliated) |
| | | | | |||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities |
840 | (657 | ) | (1,561 | ) | (753 | ) | (23,339 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized gain (loss) on investments and foreign currencies |
(7,756,267 | ) | (11,252,953 | ) | (6,770,415 | ) | (3,582,816 | ) | (6,226,250 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Change in unrealized appreciation (depreciation) on: |
||||||||||||||||||||
Investments (unaffiliated) |
236,871 | 74,780 | 869,793 | (9,485 | ) | (10,855,362 | ) | |||||||||||||
Investments (affiliated) |
| | | | | |||||||||||||||
Futures contracts |
(90,287 | ) | (246,135 | ) | (235,537 | ) | (278,203 | ) | (762,472 | ) | ||||||||||
Forward contracts |
4,225 | (4,480 | ) | (3,820 | ) | (6,004 | ) | 64,873 | ||||||||||||
Swap contracts |
17,162 | (3,210 | ) | (14,370 | ) | (21,900 | ) | (3,028 | ) | |||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities |
511 | 2,141 | 2,806 | 2,656 | (710 | ) | ||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) |
| | | | 11,896 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
168,482 | (176,904 | ) | 618,872 | (312,936 | ) | (11,544,803 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies |
(7,587,785 | ) | (11,429,857 | (6,151,543 | ) | (3,895,752 | ) | (17,771,053 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (7,600,859 | ) | $ | (11,075,872 | ) | $ | (5,658,270 | ) | $ | (3,346,925 | ) | $ | (15,376,479 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
* Net of foreign withholding taxes on interest and dividends of |
$ | 2,669 | $ | 3,555 | $ | 1,585 | $ | 657 | $ | 122,490 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
** Net of foreign withholding taxes on capital gains of |
$ | | $ | | $ | | $ | | $ | 3,568 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
220 |
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS (continued)
For the Year Ended March 31, 2023
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) |
$ | 1,506,839 | $ | 2,670,119 | $ | 15,632,494 | $ | 1,208,086 | $ | 4,447,483 | ||||||||||
Dividends (affiliated) |
| | 12,072 | | | |||||||||||||||
Interest (unaffiliated) |
524 | 29,883 | 90,519 | 27,005 | 16,580 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total investment income* |
1,507,363 | 2,700,002 | 15,735,085 | 1,235,091 | 4,464,063 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
EXPENSES: |
||||||||||||||||||||
Investment advisory and management fees |
2,540,641 | 2,916,012 | 4,952,434 | 1,374,370 | 1,780,889 | |||||||||||||||
Service Fees: |
||||||||||||||||||||
Class 2 |
44,305 | 37,857 | 31,403 | 27,791 | 28,865 | |||||||||||||||
Class 3 |
56,995 | 35,099 | 24,638 | 28,661 | 28,164 | |||||||||||||||
Transfer agent fees and expenses |
3,549 | 1,851 | 1,697 | 2,314 | 2,293 | |||||||||||||||
Custodian and accounting fees |
32,886 | 49,954 | 97,319 | 33,642 | 61,382 | |||||||||||||||
Reports to shareholders |
18,937 | 24,701 | 40,568 | 10,846 | 17,890 | |||||||||||||||
Audit and tax fees |
46,820 | 49,102 | 48,539 | 48,016 | 49,699 | |||||||||||||||
Legal fees |
16,762 | 18,802 | 17,232 | 9,437 | 14,522 | |||||||||||||||
Trustees fees and expenses |
6,708 | 8,094 | 15,543 | 3,433 | 5,084 | |||||||||||||||
Interest expense |
| 3,489 | 10,940 | 284 | 258 | |||||||||||||||
Other expenses |
45,860 | 48,190 | 60,792 | 81,702 | 84,115 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly |
2,813,463 | 3,193,151 | 5,301,105 | 1,620,496 | 2,073,161 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) |
| (272,746 | ) | | | | ||||||||||||||
Fees paid indirectly (Note 5) |
| | (735 | ) | (1,025 | ) | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net expenses |
2,813,463 | 2,920,405 | 5,300,370 | 1,619,471 | 2,073,161 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income (loss) |
(1,306,100 | ) | (220,403 | ) | 10,434,715 | (384,380 | ) | 2,390,902 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: |
||||||||||||||||||||
Net realized gain (loss) on: |
||||||||||||||||||||
Investments (unaffiliated)** |
10,749,627 | (249,112 | ) | 66,562,596 | (12,331,082 | ) | 16,037,172 | |||||||||||||
Investments (affiliated) |
| | 878 | | | |||||||||||||||
Futures contracts |
| (38,761 | ) | (58,192 | ) | (15,116 | ) | (15,116 | ) | |||||||||||
Forward contracts |
| | 1,102,602 | | | |||||||||||||||
Swap contracts |
| | | | | |||||||||||||||
Written options contracts |
| | | | | |||||||||||||||
Net realized gain from capital gain distributions received from underlying funds (affiliated) |
| | | | | |||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities |
14,304 | 2,949 | (6,122 | ) | (2 | ) | (602 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized gain (loss) on investments and foreign currencies |
10,763,931 | (284,924 | ) | 67,601,762 | (12,346,200 | ) | 16,021,454 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Change in unrealized appreciation (depreciation) on: |
||||||||||||||||||||
Investments (unaffiliated) |
(86,712,332 | ) | (87,325,419 | ) | (99,125,006 | ) | (10,812,406 | ) | (36,320,431 | ) | ||||||||||
Investments (affiliated) |
| | (126,103 | ) | | | ||||||||||||||
Futures contracts |
| (9,079 | ) | (13,619 | ) | (5,148 | ) | (5,148 | ) | |||||||||||
Forward contracts |
| | (81,449 | ) | | | ||||||||||||||
Swap contracts |
| | | | | |||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities |
61 | (13 | ) | 131 | | (481 | ) | |||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) |
| | | | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
(86,712,271 | ) | (87,334,511 | ) | (99,346,046 | ) | (10,817,554 | ) | (36,326,060 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies |
(75,948,340 | ) | (87,619,435 | ) | (31,744,284 | ) | (23,163,754 | ) | (20,304,606 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (77,254,440 | ) | $ | (87,839,838 | ) | $ | (21,309,569 | ) | $ | (23,548,134 | ) | $ | (17,913,704 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
* Net of foreign withholding taxes on interest and dividends of |
$ | 22,979 | $ | 13,131 | $ | 108,543 | $ | 2,317 | $ | 31,695 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
** Net of foreign withholding taxes on capital gains of |
$ | | $ | | $ | | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
221 |
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS (continued)
For the Year Ended March 31, 2023
SA Multi- Managed Small Cap Portfolio |
SA Multi- Managed International Equity Portfolio |
SA Multi- Managed Diversified Fixed Income Portfolio |
SA American Century Inflation Protection Portfolio |
SA Columbia Focused Value Portfolio |
||||||||||||||||
INVESTMENT INCOME: |
||||||||||||||||||||
Dividends (unaffiliated) |
$ | 2,633,414 | $ | 9,328,180 | $ | 107,451 | $ | 1,382,387 | $ | 7,342,807 | ||||||||||
Dividends (affiliated) |
| | | | | |||||||||||||||
Interest (unaffiliated) |
13,778 | 21,977 | 22,278,461 | 31,280,575 | 55,045 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total investment income* |
2,647,192 | 9,350,157 | 22,385,912 | 32,662,962 | 7,397,852 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
EXPENSES: |
||||||||||||||||||||
Investment advisory and management fees |
1,669,259 | 2,875,252 | 5,107,192 | 3,810,037 | 3,169,763 | |||||||||||||||
Service Fees: |
||||||||||||||||||||
Class 2 |
19,323 | 21,025 | 22,495 | | 19,317 | |||||||||||||||
Class 3 |
21,218 | 23,828 | 19,276 | 988,448 | 20,080 | |||||||||||||||
Transfer agent fees and expenses |
1,697 | 2,160 | 2,006 | 2,468 | 1,697 | |||||||||||||||
Custodian and accounting fees |
78,111 | 172,626 | 272,477 | 84,633 | 39,885 | |||||||||||||||
Reports to shareholders |
13,595 | 19,994 | 51,418 | 98,637 | 21,306 | |||||||||||||||
Audit and tax fees |
50,200 | 89,200 | 64,932 | 60,764 | 42,239 | |||||||||||||||
Legal fees |
10,171 | 22,603 | 23,562 | 42,523 | 12,356 | |||||||||||||||
Trustees fees and expenses |
4,598 | 6,688 | 19,134 | 16,430 | 7,598 | |||||||||||||||
Interest expense |
1,058 | 2,488 | 8,728 | 11,881 | | |||||||||||||||
Other expenses |
55,158 | 67,165 | 64,288 | 57,069 | 45,586 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly |
1,924,388 | 3,303,029 | 5,655,508 | 5,172,890 | 3,379,827 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) |
| (122,233 | ) | | (388,368 | ) | (1,022,406 | ) | ||||||||||||
Fees paid indirectly (Note 5) |
(5,313 | ) | | | | (5,039 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net expenses |
1,919,075 | 3,180,796 | 5,655,508 | 4,784,522 | 2,352,382 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income (loss) |
728,117 | 6,169,361 | 16,730,404 | 27,878,440 | 5,045,470 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: |
||||||||||||||||||||
Net realized gain (loss) on: |
||||||||||||||||||||
Investments (unaffiliated)** |
5,161,475 | 2,081,573 | (47,558,471 | ) | (22,374,150 | ) | 18,494,548 | |||||||||||||
Investments (affiliated) |
| | | | | |||||||||||||||
Futures contracts |
(219,363 | ) | (588,256 | ) | 13,769,679 | (3,403,366 | ) | | ||||||||||||
Forward contracts |
| | 491,056 | | | |||||||||||||||
Swap contracts |
| | 10,007 | (82,188 | ) | | ||||||||||||||
Written options contracts |
| | | | | |||||||||||||||
Net realized gain from capital gain distributions received from underlying funds (affiliated) |
| | | | | |||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities |
| (123,739 | ) | (4,446 | ) | (31,600 | ) | | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized gain (loss) on investments and foreign currencies |
4,942,112 | 1,369,578 | (33,292,175 | ) | (25,891,304 | ) | 18,494,548 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Change in unrealized appreciation (depreciation) on: |
||||||||||||||||||||
Investments (unaffiliated) |
(26,244,914 | ) | (19,433,031 | ) | (28,279,138 | ) | (54,834,355 | ) | (45,199,479 | ) | ||||||||||
Investments (affiliated) |
| | | | | |||||||||||||||
Futures contracts |
5,836 | 390,142 | (3,212,872 | ) | 2,208,408 | | ||||||||||||||
Forward contracts |
| | 850 | | | |||||||||||||||
Swap contracts |
| | (132,876 | ) | (842,069 | ) | | |||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities |
| (15,238 | ) | 31,916 | 13,159 | | ||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) |
| (1,459 | ) | | | | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
(26,239,078 | ) | (19,059,586 | ) | (31,592,120 | ) | (53,454,857 | ) | (45,199,479 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies |
(21,296,966 | ) | (17,690,008 | ) | (64,884,295 | ) | (79,346,161 | ) | (26,704,931 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (20,568,849 | ) | $ | (11,520,647 | ) | $ | (48,153,891 | ) | $ | (51,467,721 | ) | $ | (21,659,461 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
* Net of foreign withholding taxes on interest and dividends of |
$ | 7,810 | $ | 976,942 | $ | 256 | $ | | $ | 52,376 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
** Net of foreign withholding taxes on capital gains of |
$ | | $ | 2,294 | $ | | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
222 |
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS (continued)
For the Year Ended March 31, 2023
SA Allocation Growth Portfolio |
SA Allocation Moderate Growth Portfolio |
SA Allocation Moderate Portfolio |
SA Allocation Balanced Portfolio |
|||||||||||||
INVESTMENT INCOME: |
||||||||||||||||
Dividends (unaffiliated) |
$ | | $ | | $ | | $ | | ||||||||
Dividends (affiliated) |
5,822,101 | 7,814,097 | 4,795,347 | 4,371,518 | ||||||||||||
Interest (unaffiliated) |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investment income* |
5,822,101 | 7,814,097 | 4,795,347 | 4,371,518 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
EXPENSES: |
||||||||||||||||
Investment advisory and management fees |
374,558 | 464,813 | 275,581 | 238,129 | ||||||||||||
Service Fees: |
||||||||||||||||
Class 2 |
| | | | ||||||||||||
Class 3 |
925,874 | 1,161,129 | 688,540 | 595,014 | ||||||||||||
Transfer agent fees and expenses |
1,080 | 1,080 | 1,080 | 1,080 | ||||||||||||
Custodian and accounting fees |
12,066 | 12,066 | 12,066 | 12,066 | ||||||||||||
Reports to shareholders |
25,911 | 32,703 | 19,108 | 16,721 | ||||||||||||
Audit and tax fees |
31,957 | 31,957 | 31,957 | 33,918 | ||||||||||||
Legal fees |
12,973 | 14,113 | 11,024 | 10,458 | ||||||||||||
Trustees fees and expenses |
9,306 | 11,056 | 6,617 | 5,918 | ||||||||||||
Interest expense |
| | | | ||||||||||||
Other expenses |
36,397 | 38,330 | 35,132 | 34,525 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly |
1,430,122 | 1,767,247 | 1,081,105 | 947,829 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) |
(37,452 | ) | (46,483 | ) | (27,560 | ) | (23,812 | ) | ||||||||
Fees paid indirectly (Note 5) |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net expenses |
1,392,670 | 1,720,764 | 1,053,545 | 924,017 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
4,429,431 | 6,093,333 | 3,741,802 | 3,447,501 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: |
||||||||||||||||
Net realized gain (loss) on: |
||||||||||||||||
Investments (unaffiliated)** |
| | | | ||||||||||||
Investments (affiliated) |
(1,658,122 | ) | (1,530,527 | ) | (1,289,026 | ) | (1,426,503 | ) | ||||||||
Futures contracts |
| | | | ||||||||||||
Forward contracts |
| | | | ||||||||||||
Swap contracts |
| | | | ||||||||||||
Net realized gain from capital gain distributions received from underlying funds (affiliated) |
40,021,388 | 40,489,180 | 20,856,776 | 13,444,093 | ||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) on investments and foreign currencies |
38,363,266 | 38,958,653 | 19,567,750 | 12,017,590 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in unrealized appreciation (depreciation) on: |
||||||||||||||||
Investments (unaffiliated) |
| | | | ||||||||||||
Investments (affiliated) |
(69,476,835 | ) | (80,287,930 | ) | (43,870,484 | ) | (31,900,375 | ) | ||||||||
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 |
(69,476,835 | ) | (80,287,930 | ) | (43,870,484 | ) | (31,900,375 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies |
(31,113,569 | ) | (41,329,277 | ) | (24,302,734 | ) | (19,882,785 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (26,684,138 | ) | $ | (35,235,944 | ) | $ | (20,560,932 | ) | $ | (16,435,284 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
* Net of foreign withholding taxes on interest and dividends of |
$ | | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
** Net of foreign withholding taxes on capital gains of |
$ | | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
223 |
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 year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||
OPERATIONS: |
||||||||||||||||||||||||
Net investment income (loss) |
$ | (13,074 | ) | $ | (278,368 | ) | $ | 353,985 | $ | (9,274 | ) | $ | 493,273 | $ | 265,365 | |||||||||
Net realized gain (loss) on investments and foreign currencies |
(7,756,267 | ) | 6,128,343 | (11,252,953 | ) | 7,264,067 | (6,770,415 | ) | 1,998,500 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
168,482 | (13,557,709 | ) | (176,904 | ) | (18,482,565 | ) | 618,872 | (8,723,662 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(7,600,859 | ) | (7,707,734 | ) | (11,075,872 | ) | (11,227,772 | ) | (5,658,270 | ) | (6,459,797 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||||||||||
Distributable earnings Class 1 |
(1,313,079 | ) | (2,693,314 | ) | (860,708 | ) | (1,994,141 | ) | (349,709 | ) | (1,092,007 | ) | ||||||||||||
Distributable earnings Class 2 |
(2,430,764 | ) | (4,925,069 | ) | (3,796,446 | ) | (8,784,639 | ) | (1,451,387 | ) | (4,404,941 | ) | ||||||||||||
Distributable earnings Class 3 |
(2,365,699 | ) | (4,801,299 | ) | (3,035,484 | ) | (6,672,375 | ) | (922,917 | ) | (2,793,787 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions to shareholders |
(6,109,542 | ) | (12,419,682 | ) | (7,692,638 | ) | (17,451,155 | ) | (2,724,013 | ) | (8,290,735 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) |
4,093,441 | 9,192,205 | (378,283 | ) | 14,166,110 | (2,300,954 | ) | 4,365,788 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS |
(9,616,960 | ) | (10,935,211 | ) | (19,146,793 | ) | (14,512,817 | ) | (10,683,237 | ) | (10,384,744 | ) | ||||||||||||
NET ASSETS: |
||||||||||||||||||||||||
Beginning of period |
44,301,076 | 55,236,287 | 77,272,384 | 91,785,201 | 47,030,410 | 57,415,154 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 34,684,116 | $ | 44,301,076 | $ | 58,125,591 | $ | 77,272,384 | $ | 36,347,173 | $ | 47,030,410 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
224 |
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 year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||
OPERATIONS: |
||||||||||||||||||||||||
Net investment income (loss) |
$ | 548,827 | $ | 363,759 | $ | 2,394,574 | $ | 1,792,460 | $ | (1,306,100 | ) | $ | (2,828,558 | ) | ||||||||||
Net realized gain (loss) on investments and foreign currencies |
(3,582,816 | ) | 732,635 | (6,226,250 | ) | 30,932,168 | 10,763,931 | 46,391,584 | ||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
(312,936 | ) | (4,777,531 | ) | (11,544,803 | ) | (18,567,335 | ) | (86,712,271 | ) | (47,242,484 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(3,346,925 | ) | (3,681,137 | ) | (15,376,479 | ) | 14,157,293 | (77,254,440 | ) | (3,679,458 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||||||||||
Distributable earnings Class 1 |
(165,624 | ) | (423,113 | ) | (1,936,387 | ) | (1,255,278 | ) | (37,547,847 | ) | (76,977,920 | ) | ||||||||||||
Distributable earnings Class 2 |
(882,415 | ) | (2,327,571 | ) | (6,648,006 | ) | (4,262,042 | ) | (4,723,285 | ) | (8,894,168 | ) | ||||||||||||
Distributable earnings Class 3 |
(490,988 | ) | (1,354,453 | ) | (24,358,528 | ) | (11,860,729 | ) | (3,843,546 | ) | (7,071,256 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions to shareholders |
(1,539,027 | ) | (4,105,137 | ) | (32,942,921 | ) | (17,378,049 | ) | (46,114,678 | ) | (92,943,344 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) |
(3,697,991 | ) | 162,921 | 18,709,723 | 2,178,642 | (19,216,446 | ) | 67,809,060 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS |
(8,583,943 | ) | (7,623,353 | ) | (29,609,677 | ) | (1,042,114 | ) | (142,585,564 | ) | (28,813,742 | ) | ||||||||||||
NET ASSETS: |
||||||||||||||||||||||||
Beginning of period |
37,046,961 | 44,670,314 | 211,539,294 | 212,581,408 | 415,226,662 | 444,040,404 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 28,463,018 | $ | 37,046,961 | $ | 181,929,617 | $ | 211,539,294 | $ | 272,641,098 | $ | 415,226,662 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
225 |
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 year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||
OPERATIONS: |
||||||||||||||||||||||||
Net investment income (loss) |
$ | (220,403 | ) | $ | (1,742,733 | ) | $ | 10,434,715 | $ | 11,204,255 | $ | (384,380 | ) | $ | (1,457,036 | ) | ||||||||
Net realized gain (loss) on investments and foreign currencies |
(284,924 | ) | 60,258,126 | 67,601,762 | 112,002,005 | (12,346,200 | ) | 46,599,355 | ||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
(87,334,511 | ) | (51,533,366 | ) | (99,346,046 | ) | (21,953,486 | ) | (10,817,554 | ) | (55,850,731 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(87,839,838 | ) | 6,982,027 | (21,309,569 | ) | 101,252,774 | (23,548,134 | ) | (10,708,412 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||||||||||
Distributable earnings Class 1 |
(54,232,686 | ) | (121,538,733 | ) | (113,980,675 | ) | (55,486,967 | ) | (35,776,644 | ) | (56,944,459 | ) | ||||||||||||
Distributable earnings Class 2 |
(4,297,225 | ) | (9,829,305 | ) | (3,884,819 | ) | (1,706,337 | ) | (5,597,768 | ) | (8,110,581 | ) | ||||||||||||
Distributable earnings Class 3 |
(2,458,267 | ) | (5,119,610 | ) | (1,828,588 | ) | (815,483 | ) | (3,685,524 | ) | (5,012,863 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions to shareholders |
(60,988,178 | ) | (136,487,648 | ) | (119,694,082 | ) | (58,008,787 | ) | (45,059,936 | ) | (70,067,903 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) |
14,130,323 | 122,693,166 | (77,993,890 | ) | (68,153,913 | ) | 23,915,242 | 42,203,576 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS |
(134,697,693 | ) | (6,812,455 | ) | (218,997,541 | ) | (24,909,926 | ) | (44,692,828 | ) | (38,572,739 | ) | ||||||||||||
NET ASSETS: |
||||||||||||||||||||||||
Beginning of period |
502,184,944 | 508,997,399 | 774,699,994 | 799,609,920 | 204,282,500 | 242,855,239 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 367,487,251 | $ | 502,184,944 | $ | 555,702,453 | $ | 774,699,994 | $ | 159,589,672 | $ | 204,282,500 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
226 |
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 year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||
OPERATIONS: |
||||||||||||||||||||||||
Net investment income (loss) |
$ | 2,390,902 | $ | 1,626,194 | $ | 728,117 | $ | 336,755 | $ | 6,169,361 | $ | 6,215,024 | ||||||||||||
Net realized gain (loss) on investments and foreign currencies |
16,021,454 | 30,279,998 | 4,942,112 | 34,524,134 | 1,369,578 | 21,275,727 | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
(36,326,060 | ) | (3,453,481 | ) | (26,239,078 | ) | (33,776,106 | ) | (19,059,586 | ) | (29,236,502 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(17,913,704 | ) | 28,452,711 | (20,568,849 | ) | 1,084,783 | (11,520,647 | ) | (1,745,751 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||||||||||
Distributable earnings Class 1 |
(26,646,782 | ) | (11,231,892 | ) | (31,051,694 | ) | (25,904,912 | ) | (24,377,518 | ) | (22,944,222 | ) | ||||||||||||
Distributable earnings Class 2 |
(2,840,515 | ) | (1,230,243 | ) | (2,355,837 | ) | (2,008,034 | ) | (1,182,585 | ) | (1,129,111 | ) | ||||||||||||
Distributable earnings Class 3 |
(1,660,379 | ) | (740,037 | ) | (1,597,719 | ) | (1,290,455 | ) | (815,000 | ) | (757,274 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions to shareholders |
(31,147,676 | ) | (13,202,172 | ) | (35,005,250 | ) | (29,203,401 | ) | (26,375,103 | ) | (24,830,607 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) |
7,092,016 | (31,343,217 | ) | 3,444,352 | (919,434 | ) | (10,739,799 | ) | (265,259 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS |
(41,969,364 | ) | (16,092,678 | ) | (52,129,747 | ) | (29,038,052 | ) | (48,635,549 | ) | (26,841,617 | ) | ||||||||||||
NET ASSETS: |
||||||||||||||||||||||||
Beginning of period |
241,392,909 | 257,485,587 | 230,507,959 | 259,546,011 | 360,622,769 | 387,464,386 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 199,423,545 | $ | 241,392,909 | $ | 178,378,212 | $ | 230,507,959 | $ | 311,987,220 | $ | 360,622,769 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
227 |
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
SA Multi-Managed Diversified Fixed Income |
SA American Century Inflation Protection |
SA Columbia Focused Value |
||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||
OPERATIONS: |
||||||||||||||||||||||||
Net investment income (loss) |
$ | 16,730,404 | $ | 16,507,402 | $ | 27,878,440 | $ | 23,280,062 | $ | 5,045,470 | $ | 5,887,789 | ||||||||||||
Net realized gain (loss) on investments and foreign currencies |
(33,292,175 | ) | 679,048 | (25,891,304 | ) | 26,031,243 | 18,494,548 | 34,184,642 | ||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
(31,592,120 | ) | (60,706,556 | ) | (53,454,857 | ) | (21,482,989 | ) | (45,199,479 | ) | 3,095,323 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(48,153,891 | ) | (43,520,106 | ) | (51,467,721 | ) | 27,828,316 | (21,659,461 | ) | 43,167,754 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||||||||||
Distributable earnings Class 1 |
(18,011,646 | ) | (39,214,342 | ) | (10,314,132 | ) | (6,410,018 | ) | (36,926,095 | ) | (27,577,492 | ) | ||||||||||||
Distributable earnings Class 2 |
(312,078 | ) | (717,545 | ) | | | (1,617,413 | ) | (1,191,632 | ) | ||||||||||||||
Distributable earnings Class 3 |
(147,825 | ) | (392,420 | ) | (15,299,657 | ) | (10,493,586 | ) | (990,545 | ) | (769,975 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions to shareholders |
(18,471,549 | ) | (40,324,307 | ) | (25,613,789 | ) | (16,903,604 | ) | (39,534,053 | ) | (29,539,099 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) |
(54,809,497 | ) | 1,070,162 | 5,015,286 | 39,682,004 | 32,866,474 | (9,714,801 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS |
(121,434,937 | ) | (82,774,251 | ) | (72,066,224 | ) | 50,606,716 | (28,327,040 | ) | 3,913,854 | ||||||||||||||
NET ASSETS: |
||||||||||||||||||||||||
Beginning of period |
896,469,295 | 979,243,546 | 710,017,429 | 659,410,713 | 363,487,854 | 359,574,000 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 775,034,358 | $ | 896,469,295 | $ | 637,951,205 | $ | 710,017,429 | $ | 335,160,814 | $ | 363,487,854 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
228 |
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
SA Allocation Growth | SA Allocation Moderate Growth |
|||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||
OPERATIONS: |
||||||||||||||||
Net investment income (loss) |
$ | 4,429,431 | $ | 3,475,915 | $ | 6,093,333 | $ | 5,772,849 | ||||||||
Net realized gain (loss) on investments and foreign currencies |
38,363,266 | 27,898,592 | 38,958,653 | 39,392,083 | ||||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
(69,476,835 | ) | (21,770,663 | ) | (80,287,930 | ) | (32,956,172 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
(26,684,138 | ) | 9,603,844 | (35,235,944 | ) | 12,208,760 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||
Distributable earnings Class 1 |
(349,916 | ) | (44,431 | ) | (30,812 | ) | (20,019 | ) | ||||||||
Distributable earnings Class 2 |
| | | | ||||||||||||
Distributable earnings Class 3 |
(31,031,130 | ) | (21,666,528 | ) | (45,069,661 | ) | (40,140,056 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total distributions to shareholders |
(31,381,046 | ) | (21,710,959 | ) | (45,100,473 | ) | (40,160,075 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) |
54,171,944 | 91,885,740 | 20,471,122 | 23,210,162 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS |
(3,893,240 | ) | 79,778,625 | (59,865,295 | ) | (4,741,153 | ) | |||||||||
NET ASSETS: |
||||||||||||||||
Beginning of period |
399,860,851 | 320,082,226 | 525,791,729 | 530,532,882 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of period |
$ | 395,967,611 | $ | 399,860,851 | $ | 465,926,434 | $ | 525,791,729 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements
| ||
229 |
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
SA Allocation Moderate |
SA Allocation Balanced | |||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||
OPERATIONS: |
||||||||||||||||
Net investment income (loss) |
$ | 3,741,802 | $ | 3,579,048 | $ | 3,447,501 | $ | 3,139,172 | ||||||||
Net realized gain (loss) on investments and foreign currencies |
19,567,750 | 22,745,140 | 12,017,590 | 15,541,785 | ||||||||||||
Net unrealized gain (loss) on investments and foreign currencies |
(43,870,484 | ) | (21,581,027 | ) | (31,900,375 | ) | (19,038,720 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
(20,560,932 | ) | 4,743,161 | (16,435,284 | ) | (357,763 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||
Distributable earnings Class 1 |
(18,689 | ) | (10,610 | ) | (5,534 | ) | (7,506 | ) | ||||||||
Distributable earnings Class 2 |
| | | | ||||||||||||
Distributable earnings Class 3 |
(26,216,405 | ) | (23,050,684 | ) | (18,488,741 | ) | (11,080,560 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total distributions to shareholders |
(26,235,094 | ) | (23,061,294 | ) | (18,494,275 | ) | (11,088,066 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) |
7,810,073 | 11,066,633 | 8,119,036 | 18,894,745 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS |
(38,985,953 | ) | (7,251,500 | ) | (26,810,523 | ) | 7,448,916 | |||||||||
NET ASSETS: |
||||||||||||||||
Beginning of period |
312,253,487 | 319,504,987 | 264,691,044 | 257,242,128 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of period |
$ | 273,267,534 | $ | 312,253,487 | $ | 237,880,521 | $ | 264,691,044 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements
|
||
230 |
SEASONS SERIES TRUST
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 19 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 Trusts adviser, SunAmerica Asset Management, LLC (SAAMCo or the Adviser). SAAMCo and the life companies are indirect, wholly owned subsidiaries of Corebridge Financial, Inc. (Corebridge), which is an indirect, majority-owned subsidiary 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. Thirteen additional Portfolios, called the Seasons Select Portfolios, the Seasons Focused Portfolio 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 and SunAmerica 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 by allocating its assets among three distinct, actively-managed investment components, each with a different investment strategy, which include a small-cap growth component, a fixed income component and a growth component.
The SA Multi-Managed Moderate Growth Portfolio seeks long-term growth of capital, with capital preservation as a secondary objective by allocating its assets among three distinct, actively-managed investment components, each with a different investment strategy, which include a small-cap growth component, a fixed income component and a growth component.
The SA Multi-Managed Income/Equity Portfolio seeks conservation of principal while maintaining some potential for long-term growth of capital by allocating its assets among two distinct, actively-managed investment components, each with a different investment strategy, which include a fixed income component and a growth component.
The SA Multi-Managed Income Portfolio seeks capital preservation by allocating its assets among two distinct, actively-managed investment components, each with a different investment strategy which include a fixed income component and a growth component.
The SA Putnam Asset Allocation Diversified Growth Portfolio 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.
| ||
231 |
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 American Century Inflation Portfolio seeks long-term total return using a strategy that seeks to protect against U.S. inflation.
Seasons Focused Portfolio
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 equity securities 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), with the exception of the SA Multi-Managed Large Cap Growth Portfolio and SA T. Rowe Price Growth Stock Portfolio, which are non-diversified.
Indemnifications: The Trusts 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 1940 Act, of the Trust (collectively, the Disinterested Trustees), the Trust provides the Disinterested Trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust, whether such liabilities are asserted during or after their service as trustees. In addition, in the normal course of business, the Trust enters into contracts that contain the obligation to indemnify others. The Trusts 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
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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 entitys 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 adopted 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 investments 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 Portfolios assets and liabilities classified in the fair value hierarchy as of March 31, 2023, is reported on a schedule at the end of each Portfolios Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (NOCP). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (NYSE), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a securitys 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 Portfolios 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 adopted 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 an independent 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 an independent 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 an independent 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.
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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 an independent 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 an independent 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 an independent 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 an independent 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 an independent pricing service, and are generally categorized as Level 2. Swap contracts traded in the OTC market are valued at a mid valuation provided by an independent 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. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
The Board must determine fair value in good faith for portfolio holdings for which market quotations are not readily available or are unreliable. The Board has designated SAAMCo as the valuation designee (Valuation Designee) to perform the fair valuation determinations relating to any or all fund investments. SAAMCo, as the Valuation Designee, has adopted policies and procedures and has established a pricing review committee to determine the fair value of the designated portfolio holdings on its behalf.
Derivative Instruments
Forward Foreign Currency Contracts: 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 Portfolios loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolios 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 Portfolios Portfolio of Investments.
Futures: 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 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.
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Futures contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolios Portfolio of Investments.
Options: 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 Portfolios 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 Portfolios 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 Portfolios 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 Portfolios basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by a Portfolio are included as part of realized gain (loss).
Credit Default Swap Agreements: 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
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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 protections 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 issuers 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 obligations default.
Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that names 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 Portfolios 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 entitys 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 Portfolios 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 Portfolios Portfolio of Investments.
Equity Swap Agreements: 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
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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 Portfolios risk of loss consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock) may also be sensitive to changes in interest rates.
Equity swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolios Portfolio of Investments.
Interest Rate Swap Agreements: 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 Portfolios 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 Portfolios 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 assets 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 Portfolios 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 Portfolios 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 Portfolios 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 counterpartys long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterpartys 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 Portfolios 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
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termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolios 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 March 31, 2023, 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 year ended March 31, 2023. 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 March 31, 2023, please refer to a schedule at the end of each Portfolios Portfolio of Investments.
Futures Contracts(1)(8) |
Swap Contracts(2) |
Options Purchased(3) |
Foreign Forward Exchange Contracts(4) |
Futures Contracts(1)(8) |
Swap Contracts(5) |
Options Written(6) |
Foreign Forward Exchange Contracts(7) |
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Interest Rate Contracts | ||||||||||||||||||||||||||||||||
Portfolio |
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||||||||||||
SA Multi-Managed Growth |
$ | 4,310 | $ | 28,623 | $ | | $ | | $ | 4,321 | $ | 687 | $ | | $ | | ||||||||||||||||
SA Multi-Managed Moderate Growth |
10,500 | 14 | | | 17,741 | 1,418 | | | ||||||||||||||||||||||||
SA Multi-Managed Income/Equity |
10,297 | 18 | | | 15,335 | 2,017 | | | ||||||||||||||||||||||||
SA Multi-Managed Income |
9,102 | 100 | | | 20,414 | 1,365 | | | ||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
16,297 | | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income |
86,196 | | | | 254,815 | 102,717 | | | ||||||||||||||||||||||||
SA American Century Inflation Protection |
201,592 | 590,645 | | | | 1,685,698 | | | ||||||||||||||||||||||||
Equity Contracts | ||||||||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||||||||
SA Multi-Managed Growth |
$ | 1,670 | $ | | $ | | $ | | $ | | $ | | $ | | $ | | ||||||||||||||||
SA Multi-Managed Moderate Growth |
3,340 | | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Income/Equity |
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SA Multi-Managed Income |
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SA Putnam Asset Allocation Diversified Growth |
32,215 | 1,508 | | | 236,775 | | | | ||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth |
5,775 | | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Large Cap Value |
8,663 | | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth |
4,450 | | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value |
4,450 | | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Small Cap |
23,380 | | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed International Equity |
20,680 | | | | | | | | ||||||||||||||||||||||||
Credit Contracts | ||||||||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||||||||
SA Multi-Managed Growth |
$ | | $ | | $ | | $ | | $ | | $ | 684 | $ | | $ | | ||||||||||||||||
SA Multi-Managed Moderate Growth |
| | | | | 1,806 | | | ||||||||||||||||||||||||
SA Multi-Managed Income/Equity |
| | | | | 1,800 | | | ||||||||||||||||||||||||
SA Multi-Managed Income |
| | | | | 1,800 | | | ||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income |
| | | | | 30,159 | | | ||||||||||||||||||||||||
Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||||||||
SA Multi-Managed Growth |
$ | | $ | | $ | 20,136 | $ | 74 | $ | | $ | | $ | | $ | 1,723 | ||||||||||||||||
SA Multi-Managed Moderate Growth |
| | 26,167 | 2,543 | | | | 11,342 | ||||||||||||||||||||||||
SA Multi-Managed Income/Equity |
| | 12,966 | 2,543 | | | | 11,105 | ||||||||||||||||||||||||
SA Multi-Managed Income |
| | 5,475 | 2,637 | | | | 12,356 | ||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
| | | 40,565 | | | | 70,823 | ||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth |
| | 106,481 | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Large Cap Value |
| | | | | | | 103,913 | ||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income |
| | | 6,082 | | | | 141,325 |
|
||
238 |
Statement of Assets and Liabilities Location:
(1) | Variation margin on futures contracts |
(2) | Unrealized appreciation on swap contracts |
(3) | Investments at value (unaffiliated) |
(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 Portfolios Portfolio of Investments in the following amounts: |
Portfolio |
Cumulative Appreciation (Depreciation) |
|||
SA Multi-Managed Growth |
$ | (7,702 | ) | |
SA Multi-Managed Moderate Growth |
(64,902 | ) | ||
SA Multi-Managed Income/Equity |
(66,283 | ) | ||
SA Multi-Managed Income |
(103,687 | ) | ||
SA Putnam Asset Allocation Diversified Growth |
(754,462 | ) | ||
SA Multi-Managed Large Cap Growth |
18,628 | |||
SA Multi-Managed Large Cap Value |
27,941 | |||
SA Multi-Managed Mid Cap Growth |
5,978 | |||
SA Multi-Managed Mid Cap Value |
5,978 | |||
SA Multi-Managed Small Cap |
24,811 | |||
SA Multi-Managed International Equity |
334,794 | |||
SA Multi-Managed Diversified Fixed Income |
(1,462,245 | ) | ||
SA American Century Inflation Protection |
2,208,408 |
Realized Gain (Loss) on Derivatives Recognized in Statement of Operations |
||||||||||||||||||||
Portfolio |
Futures Contracts(1) |
Swap Contracts(2) |
Written Options(3) |
Purchased Options(4) |
Foreign Forward Exchange Contracts(5) |
|||||||||||||||
Interest Rate Contracts | ||||||||||||||||||||
SA Multi-Managed Growth |
$ | 344,769 | $ | 997 | $ | | $ | | $ | | ||||||||||
SA Multi-Managed Moderate Growth |
1,103,813 | (944 | ) | | | | ||||||||||||||
SA Multi-Managed Income/Equity |
1,055,475 | 21,670 | | | | |||||||||||||||
SA Multi-Managed Income |
1,172,223 | 23,701 | | | | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
(369,617 | ) | | | | | ||||||||||||||
SA Multi-Managed Diversified Fixed Income |
13,769,679 | (14,883 | ) | | | | ||||||||||||||
SA American Century Inflation Protection |
(3,403,366 | ) | (82,188 | ) | | | | |||||||||||||
Equity Contracts | ||||||||||||||||||||
SA Multi-Managed Growth |
$ | (24,762 | ) | $ | | $ | | $ | | $ | | |||||||||
SA Multi-Managed Moderate Growth |
(53,650 | ) | | | | | ||||||||||||||
SA Multi-Managed Income/Equity |
| | | | | |||||||||||||||
SA Multi-Managed Income |
| | | | | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
29,825 | (60,721 | ) | 376,675 | (126,350 | ) | | |||||||||||||
SA Multi-Managed Large Cap Growth |
(38,761 | ) | | | | | ||||||||||||||
SA Multi-Managed Large Cap Value |
(58,192 | ) | | | | | ||||||||||||||
SA Multi-Managed Mid Cap Growth |
(15,116 | ) | | | | | ||||||||||||||
SA Multi-Managed Mid Cap Value |
(15,116 | ) | | | | | ||||||||||||||
SA Multi-Managed Small Cap |
(219,363 | ) | | | | | ||||||||||||||
SA Multi-Managed International Equity |
(588,256 | ) | | | | | ||||||||||||||
Credit Contracts | ||||||||||||||||||||
SA Multi-Managed Growth |
$ | | $ | 834 | $ | | $ | | $ | | ||||||||||
SA Multi-Managed Moderate Growth |
| 2,801 | | | | |||||||||||||||
SA Multi-Managed Income/Equity |
| 2,656 | | | | |||||||||||||||
SA Multi-Managed Income |
| 2,502 | | | | |||||||||||||||
SA Multi-Managed Diversified Fixed Income |
| 24,890 | | | |
| ||
239 |
Realized Gain (Loss) on Derivatives Recognized in Statement of Operations |
||||||||||||||||||||
Futures Contracts(1) |
Swap Contracts(2) |
Written Options(3) |
Purchased Options(4) |
Foreign Forward Exchange Contracts(5) |
||||||||||||||||
Foreign Exchange Contracts | ||||||||||||||||||||
SA Multi-Managed Growth |
$ | | $ | | $ | | $ | (75,011 | ) | $ | (1,494 | ) | ||||||||
SA Multi-Managed Moderate Growth |
| | | (95,904 | ) | 64,337 | ||||||||||||||
SA Multi-Managed Income/Equity |
| | | (47,001 | ) | 62,836 | ||||||||||||||
SA Multi-Managed Income |
| | | (18,351 | ) | 65,733 | ||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
| | | | (124,914 | ) | ||||||||||||||
SA Multi-Managed Large Cap Growth |
| | | (476,090 | ) | | ||||||||||||||
SA Multi-Managed Large Cap Value |
| | | | 1,102,602 | |||||||||||||||
SA Multi-Managed Diversified Fixed Income |
| | | | 491,056 | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations |
||||||||||||||||||||
Portfolio |
Futures Contracts(6) |
Swap Contracts(7) |
Written Options(8) |
Purchased Options(9) |
Foreign Forward Exchange Contracts(10) |
|||||||||||||||
Interest Rate Contracts | ||||||||||||||||||||
SA Multi-Managed Growth |
$ | (94,539 | ) | $ | 17,846 | $ | | $ | | $ | | |||||||||
SA Multi-Managed Moderate Growth |
(254,352 | ) | (1,404 | ) | | | | |||||||||||||
SA Multi-Managed Income/Equity |
(235,537 | ) | (12,570 | ) | | | | |||||||||||||
SA Multi-Managed Income |
(278,203 | ) | (20,100 | ) | | | | |||||||||||||
SA Putnam Asset Allocation Diversified Growth |
252,843 | | | | | |||||||||||||||
SA Multi-Managed Diversified Fixed Income |
(3,212,872 | ) | (102,717 | ) | | | | |||||||||||||
SA American Century Inflation Protection |
2,208,408 | (842,069 | ) | | | | ||||||||||||||
Equity Contracts | ||||||||||||||||||||
SA Multi-Managed Growth |
$ | 4,252 | $ | | $ | | $ | | $ | | ||||||||||
SA Multi-Managed Moderate Growth |
8,217 | | | | | |||||||||||||||
SA Multi-Managed Income/Equity |
| | | | | |||||||||||||||
SA Multi-Managed Income |
| | | | | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
(1,015,315 | ) | (3,028 | ) | | | | |||||||||||||
SA Multi-Managed Large Cap Growth |
(9,079 | ) | | | | | ||||||||||||||
SA Multi-Managed Large Cap Value |
(13,619 | ) | | | | | ||||||||||||||
SA Multi-Managed Mid Cap Growth |
(5,148 | ) | | | | | ||||||||||||||
SA Multi-Managed Mid Cap Value |
(5,148 | ) | | | | | ||||||||||||||
SA Multi-Managed Small Cap |
5,836 | | | | | |||||||||||||||
SA Multi-Managed International Equity |
390,142 | | | | | |||||||||||||||
Credit Contracts | ||||||||||||||||||||
SA Multi-Managed Growth |
$ | | $ | (684 | ) | $ | | $ | | $ | | |||||||||
SA Multi-Managed Moderate Growth |
| (1,806 | ) | | | | ||||||||||||||
SA Multi-Managed Income/Equity |
| (1,800 | ) | | | | ||||||||||||||
SA Multi-Managed Income |
| (1,800 | ) | | | | ||||||||||||||
SA Multi-Managed Diversified Fixed Income |
| (30,159 | ) | | | | ||||||||||||||
Foreign Exchange Contracts | ||||||||||||||||||||
SA Multi-Managed Growth |
$ | | $ | | $ | | $ | 42,394 | $ | 4,225 | ||||||||||
SA Multi-Managed Moderate Growth |
| | | 52,920 | (4,480 | ) | ||||||||||||||
SA Multi-Managed Income/Equity |
| | | 25,703 | (3,820 | ) | ||||||||||||||
SA Multi-Managed Income |
| | | 9,284 | (6,004 | ) | ||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
| | | | 64,873 | |||||||||||||||
SA Multi-Managed Large Cap Growth |
| | | 334,033 | | |||||||||||||||
SA Multi-Managed Large Cap Value |
| | | | (81,449 | ) | ||||||||||||||
SA Multi-Managed Diversified Fixed Income |
| | | | 850 |
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 written options contracts |
(4) | Net realized gain (loss) on investments |
(5) | Net realized gain (loss) on forward contracts |
(6) | Change in unrealized appreciation (depreciation) on futures contracts |
(7) | Change in unrealized appreciation (depreciation) on swap contracts |
(8) | Change in unrealized appreciation (depreciation) on written options contracts |
(9) | Change in unrealized appreciation (depreciation) on investments |
(10) | Change in unrealized appreciation (depreciation) on forward contracts |
|
||
240 |
The following table represents the average monthly balances of derivatives held during the year ended March 31, 2023.
Average Amount Outstanding During the Period | ||||||||||||||||||||||||||||
Portfolio |
Futures Contracts(2) |
Foreign Exchange Contracts(2) |
Purchased Options Contracts(1) |
Interest Rate Swap Contracts(2) |
Credit Swap Contracts(2) |
Total Return Swap Contracts(1) |
Written Put Options Contracts(1) |
|||||||||||||||||||||
SA Multi-Managed Growth |
$ | 3,319,585 | $ | 202,494 | $ | 47,900 | $ | 132,917 | $ | 54,250 | $ | | $ | | ||||||||||||||
SA Multi-Managed Moderate Growth |
10,351,530 | 1,481,591 | 62,948 | 61,250 | 149,333 | | | |||||||||||||||||||||
SA Multi-Managed Income/Equity |
8,891,486 | 1,470,987 | 30,820 | 126,250 | 149,333 | | | |||||||||||||||||||||
SA Multi-Managed Income |
9,693,701 | 1,468,042 | 12,154 | 171,250 | 148,917 | | | |||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
19,714,479 | 8,145,959 | 890 | | | 217,643 | 17,121 | |||||||||||||||||||||
SA Multi-Managed Large Cap Growth |
398,069 | | 245,282 | | | | | |||||||||||||||||||||
SA Multi-Managed Large Cap Value |
597,103 | 19,171,445 | | | | | | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth |
247,392 | | | | | | | |||||||||||||||||||||
SA Multi-Managed Mid Cap Value |
247,392 | | | | | | | |||||||||||||||||||||
SA Multi-Managed Small Cap |
1,511,542 | | | | | | | |||||||||||||||||||||
SA Multi-Managed International Equity |
2,259,789 | | | | | | | |||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income |
138,160,930 | 15,133,057 | | 1,221,250 | 2,418,333 | | | |||||||||||||||||||||
SA American Century Inflation Protection |
48,692,240 | | | 211,783,333 | | | |
(1) | Amounts represent values in US dollars. |
(2) | Amounts represent notional amounts in US dollars. |
The following table represents the Portfolios objectives for using derivative instruments the for the year ended March 31, 2023:
Objectives for Using Derivatives | ||||||||||||||||||||||||
Portfolio |
Futures Contracts |
Foreign Exchange Contracts |
Options Contracts |
Interest Rate Swap Contracts |
Credit Default Swap Contracts |
Total Return Swap Contracts |
||||||||||||||||||
SA Multi-Managed Growth |
1, 2 | 3 | 6 | 2 | 4, 5 | | ||||||||||||||||||
SA Multi-Managed Moderate Growth |
1, 2 | 3 | 6 | 2 | 4, 5 | | ||||||||||||||||||
SA Multi-Managed Income/Equity |
2 | 3 | 6 | 2 | 4, 5 | | ||||||||||||||||||
SA Multi-Managed Income |
2 | 3 | 6 | 2 | 4, 5 | | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
1, 2 | 3 | 5 | | | 5 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth |
1 | | 6 | | | | ||||||||||||||||||
SA Multi-Managed Large Cap Value |
1 | 3 | | | | | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth |
1 | | | | | | ||||||||||||||||||
SA Multi-Managed Mid Cap Value |
1 | | | | | | ||||||||||||||||||
SA Multi-Managed Small Cap |
1 | | | | | | ||||||||||||||||||
SA Multi-Managed International Equity |
1 | | | | | | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income |
2 | 3 | | 2 | 4, 5 | | ||||||||||||||||||
SA American Century Inflation Protection |
2 | | | 5 | | |
(1) | To manage exposures in certain securities markets. |
(2) | To manage interest rate risk and the duration of the portfolio. |
(3) | To manage foreign currency exchange rate risk. |
(4) | To manage credit risk. |
(5) | To manage against or gain exposure to certain securities and/or sectors. |
(6) | To manage foreign currency risk resulting directly or indirectly from investments in equity holdings. |
| ||
241 |
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 March 31, 2023. The repurchase agreements held by the Portfolios as of March 31, 2023, 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 |
OTC Options Purchased |
Total | Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Written |
Total | Net Derivative Assets (Liabilities) |
Collateral Pledged/ (Received)(2) |
Net Amount(3) |
|||||||||||||||||||||||||||||||||
BNP Paribas SA |
$ | 74 | $ | | $ | | $ | 74 | $ | | $ | | $ | | $ | | $ | 74 | $ | | $ | 74 | ||||||||||||||||||||||
Deutsche Bank AG |
| | | | 1,077 | | | 1,077 | (1,077 | ) | | (1,077 | ) | |||||||||||||||||||||||||||||||
Goldman Sachs International |
| | 24 | 24 | 646 | | | 646 | (622 | ) | (24 | ) | (646 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. |
| | 15,897 | 15,897 | | | | | 15,897 | (10,000 | ) | 5,897 | ||||||||||||||||||||||||||||||||
Standard Chartered Bank |
| | 4,215 | 4,215 | | | | | 4,215 | (4,215 | ) | | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total |
$ | 74 | $ | | $ | 20,136 | $ | 20,210 | $ | 1,723 | $ | | $ | | $ | 1,723 | $ | 18,487 | $ | (14,239 | ) | $ | 4,248 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 |
OTC Options Purchased |
Total | Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Written |
Total | Net Derivative Assets (Liabilities) |
Collateral Pledged/ (Received)(2) |
Net Amount(3) |
|||||||||||||||||||||||||||||||||
Deutsche Bank AG |
$ | | $ | | $ | | $ | | $ | 9,522 | $ | | $ | | $ | 9,522 | $ | (9,522 | ) | $ | | $ | (9,522 | ) | ||||||||||||||||||||
Goldman Sachs International |
| | 31 | 31 | 1,820 | | | 1,820 | (1,789 | ) | (31 | ) | (1,820 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. |
| | 20,608 | 20,608 | | | | | 20,608 | (20,000 | ) | 608 | ||||||||||||||||||||||||||||||||
Standard Chartered Bank |
| | 5,528 | 5,528 | | | | | 5,528 | (5,528 | ) | | ||||||||||||||||||||||||||||||||
State Street Bank & Trust Company |
2,543 | | | 2,543 | | | | | 2,543 | | 2,543 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total |
$ | 2,543 | $ | | $ | 26,167 | $ | 28,710 | $ | 11,342 | $ | | $ | | $ | 11,342 | $ | 17,368 | $ | (25,559 | ) | $ | (8,191 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 |
OTC Options Purchased |
Total | Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Written |
Total | Net Derivative Assets (Liabilities) |
Collateral Pledged/ (Received)(2) |
Net Amount(3) |
|||||||||||||||||||||||||||||||||
Deutsche Bank AG |
$ | | $ | | $ | | $ | | $ | 9,241 | $ | | $ | | $ | 9,241 | $ | (9,241 | ) | $ | | $ | (9,241 | ) | ||||||||||||||||||||
Goldman Sachs International |
| | 15 | 15 | 1,864 | | | 1,864 | (1,849 | ) | (15 | ) | (1,864 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. |
| | 10,213 | 10,213 | | | | | 10,213 | | 10,213 | |||||||||||||||||||||||||||||||||
Standard Chartered Bank |
| | 2,738 | 2,738 | | | | | 2,738 | | 2,738 | |||||||||||||||||||||||||||||||||
State Street Bank & Trust Company |
2,543 | | 2,543 | | | | | 2,543 | | 2,543 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total |
$ | 2,543 | $ | | $ | 12,966 | $ | 15,509 | $ | 11,105 | $ | | $ | | $ | 11,105 | $ | 4,404 | $ | (15 | ) | $ | 4,389 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
|
||
242 |
SA Multi-Managed Income Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Purchased |
Total | Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Written |
Total | Net Derivative Assets (Liabilities) |
Collateral Pledged/ (Received)(2) |
Net Amount(3) |
|||||||||||||||||||||||||||||||||
Deutsche Bank AG |
$ | | $ | | $ | | $ | | $ | 10,488 | $ | | $ | | $ | 10,488 | $ | (10,488 | ) | $ | | $ | (10,488 | ) | ||||||||||||||||||||
Goldman Sachs International |
| | 6 | 6 | 1,868 | | | 1,868 | (1,862 | ) | | (1,862 | ) | |||||||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. |
| | 4,320 | 4,320 | | | | | 4,320 | | 4,320 | |||||||||||||||||||||||||||||||||
Standard Chartered Bank |
| | 1,149 | 1,149 | | | | | 1,149 | | 1,149 | |||||||||||||||||||||||||||||||||
State Street Bank & Trust Company |
2,637 | | | 2,637 | | | | | 2,637 | | 2,637 | |||||||||||||||||||||||||||||||||
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total |
$ | 2,637 | $ | | $ | 5,475 | $ | 8,112 | $ | 12,356 | $ | | $ | | $ | 12,356 | $ | (4,244 | ) | $ | | $ | (4,244 | ) | ||||||||||||||||||||
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|
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|
|
|
|
|
|
|
|
(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 |
OTC Options Purchased |
Total | Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Written |
Total | Net Derivative Assets (Liabilities) |
Collateral Pledged/ (Received)(2) |
Net Amount(3) |
|||||||||||||||||||||||||||||||||
Bank of America, N.A. |
$ | | $ | 1,508 | $ | | $ | 1,508 | $ | 14,619 | $ | | $ | | $ | 14,619 | $ | (13,111 | ) | $ | | $ | (13,111 | ) | ||||||||||||||||||||
Citibank, N.A. |
| | | | 1,704 | | | 1,704 | (1,704 | ) | | (1,704 | ) | |||||||||||||||||||||||||||||||
Goldman Sachs International |
8,667 | | | 8,667 | 18,067 | | | 18,067 | (9,400 | ) | | (9,400 | ) | |||||||||||||||||||||||||||||||
HSBC Bank USA |
2,794 | | | 2,794 | 3,127 | | | 3,127 | (333 | ) | | (333 | ) | |||||||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. |
5,554 | | | 5,554 | 31,605 | | | 31,605 | (26,051 | ) | | (26,051 | ) | |||||||||||||||||||||||||||||||
Morgan Stanley & Co. International PLC |
749 | | | 749 | | | | | 749 | | 749 | |||||||||||||||||||||||||||||||||
State Street Bank & Trust Company |
22,537 | | | 22,537 | 1,701 | | | 1,701 | 20,836 | | 20,836 | |||||||||||||||||||||||||||||||||
Toronto Dominion Bank |
264 | | | 264 | | | | | 264 | | 264 | |||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|||||||||||||||||||||||
Total |
$ | 40,565 | $ | 1,508 | $ | | $ | 42,073 | $ | 70,823 | $ | | $ | | $ | 70,823 | $ | (28,750 | ) | $ | | $ | (28,750 | ) | ||||||||||||||||||||
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|
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|
|
|
(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 Large Cap Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Purchased |
Total | Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Written |
Total | Net Derivative Assets (Liabilities) |
Collateral Pledged/ (Received)(2) |
Net Amount(3) |
|||||||||||||||||||||||||||||||||
Goldman Sachs International |
$ | | $ | | $ | 123 | $ | 123 | $ | | $ | | $ | | $ | | $ | 123 | $ | (123 | ) | $ | | |||||||||||||||||||||
JPMorgan Chase Bank, N.A. |
| | 86,059 | 86,059 | | | | | 86,059 | (86,059 | ) | | ||||||||||||||||||||||||||||||||
Standard Chartered Bank |
| | 20,299 | 20,299 | | | | | 20,299 | (20,299 | ) | | ||||||||||||||||||||||||||||||||
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|
|
|||||||||||||||||||||||
Total |
$ | | $ | | $ | 106,481 | $ | 106,481 | $ | | $ | | $ | | $ | | $ | 106,481 | $ | (106,481 | ) | $ | | |||||||||||||||||||||
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(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. |
| ||
243 |
SA Multi-Managed Large Cap Value Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Purchased |
Total | Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Written |
Total | Net Derivative Assets (Liabilities) |
Collateral Pledged/ (Received)(2) |
Net Amount(3) |
|||||||||||||||||||||||||||||||||
Bank of America, N.A. |
$ | | $ | | $ | | $ | | $ | 16,369 | $ | | $ | | $ | 16,369 | $ | (16,369 | ) | $ | | $ | (16,369 | ) | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. |
| | | | 86,477 | | | 86,477 | (86,477 | ) | | (86,477 | ) | |||||||||||||||||||||||||||||||
Morgan Stanley & Co. International PLC |
| | | | 1,067 | | | 1,067 | (1,067 | ) | | (1,067 | ) | |||||||||||||||||||||||||||||||
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|
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Total |
$ | | $ | | $ | | $ | | $ | 103,913 | $ | | $ | | $ | 103,913 | $ | (103,913 | ) | $ | | $ | (103,913 | ) | ||||||||||||||||||||
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|
|
(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 |
OTC Options Purchased |
Total | Forward Foreign Currency Contracts |
OTC Swaps |
OTC Options Written |
Total | Net Derivative Assets (Liabilities) |
Collateral Pledged/ (Received)(2) |
Net Amount(3) |
|||||||||||||||||||||||||||||||||
Deutsche Bank AG |
$ | | $ | | $ | | $ | | $ | 107,800 | $ | | $ | | $ | 107,800 | $ | (107,800 | ) | $ | | $ | (107,800 | ) | ||||||||||||||||||||
Goldman Sachs International |
| | | | 33,525 | | | 33,525 | (33,525 | ) | | (33,525 | ) | |||||||||||||||||||||||||||||||
State Street Bank & Trust Company |
6,082 | | | 6,082 | | | | | 6,082 | | 6,082 | |||||||||||||||||||||||||||||||||
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|
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|
|||||||||||||||||||||||
Total |
$ | 6,082 | $ | | $ | | $ | 6,082 | $ | 141,325 | $ | | $ | | $ | 141,325 | $ | (135,243 | ) | $ | | $ | (135,243 | ) | ||||||||||||||||||||
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(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 Trusts custodian takes possession of the collateral pledged for investments in such repurchase agreements (repo or collectively repos). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, 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.
|
||
244 |
As of March 31, 2023, 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 |
0.53 | % | $ | 135,000 | ||||
SA Multi-Managed Moderate Growth |
0.91 | 230,000 | ||||||
SA Multi-Managed Income/Equity |
0.71 | 180,000 | ||||||
SA Multi-Managed Income |
0.73 | 185,000 | ||||||
SA Multi-Managed Large Cap Value |
2.39 | 605,000 | ||||||
SA Multi-Managed Mid Cap Growth |
1.28 | 325,000 | ||||||
SA Multi-Managed Diversified Fixed Income |
11.59 | 2,940,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated March 31, 2023, bearing interest at a rate of 4.76% per annum, with a principal amount of $25,360,000, a repurchase price of $25,370,059, and a maturity date of April 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral |
Interest Rate |
Maturity Date |
Principal Amount |
Value | ||||||||||||
U.S. Treasury Notes |
0.38 | % | 11/30/2025 | $ | 28,387,000 | $ | 25,867,849 |
As of March 31, 2023, 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 |
0.48 | % | $ | 120,000 | ||||
SA Multi-Managed Moderate Growth |
0.82 | 205,000 | ||||||
SA Multi-Managed Income/Equity |
0.64 | 160,000 | ||||||
SA Multi-Managed Income |
0.64 | 160,000 | ||||||
SA Multi-Managed Large Cap Value |
2.36 | 590,000 | ||||||
SA Multi-Managed Mid Cap Growth |
1.24 | 310,000 | ||||||
SA Multi-Managed Diversified Fixed Income |
11.52 | 2,880,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated March 31, 2023, bearing interest at a rate of 4.75% per annum, with a principal amount of $25,000,000, a repurchase price of $25,009,896, and a maturity date of April 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral |
Interest Rate |
Maturity Date |
Principal Amount |
Value | ||||||||||||
U.S. Treasury Bonds |
2.00 | % | 08/15/2051 | $ | 36,560,000 | $ | 25,498,041 |
As of March 31, 2023, 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 |
0.48 | % | $ | 120,000 | ||||
SA Multi-Managed Moderate Growth |
0.82 | 205,000 | ||||||
SA Multi-Managed Income/Equity |
0.64 | 160,000 | ||||||
SA Multi-Managed Income |
0.64 | 160,000 | ||||||
SA Multi-Managed Large Cap Value |
2.36 | 590,000 | ||||||
SA Multi-Managed Mid Cap Growth |
1.24 | 310,000 | ||||||
SA Multi-Managed Diversified Fixed Income |
11.52 | 2,880,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated March 31, 2023, bearing interest at a rate of 4.78% per annum, with a principal amount of $25,000,000, a repurchase price of $25,009,958 and a maturity date of April 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral |
Interest Rate |
Maturity Date |
Principal Amount |
Value | ||||||||||||
U.S. Treasury Notes |
2.88 | % | 04/30/2025 | $ | 25,823,900 | $ | 25,485,912 |
| ||
245 |
As of March 31, 2023, 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 |
0.48 | % | $ | 105,000 | ||||
SA Multi-Managed Moderate Growth |
0.82 | 180,000 | ||||||
SA Multi-Managed Income/Equity |
0.64 | 140,000 | ||||||
SA Multi-Managed Income |
0.64 | 140,000 | ||||||
SA Multi-Managed Large Cap Value |
2.36 | 520,000 | ||||||
SA Multi-Managed Mid Cap Growth |
1.25 | 275,000 | ||||||
SA Multi-Managed Diversified Fixed Income |
11.52 | 2,535,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated March 31, 2023, bearing interest at a rate of 4.75% per annum, with a principal amount of $22,000,000 a repurchase price of $22,008,708, and a maturity date of April 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral |
Interest Rate |
Maturity Date |
Principal Amount |
Value | ||||||||||||
U.S. Treasury Notes |
3.13 | % | 08/31/2027 | $ | 23,019,000 | $ | 22,502,394 |
As of March 31, 2023, 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 |
0.48 | % | $ | 105,000 | ||||
SA Multi-Managed Moderate Growth |
0.82 | 180,000 | ||||||
SA Multi-Managed Income/Equity |
0.64 | 140,000 | ||||||
SA Multi-Managed Income |
0.64 | 140,000 | ||||||
SA Multi-Managed Large Cap Value |
2.36 | 520,000 | ||||||
SA Multi-Managed Mid Cap Growth |
1.25 | 275,000 | ||||||
SA Multi-Managed Diversified Fixed Income |
11.52 | 2,535,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated March 31, 2023, bearing interest at a rate of 4.76% per annum, with a principal amount of $22,000,000 a repurchase price of $22,008,727, and a maturity date of April 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral |
Interest Rate |
Maturity Date |
Principal Amount |
Value | ||||||||||||
U.S. Treasury Bills |
4.59 | % | 03/21/2024 | $ | 23,480,000 | $ | 22,460,968 |
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 Portfolios yield.
Mortgage-Backed Dollar Rolls: Certain Portfolios may enter 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 Portfolios use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolios obligation to repurchase the securities. 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 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
|
||
246 |
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. 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 Borrowers 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.
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 value of outstanding shares of each class of shares at the beginning of the day (after adjusting for current capital shares activity of the respective class).
Expenses common to all Portfolios, are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.
For the Seasons Managed Allocation Portfolios, the expenses included in the accompanying financial statements reflect the expenses of the Seasons Managed Allocation Portfolios and do not include indirect expenses borne by each Underlying Portfolio.
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 years 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.
| ||
247 |
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.
Each Portfolio recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolios tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. 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. The Portfolios federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
LIBOR Risk: A Portfolios investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate, SOFR and other similar types of reference rates (each, a Reference Rate). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (FCA), which regulates LIBOR, announced that the FCA will no longer persuade nor require banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. On March 5, 2021, the FCA and LIBORs administrator announced that most LIBOR settings will no longer be published after June 30, 2023. In April 2023, the FCA announced that the 1-month, 3-month and 6-month U.S. dollar LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. All other LIBOR settings have ceased to be published. On March 15, 2022, the Adjustable Interest Rate (LIBOR) Act (the LIBOR Act) was signed into law, providing a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on the SOFR for certain contracts that reference LIBOR without adequate fallback provisions. On December 16, 2022, the Federal Reserve Board adopted regulations implementing the LIBOR Act by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. These regulations apply only to contracts governed by U.S. law, among other limitations. The LIBOR Act and any additional regulatory or market changes may have an adverse impact on a Portfolio or its investments. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known.
Recent Accounting and Regulatory Developments: In March 2020, the FASB issued ASU No. 2020-04 Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank offered based reference rates at of the end of 2021. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. As a result of an extension in the planned discontinuation date of USD LIBOR, the FASB issued ASU No. 2022-06, Reference Rate Reform in December 2022, which extends the temporary relief provided by ASU 2020-04 to December 31, 2024. Management is evaluating the potential impact of ASU 2020-04 and ASU 2022-06 to the financial statements.
On December 3, 2020, the SEC announced that it voted to adopt a new rule that establishes an updated regulatory framework for fund valuation practices (the Rule). The Rule, in part, provides (i) a framework for determining fair value in good faith and (ii) provides for a fund Boards assignment of its responsibility for the execution of valuation-related activities to a funds investment adviser. Further, the SEC is rescinding previously issued guidance on related issues. The Rule became effective on March 8, 2021 and had a compliance date of September 8, 2022. Adoption of the Rule had no material impact on the Portfolios.
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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 Trusts day-to-day affairs, to provide investment advisory services, office space, and other facilities for the management of the affairs of the Trust, and to pay the compensation of certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:
Portfolio | Assets | Management Fees |
||||||
SA Multi-Managed Growth(1) | 0-$250 million | 0.89% | ||||||
>$250 million | 0.84% | |||||||
>$500 million | 0.79% | |||||||
SA Multi-Managed Moderate Growth(2) | 0-$250 million | 0.85% | ||||||
>$250 million | 0.80% | |||||||
>$500 million | 0.75% | |||||||
SA Multi-Managed Income/Equity(3) | 0-$250 million | 0.81% | ||||||
>$250 million | 0.76% | |||||||
>$500 million | 0.71% | |||||||
SA Multi-Managed Income(4) | 0-$250 million | 0.77% | ||||||
>$250 million | 0.72% | |||||||
>$500 million | 0.67% | |||||||
SA Putnam Asset Allocation Diversified Growth(5) | 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(6), SA Multi-Managed Large Cap Value | 0-$250 million | 0.80% | ||||||
>$250 million | 0.75% | |||||||
>$500 million | 0.70% |
Portfolio | Assets | Management Fees |
||||||
SA Multi-Managed Mid Cap Growth, SA Multi-Managed Mid Cap Value, | 0-$250 million | 0.85% | ||||||
SA Multi-Managed Small Cap | >$250 million | 0.80% | ||||||
>$500 million | 0.75% | |||||||
SA Multi-Managed International Equity(7) | 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 American Century Inflation Protection(8) | 0-$500 million | 0.60% | ||||||
>$500 million | 0.55% | |||||||
SA Columbia Focused Value(9) | 0-$250 million | 1.00% | ||||||
>$250 million | 0.95% | |||||||
>$500 million | 0.90% | |||||||
SA Allocation Growth(10), SA Allocation Moderate Growth(10), | ||||||||
SA Allocation Moderate(10), SA Allocation Balanced(10) | >0 | 0.10% |
(1) | Effective November 1, 2022, the Advisor has contractually agreed to waive its advisory fee for the SA Multi-Managed Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.62% on the first $250 million, 0.57% on the next $250 million and 0.52% above $500 million. Prior to November 1, 2022, the Advisor contractually agreed to waive its advisory fee for the SA Multi-Managed Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.82% on the first $250 million, 0.77% on the next $250 million and 0.72% above $500 million. |
(2) | Effective November 1, 2022, the Advisor has contractually agreed to waive its advisory fee for the SA Multi-Managed Moderate Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.75% on the first $250 million, 0.70% on the next $250 million and 0.65% above $500 million. Prior to November 1, 2022, the Advisor contractually agreed to waive its advisory fee for the SA Multi-Managed Moderate Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.80% on the first $250 million, 0.75% on the next $250 million and 0.70% above $500 million. |
(3) | Effective November 1, 2022, the Advisor has contractually agreed to waive its advisory fee for the SA Multi-Managed Income/Equity Portfolio so that the advisory fee payable on average daily net assets equals 0.75% on the first $250 million, 0.70% on the next $250 million and 0.65% above $500 million. Prior to November 1, 2022, the Advisor contractually agreed to waive its advisory fee for the SA Multi-Managed Income/Equity Portfolio so that the advisory fee payable on average daily net assets equals 0.77% on the first $250 million, 0.72% on the next $250 million and 0.67% above $500 million. |
(4) | Effective November 1, 2022, the Advisor has contractually agreed to waive its advisory fee for the SA Multi-Managed Income Portfolio so that the advisory fee payable on average daily net assets equals 0.69% on the first $250 million, 0.64% on the next $250 million and 0.59% above $500 million. Prior to November 1, 2022, the Advisor contractually agreed to waive its advisory fee for the SA Multi-Managed Income Portfolio so that the advisory fee payable on average daily net assets equals 0.74% on the first $250 million, 0.69% on the next $250 million and 0.64% above $500 million. |
(5) | The Advisor has contractually agreed to waive its advisory fees for the SA Putnam Asset Allocation Diversified Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.70% on the first $250 million, 0.65% on the next $250 million, and 0.60% above $500 million. |
(6) | The Advisor has contractually agreed to waive its advisory fee for the SA Multi-Managed Large Cap Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.73% on the first $250 million, 0.67% on the next $250 million and 0.58% above $500 million. |
(7) | The Adviser contractually agreed to waive its advisory fees for the SA Multi-Managed International Equity Portfolio so that the advisory fee on average daily net assets equals 0.91% on the first $250 million, 0.86% on the next $250 million, and 0.81% above $500 million. |
(8) | The Adviser voluntarily agreed to waive 0.06% of advisory fees for the SA American Century Inflation Protection Portfolio. |
(9) | 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. |
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249 |
(10) | 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 year ended March 31, 2023, SAAMCo waived advisory fees as follows:
Portfolio | Amount | |||
SA Multi-Managed Growth |
$ | 52,604 | ||
SA Multi-Managed Moderate Growth |
42,419 | |||
SA Multi-Managed Income/Equity |
18,066 | |||
SA Multi-Managed Income |
15,133 | |||
SA Putnam Asset Allocation Diversified Growth |
274,511 | |||
SA Multi-Managed Large Cap Growth |
272,746 | |||
SA Multi-Managed International Equity |
122,233 | |||
SA American Century Inflation Protection |
388,368 | |||
SA Columbia Focused Value |
1,022,406 | |||
SA Allocation Growth |
37,452 | |||
SA Allocation Moderate Growth |
46,483 | |||
SA Allocation Moderate |
27,560 | |||
SA Allocation Balanced |
23,812 |
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 | Morgan Stanley J.P. Morgan WMC | |
SA Multi-Managed Moderate Growth | Morgan Stanley J.P. Morgan WMC | |
SA Multi-Managed Income/Equity | Morgan Stanley WMC | |
SA Multi-Managed Income | Morgan Stanley 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. Morgan Stanley 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 | |
SA Multi-Managed Mid Cap Value | T. Rowe Price Massachusetts Financial Services Company SAAMCo | |
SA Multi-Managed Small Cap | Schroder Investment Management J.P. Morgan SAAMCo | |
SA Multi-Managed International Equity | Schroder Investment Management T. Rowe Price SAAMCo |
|
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250 |
Portfolio | Subadviser/Adviser | |
SA Multi-Managed Diversified Fixed Income | PineBridge WMC | |
SA American Century Inflation Protection | American Century Investment Management, Inc. | |
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 majority-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 Services provided, pursuant to the agreement, which is allocated based on shareholder accounts. For the year ended March 31, 2023, 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 year ended March 31, 2023, service fees were paid (see Statement of Operations) based on the aforementioned rates.
Effective November 1, 2022, the Adviser has contractually agreed to reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of the following Portfolios average net assets through July 30, 2024. The contractual fee reimbursements may be modified or terminated only with the approval of the Board, including a majority of the Independent Trustees. For purposes of the waived fees and reimbursed expense calculations, annual Portfolio operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and infrequent in occurrence such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of the Portfolios business.
Portfolio | Class 1 | Class 2 | Class 3 | |||||||||
SA Multi-Managed Growth |
1.07 | % | 1.22 | % | 1.32 | % | ||||||
SA Multi-Managed Moderate Growth |
1.04 | 1.19 | 1.29 | |||||||||
SA Multi-Managed Income/Equity |
1.13 | 1.28 | 1.38 | |||||||||
SA Multi-Managed Income |
1.18 | 1.33 | 1.43 |
For the period beginning August 1, 2022 through October 31, 2022 the Adviser had contractually agreed to reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of the following Portfolios average net assets.
Portfolio | Class 1 | Class 2 | Class 3 | |||||||||
SA Multi-Managed Growth |
1.27 | % | 1.42 | % | 1.52 | % | ||||||
SA Multi-Managed Moderate Growth |
1.09 | 1.24 | 1.34 | |||||||||
SA Multi-Managed Income/Equity |
1.15 | 1.30 | 1.40 | |||||||||
SA Multi-Managed Income |
1.23 | 1.38 | 1.48 |
The Adviser also may voluntarily reimburse additional amounts to increase the investment return to a Portfolios investors. The Adviser may terminate all such voluntary waivers and/or reimbursements at any time. Waivers or reimbursements made by the Adviser with respect to a Portfolio, with the exception of management fee waivers, are subject to recoupment from that Portfolio within the following two years, provided that the Portfolio is able to effect such payment to the Adviser without exceeding the applicable expense limitations in effect at the time such waivers and/or reimbursements occurred.
For the year ended March 31, 2023, pursuant to the contractual expense limitations referred to above, SAAMCo has reimbursed expenses as follows:
Portfolio | Amount | |||
SA Multi-Managed Growth |
$ | 49,253 | ||
SA Multi-Managed Moderate Growth |
58,362 | |||
SA Multi-Managed Income/Equity |
46,523 | |||
SA Multi-Managed Income |
44,300 |
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For the period ended March 31, 2023, the amounts repaid to the Adviser which are included in the Statement of Operations along with the remaining balance subject to recoupment are as follows:
Amount Recouped |
Balance Subject to Recoupment |
|||||||
Portfolio | March 31, 2023 |
March 31, 2025 |
||||||
SA Multi-Managed Growth |
$ | | $ | 49,253 | ||||
SA Multi-Managed Moderate Growth |
| 58,362 | ||||||
SA Multi-Managed Income/Equity |
| 46,523 | ||||||
SA Multi-Managed Income |
| 44,300 |
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, 2023 | ||||||||||||||||||||
Portfolio |
Ordinary Income |
Long-term Gains/ Capital Loss Carryover |
Unrealized Appreciation (Depreciation)* |
Ordinary Income |
Long-Term Capital Gains |
|||||||||||||||
SA Multi-Managed Growth |
$ | | $ | (7,830,365 | ) | $ | (3,101,226 | ) | $ | | $ | 6,109,542 | ||||||||
SA Multi-Managed Moderate Growth |
202,289 | (10,380,715 | ) | (6,143,154 | ) | 325,352 | 7,367,286 | |||||||||||||
SA Multi-Managed Income/Equity |
415,156 | (6,370,605 | ) | (4,775,575 | ) | 266,713 | 2,457,300 | |||||||||||||
SA Multi-Managed Income |
497,173 | (2,862,351 | ) | (4,374,348 | ) | 449,848 | 1,089,179 | |||||||||||||
SA Putnam Asset Allocation Diversified Growth |
2,605,016 | (6,716,047 | ) | 11,572,521 | 6,700,659 | 26,242,262 | ||||||||||||||
SA T. Rowe Price Growth Stock |
| 10,322,448 | 43,652,917 | | 46,114,678 | |||||||||||||||
SA Multi-Managed Large Cap Growth |
| 1,058,935 | 39,776,037 | 29,803 | 60,958,375 | |||||||||||||||
SA Multi-Managed Large Cap Value |
10,334,594 | 67,255,538 | 17,802,430 | 22,271,283 | 97,422,799 | |||||||||||||||
SA Multi-Managed Mid Cap Growth |
| (12,330,944 | ) | 10,177,625 | 2,293,640 | 42,766,296 | ||||||||||||||
SA Multi-Managed Mid Cap Value |
2,190,782 | 14,504,104 | 22,519,825 | 7,521,793 | 23,625,883 | |||||||||||||||
SA Multi-Managed Small Cap |
637,117 | 5,026,985 | 6,037,770 | 4,420,598 | 30,584,652 | |||||||||||||||
SA Multi-Managed International Equity |
6,316,575 | 867,221 | 31,926,531 | 6,884,084 | 19,491,019 | |||||||||||||||
SA Multi-Managed Diversified Fixed Income |
15,576,320 | (47,914,227 | ) | (75,378,943 | ) | 18,471,549 | | |||||||||||||
SA American Century Inflation Protection |
27,136,550 | (26,679,346 | ) | (59,568,612 | ) | 25,613,789 | | |||||||||||||
SA Columbia Focused Value |
4,709,933 | 18,333,995 | 70,254,730 | 6,170,511 | 33,363,542 | |||||||||||||||
SA Allocation Growth |
8,784,544 | 36,033,835 | (56,740,982 | ) | 9,324,721 | 22,056,325 | ||||||||||||||
SA Allocation Moderate Growth |
10,729,477 | 36,100,264 | (55,071,877 | ) | 13,608,667 | 31,491,806 | ||||||||||||||
SA Allocation Moderate |
6,184,872 | 18,802,633 | (37,334,650 | ) | 8,159,367 | 18,075,727 | ||||||||||||||
SA Allocation Balanced |
5,174,688 | 12,286,320 | (35,482,776 | ) | 6,649,554 | 11,844,721 |
* | Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency. |
Tax Distributions | ||||||||
For the year ended March 31, 2022 |
||||||||
Portfolio |
Ordinary Income |
Long-Term Capital Gains |
||||||
SA Multi-Managed Growth |
$ | 7,063,256 | $ | 5,356,426 | ||||
SA Multi-Managed Moderate Growth |
10,350,442 | 7,100,713 | ||||||
SA Multi-Managed Income/Equity |
5,022,911 | 3,267,824 | ||||||
SA Multi-Managed Income |
2,658,164 | 1,446,973 | ||||||
SA Putnam Asset Allocation Diversified Growth |
10,494,567 | 6,883,482 | ||||||
SA T. Rowe Price Growth Stock |
20,232,909 | 72,710,435 | ||||||
SA Multi-Managed Large Cap Growth |
46,890,880 | 89,596,768 | ||||||
SA Multi-Managed Large Cap Value |
31,944,082 | 26,064,705 | ||||||
SA Multi-Managed Mid Cap Growth |
24,315,713 | 45,752,190 | ||||||
SA Multi-Managed Mid Cap Value |
4,643,935 | 8,558,237 | ||||||
SA Multi-Managed Small Cap |
11,696,610 | 17,506,791 | ||||||
SA Multi-Managed International Equity |
10,446,539 | 14,384,068 | ||||||
SA Multi-Managed Diversified Fixed Income |
32,732,580 | 7,591,727 | ||||||
SA American Century Inflation Protection |
16,903,604 | | ||||||
SA Columbia Focused Value |
10,637,392 | 18,901,707 | ||||||
SA Allocation Growth |
5,683,785 | 16,027,174 | ||||||
SA Allocation Moderate Growth |
10,234,671 | 29,925,404 | ||||||
SA Allocation Moderate |
6,668,931 | 16,392,363 | ||||||
SA Allocation Balanced |
2,740,453 | 8,347,613 |
|
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252 |
As of March 31, 2023, 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 |
$ | 3,954,312 | $ | 3,876,053 | ||||
SA Multi-Managed Moderate Growth |
4,802,550 | 5,578,165 | ||||||
SA Multi-Managed Income/Equity |
2,544,869 | 3,825,736 | ||||||
SA Multi-Managed Income |
1,064,287 | 1,798,064 | ||||||
SA Putnam Asset Allocation Diversified Growth |
6,716,047 | | ||||||
SA Multi-Managed Mid Cap Growth |
11,196,355 | 1,134,589 | ||||||
SA Multi-Managed Diversified Fixed Income |
28,214,819 | 19,699,408 | ||||||
SA American Century Inflation Protection |
20,114,421 | 6,564,925 |
Under the current law, capital losses realized after October 31 and specified ordinary losses may be deferred and treated as occurring on the first day of the following year. For the fiscal year ended March 31, 2023, the Portfolios elected to defer late year ordinary losses and post October capital losses as follows:
Portfolio |
Deferred Late Year Ordinary Loss |
Deferred Post-October Short-Term Capital Loss |
Deferred Post-October Long-Term Capital Loss |
|||||||||
SA Multi-Managed Growth |
$ | 7,141 | $ | | $ | | ||||||
SA T. Rowe Price Growth Stock |
837,795 | | | |||||||||
SA Multi-Managed Large Cap Growth |
950,267 | | | |||||||||
SA Multi-Managed Mid Cap Growth |
91,815 | | |
For the year ended March 31, 2023, the reclassifications arising from book/tax differences resulted in increases (decreases) that were primarily due to net investment losses, treatment of foreign currency, derivative transactions, investments in partnerships, investments in passive foreign investment companies, paydown losses, investments in real estate investment trusts and expiration of capital loss carryforwards, to the components of net assets as follows:
Portfolio |
Accumulated Earnings(Loss) |
Paid-in Capital | ||||||
SA Multi-Managed Growth |
$ | 131,645 | $ | (131,645 | ) | |||
SA T. Rowe Price Growth Stock |
1,086,299 | (1,086,299 | ) | |||||
SA Multi-Managed Large Cap Growth |
641,106 | (641,106 | ) | |||||
SA Multi-Managed Mid Cap Growth |
5,920,616 | (5,920,616 | ) |
The amounts of aggregate unrealized gain (loss) and the cost of investment securities for Federal tax purposes, including short-term securities and repurchase agreements, were as follows:
Portfolio |
Aggregate Unrealized Gain |
Aggregate Unrealized Loss |
Net Unrealized Gain/(Loss) |
Cost of Investments |
||||||||||||
SA Multi-Managed Growth |
$ | 1,634,290 | $ | (4,735,848 | ) | $ | (3,101,558 | ) | $ | 40,055,726 | ||||||
SA Multi-Managed Moderate Growth |
855,260 | (6,999,352 | ) | (6,144,092 | ) | 70,840,090 | ||||||||||
SA Multi-Managed Income/Equity |
756,151 | (5,533,187 | ) | (4,777,036 | ) | 48,218,200 | ||||||||||
SA Multi-Managed Income |
473,900 | (4,849,675 | ) | (4,375,775 | ) | 39,978,404 | ||||||||||
SA Putnam Asset Allocation Diversified Growth |
23,784,370 | (12,209,416 | ) | 11,574,954 | 180,570,454 | |||||||||||
SA T. Rowe Price Growth Stock |
60,186,935 | (16,534,142 | ) | 43,652,793 | 229,569,701 | |||||||||||
SA Multi-Managed Large Cap Growth |
68,676,279 | (28,900,216 | ) | 39,776,063 | 324,354,169 | |||||||||||
SA Multi-Managed Large Cap Value |
54,954,423 | (37,150,247 | ) | 17,804,176 | 535,442,145 | |||||||||||
SA Multi-Managed Mid Cap Growth |
26,888,448 | (16,710,823 | ) | 10,177,625 | 150,185,580 | |||||||||||
SA Multi-Managed Mid Cap Value |
35,544,170 | (13,023,821 | ) | 22,520,349 | 176,958,453 | |||||||||||
SA Multi-Managed Small Cap |
28,047,569 | (22,009,799 | ) | 6,037,770 | 170,880,975 | |||||||||||
SA Multi-Managed International Equity |
54,609,007 | (22,649,505 | ) | 31,959,502 | 277,372,727 | |||||||||||
SA Multi-Managed Diversified Fixed Income |
5,566,010 | (80,967,859 | ) | (75,401,849 | ) | 999,469,848 | ||||||||||
SA American Century Inflation Protection |
292,596 | (59,861,208 | ) | (59,568,612 | ) | 691,683,161 | ||||||||||
SA Columbia Focused Value |
85,113,498 | (14,858,768 | ) | 70,254,730 | 264,984,930 | |||||||||||
SA Allocation Growth |
3,973,243 | (60,714,225 | ) | (56,740,982 | ) | 452,894,025 | ||||||||||
SA Allocation Moderate Growth |
7,660,235 | (62,732,112 | ) | (55,071,877 | ) | 521,210,544 | ||||||||||
SA Allocation Moderate |
3,082,790 | (40,417,440 | ) | (37,334,650 | ) | 310,745,664 | ||||||||||
SA Allocation Balanced |
1,377,379 | (36,860,155 | ) | (35,482,776 | ) | 273,493,812 |
| ||
253 |
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 year ended March 31, 2023, 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 year ended March 31, 2023 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 |
$ | 19,010,516 | $ | 19,638,731 | $ | 3,609,669 | $ | 4,014,004 | ||||||||
SA Multi-Managed Moderate Growth |
28,966,297 | 35,958,897 | 10,760,056 | 9,990,419 | ||||||||||||
SA Multi-Managed Income/Equity |
12,958,089 | 18,079,045 | 10,284,816 | 8,805,617 | ||||||||||||
SA Multi-Managed Income |
8,664,259 | 14,207,681 | 9,567,510 | 8,722,579 | ||||||||||||
SA Putnam Asset Allocation Diversified Growth |
88,355,127 | 98,423,129 | 1,680,917 | 2,277,464 | ||||||||||||
SA T. Rowe Price Growth Stock |
78,566,189 | 138,109,270 | | | ||||||||||||
SA Multi-Managed Large Cap Growth |
170,573,452 | 214,239,902 | | | ||||||||||||
SA Multi-Managed Large Cap Value |
252,237,962 | 434,844,526 | | | ||||||||||||
SA Multi-Managed Mid Cap Growth |
78,220,684 | 97,850,263 | | | ||||||||||||
SA Multi-Managed Mid Cap Value |
64,540,832 | 83,340,260 | | | ||||||||||||
SA Multi-Managed Small Cap |
80,208,134 | 106,370,557 | | | ||||||||||||
SA Multi-Managed International Equity |
38,829,726 | 69,825,718 | | | ||||||||||||
SA Multi-Managed Diversified Fixed Income |
178,360,332 | 239,359,278 | 182,424,253 | 168,900,515 | ||||||||||||
SA American Century Inflation Protection |
124,149,581 | 261,798,631 | 243,721,185 | 165,790,651 | ||||||||||||
SA Columbia Focused Value Portfolio |
45,749,780 | 42,689,084 | | | ||||||||||||
SA Allocation Growth |
78,398,779 | 56,997,302 | | | ||||||||||||
SA Allocation Moderate Growth |
54,449,453 | 80,816,296 | | | ||||||||||||
SA Allocation Moderate |
34,727,021 | 54,216,617 | | | ||||||||||||
SA Allocation Balanced |
32,641,236 | 43,947,613 | | |
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 year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
43,213 | $ | 401,955 | 68,633 | $ | 1,133,129 | 100,334 | $ | 933,528 | 126,175 | $ | 2,074,120 | ||||||||||||||||||||
Reinvested dividends |
157,822 | 1,313,079 | 165,539 | 2,693,314 | 294,281 | 2,430,764 | 304,017 | 4,925,069 | ||||||||||||||||||||||||
Shares redeemed |
(94,629 | ) | (934,798 | ) | (64,011 | ) | (1,233,315 | ) | (144,287 | ) | (1,421,400 | ) | (87,551 | ) | (1,582,321 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
106,406 | $ | 780,236 | 170,161 | $ | 2,593,128 | 250,328 | $ | 1,942,892 | 342,641 | $ | 5,416,868 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
141,517 | $ | 1,323,641 | 137,280 | $ | 2,268,225 | ||||||||||||||||||||||||||
Reinvested dividends |
288,852 | 2,365,699 | 297,847 | 4,801,299 | ||||||||||||||||||||||||||||
Shares redeemed |
(236,388 | ) | (2,319,027 | ) | (282,771 | ) | (5,887,315 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
193,981 | $ | 1,370,313 | 152,356 | $ | 1,182,209 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
||
254 |
SA Multi-Managed Moderate Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
21,105 | $ | 170,188 | 63,948 | $ | 840,786 | 95,079 | $ | 761,970 | 290,888 | $ | 3,881,898 | ||||||||||||||||||||
Reinvested dividends |
113,850 | 860,708 | 156,158 | 1,994,141 | 504,176 | 3,796,446 | 688,991 | 8,784,639 | ||||||||||||||||||||||||
Shares redeemed |
(139,488 | ) | (1,210,673 | ) | (89,354 | ) | (1,317,115 | ) | (615,442 | ) | (5,314,147 | ) | (348,551 | ) | (5,180,760 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(4,533 | ) | $ | (179,777 | ) | 130,752 | $ | 1,517,812 | (16,187 | ) | $ | (755,731 | ) | 631,328 | $ | 7,485,777 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
186,329 | $ | 1,541,186 | 229,965 | $ | 3,032,359 | ||||||||||||||||||||||||||
Reinvested dividends |
404,192 | 3,035,484 | 524,146 | 6,672,375 | ||||||||||||||||||||||||||||
Shares redeemed |
(476,193 | ) | (4,019,445 | ) | (313,119 | ) | (4,542,213 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
114,328 | $ | 557,225 | 440,992 | $ | 5,162,521 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
5,789 | $ | 42,171 | 47,728 | $ | 524,880 | 107,881 | $ | 828,398 | 295,707 | $ | 3,320,903 | ||||||||||||||||||||
Reinvested dividends |
48,842 | 349,709 | 101,299 | 1,092,008 | 202,708 | 1,451,387 | 409,001 | 4,404,940 | ||||||||||||||||||||||||
Shares redeemed |
(119,342 | ) | (936,258 | ) | (123,158 | ) | (1,462,442 | ) | (448,887 | ) | (3,516,950 | ) | (506,872 | ) | (6,137,087 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(64,711 | ) | $ | (544,378 | ) | 25,869 | $ | 154,446 | (138,298 | ) | $ | (1,237,165 | ) | 197,836 | $ | 1,588,756 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
91,323 | $ | 676,411 | 188,343 | $ | 2,140,225 | ||||||||||||||||||||||||||
Reinvested dividends |
128,719 | 922,917 | 259,164 | 2,793,787 | ||||||||||||||||||||||||||||
Shares redeemed |
(272,784 | ) | (2,118,739 | ) | (202,484 | ) | (2,311,426 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
(52,742 | ) | $ | (519,411 | ) | 245,023 | $ | 2,622,586 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
10,393 | $ | 89,706 | 23,635 | $ | 265,190 | 29,943 | $ | 250,905 | 125,164 | $ | 1,414,146 | ||||||||||||||||||||
Reinvested dividends |
20,422 | 165,624 | 38,925 | 423,113 | 108,806 | 882,415 | 214,325 | 2,327,571 | ||||||||||||||||||||||||
Shares redeemed |
(67,728 | ) | (574,544 | ) | (94,271 | ) | (1,119,468 | ) | (404,995 | ) | (3,438,469 | ) | (280,219 | ) | (3,232,865 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(36,913 | ) | $ | (319,214 | ) | (31,711 | ) | $ | (431,165 | ) | (266,246 | ) | $ | (2,305,149 | ) | 59,270 | $ | 508,852 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
255 |
SA Multi-Managed Income Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
177,195 | $ | 1,488,372 | 121,878 | $ | 1,377,712 | ||||||||||||||||||||||||||
Reinvested dividends |
60,467 | 490,988 | 124,605 | 1,354,453 | ||||||||||||||||||||||||||||
Shares redeemed |
(356,363 | ) | (3,052,988 | ) | (235,448 | ) | (2,646,931 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
(118,701 | ) | $ | (1,073,628 | ) | 11,035 | $ | 85,234 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
55,337 | $ | 621,438 | 2,590 | $ | 38,763 | 198,414 | $ | 2,229,317 | 52,050 | $ | 794,820 | ||||||||||||||||||||
Reinvested dividends |
186,012 | 1,936,387 | 84,303 | 1,255,277 | 638,004 | 6,648,005 | 286,235 | 4,262,043 | ||||||||||||||||||||||||
Shares redeemed |
(242,489 | ) | (2,804,576 | ) | (294,751 | ) | (4,363,813 | ) | (827,785 | ) | (9,580,349 | ) | (952,971 | ) | (14,120,103 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(1,140 | ) | $ | (246,751 | ) | (207,858 | ) | $ | (3,069,773 | ) | 8,633 | $ | (703,027 | ) | (614,686 | ) | $ | (9,063,240 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio |
||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
1,040,726 | $ | 12,431,855 | 1,378,001 | $ | 20,476,278 | ||||||||||||||||||||||||||
Reinvested dividends |
2,351,209 | 24,358,528 | 799,779 | 11,860,729 | ||||||||||||||||||||||||||||
Shares redeemed |
(1,481,093 | ) | (17,130,882 | ) | (1,214,189 | ) | (18,025,352 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
1,910,842 | $ | 19,659,501 | 963,591 | $ | 14,311,655 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
149,585 | $ | 2,481,670 | 1,783,451 | $ | 53,546,253 | 257,737 | $ | 3,863,922 | 122,808 | $ | 2,884,854 | ||||||||||||||||||||
Reinvested dividends |
2,523,377 | 37,547,847 | 2,632,624 | 76,977,920 | 342,764 | 4,723,285 | 323,660 | 8,894,168 | ||||||||||||||||||||||||
Shares redeemed |
(3,695,691 | ) | (64,367,098 | ) | (2,067,335 | ) | (64,280,291 | ) | (373,544 | ) | (5,963,663 | ) | (340,431 | ) | (10,068,982 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(1,022,729 | ) | $ | (24,337,581 | ) | 2,348,740 | $ | 66,243,882 | 226,957 | $ | 2,623,544 | 106,037 | $ | 1,710,040 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
263,108 | $ | 3,821,177 | 103,273 | $ | 2,363,326 | ||||||||||||||||||||||||||
Reinvested dividends |
293,177 | 3,843,546 | 267,851 | 7,071,256 | ||||||||||||||||||||||||||||
Shares redeemed |
(341,153 | ) | (5,167,132 | ) | (332,425 | ) | (9,579,444 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
215,132 | $ | 2,497,591 | 38,699 | $ | (144,862 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
||
256 |
SA Multi-Managed Large Cap Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
2,113,950 | $ | 21,049,499 | 4,463,358 | $ | 77,927,487 | 134,519 | $ | 1,191,944 | 20,214 | $ | 312,381 | ||||||||||||||||||||
Reinvested dividends |
6,066,296 | 54,232,686 | 7,161,976 | 121,538,733 | 506,748 | 4,297,225 | 604,137 | 9,829,305 | ||||||||||||||||||||||||
Shares redeemed |
(5,917,730 | ) | (65,145,208 | ) | (4,377,598 | ) | (83,177,050 | ) | (300,256 | ) | (3,150,194 | ) | (341,230 | ) | (6,205,419 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
2,262,516 | $ | 10,136,977 | 7,247,736 | $ | 116,289,170 | 341,011 | $ | 2,338,975 | 283,121 | $ | 3,936,267 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
148,945 | $ | 1,317,495 | 71,440 | $ | 1,054,518 | ||||||||||||||||||||||||||
Reinvested dividends |
297,972 | 2,458,267 | 321,382 | 5,119,610 | ||||||||||||||||||||||||||||
Shares redeemed |
(220,252 | ) | (2,121,391 | ) | (203,592 | ) | (3,706,399 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
226,665 | $ | 1,654,371 | 189,230 | $ | 2,467,729 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
428,691 | $ | 6,526,862 | 4,656,830 | $ | 79,997,273 | 27,830 | $ | 404,604 | 28,592 | $ | 498,175 | ||||||||||||||||||||
Reinvested dividends |
8,301,579 | 113,980,675 | 3,314,634 | 55,486,967 | 283,150 | 3,884,819 | 102,054 | 1,706,337 | ||||||||||||||||||||||||
Shares redeemed |
(13,087,762 | ) | (199,730,107 | ) | (11,515,868 | ) | (200,343,113 | ) | (206,849 | ) | (3,175,809 | ) | (247,428 | ) | (4,290,095 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(4,357,492 | ) | $ | (79,222,570 | ) | (3,544,404 | ) | $ | (64,858,873 | ) | 104,131 | $ | 1,113,614 | (116,782 | ) | $ | (2,085,583 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
34,695 | $ | 518,489 | 22,498 | $ | 389,522 | ||||||||||||||||||||||||||
Reinvested dividends |
133,182 | 1,828,588 | 48,744 | 815,483 | ||||||||||||||||||||||||||||
Shares redeemed |
(149,685 | ) | (2,232,011 | ) | (138,821 | ) | (2,414,462 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
18,192 | $ | 115,066 | (67,579 | ) | $ | (1,209,457 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
55,065 | $ | 678,528 | 740,136 | $ | 19,188,225 | 44,846 | $ | 443,109 | 31,214 | $ | 578,514 | ||||||||||||||||||||
Reinvested dividends |
3,410,548 | 35,776,644 | 2,858,658 | 56,944,459 | 612,447 | 5,597,768 | 448,098 | 8,110,581 | ||||||||||||||||||||||||
Shares redeemed |
(1,519,917 | ) | (19,817,735 | ) | (1,740,839 | ) | (42,397,237 | ) | (152,858 | ) | (1,818,208 | ) | (159,889 | ) | (3,456,517 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
1,945,696 | $ | 16,637,437 | 1,857,955 | $ | 33,735,447 | 504,435 | $ | 4,222,669 | 319,423 | $ | 5,232,578 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
257 |
SA Multi-Managed Mid Cap Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
81,843 | $ | 847,121 | 28,496 | $ | 511,637 | ||||||||||||||||||||||||||
Reinvested dividends |
439,800 | 3,685,524 | 293,665 | 5,012,863 | ||||||||||||||||||||||||||||
Shares redeemed |
(139,902 | ) | (1,477,509 | ) | (104,529 | ) | (2,288,949 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
381,741 | $ | 3,055,136 | 217,632 | $ | 3,235,551 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
68,917 | $ | 1,177,095 | 790,428 | $ | 15,491,961 | 35,155 | $ | 565,673 | 18,515 | $ | 353,688 | ||||||||||||||||||||
Reinvested dividends |
1,710,320 | 26,646,782 | 576,586 | 11,231,892 | 182,905 | 2,840,515 | 63,349 | 1,230,243 | ||||||||||||||||||||||||
Shares redeemed |
(1,254,659 | ) | (21,603,370 | ) | (2,744,773 | ) | (53,920,052 | ) | (134,442 | ) | (2,289,669 | ) | (205,972 | ) | (4,045,882 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
524,578 | $ | 6,220,507 | (1,377,759 | ) | $ | (27,196,199 | ) | 83,618 | $ | 1,116,519 | (124,108 | ) | $ | (2,461,951 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
16,924 | $ | 282,942 | 16,550 | $ | 324,631 | ||||||||||||||||||||||||||
Reinvested dividends |
107,121 | 1,660,379 | 38,166 | 740,037 | ||||||||||||||||||||||||||||
Shares redeemed |
(128,655 | ) | (2,188,331 | ) | (140,180 | ) | (2,749,735 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
(4,610 | ) | $ | (245,010 | ) | (85,464 | ) | $ | (1,685,067 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
97,363 | $ | 1,099,436 | 1,672,188 | $ | 25,908,690 | 7,915 | $ | 78,106 | 26,401 | $ | 392,050 | ||||||||||||||||||||
Reinvested dividends |
3,095,882 | 31,051,694 | 1,807,740 | 25,904,912 | 246,169 | 2,355,837 | 145,721 | 2,008,034 | ||||||||||||||||||||||||
Shares redeemed |
(2,721,972 | ) | (30,301,352 | ) | (3,408,159 | ) | (51,848,712 | ) | (152,011 | ) | (1,698,259 | ) | (201,426 | ) | (2,942,868 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
471,273 | $ | 1,849,778 | 71,769 | $ | (35,110 | ) | 102,073 | $ | 735,684 | (29,304 | ) | $ | (542,784 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed Small Cap Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
29,421 | $ | 317,935 | 20,874 | $ | 286,004 | ||||||||||||||||||||||||||
Reinvested dividends |
172,354 | 1,597,719 | 96,088 | 1,290,455 | ||||||||||||||||||||||||||||
Shares redeemed |
(98,743 | ) | (1,056,764 | ) | (134,991 | ) | (1,917,999 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
103,032 | $ | 858,890 | (18,029 | ) | $ | (341,540 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
||
258 |
SA Multi-Managed International Equity Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
465,647 | $ | 3,738,533 | 3,940,411 | $ | 40,574,157 | 60,654 | $ | 481,615 | 36,341 | $ | 368,304 | ||||||||||||||||||||
Reinvested dividends |
3,170,028 | 24,377,518 | 2,317,598 | 22,944,222 | 153,185 | 1,182,585 | 113,707 | 1,129,111 | ||||||||||||||||||||||||
Shares redeemed |
(4,652,107 | ) | (37,573,010 | ) | (5,948,235 | ) | (61,266,733 | ) | (284,419 | ) | (2,329,593 | ) | (268,402 | ) | (2,760,193 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(1,016,432 | ) | $ | (9,456,959 | ) | 309,774 | $ | 2,251,646 | (70,580 | ) | $ | (665,393 | ) | (118,354 | ) | $ | (1,262,778 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed International Equity Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
41,088 | $ | 307,398 | 32,216 | $ | 327,158 | ||||||||||||||||||||||||||
Reinvested dividends |
105,844 | 815,000 | 76,570 | 757,274 | ||||||||||||||||||||||||||||
Shares redeemed |
(217,567 | ) | (1,739,845 | ) | (229,560 | ) | (2,338,559 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
(70,635 | ) | $ | (617,447 | ) | (120,774 | ) | $ | (1,254,127 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
3,789,575 | $ | 38,515,992 | 8,443,315 | $ | 101,504,946 | 50,781 | $ | 506,774 | 147,204 | $ | 1,714,786 | ||||||||||||||||||||
Reinvested dividends |
1,812,037 | 18,011,646 | 3,383,463 | 39,214,342 | 31,396 | 312,078 | 61,911 | 717,545 | ||||||||||||||||||||||||
Shares redeemed |
(10,698,402 | ) | (108,003,322 | ) | (11,572,351 | ) | (137,308,042 | ) | (280,937 | ) | (2,837,749 | ) | (316,157 | ) | (3,727,162 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(5,096,790 | ) | $ | (51,475,684 | ) | 254,427 | $ | 3,411,246 | (198,760 | ) | $ | (2,018,897 | ) | (107,042 | ) | $ | (1,294,831 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
31,678 | $ | 311,003 | 69,295 | $ | 818,414 | ||||||||||||||||||||||||||
Reinvested dividends |
14,932 | 147,825 | 34,035 | 392,420 | ||||||||||||||||||||||||||||
Shares redeemed |
(175,873 | ) | (1,773,744 | ) | (192,056 | ) | (2,257,087 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
(129,263 | ) | $ | (1,314,916 | ) | (88,726 | ) | $ | (1,046,253 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 3 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
1,828,994 | $ | 17,215,604 | 5,280,957 | $ | 54,319,930 | 5,052,614 | $ | 46,740,926 | 5,826,763 | $ | 59,584,627 | ||||||||||||||||||||
Reinvested dividends |
1,142,207 | 10,314,132 | 622,937 | 6,410,018 | 1,713,287 | 15,299,657 | 1,030,804 | 10,493,586 | ||||||||||||||||||||||||
Shares redeemed |
(3,230,464 | ) | (30,248,570 | ) | (3,807,972 | ) | (39,412,627 | ) | (5,850,094 | ) | (54,306,463 | ) | (5,069,900 | ) | (51,713,530 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(259,263 | ) | $ | (2,718,834 | ) | 2,095,922 | $ | 21,317,321 | 915,807 | $ | 7,734,120 | 1,787,667 | $ | 18,364,683 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
259 |
SA Columbia Focused Value Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
1,951,204 | $ | 39,475,465 | 1,027,228 | $ | 24,170,191 | 15,168 | $ | 302,983 | 25,601 | $ | 595,139 | ||||||||||||||||||||
Reinvested dividends |
1,859,320 | 36,926,094 | 1,230,040 | 27,577,492 | 81,155 | 1,617,414 | 52,985 | 1,191,632 | ||||||||||||||||||||||||
Shares redeemed |
(2,037,815 | ) | (42,835,582 | ) | (2,549,933 | ) | (59,889,700 | ) | (107,202 | ) | (2,268,541 | ) | (99,095 | ) | (2,323,136 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
1,772,709 | $ | 33,565,977 | (292,665 | ) | $ | (8,142,017 | ) | (10,879 | ) | $ | (348,144 | ) | (20,509 | ) | $ | (536,365 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Columbia Focused Value Portfolio | ||||||||||||||||||||||||||||||||
Class 3 | ||||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold |
18,524 | $ | 392,243 | 18,015 | $ | 423,029 | ||||||||||||||||||||||||||
Reinvested dividends |
49,651 | 990,545 | 34,221 | 769,975 | ||||||||||||||||||||||||||||
Shares redeemed |
(83,969 | ) | (1,734,147 | ) | (94,858 | ) | (2,229,423 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) |
(15,794 | ) | $ | (351,359 | ) | (42,622 | ) | $ | (1,036,419 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SA Allocation Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 3 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
8,487 | $ | 125,935 | 320,610 | $ | 5,547,726 | 3,071,117 | $ | 44,019,706 | 4,732,951 | $ | 81,907,591 | ||||||||||||||||||||
Reinvested dividends |
25,939 | 349,916 | 2,570 | 44,432 | 2,314,029 | 31,031,130 | 1,260,415 | 21,666,527 | ||||||||||||||||||||||||
Shares redeemed |
(57,978 | ) | (894,609 | ) | (3,816 | ) | (67,525 | ) | (1,461,066 | ) | (20,460,134 | ) | (1,005,580 | ) | (17,213,011 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(23,552 | ) | $ | (418,758 | ) | 319,364 | $ | 5,524,633 | 3,924,080 | $ | 54,590,702 | 4,987,786 | $ | 86,361,107 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Allocation Moderate Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 3 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
26,243 | $ | 288,324 | 96 | $ | 1,156 | 2,052,751 | $ | 20,532,267 | 3,278,750 | $ | 40,514,936 | ||||||||||||||||||||
Reinvested dividends |
3,299 | 30,813 | 1,654 | 20,019 | 4,835,800 | 45,069,660 | 3,325,605 | 40,140,056 | ||||||||||||||||||||||||
Shares redeemed |
(18,902 | ) | (183,023 | ) | (545 | ) | (6,706 | ) | (4,525,904 | ) | (45,266,919 | ) | (4,661,951 | ) | (57,459,299 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
10,640 | $ | 136,114 | 1,205 | $ | 14,469 | 2,362,647 | $ | 20,335,008 | 1,942,404 | $ | 23,195,693 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
SA Allocation Moderate Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 3 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
|||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
6,388 | $ | 67,099 | 2,109 | $ | 26,928 | 1,408,119 | $ | 13,898,017 | 1,779,356 | $ | 21,535,012 | ||||||||||||||||||||
Reinvested dividends |
2,016 | 18,689 | 889 | 10,610 | 2,834,206 | 26,216,405 | 1,937,032 | 23,050,684 | ||||||||||||||||||||||||
Shares redeemed |
(696 | ) | (6,772 | ) | (222 | ) | (2,712 | ) | (3,274,362 | ) | (32,383,365 | ) | (2,759,738 | ) | (33,553,889 | ) | ||||||||||||||||
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Net increase (decrease) |
7,708 | $ | 79,016 | 2,776 | $ | 34,826 | 967,963 | $ | 7,731,057 | 956,650 | $ | 11,031,807 | ||||||||||||||||||||
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260 |
SA Allocation Balanced Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 3 | |||||||||||||||||||||||||||||||
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
For the year ended March 31, 2023 |
For the year ended March 31, 2022 |
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Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold |
9,788 | $ | 100,190 | 3,477 | $ | 39,151 | 1,982,767 | $ | 18,475,365 | 3,124,289 | $ | 34,608,806 | ||||||||||||||||||||
Reinvested dividends |
629 | 5,534 | 681 | 7,505 | 2,098,609 | 18,488,741 | 1,004,584 | 11,080,561 | ||||||||||||||||||||||||
Shares redeemed |
(19,336 | ) | (180,423 | ) | (134 | ) | (1,489 | ) | (3,081,951 | ) | (28,770,371 | ) | (2,404,572 | ) | (26,839,789 | ) | ||||||||||||||||
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Net increase (decrease) |
(8,919 | ) | $ | (74,699 | ) | 4,024 | $ | 45,167 | 999,425 | $ | 8,193,735 | 1,724,301 | $ | 18,849,578 | ||||||||||||||||||
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Note 8. Transactions with Affiliates:
The following Portfolio (s) incurred brokerage commissions with affiliated brokers for the year ended March 31, 2023:
Portfolio |
Morgan Stanley | |||
SA Multi-Managed Large Cap Growth |
$ | 1,538 |
As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various portfolios of the Trust and SunAmerica Series Trust and securities issued by American International Group, Inc. (AIG) or an affiliate thereof. For the year ended March 31, 2023, transactions in these securities were as follows:
SA Multi-Managed Large Cap Value Portfolio
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds of Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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American International Group, Inc. |
$ | 12,072 | $ | | $ | 694,989 | $ | 61,070 | $ | 200,458 | $ | 878 | $ | (126,103 | ) | $ | 430,376 | |||||||||||||||
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SA Allocation Growth Portfolio
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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Seasons Series Trust |
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SA America Century Inflation Protection Portfolio, Class 1 |
$ | 108,641 | $ | 62,682 | $ | 2,330,136 | $ | 3,837,367 | $ | 171,623 | $ | (12,382 | ) | $ | (332,530 | ) | $ | 5,650,968 | ||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 |
153,975 | 902,637 | 9,160,296 | 3,297,287 | 1,111,741 | 117,536 | (1,738,690 | ) | 9,724,688 | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 |
428,358 | | 11,304,682 | 9,993,785 | 1,648,663 | (353,007 | ) | (713,678 | ) | 18,583,119 | ||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 |
443,187 | 1,416,275 | 21,834,004 | 3,909,967 | 830,621 | (183,884 | ) | (2,026,931 | ) | 22,702,535 | ||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 |
| 2,363,834 | 22,925,544 | 3,819,577 | 6,362,967 | (584,373 | ) | (5,204,183 | ) | 14,593,598 | ||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 |
387,519 | 3,392,450 | 22,532,961 | 5,708,025 | 5,651,962 | 156,053 | (4,457,527 | ) | 18,287,550 | |||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 |
| 638,751 | 2,537,562 | 854,594 | 87,434 | (50,059 | ) | (860,627 | ) | 2,394,036 | ||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 |
51,549 | 874,389 | 6,215,555 | 1,483,531 | 225,871 | 15,535 | (1,389,989 | ) | 6,098,761 | |||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 |
21,867 | 899,875 | 5,259,970 | 1,389,254 | 185,796 | (55,694 | ) | (1,331,879 | ) | 5,075,855 | ||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 |
| 809,018 | 9,349,968 | 1,314,152 | 3,541,752 | (845,821 | ) | (1,302,058 | ) | 4,974,489 | ||||||||||||||||||||||
SunAmerica Series Trust |
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SA AB Growth Portfolio, Class 1 |
| 2,473,898 | 16,544,227 | 4,848,823 | 1,597,464 | 344,819 | (4,151,208 | ) | 15,989,197 | |||||||||||||||||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 |
36,739 | 831,530 | 3,364,286 | 1,156,060 | 116,578 | 36,690 | (1,213,648 | ) | 3,226,810 | |||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 |
| | 72,906 | 2,109,984 | 66,248 | (2,372 | ) | 23,368 | 2,137,638 | |||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 |
71,412 | | 3,628,337 | 846,217 | 143,049 | (6,883 | ) | (450,076 | ) | 3,874,546 | ||||||||||||||||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 |
312,394 | 28,880 | 11,333,213 | 1,146,663 | 3,536,687 | (384,123 | ) | (499,531 | ) | 8,059,535 |
| ||
261 |
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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SA Fidelity Institutional AM Real Estate Portfolio, Class 1 |
$ | 57,946 | $ | 493,097 | $ | 6,105,242 | $ | 1,593,468 | $ | 228,225 | $ | (19,071 | ) | $ | (1,796,400 | ) | $ | 5,655,014 | ||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 |
848 | 1,116,362 | 11,724,813 | 2,371,420 | 503,957 | (13,356 | ) | (1,440,059 | ) | 12,138,861 | ||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 |
189,047 | 26,314 | 11,486,062 | 1,748,995 | 3,054,513 | (153,085 | ) | (540,022 | ) | 9,487,437 | ||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 |
82,404 | 1,616 | 8,413,424 | 1,137,812 | 2,997,581 | (198,176 | ) | (7,571 | ) | 6,347,908 | ||||||||||||||||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 |
294,491 | 2,804,615 | 17,920,651 | 4,645,175 | 3,151,930 | (81,046 | ) | (3,593,003 | ) | 15,739,847 | ||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 |
23,505 | 712,751 | 3,389,447 | 1,024,046 | 116,578 | 34,165 | (948,265 | ) | 3,382,815 | |||||||||||||||||||||||
SA Franklin US Equity Small Beta Portfolio, Class 1 |
69,447 | 447,514 | 4,083,114 | 858,712 | 138,437 | 24,040 | (639,819 | ) | 4,187,610 | |||||||||||||||||||||||
SA International Index Portfolio, Class 1 |
115,415 | 12,099 | 4,649,442 | 523,225 | 160,295 | 7,561 | (130,381 | ) | 4,889,552 | |||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 |
| 911,593 | 4,045,721 | 1,317,170 | 163,994 | (77,390 | ) | (1,373,649 | ) | 3,747,858 | ||||||||||||||||||||||
SA Invesco Main Street Large Cap Portfolio, Class 1 |
107,521 | 2,474,751 | 14,930,218 | 3,775,569 | 3,555,206 | (62,226 | ) | (4,090,989 | ) | 10,997,366 | ||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 |
| 1,249,423 | 9,888,186 | 1,802,122 | 3,708,998 | 520,278 | (2,850,749 | ) | 5,650,839 | |||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 |
147,280 | 41,694 | 5,870,023 | 668,149 | 715,420 | (79,939 | ) | (897,288 | ) | 4,845,525 | ||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 |
374,512 | 2,175,267 | 20,361,920 | 4,311,287 | 3,387,023 | 117,953 | (3,570,664 | ) | 17,833,473 | |||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 |
336,511 | | 10,894,557 | 4,069,074 | 486,079 | (60,212 | ) | (802,396 | ) | 13,614,944 | ||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 |
| 1,794,799 | 7,899,702 | 2,568,236 | 313,304 | (59,917 | ) | (2,589,040 | ) | 7,505,677 | ||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 |
59,849 | 2,033,507 | 8,613,762 | 11,311,401 | 561,550 | 144,815 | (4,222,561 | ) | 15,285,867 | |||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 |
270,137 | 1,223,906 | 22,160,996 | 4,418,640 | 1,679,618 | 462,561 | (3,600,593 | ) | 21,761,986 | |||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 |
137,602 | 588,454 | 8,242,354 | 3,011,715 | 1,092,217 | 208,423 | (923,626 | ) | 9,446,649 | |||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 |
| 2,772,205 | 9,268,858 | 10,004,554 | 507,961 | (169 | ) | (4,355,172 | ) | 14,410,110 | ||||||||||||||||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 |
57,067 | 990,395 | | 5,671,856 | 93,264 | (22,872 | ) | (778,238 | ) | 4,777,482 | ||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 |
32,727 | 253,960 | 3,826,751 | 610,450 | 131,151 | 18,003 | (508,304 | ) | 3,815,749 | |||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 |
413,930 | 1,565,479 | 14,923,952 | 3,382,386 | 568,320 | (108,759 | ) | (1,439,540 | ) | 16,189,719 | ||||||||||||||||||||||
SA PIMCO RAE International Value, Class 1 |
265,039 | 317,282 | 6,421,955 | 1,005,805 | 170,377 | (11,473 | ) | (518,659 | ) | 6,727,251 | ||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 |
302,142 | | 5,048,501 | 769,802 | 1,689,440 | (200,593 | ) | (192,762 | ) | 3,735,508 | ||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 |
289,035 | 803,794 | 16,394,160 | 2,479,404 | 1,559,339 | (75,537 | ) | (463,966 | ) | 16,774,722 | ||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 |
23,485 | 327,682 | 3,523,478 | 674,782 | 127,507 | 6,254 | (786,723 | ) | 3,290,284 | |||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 |
156,520 | 188,610 | 11,562,098 | 2,771,727 | 856,562 | (170,389 | ) | (767,209 | ) | 12,539,665 | ||||||||||||||||||||||
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$ | 5,822,101 | $ | 40,021,388 | $ | 400,043,034 | $ | 124,242,268 | $ | 56,997,302 | $ | (1,658,122 | ) | $ | (69,476,835 | ) | $ | 396,153,043 | |||||||||||||||
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| Includes reinvestment of distributions paid. |
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262 |
SA Allocation Moderate Growth Portfolio
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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Seasons Series Trust |
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SA American Century Inflation Protection Portfolio, Class 1 |
$ | 190,684 | $ | 110,017 | $ | 2,247,086 | $ | 7,939,845 | $ | 545,294 | $ | (32,228 | ) | $ | (516,187 | ) | $ | 9,093,222 | ||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 |
152,439 | 893,630 | 10,653,899 | 2,904,157 | 2,140,390 | 184,956 | (1,953,907 | ) | 9,648,715 | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 |
934,589 | | 42,490,232 | 5,312,254 | 4,806,575 | (771,718 | ) | (2,444,622 | ) | 39,779,571 | ||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 |
410,091 | 1,310,513 | 22,368,242 | 2,130,425 | 1,583,145 | 181,895 | (2,497,382 | ) | 20,600,035 | |||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 |
| 2,252,460 | 24,436,997 | 2,546,587 | 7,415,800 | (668,686 | ) | (5,251,190 | ) | 13,647,908 | ||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 |
379,054 | 3,318,343 | 23,938,392 | 4,100,056 | 6,651,049 | (504,515 | ) | (3,813,320 | ) | 17,069,564 | ||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 |
| 681,788 | 2,982,931 | 732,440 | 195,670 | (82,691 | ) | (931,435 | ) | 2,505,575 | ||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 |
41,459 | 703,236 | 5,490,517 | 841,394 | 373,551 | (844 | ) | (1,143,100 | ) | 4,814,416 | ||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 |
19,573 | 805,495 | 5,166,257 | 912,540 | 335,566 | 19,677 | (1,301,595 | ) | 4,461,313 | |||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 |
| 843,160 | 10,593,664 | 952,066 | 3,611,754 | (413,830 | ) | (1,928,631 | ) | 5,591,515 | ||||||||||||||||||||||
SunAmerica Series Trust |
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SA AB Growth Portfolio, Class 1 |
| 2,551,258 | 18,555,644 | 2,873,589 | 1,245,170 | 207,143 | (4,380,736 | ) | 16,010,470 | |||||||||||||||||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 |
44,447 | 1,005,982 | 4,417,126 | 1,124,104 | 284,610 | 97,286 | (1,549,999 | ) | 3,803,907 | |||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 |
| | 155,253 | 3,769,313 | 261,617 | (5,663 | ) | 43,406 | 3,700,692 | |||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 |
58,365 | | 3,416,093 | 307,996 | 224,150 | (26,167 | ) | (399,508 | ) | 3,074,264 | ||||||||||||||||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 |
577,500 | 53,389 | 16,802,858 | 925,934 | 1,850,340 | (158,645 | ) | (1,259,745 | ) | 14,460,062 | ||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 |
61,824 | 526,096 | 6,923,614 | 1,413,487 | 487,370 | (30,265 | ) | (1,964,435 | ) | 5,855,031 | ||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 |
805 | 1,059,197 | 12,356,262 | 1,291,923 | 894,313 | (12,295 | ) | (1,558,288 | ) | 11,183,289 | ||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 |
349,915 | 48,706 | 18,867,252 | 1,506,260 | 1,345,549 | (71,562 | ) | (1,127,976 | ) | 17,828,425 | ||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 |
176,266 | 3,457 | 16,381,746 | 1,242,132 | 4,121,856 | (150,771 | ) | (263,749 | ) | 13,087,502 | ||||||||||||||||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 |
323,747 | 3,083,232 | 20,647,044 | 3,743,096 | 4,792,363 | (370,498 | ) | (3,731,345 | ) | 15,495,934 | ||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 |
23,440 | 710,785 | 3,663,688 | 794,087 | 231,246 | 74,930 | (1,009,697 | ) | 3,291,762 | |||||||||||||||||||||||
SA Franklin US Equity Small Beta Portfolio, Class 1 |
74,462 | 479,835 | 5,007,803 | 1,032,578 | 1,002,399 | 238,643 | (898,668 | ) | 4,377,957 | |||||||||||||||||||||||
SA International Index Portfolio, Class 1 |
98,568 | 10,333 | 4,318,928 | 182,576 | 284,610 | 21,078 | (170,184 | ) | 4,067,788 | |||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 |
| 862,034 | 4,241,545 | 946,601 | 325,536 | (108,248 | ) | (1,326,900 | ) | 3,427,462 | ||||||||||||||||||||||
SA Invesco Main Street Large Cap Portfolio, Class 1 |
109,548 | 2,521,410 | 16,812,168 | 3,287,562 | 4,784,715 | (58,383 | ) | (4,352,917 | ) | 10,903,715 | ||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 |
| 1,349,475 | 11,412,413 | 1,471,060 | 4,359,407 | 589,912 | (3,245,573 | ) | 5,868,405 | |||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 |
151,197 | 42,803 | 6,258,460 | 285,058 | 1,249,577 | (96,453 | ) | (958,095 | ) | 4,239,393 | ||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 |
378,685 | 2,199,509 | 22,611,129 | 2,946,545 | 4,316,880 | 282,977 | (3,849,684 | ) | 17,674,087 | |||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 |
778,419 | | 32,273,243 | 2,975,351 | 2,307,110 | (280,152 | ) | (2,063,200 | ) | 30,598,132 |
| ||
263 |
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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SA JPMorgan Mid Cap Growth Portfolio, Class 1 |
$ | | $ | 1,749,669 | $ | 8,493,810 | $ | 1,910,834 | $ | 622,585 | $ | (21,843 | ) | $ | (2,674,132 | ) | $ | 7,086,084 | ||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 |
59,476 | 2,020,836 | 9,257,867 | 10,567,298 | 1,104,881 | 293,066 | (4,600,415 | ) | 14,412,935 | |||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 |
264,122 | 1,196,652 | 22,560,140 | 2,842,966 | 2,476,416 | 721,731 | (3,973,188 | ) | 19,675,233 | |||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 |
165,324 | 707,008 | 10,542,575 | 2,342,780 | 1,472,914 | 248,163 | (1,200,489 | ) | 10,460,115 | |||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 |
| 2,703,617 | 10,344,605 | 9,119,753 | 1,032,733 | (36,318 | ) | (4,475,510 | ) | 13,919,797 | ||||||||||||||||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 |
65,676 | 1,139,800 | | 6,445,634 | 186,156 | (43,447 | ) | (879,915 | ) | 5,336,116 | ||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 |
31,139 | 241,641 | 3,953,749 | 341,851 | 266,822 | 51,656 | (544,694 | ) | 3,535,740 | |||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 |
380,878 | 1,440,475 | 15,046,325 | 2,097,637 | 1,067,289 | (170,687 | ) | (1,421,408 | ) | 14,484,578 | ||||||||||||||||||||||
SA PIMCO RAE International Value, Class 1 |
249,250 | 298,381 | 6,425,566 | 622,975 | 291,864 | (19,418 | ) | (519,672 | ) | 6,217,587 | ||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 |
588,138 | | 10,700,652 | 781,537 | 2,747,102 | (100,956 | ) | (713,390 | ) | 7,920,741 | ||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 |
283,396 | 788,115 | 17,466,604 | 1,367,884 | 2,345,695 | (20,972 | ) | (691,088 | ) | 15,776,733 | ||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 |
23,920 | 333,760 | 3,912,253 | 422,135 | 247,227 | 12,577 | (838,073 | ) | 3,261,665 | |||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 |
367,701 | 443,083 | 31,826,058 | 3,398,430 | 4,927,000 | (498,962 | ) | (1,907,294 | ) | 27,891,232 | ||||||||||||||||||||||
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$ | 7,814,097 | $ | 40,489,180 | $ | 526,020,690 | $ | 102,752,730 | $ | 80,816,296 | $ | (1,530,527 | ) | $ | (80,287,930 | ) | $ | 466,138,667 | |||||||||||||||
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| Includes reinvestment of distributions paid. |
SA Allocation Moderate Portfolio
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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Seasons Series Trust |
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SA American Century Inflation Protection Portfolio, Class 1 |
$ | 117,481 | $ | 67,782 | $ | 3,243,118 | $ | 3,298,232 | $ | 462,979 | $ | (13,936 | ) | $ | (414,562 | ) | $ | 5,649,873 | ||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 |
55,355 | 324,502 | 3,961,626 | 1,474,194 | 916,297 | 77,866 | (748,373 | ) | 3,849,016 | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 |
778,115 | | 36,051,261 | 4,185,379 | 4,533,788 | (720,509 | ) | (1,988,178 | ) | 32,994,165 | ||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 |
199,059 | 636,126 | 10,973,421 | 1,142,772 | 1,018,957 | (125,463 | ) | (1,011,115 | ) | 9,960,658 | ||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 |
| 1,187,919 | 12,338,371 | 1,421,402 | 3,471,904 | (272,977 | ) | (2,840,233 | ) | 7,174,659 | ||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 |
203,679 | 1,783,067 | 12,676,996 | 2,306,581 | 3,759,825 | 175,259 | (2,481,287 | ) | 8,917,724 | |||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 |
| 314,581 | 1,402,961 | 356,716 | 139,583 | (52,374 | ) | (421,210 | ) | 1,146,510 | ||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 |
19,557 | 331,726 | 2,603,700 | 414,485 | 209,375 | 32,808 | (573,521 | ) | 2,268,097 | |||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 |
11,692 | 481,146 | 3,122,645 | 576,979 | 277,323 | (64,671 | ) | (705,245 | ) | 2,652,385 | ||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 |
| 449,596 | 5,959,647 | 546,437 | 2,219,615 | (359,582 | ) | (962,220 | ) | 2,964,667 |
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264 |
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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SunAmerica Series Trust |
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SA AB Growth Portfolio, Class 1 |
$ | | $ | 1,329,271 | $ | 9,765,258 | $ | 1,590,509 | $ | 865,415 | $ | 132,740 | $ | (2,328,972 | ) | $ | 8,294,120 | |||||||||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 |
21,492 | 486,444 | 2,153,845 | 562,713 | 181,458 | 60,973 | (765,522 | ) | 1,830,551 | |||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 |
| | 81,207 | 2,574,947 | 241,311 | (3,000 | ) | 27,776 | 2,439,619 | |||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 |
19,824 | | 1,099,154 | 176,133 | 97,493 | (5,266 | ) | (133,703 | ) | 1,038,825 | ||||||||||||||||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 |
316,747 | 29,283 | 8,167,240 | 1,821,886 | 891,359 | (65,528 | ) | (649,509 | ) | 8,382,730 | ||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 |
31,517 | 268,196 | 3,627,852 | 699,793 | 327,892 | (23,819 | ) | (1,007,880 | ) | 2,968,054 | ||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 |
373 | 490,349 | 5,764,711 | 638,914 | 702,755 | (34,828 | ) | (721,042 | ) | 4,945,000 | ||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 |
241,925 | 33,675 | 13,159,031 | 1,015,335 | 1,226,563 | (68,799 | ) | (769,027 | ) | 12,109,977 | ||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 |
158,077 | 3,100 | 13,804,837 | 913,978 | 2,989,825 | (125,460 | ) | (241,078 | ) | 11,362,452 | ||||||||||||||||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 |
154,002 | 1,466,651 | 10,886,210 | 1,877,583 | 2,799,211 | 174,052 | (2,181,427 | ) | 7,957,207 | |||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 |
13,059 | 396,006 | 2,062,552 | 463,841 | 181,458 | 4,895 | (527,515 | ) | 1,822,315 | |||||||||||||||||||||||
SA Franklin US Equity Small Beta Portfolio, Class 1 |
40,711 | 262,339 | 2,524,627 | 716,253 | 889,375 | 161,380 | (520,188 | ) | 1,992,697 | |||||||||||||||||||||||
SA International Index Portfolio, Class 1 |
47,829 | 5,014 | 2,100,684 | 99,191 | 153,541 | (2,351 | ) | (70,323 | ) | 1,973,660 | ||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 |
| 456,593 | 2,262,965 | 516,627 | 202,524 | (86,527 | ) | (677,900 | ) | 1,812,641 | ||||||||||||||||||||||
SA Invesco Main Street Large Cap Portfolio, Class 1 |
53,788 | 1,238,019 | 8,676,371 | 1,835,391 | 3,186,251 | (102,125 | ) | (2,159,020 | ) | 5,064,366 | ||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 |
| 714,348 | 5,981,778 | 814,072 | 2,026,771 | 223,444 | (1,620,734 | ) | 3,371,789 | |||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 |
67,889 | 19,219 | 2,871,742 | 142,564 | 868,262 | (161,879 | ) | (325,695 | ) | 1,658,470 | ||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 |
211,765 | 1,229,987 | 12,638,735 | 1,770,172 | 2,513,134 | 150,865 | (2,146,558 | ) | 9,900,080 | |||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 |
622,281 | | 26,311,224 | 2,353,859 | 2,456,662 | (304,932 | ) | (1,596,841 | ) | 24,306,648 | ||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 |
| 909,416 | 4,465,078 | 1,040,035 | 432,708 | (29,638 | ) | (1,383,176 | ) | 3,659,591 | ||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 |
31,646 | 1,075,251 | 5,184,296 | 5,245,035 | 781,081 | 201,743 | (2,498,961 | ) | 7,351,032 | |||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 |
126,705 | 574,061 | 11,167,543 | 1,978,858 | 2,321,248 | 720,539 | (2,276,259 | ) | 9,269,433 | |||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 |
90,736 | 388,030 | 5,680,228 | 1,172,481 | 784,285 | 134,894 | (656,545 | ) | 5,546,773 | |||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 |
| 1,377,286 | 5,351,654 | 4,889,584 | 705,120 | (28,687 | ) | (2,288,181 | ) | 7,219,250 | ||||||||||||||||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 |
41,616 | 722,251 | | 4,112,170 | 156,914 | (35,949 | ) | (549,233 | ) | 3,370,074 | ||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 |
19,176 | 148,806 | 2,452,984 | 231,184 | 209,375 | 39,838 | (345,743 | ) | 2,168,888 | |||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 |
170,028 | 643,043 | 6,777,914 | 1,002,678 | 628,124 | (104,157 | ) | (613,699 | ) | 6,434,612 | ||||||||||||||||||||||
SA PIMCO RAE International Value, Class 1 |
120,338 | 144,059 | 3,133,740 | 328,848 | 815,169 | (93,900 | ) | (213,711 | ) | 2,339,808 | ||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 |
380,215 | | 6,979,845 | 574,037 | 1,942,082 | (169,208 | ) | (361,229 | ) | 5,081,363 | ||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 |
126,254 | 351,109 | 7,847,835 | 680,858 | 1,265,793 | (69,930 | ) | (258,326 | ) | 6,934,644 | ||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 |
12,090 | 168,680 | 2,001,307 | 235,415 | 179,615 | (2,027 | ) | (418,539 | ) | 1,636,541 |
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265 |
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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SA Wellington Government & Quality Bond Portfolio, Class 1 |
$ | 290,326 | $ | 349,845 | $ | 25,091,804 | $ | 2,581,023 | $ | 4,184,197 | $ | (452,800 | ) | $ | (1,445,780 | ) | $ | 21,590,050 | ||||||||||||||
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$ | 4,795,347 | $ | 20,856,776 | $ | 312,407,997 | $ | 60,379,144 | $ | 54,216,617 | $ | (1,289,026 | ) | $ | (43,870,484 | ) | $ | 273,411,014 | |||||||||||||||
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| Includes reinvestment of distributions paid. |
SA Allocation Balanced Portfolio
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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Seasons Series Trust |
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SA American Century Inflation Protection Portfolio, Class 1 |
$ | 161,740 | $ | 93,317 | $ | 6,035,534 | $ | 2,456,990 | $ | 647,742 | $ | (23,366 | ) | $ | (649,244 | ) | $ | 7,172,172 | ||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 |
36,717 | 215,245 | 2,610,768 | 1,264,989 | 614,422 | 48,501 | (510,866 | ) | 2,798,970 | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 |
932,052 | | 43,044,222 | 5,283,984 | 5,128,630 | (825,209 | ) | (2,405,427 | ) | 39,968,940 | ||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 |
113,280 | 362,004 | 6,169,794 | 799,674 | 595,743 | (74,315 | ) | (563,862 | ) | 5,735,548 | ||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 |
| 736,335 | 7,695,317 | 1,003,008 | 2,283,119 | (189,194 | ) | (1,726,279 | ) | 4,499,733 | ||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 |
111,367 | 974,940 | 7,217,579 | 1,431,562 | 2,766,283 | 63,225 | (1,321,841 | ) | 4,624,242 | |||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 |
| 217,316 | 955,315 | 271,381 | 99,290 | (39,262 | ) | (284,924 | ) | 803,220 | ||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 |
13,531 | 229,519 | 1,782,993 | 324,148 | 148,936 | 49,036 | (421,660 | ) | 1,585,581 | |||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 |
6,984 | 287,399 | 1,843,945 | 388,748 | 173,317 | (24,644 | ) | (432,584 | ) | 1,602,148 | ||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 |
| 333,929 | 3,994,899 | 468,440 | 1,293,712 | (227,192 | ) | (715,641 | ) | 2,226,794 | ||||||||||||||||||||||
SunAmerica Series Trust |
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SA AB Growth Portfolio, Class 1 |
| 833,652 | 6,282,993 | 1,140,561 | 762,196 | 147,936 | (1,535,380 | ) | 5,273,914 | |||||||||||||||||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 |
14,253 | 322,586 | 1,414,628 | 404,420 | 124,113 | 43,069 | (508,661 | ) | 1,229,343 | |||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 |
| | 37,322 | 3,044,266 | 277,689 | (1,603 | ) | 30,686 | 2,832,982 | |||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 |
10,763 | | 580,913 | 120,546 | 55,702 | (2,969 | ) | (70,941 | ) | 571,847 | ||||||||||||||||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 |
210,295 | 19,442 | 5,327,657 | 1,521,779 | 626,839 | (92,735 | ) | (374,921 | ) | 5,754,941 | ||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 |
22,729 | 193,417 | 2,493,862 | 647,118 | 242,695 | (14,374 | ) | (712,356 | ) | 2,171,555 | ||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 |
240 | 315,375 | 3,656,594 | 487,710 | 614,496 | (34,967 | ) | (459,340 | ) | 3,035,501 | ||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 |
276,507 | 38,488 | 14,747,158 | 1,202,103 | 1,401,597 | (63,851 | ) | (887,178 | ) | 13,596,635 | ||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 |
176,573 | 3,463 | 15,703,242 | 1,371,638 | 3,821,974 | (200,174 | ) | (195,377 | ) | 12,857,355 | ||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 |
7,745 | 234,855 | 1,211,440 | 303,424 | 111,702 | 4,204 | (313,027 | ) | 1,094,339 | |||||||||||||||||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 |
103,834 | 988,874 | 7,338,451 | 1,416,598 | 2,134,784 | (21,609 | ) | (1,331,166 | ) | 5,267,490 | ||||||||||||||||||||||
SA Franklin US Equity Small Beta Portfolio, Class 1 |
30,395 | 195,867 | 1,906,938 | 564,118 | 691,347 | 128,728 | (396,656 | ) | 1,511,781 | |||||||||||||||||||||||
SA International Index Portfolio, Class 1 |
28,050 | 2,940 | 1,215,867 | 71,540 | 474,468 | 15,247 | (86,867 | ) | 741,319 | |||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 |
| 301,373 | 1,471,016 | 373,146 | 129,644 | (76,123 | ) | (423,679 | ) | 1,214,716 | ||||||||||||||||||||||
SA Invesco Main Street Large Cap Portfolio, Class 1 |
28,386 | 653,337 | 5,390,119 | 1,249,640 | 2,493,501 | 35,206 | (1,335,029 | ) | 2,846,435 |
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266 |
Security |
Income | Capital Gain Distribution Received |
Value at March 31, 2022 |
Cost of Purchases |
Proceeds from Sales |
Realized Gain/Loss |
Change in Unrealized Gain (Loss) |
Value at March 31, 2023 |
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SA Janus Focused Growth Portfolio, Class 1 |
$ | | $ | 450,679 | $ | 3,739,231 | $ | 569,711 | $ | 1,265,434 | $ | 124,688 | $ | (1,016,462 | ) | $ | 2,151,734 | |||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 |
39,715 | 11,243 | 1,664,192 | 105,128 | 628,781 | (32,525 | ) | (254,886 | ) | 853,128 | ||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 |
139,352 | 809,396 | 8,078,647 | 1,353,484 | 1,573,240 | 94,423 | (1,394,635 | ) | 6,558,679 | |||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 |
779,438 | | 32,813,178 | 3,479,517 | 3,177,295 | (393,115 | ) | (1,984,907 | ) | 30,737,378 | ||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 |
| 561,017 | 2,712,902 | 698,973 | 251,913 | (4,023 | ) | (858,936 | ) | 2,297,003 | ||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 |
17,886 | 607,716 | 3,063,850 | 2,918,735 | 447,978 | 130,821 | (1,450,272 | ) | 4,215,156 | |||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 |
77,042 | 349,055 | 6,787,185 | 1,036,970 | 1,430,920 | 315,846 | (1,297,819 | ) | 5,411,262 | |||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 |
58,277 | 249,221 | 3,515,842 | 884,709 | 425,533 | 74,055 | (395,481 | ) | 3,653,592 | |||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 |
| 903,361 | 3,746,243 | 3,064,666 | 582,638 | 17,526 | (1,542,761 | ) | 4,703,036 | |||||||||||||||||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 |
34,932 | 606,246 | | 3,484,643 | 129,301 | (28,490 | ) | (462,399 | ) | 2,864,453 | ||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 |
12,090 | 93,820 | 1,531,604 | 180,249 | 136,524 | 20,436 | (211,442 | ) | 1,384,323 | |||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 |
104,373 | 394,738 | 4,117,476 | 715,371 | 397,162 | (64,294 | ) | (370,364 | ) | 4,001,027 | ||||||||||||||||||||||
SA PIMCO RAE International Value, Class 1 |
66,420 | 79,513 | 1,726,854 | 229,885 | 154,483 | (10,476 | ) | (134,733 | ) | 1,657,047 | ||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 |
310,708 | | 5,649,026 | 608,065 | 1,646,098 | (42,999 | ) | (387,682 | ) | 4,180,312 | ||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 |
84,104 | 233,890 | 5,178,316 | 570,899 | 864,765 | 92,488 | (306,682 | ) | 4,670,256 | |||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 |
8,208 | 114,515 | 1,343,119 | 190,054 | 123,671 | 16,572 | (299,855 | ) | 1,126,219 | |||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 |
353,532 | 426,010 | 29,032,449 | 2,754,257 | 2,997,936 | (361,001 | ) | (1,898,839 | ) | 26,528,930 | ||||||||||||||||||||||
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$ | 4,371,518 | $ | 13,444,093 | $ | 264,828,680 | $ | 50,456,847 | $ | 43,947,613 | $ | (1,426,503 | ) | $ | (31,900,375 | ) | $ | 238,011,036 | |||||||||||||||
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| Includes reinvestment of distributions paid. |
The Managed Allocation Portfolios do not invest in underlying Seasons Series Trust Portfolios for the purpose of exercising management or control; however, investments by the Managed Allocation Portfolios may represent a significant portion of an underlying Seasons Series Trust Portfolios net assets.
At March 31, 2023 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 |
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SA Multi-Managed Growth |
1.50 | % | 98.50 | % | | % | | % | | % | | % | | % | | % | ||||||||||||||||
SA Multi-Managed Moderate Growth |
0.55 | 99.45 | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Income/Equity |
0.55 | 99.45 | | | | | | | ||||||||||||||||||||||||
SA Multi-Managed Income |
0.94 | 99.06 | | | | | | | ||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth |
4.81 | 95.19 | | | | | | | ||||||||||||||||||||||||
SA T. Rowe Price Growth Stock |
0.21 | 23.12 | 0.80 | 1.79 | 2.01 | 1.07 | 64.17 | 6.83 | ||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth |
0.09 | 12.35 | 1.22 | 3.94 | 3.69 | 1.94 | 40.32 | 36.45 | ||||||||||||||||||||||||
SA Multi-Managed Large Cap Value |
0.03 | 5.94 | 0.83 | 3.29 | 3.07 | 1.60 | 44.38 | 40.86 | ||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth |
0.46 | 22.86 | 0.49 | 1.45 | 1.52 | 0.69 | 37.28 | 35.25 |
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267 |
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 Mid Cap Value |
0.11 | % | 15.88 | % | 0.79 | % | 3.06 | % | 2.41 | % | 1.14 | % | 53.68 | % | 22.93 | % | ||||||||||||||||
SA Multi-Managed Small Cap |
0.19 | 12.54 | 0.89 | 2.83 | 2.48 | 1.48 | 33.34 | 46.25 | ||||||||||||||||||||||||
SA Multi-Managed International Equity |
0.18 | 7.79 | 1.84 | 7.27 | 6.60 | 3.19 | 46.20 | 26.93 | ||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income |
0.05 | 2.87 | 5.16 | 2.40 | 5.13 | 4.26 | 59.44 | 20.69 | ||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio |
3.66 | 58.16 | 1.12 | 0.88 | 1.42 | 0.88 | 23.63 | 10.25 | ||||||||||||||||||||||||
SA Columbia Focused Value |
0.07 | 5.74 | 0.84 | 2.90 | 2.88 | 1.15 | 52.98 | 33.44 | ||||||||||||||||||||||||
SA Allocation Growth |
7.18 | 92.82 | | | | | | | ||||||||||||||||||||||||
SA Allocation Moderate Growth |
7.44 | 92.56 | | | | | | | ||||||||||||||||||||||||
SA Allocation Moderate |
7.68 | 92.32 | | | | | | | ||||||||||||||||||||||||
SA Allocation Balanced |
8.32 | 91.68 | | | | | | |
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.
Certain Portfolios may invest in participations and assignments, or act as a party to the primary lending syndicate of a variable rate senior loan interest to United States corporations, partnerships, and other entities. If the lead lender in a typical lending syndicate becomes insolvent, enters receivership or, if not FDIC insured, enters into bankruptcy, a Portfolio may incur certain costs and delays in receiving payment, or may suffer a loss of principal and/or interest. When a Portfolio purchases a participation of a senior loan interest, the Portfolio typically enters into a contractual agreement with the lender or other third party selling the participation but not with the borrower directly. As such, a Portfolio is subject to the credit risk of the borrower, selling participant, lender or other persons positioned between the Portfolios and the borrower.
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 Growth, 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, along with certain other funds managed by the Adviser, has access to a $75 million committed unsecured line of credit and a $50 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company (State Street), the Trusts custodian. Interest on each of the committed and uncommitted lines of credit is payable at a variable rate per annum equal to the Applicable Rate plus one and one quarter of one percent (1.25%). The Applicable Rate per annum shall be equal to the higher of (a) the federal funds effective rate on such date and (b) the overnight bank funding rate on such date, plus, in each case, 10 basis points. Notwithstanding anything to the contrary, if the federal funds effective rate or the overnight bank funding rate shall be less than zero, then the federal funds effective rate or the overnight bank funding rate, shall be deemed to be zero for the purposes of determining the rate. The Trust, on behalf of each of the Portfolios, has paid State Street such Portfolios ratable portion of an upfront fee in an amount equal to $40,000 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 30 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 Portfolios cash shortfall exceeds $100,000.
For the year ended March 31, 2023, the following Portfolios had borrowings:
Portfolio |
Days Outstanding |
Interest Charges |
Average Debt Utilized |
Weighted Average Interest |
||||||||||||
SA Multi-Managed Growth |
4 | $ | 146 | $ | 256,250 | 5.56 | % | |||||||||
SA Multi-Managed Moderate Growth |
4 | 398 | 693,750 | 5.56 | ||||||||||||
SA Multi-Managed Income/Equity |
4 | 185 | 350,000 | 5.56 | ||||||||||||
SA Multi-Managed Income |
5 | 140 | 190,000 | 5.63 | ||||||||||||
SA Putnam Asset Allocation Diversified Growth |
117 | 2,298 | 144,872 | 4.83 |
|
||
268 |
Portfolio |
Days Outstanding |
Interest Charges |
Average Debt Utilized |
Weighted Average Interest |
||||||||||||
SA Multi-Managed Large Cap Growth |
127 | $ | 3,489 | $ | 262,205 | 3.76 | % | |||||||||
SA Multi-Managed Large Cap Value |
136 | 10,940 | 752,941 | 3.69 | ||||||||||||
SA Multi-Managed Mid Cap Growth |
27 | 284 | 160,185 | 3.00 | ||||||||||||
SA Multi-Managed Mid Cap Value |
50 | 258 | 52,000 | 3.86 | ||||||||||||
SA Multi-Managed Small Cap |
96 | 1,058 | 100,260 | 4.40 | ||||||||||||
SA Multi-Managed International Equity |
82 | 1,878 | 203,963 | 4.17 | ||||||||||||
SA Multi-Managed Diversified Fixed Income |
1 | 120 | 975,000 | 4.43 | ||||||||||||
SA American Century Inflation Protection |
4 | 186 | 993,750 | 1.68 |
As of March 31, 2023, SA Putnam Asset Allocation Diversified Growth had an outstanding borrowings of $175,000.
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. 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 year ended March 31, 2023, the following Portfolios engaged in security transactions with affiliated Portfolios:
Portfolio |
Cost of Purchases |
Proceeds from Sales |
Realized Gain (Loss) |
|||||||||
SA Multi-Managed Large Cap Value |
$ | 168,571 | $ | 438,527 | $ | 26,893 | ||||||
SA Multi-Managed Mid Cap Value |
36,084 | 22,989 | 9,031 | |||||||||
SA T. Rowe Price Growth Stock |
225,669 | | |
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 year ended March 31, 2023, none of the Portfolios participated in this program.
Note 13. Other Matters:
The coronavirus pandemic and the related governmental and public responses have had and may continue to have an impact on the Portfolios investments and net asset value and have led and may continue to lead to increased market volatility and the potential for illiquidity in certain classes of securities and sectors of the market. Preventative or protective actions that governments have taken and may continue to take in respect of pandemic or epidemic diseases have resulted and may continue to result in periods of business disruption, business closures, inability to obtain raw materials, supplies and component parts, and reduced or disrupted operations for the issuers in which the Portfolios invests. Government intervention in markets have impacted and may continue to impact interest rates, market volatility and security pricing. The occurrence, reoccurrence and pendency of such diseases could adversely affect or have affected the economies (including through changes in business activity and increased unemployment) and financial markets either in specific countries or worldwide.
In late February 2022, Russia launched a large-scale invasion of Ukraine (the Invasion). The extent and duration of Russias military actions and the consequences of such actions are impossible to predict, but has resulted in, and may continue to result in, significant market disruptions, including in the commodities markets, and has negatively affected, and may continue to negatively affect global supply chains, global growth and inflation. In response to the Invasion, the United States, the European Union and other countries have imposed broad-ranging economic sanctions on certain Russian individuals and Russian entities. To the extent covered by the sanctions, the Portfolios are currently restricted from trading in Russian securities. It is unknown when, or if, sanctions may be lifted or a Portfolios ability to trade in Russian securities will resume. Even if a Portfolio does not have direct exposure to securities of Russian issuers, the potential for wider conflict in the region or globally may increase volatility and uncertainty in the financial markets. These and any related events could adversely affect a Portfolios performance and the value and liquidity of an investment in the Portfolio.
| ||
269 |
SEASONS SERIES TRUST
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 income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets period (000s) |
Ratio of expenses to average net assets(1)(2) |
Ratio of net investment income to average net assets(1)(2) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 17.02 | $ | 0.09 | $ | 1.05 | $ | 1.14 | $ | (0.18 | ) | $ | (1.61 | ) | $ | (1.79 | ) | $ | 16.37 | 7.37 | % | $ | 9,349 | 1.25 | % | 0.54 | % | 55 | % | |||||||||||||||||||||||
03/31/20 | 16.37 | 0.01 | (0.63 | ) | (0.62 | ) | (0.11 | ) | (1.69 | ) | (1.80 | ) | 13.95 | (4.91 | ) | 7,783 | 1.31 | 0.06 | 97 | |||||||||||||||||||||||||||||||||
03/31/21 | 13.95 | (0.06 | ) | 9.41 | 9.35 | | (2.86 | ) | (2.86 | ) | 20.44 | 66.89 | 11,451 | 1.27 | (0.30 | ) | 74 | |||||||||||||||||||||||||||||||||||
03/31/22 | 20.44 | (0.07 | ) | (2.11 | ) | (2.18 | ) | | (5.06 | ) | (5.06 | ) | 13.20 | (15.34 | ) | 9,640 | 1.27 | (0.38 | ) | 68 | ||||||||||||||||||||||||||||||||
03/31/23 | 13.20 | 0.01 | (2.44 | ) | (2.43 | ) | | (1.86 | ) | (1.86 | ) | 8.91 | (17.37 | ) | 7,458 | 1.25 | 0.12 | 61 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 17.01 | 0.07 | 1.04 | 1.11 | (0.15 | ) | (1.61 | ) | (1.76 | ) | 16.36 | 7.18 | 17,915 | 1.40 | 0.39 | 55 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 16.36 | (0.01 | ) | (0.64 | ) | (0.65 | ) | (0.08 | ) | (1.69 | ) | (1.77 | ) | 13.94 | (5.08 | ) | 13,934 | 1.45 | (0.09 | ) | 97 | |||||||||||||||||||||||||||||||
03/31/21 | 13.94 | (0.09 | ) | 9.41 | 9.32 | | (2.86 | ) | (2.86 | ) | 20.40 | 66.72 | 20,070 | 1.42 | (0.45 | ) | 74 | |||||||||||||||||||||||||||||||||||
03/31/22 | 20.40 | (0.10 | ) | (2.10 | ) | (2.20 | ) | | (5.06 | ) | (5.06 | ) | 13.14 | (15.47 | ) | 17,429 | 1.42 | (0.53 | ) | 68 | ||||||||||||||||||||||||||||||||
03/31/23 | 13.14 | (0.00 | ) | (2.43 | ) | (2.43 | ) | | (1.86 | ) | (1.86 | ) | 8.85 | (17.44 | ) | 13,950 | 1.40 | (0.03 | ) | 61 | ||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.97 | 0.05 | 1.04 | 1.09 | (0.12 | ) | (1.61 | ) | (1.73 | ) | 16.33 | 7.11 | 21,872 | 1.50 | 0.29 | 55 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 16.33 | (0.03 | ) | (0.63 | ) | (0.66 | ) | (0.07 | ) | (1.69 | ) | (1.76 | ) | 13.91 | (5.19 | ) | 17,440 | 1.56 | (0.19 | ) | 97 | |||||||||||||||||||||||||||||||
03/31/21 | 13.91 | (0.11 | ) | 9.38 | 9.27 | | (2.86 | ) | (2.86 | ) | 20.32 | 66.50 | 23,715 | 1.52 | (0.55 | ) | 74 | |||||||||||||||||||||||||||||||||||
03/31/22 | 20.32 | (0.12 | ) | (2.08 | ) | (2.20 | ) | | (5.06 | ) | (5.06 | ) | 13.06 | (15.56 | ) | 17,232 | 1.52 | (0.63 | ) | 68 | ||||||||||||||||||||||||||||||||
03/31/23 | 13.06 | (0.01 | ) | (2.42 | ) | (2.43 | ) | | (1.86 | ) | (1.86 | ) | 8.77 | (17.56 | ) | 13,276 | 1.50 | (0.13 | ) | 61 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1. |
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
SA Multi-Managed Growth Portfolio Class 2. |
0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||
SA Multi-Managed Growth Portfolio Class 3. |
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): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1. |
0.04 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.29 | % | ||||||||||
SA Multi-Managed Growth Portfolio Class 2. |
0.04 | 0.07 | 0.07 | 0.07 | 0.29 | |||||||||||||||
SA Multi-Managed Growth Portfolio Class 3. |
0.04 | 0.07 | 0.07 | 0.07 | 0.29 |
See Notes to Financial Statements
|
||
270 |
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 income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets period (000s) |
Ratio of expenses to average net assets(1)(2) |
Ratio of net investment income to average net assets(1)(2) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 12.90 | $ | 0.13 | $ | 0.66 | $ | 0.79 | $ | (0.18 | ) | $ | (0.90 | ) | $ | (1.08 | ) | $ | 12.61 | 6.67 | % | $ | 9,208 | 1.08 | % | 1.04 | % | 53 | % | |||||||||||||||||||||||
03/31/20 | 12.61 | 0.08 | (0.32 | ) | (0.24 | ) | (0.17 | ) | (1.03 | ) | (1.20 | ) | 11.17 | (2.64 | ) | 7,539 | 1.12 | 0.66 | 84 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.17 | 0.02 | 5.90 | 5.92 | (0.11 | ) | (1.67 | ) | (1.78 | ) | 15.31 | 52.85 | 10,509 | 1.10 | 0.16 | 70 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 15.31 | 0.02 | (1.48 | ) | (1.46 | ) | (0.03 | ) | (3.08 | ) | (3.11 | ) | 10.74 | (12.79 | ) | 8,781 | 1.09 | 0.16 | 60 | |||||||||||||||||||||||||||||||||
03/31/23 | 10.74 | 0.06 | (1.63 | ) | (1.57 | ) | | (1.17 | ) | (1.17 | ) | 8.00 | (14.01 | ) | 6,500 | 1.11 | 0.75 | 59 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 12.88 | 0.12 | 0.65 | 0.77 | (0.16 | ) | (0.90 | ) | (1.06 | ) | 12.59 | 6.50 | 39,368 | 1.23 | 0.89 | 53 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 12.59 | 0.06 | (0.32 | ) | (0.26 | ) | (0.15 | ) | (1.03 | ) | (1.18 | ) | 11.15 | (2.81 | ) | 33,790 | 1.27 | 0.50 | 84 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.15 | 0.00 | 5.89 | 5.89 | (0.09 | ) | (1.67 | ) | (1.76 | ) | 15.28 | 52.66 | 46,006 | 1.25 | 0.02 | 70 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 15.28 | 0.00 | (1.47 | ) | (1.47 | ) | (0.01 | ) | (3.08 | ) | (3.09 | ) | 10.72 | (12.88 | ) | 39,047 | 1.24 | 0.01 | 60 | |||||||||||||||||||||||||||||||||
03/31/23 | 10.72 | 0.05 | (1.64 | ) | (1.59 | ) | | (1.17 | ) | (1.17 | ) | 7.96 | (14.24 | ) | 28,876 | 1.26 | 0.60 | 59 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 12.87 | 0.10 | 0.65 | 0.75 | (0.14 | ) | (0.90 | ) | (1.04 | ) | 12.58 | 6.37 | 32,172 | 1.33 | 0.78 | 53 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 12.58 | 0.05 | (0.33 | ) | (0.28 | ) | (0.13 | ) | (1.03 | ) | (1.16 | ) | 11.14 | (2.92 | ) | 25,456 | 1.37 | 0.41 | 84 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.14 | (0.01 | ) | 5.87 | 5.86 | (0.07 | ) | (1.67 | ) | (1.74 | ) | 15.26 | 52.46 | 35,270 | 1.35 | (0.08 | ) | 70 | ||||||||||||||||||||||||||||||||||
03/31/22 | 15.26 | (0.01 | ) | (1.47 | ) | (1.48 | ) | | (3.08 | ) | (3.08 | ) | 10.70 | (12.94 | ) | 29,444 | 1.34 | (0.09 | ) | 60 | ||||||||||||||||||||||||||||||||
03/31/23 | 10.70 | 0.04 | (1.63 | ) | (1.59 | ) | | (1.17 | ) | (1.17 | ) | 7.94 | (14.26 | ) | 22,749 | 1.36 | 0.50 | 59 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 |
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 |
0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 |
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): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 |
0.03 | % | 0.05 | % | 0.05 | % | 0.05 | % | 0.16 | % | ||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 |
0.03 | 0.05 | 0.05 | 0.05 | 0.16 | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 |
0.03 | 0.05 | 0.05 | 0.05 | 0.16 |
See Notes to Financial Statements
| ||
271 |
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 income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets period (000s) |
Ratio of expenses to average net assets(2) |
Ratio of net investment income to average net assets(2) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 11.19 | $ | 0.19 | $ | 0.53 | $ | 0.72 | $ | (0.23 | ) | $ | (0.52 | ) | $ | (0.75 | ) | $ | 11.16 | 6.86 | % | $ | 8,087 | 1.10 | %(1) | 1.71 | %(1) | 51 | % | |||||||||||||||||||||||
03/31/20 | 11.16 | 0.14 | 0.22 | 0.36 | (0.24 | ) | (0.51 | ) | (0.75 | ) | 10.77 | 3.13 | 6,646 | 1.15 | (1) | 1.22 | (1) | 77 | ||||||||||||||||||||||||||||||||||
03/31/21 | 10.77 | 0.07 | 3.10 | 3.17 | (0.19 | ) | (1.33 | ) | (1.52 | ) | 12.42 | 28.99 | 7,846 | 1.15 | 0.55 | 60 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 12.42 | 0.08 | (1.31 | ) | (1.23 | ) | (0.09 | ) | (1.86 | ) | (1.95 | ) | 9.24 | (12.13 | ) | 6,075 | 1.15 | 0.64 | 47 | |||||||||||||||||||||||||||||||||
03/31/23 | 9.24 | 0.12 | (1.24 | ) | (1.12 | ) | (0.07 | ) | (0.54 | ) | (0.61 | ) | 7.51 | (11.79 | ) | 4,453 | 1.18 | 1.47 | 52 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.17 | 0.18 | 0.52 | 0.70 | (0.21 | ) | (0.52 | ) | (0.73 | ) | 11.14 | 6.69 | 30,313 | 1.25 | (1) | 1.56 | (1) | 51 | ||||||||||||||||||||||||||||||||||
03/31/20 | 11.14 | 0.12 | 0.22 | 0.34 | (0.22 | ) | (0.51 | ) | (0.73 | ) | 10.75 | 2.96 | 25,142 | 1.30 | (1) | 1.07 | (1) | 77 | ||||||||||||||||||||||||||||||||||
03/31/21 | 10.75 | 0.05 | 3.10 | 3.15 | (0.17 | ) | (1.33 | ) | (1.50 | ) | 12.40 | 28.85 | 31,277 | 1.30 | 0.40 | 60 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 12.40 | 0.06 | (1.30 | ) | (1.24 | ) | (0.07 | ) | (1.86 | ) | (1.93 | ) | 9.23 | (12.21 | ) | 25,089 | 1.30 | 0.49 | 47 | |||||||||||||||||||||||||||||||||
03/31/23 | 9.23 | 0.10 | (1.23 | ) | (1.13 | ) | (0.05 | ) | (0.54 | ) | (0.59 | ) | 7.51 | (11.90 | ) | 19,375 | 1.33 | 1.32 | 52 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.18 | 0.16 | 0.53 | 0.69 | (0.20 | ) | (0.52 | ) | (0.72 | ) | 11.15 | 6.55 | 17,028 | 1.35 | (1) | 1.46 | (1) | 51 | ||||||||||||||||||||||||||||||||||
03/31/20 | 11.15 | 0.11 | 0.22 | 0.33 | (0.21 | ) | (0.51 | ) | (0.72 | ) | 10.76 | 2.86 | 15,171 | 1.40 | (1) | 0.97 | (1) | 77 | ||||||||||||||||||||||||||||||||||
03/31/21 | 10.76 | 0.04 | 3.09 | 3.13 | (0.15 | ) | (1.33 | ) | (1.48 | ) | 12.41 | 28.70 | 18,292 | 1.40 | 0.30 | 60 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 12.41 | 0.05 | (1.31 | ) | (1.26 | ) | (0.06 | ) | (1.86 | ) | (1.92 | ) | 9.23 | (12.36 | ) | 15,867 | 1.40 | 0.39 | 47 | |||||||||||||||||||||||||||||||||
03/31/23 | 9.23 | 0.10 | (1.23 | ) | (1.13 | ) | (0.04 | ) | (0.54 | ) | (0.58 | ) | 7.52 | (11.91 | ) | 12,519 | 1.43 | 1.22 | 52 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | |||||||
SA Multi-Managed Income/Equity Portfolio Class 1 |
0.00 | % | 0.00 | % | ||||
SA Multi-Managed Income/Equity Portfolio Class 2 |
0.00 | 0.00 | ||||||
SA Multi-Managed Income/Equity Portfolio Class 3 |
0.00 | 0.00 |
(2) | Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
Multi-Managed Income/Equity Portfolio Class 1 |
0.03 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.17 | % | ||||||||||
Multi-Managed Income/Equity Portfolio Class 2 |
0.03 | 0.04 | 0.04 | 0.04 | 0.17 | |||||||||||||||
Multi-Managed Income/Equity Portfolio Class 3 |
0.03 | 0.04 | 0.04 | 0.04 | 0.17 |
See Notes to Financial Statements
|
||
272 |
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 income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets period (000s) |
Ratio of expenses to average net assets(2) |
Ratio of net investment income to average net assets(2) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 11.05 | $ | 0.23 | $ | 0.33 | $ | 0.56 | $ | (0.25 | ) | $ | (0.30 | ) | $ | (0.55 | ) | $ | 11.06 | 5.39 | % | $ | 5,122 | 1.14 | %(1) | 2.07 | %(1) | 49 | % | |||||||||||||||||||||||
03/31/20 | 11.06 | 0.19 | 0.32 | 0.51 | (0.31 | ) | (0.25 | ) | (0.56 | ) | 11.01 | 4.50 | 4,271 | 1.22 | (1) | 1.67 | (1) | 63 | ||||||||||||||||||||||||||||||||||
03/31/21 | 11.01 | 0.11 | 1.78 | 1.89 | (0.23 | ) | (0.85 | ) | (1.08 | ) | 11.82 | 16.94 | 5,027 | 1.24 | 0.90 | 48 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 11.82 | 0.12 | (1.05 | ) | (0.93 | ) | (0.11 | ) | (1.08 | ) | (1.19 | ) | 9.70 | (8.97 | ) | 3,820 | 1.23 | 1.02 | 41 | |||||||||||||||||||||||||||||||||
03/31/23 | 9.70 | 0.17 | (1.02 | ) | (0.85 | ) | (0.15 | ) | (0.32 | ) | (0.47 | ) | 8.38 | (8.61 | ) | 2,987 | 1.25 | 1.96 | 48 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.04 | 0.21 | 0.33 | 0.54 | (0.23 | ) | (0.30 | ) | (0.53 | ) | 11.05 | 5.22 | 24,779 | 1.29 | (1) | 1.92 | (1) | 49 | ||||||||||||||||||||||||||||||||||
03/31/20 | 11.05 | 0.17 | 0.32 | 0.49 | (0.29 | ) | (0.25 | ) | (0.54 | ) | 11.00 | 4.33 | 21,120 | 1.37 | (1) | 1.52 | (1) | 63 | ||||||||||||||||||||||||||||||||||
03/31/21 | 11.00 | 0.09 | 1.78 | 1.87 | (0.21 | ) | (0.85 | ) | (1.06 | ) | 11.81 | 16.79 | 25,124 | 1.39 | 0.74 | 48 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 11.81 | 0.10 | (1.05 | ) | (0.95 | ) | (0.09 | ) | (1.08 | ) | (1.17 | ) | 9.69 | (9.12 | ) | 21,200 | 1.38 | 0.87 | 41 | |||||||||||||||||||||||||||||||||
03/31/23 | 9.69 | 0.16 | (1.03 | ) | (0.87 | ) | (0.13 | ) | (0.32 | ) | (0.45 | ) | 8.37 | (8.82 | ) | 16,079 | 1.40 | 1.81 | 48 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.04 | 0.20 | 0.33 | 0.53 | (0.22 | ) | (0.30 | ) | (0.52 | ) | 11.05 | 5.10 | 15,206 | 1.39 | (1) | 1.82 | (1) | 49 | ||||||||||||||||||||||||||||||||||
03/31/20 | 11.05 | 0.16 | 0.31 | 0.47 | (0.27 | ) | (0.25 | ) | (0.52 | ) | 11.00 | 4.21 | 12,143 | 1.47 | (1) | 1.41 | (1) | 63 | ||||||||||||||||||||||||||||||||||
03/31/21 | 11.00 | 0.08 | 1.78 | 1.86 | (0.20 | ) | (0.85 | ) | (1.05 | ) | 11.81 | 16.66 | 14,519 | 1.49 | 0.65 | 48 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 11.81 | 0.09 | (1.05 | ) | (0.96 | ) | (0.08 | ) | (1.08 | ) | (1.16 | ) | 9.69 | (9.21 | ) | 12,027 | 1.48 | 0.77 | 41 | |||||||||||||||||||||||||||||||||
03/31/23 | 9.69 | 0.15 | (1.02 | ) | (0.87 | ) | (0.12 | ) | (0.32 | ) | (0.44 | ) | 8.38 | (8.85 | ) | 9,397 | 1.50 | 1.71 | 48 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | |||||||
SA Multi-Managed Income Portfolio Class 1. |
0.00 | % | 0.00 | % | ||||
SA Multi-Managed Income Portfolio Class 2. |
0.00 | 0.00 | ||||||
SA Multi-Managed Income Portfolio Class 3. |
0.00 | 0.00 |
(2) | Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
Multi-Managed Income Portfolio Class 1 |
0.02 | % | 0.03 | % | 0.03 | % | 0.03 | % | 0.19 | % | ||||||||||
Multi-Managed Income Portfolio Class 2 |
0.02 | 0.03 | 0.03 | 0.03 | 0.19 | |||||||||||||||
Multi-Managed Income Portfolio Class 3 |
0.02 | 0.03 | 0.03 | 0.03 | 0.20 |
See Notes to Financial Statements
| ||
273 |
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 income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets period (000s) |
Ratio of expenses to average net assets(2) |
Ratio of net investment income to average net assets(2) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 12.15 | $ | 0.18 | $ | 0.08 | $ | 0.26 | $ | (0.25 | ) | $ | (0.44 | ) | $ | (0.69 | ) | $ | 11.72 | 2.43 | %(3) | $ | 14,836 | 0.93 | %(1) | 1.47 | %(1) | 101 | % | |||||||||||||||||||||||
03/31/20 | 11.72 | 0.20 | (1.39 | ) | (1.19 | ) | (0.17 | ) | (0.41 | ) | (0.58 | ) | 9.95 | (10.95 | ) | 12,257 | 0.91 | (1) | 1.68 | (1) | 66 | |||||||||||||||||||||||||||||||
03/31/21 | 9.95 | 0.16 | 4.41 | 4.57 | (0.18 | ) | | (0.18 | ) | 14.34 | 45.93 | 16,639 | 0.86 | 1.29 | 77 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 14.34 | 0.15 | 0.88 | 1.03 | (0.22 | ) | (1.00 | ) | (1.22 | ) | 14.15 | 6.77 | 13,475 | 0.85 | 1.00 | 102 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 14.15 | 0.18 | (1.22 | ) | (1.04 | ) | (0.18 | ) | (2.14 | ) | (2.32 | ) | 10.79 | (6.73 | ) | 10,266 | 0.90 | 1.53 | 50 | |||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 12.15 | 0.16 | 0.08 | 0.24 | (0.23 | ) | (0.44 | ) | (0.67 | ) | 11.72 | 2.26 | (3) | 50,708 | 1.08 | (1) | 1.32 | (1) | 101 | |||||||||||||||||||||||||||||||||
03/31/20 | 11.72 | 0.18 | (1.39 | ) | (1.21 | ) | (0.15 | ) | (0.41 | ) | (0.56 | ) | 9.95 | (11.09 | ) | 42,497 | 1.06 | (1) | 1.54 | (1) | 66 | |||||||||||||||||||||||||||||||
03/31/21 | 9.95 | 0.14 | 4.41 | 4.55 | (0.16 | ) | | (0.16 | ) | 14.34 | 45.75 | 56,213 | 1.01 | 1.14 | 77 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 14.34 | 0.13 | 0.88 | 1.01 | (0.20 | ) | (1.00 | ) | (1.20 | ) | 14.15 | 6.62 | 46,756 | 1.00 | 0.85 | 102 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 14.15 | 0.16 | (1.22 | ) | (1.06 | ) | (0.15 | ) | (2.14 | ) | (2.29 | ) | 10.80 | (6.87 | ) | 35,792 | 1.05 | 1.37 | 50 | |||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 12.11 | 0.15 | 0.09 | 0.24 | (0.22 | ) | (0.44 | ) | (0.66 | ) | 11.69 | 2.25 | (3) | 100,587 | 1.18 | (1) | 1.23 | (1) | 101 | |||||||||||||||||||||||||||||||||
03/31/20 | 11.69 | 0.17 | (1.39 | ) | (1.22 | ) | (0.14 | ) | (0.41 | ) | (0.55 | ) | 9.92 | (11.16 | ) | 97,057 | 1.16 | (1) | 1.42 | (1) | 66 | |||||||||||||||||||||||||||||||
03/31/21 | 9.92 | 0.13 | 4.39 | 4.52 | (0.15 | ) | | (0.15 | ) | 14.29 | 45.59 | 139,730 | 1.11 | 1.04 | 77 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 14.29 | 0.11 | 0.87 | 0.98 | (0.19 | ) | (1.00 | ) | (1.19 | ) | 14.08 | 6.44 | 151,309 | 1.10 | 0.75 | 102 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 14.08 | 0.15 | (1.21 | ) | (1.06 | ) | (0.14 | ) | (2.14 | ) | (2.28 | ) | 10.74 | (6.88 | ) | 135,871 | 1.15 | 1.28 | 50 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | |||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 |
0.00 | % | 0.00 | % | ||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 |
0.00 | 0.00 | ||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 |
0.00 | 0.00 |
(2) | Net of the following expense reimbursements and waivers (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 |
0.12 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 |
0.12 | 0.15 | 0.15 | 0.15 | 0.15 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 |
0.12 | 0.15 | 0.15 | 0.15 | 0.15 |
(3) | The Portfolios performance figure was increased by less than 0.01% from reimbursement of losses on the disposal of investments in violation of investment restrictions. |
See Notes to Financial Statements
|
||
274 |
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 income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets period (000s) |
Ratio of expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 27.31 | $ | 0.01 | $ | 2.29 | $ | 2.30 | $ | | $ | (6.91 | ) | $ | (6.91 | ) | $ | 22.70 | 10.40 | % | $ | 328,479 | 0.88 | % | 0.03 | % | 30 | % | ||||||||||||||||||||||||
03/31/20 | 22.70 | (0.04 | ) | (0.71 | ) | (0.75 | ) | | (2.04 | ) | (2.04 | ) | 19.91 | (4.34 | ) | 301,339 | 0.89 | (0.17 | ) | 44 | ||||||||||||||||||||||||||||||||
03/31/21 | 19.91 | (0.13 | ) | 12.91 | 12.78 | (0.01 | ) | (2.96 | ) | (2.97 | ) | 29.72 | 64.68 | 364,073 | 0.87 | (0.46 | ) | 32 | ||||||||||||||||||||||||||||||||||
03/31/22 | 29.72 | (0.17 | ) | 0.87 | 0.70 | | (6.53 | ) | (6.53 | ) | 23.89 | (1.67 | ) | 348,810 | 0.87 | (0.58 | ) | 30 | ||||||||||||||||||||||||||||||||||
03/31/23 | 23.89 | (0.07 | ) | (4.61 | ) | (4.68 | ) | | (2.89 | ) | (2.89 | ) | 16.32 | (18.44 | ) | 221,588 | 0.90 | (0.40 | ) | 26 | ||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 26.57 | (0.03 | ) | 2.21 | 2.18 | | (6.91 | ) | (6.91 | ) | 21.84 | 10.23 | 40,322 | 1.03 | (0.12 | ) | 30 | |||||||||||||||||||||||||||||||||||
03/31/20 | 21.84 | (0.07 | ) | (0.67 | ) | (0.74 | ) | | (2.04 | ) | (2.04 | ) | 19.06 | (4.47 | ) | 34,893 | 1.04 | (0.32 | ) | 44 | ||||||||||||||||||||||||||||||||
03/31/21 | 19.06 | (0.16 | ) | 12.34 | 12.18 | | (2.96 | ) | (2.96 | ) | 28.28 | 64.42 | 44,393 | 1.02 | (0.61 | ) | 32 | |||||||||||||||||||||||||||||||||||
03/31/22 | 28.28 | (0.21 | ) | 0.90 | 0.69 | | (6.53 | ) | (6.53 | ) | 22.44 | (1.80 | ) | 37,603 | 1.02 | (0.73 | ) | 30 | ||||||||||||||||||||||||||||||||||
03/31/23 | 22.44 | (0.09 | ) | (4.35 | ) | (4.44 | ) | | (2.89 | ) | (2.89 | ) | 15.11 | (18.56 | ) | 28,749 | 1.05 | (0.55 | ) | 26 | ||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 26.13 | (0.06 | ) | 2.16 | 2.10 | | (6.91 | ) | (6.91 | ) | 21.32 | 10.08 | 32,944 | 1.13 | (0.22 | ) | 30 | |||||||||||||||||||||||||||||||||||
03/31/20 | 21.32 | (0.09 | ) | (0.64 | ) | (0.73 | ) | | (2.04 | ) | (2.04 | ) | 18.55 | (4.53 | ) | 27,780 | 1.14 | (0.42 | ) | 44 | ||||||||||||||||||||||||||||||||
03/31/21 | 18.55 | (0.18 | ) | 11.99 | 11.81 | | (2.96 | ) | (2.96 | ) | 27.40 | 64.18 | 35,574 | 1.12 | (0.71 | ) | 32 | |||||||||||||||||||||||||||||||||||
03/31/22 | 27.40 | (0.23 | ) | 0.91 | 0.68 | | (6.53 | ) | (6.53 | ) | 21.55 | (1.90 | ) | 28,813 | 1.12 | (0.83 | ) | 30 | ||||||||||||||||||||||||||||||||||
03/31/23 | 21.55 | (0.10 | ) | (4.19 | ) | (4.29 | ) | | (2.89 | ) | (2.89 | ) | 14.37 | (18.64 | ) | 22,304 | 1.15 | (0.65 | ) | 26 |
* | 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. |
See Notes to Financial Statements
| ||
275 |
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 income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets period (000s) |
Ratio of expenses to average net assets(2) |
Ratio of net investment income to average net assets(2) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 15.32 | $ | 0.07 | $ | 1.52 | $ | 1.59 | $ | (0.10 | ) | $ | (2.45 | ) | $ | (2.55 | ) | $ | 14.36 | 11.68 | % | $ | 445,895 | 0.77 | %(1) | 0.44 | %(1) | 45 | % | |||||||||||||||||||||||
03/31/20 | 14.36 | 0.03 | (0.18 | ) | (0.15 | ) | (0.07 | ) | (1.88 | ) | (1.95 | ) | 12.26 | (2.43 | ) | 388,579 | 0.76 | (1) | 0.23 | (1) | 69 | |||||||||||||||||||||||||||||||
03/31/21 | 12.26 | (0.02 | ) | 8.73 | 8.71 | (0.04 | ) | (2.47 | ) | (2.51 | ) | 18.46 | 71.02 | 450,154 | 0.73 | (0.13 | ) | 45 | ||||||||||||||||||||||||||||||||||
03/31/22 | 18.46 | (0.05 | ) | 0.93 | 0.88 | | (5.08 | ) | (5.08 | ) | 14.26 | 0.39 | 450,952 | 0.73 | (0.29 | ) | 42 | |||||||||||||||||||||||||||||||||||
03/31/23 | 14.26 | (0.00 | ) | (2.68 | ) | (2.68 | ) | | (1.90 | ) | (1.90 | ) | 9.68 | (17.70 | ) | 328,010 | 0.77 | (0.04 | ) | 46 | ||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 15.02 | 0.04 | 1.49 | 1.53 | (0.07 | ) | (2.45 | ) | (2.52 | ) | 14.03 | 11.52 | 31,938 | 0.92 | (1) | 0.28 | (1) | 45 | ||||||||||||||||||||||||||||||||||
03/31/20 | 14.03 | 0.01 | (0.18 | ) | (0.17 | ) | (0.05 | ) | (1.88 | ) | (1.93 | ) | 11.93 | (2.65 | ) | 25,851 | 0.91 | (1) | 0.08 | (1) | 69 | |||||||||||||||||||||||||||||||
03/31/21 | 11.93 | (0.05 | ) | 8.51 | 8.46 | (0.02 | ) | (2.47 | ) | (2.49 | ) | 17.90 | 70.84 | 38,448 | 0.88 | (0.28 | ) | 45 | ||||||||||||||||||||||||||||||||||
03/31/22 | 17.90 | (0.08 | ) | 0.93 | 0.85 | | (5.08 | ) | (5.08 | ) | 13.67 | 0.23 | 33,225 | 0.88 | (0.44 | ) | 42 | |||||||||||||||||||||||||||||||||||
03/31/23 | 13.67 | (0.02 | ) | (2.57 | ) | (2.59 | ) | | (1.90 | ) | (1.90 | ) | 9.18 | (17.81 | ) | 25,437 | 0.92 | (0.19 | ) | 46 | ||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 14.87 | 0.03 | 1.47 | 1.50 | (0.06 | ) | (2.45 | ) | (2.51 | ) | 13.86 | 11.38 | 17,679 | 1.02 | (1) | 0.19 | (1) | 45 | ||||||||||||||||||||||||||||||||||
03/31/20 | 13.86 | (0.00 | ) | (0.18 | ) | (0.18 | ) | (0.03 | ) | (1.88 | ) | (1.91 | ) | 11.77 | (2.73 | ) | 13,717 | 1.01 | (1) | (0.02 | )(1) | 69 | ||||||||||||||||||||||||||||||
03/31/21 | 11.77 | (0.07 | ) | 8.39 | 8.32 | | (2.47 | ) | (2.47 | ) | 17.62 | 70.65 | 20,395 | 0.98 | (0.38 | ) | 45 | |||||||||||||||||||||||||||||||||||
03/31/22 | 17.62 | (0.10 | ) | 0.93 | 0.83 | | (5.08 | ) | (5.08 | ) | 13.37 | 0.09 | 18,008 | 0.98 | (0.54 | ) | 42 | |||||||||||||||||||||||||||||||||||
03/31/23 | 13.37 | (0.03 | ) | (2.51 | ) | (2.54 | ) | | (1.90 | ) | (1.90 | ) | 8.93 | (17.84 | ) | 14,040 | 1.02 | (0.29 | ) | 46 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | |||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 |
0.00 | % | 0.00 | % | ||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 |
0.00 | 0.00 | ||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 |
0.00 | 0.00 |
(2) | Net of the following expense reimbursements and waivers (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 |
0.05 | % | 0.07 | % | 0.08 | % | 0.08 | % | 0.07 | % | ||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 |
0.05 | 0.07 | 0.08 | 0.08 | 0.07 | |||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 |
0.05 | 0.07 | 0.08 | 0.08 | 0.07 |
See Notes to Financial Statements
|
||
276 |
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 income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets period (000s) |
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 16.72 | $ | 0.31 | $ | 0.30 | $ | 0.61 | $ | (0.34 | ) | $ | (2.01 | ) | $ | (2.35 | ) | $ | 14.98 | 4.25 | % | $ | 702,244 | 0.79 | % | 1.92 | % | 36 | % | |||||||||||||||||||||||
03/31/20 | 14.98 | 0.28 | (2.16 | ) | (1.88 | ) | (0.40 | ) | (0.90 | ) | (1.30 | ) | 11.80 | (14.52 | ) | 556,173 | 0.80 | 1.80 | 62 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.80 | 0.28 | 5.56 | 5.84 | (0.26 | ) | (0.85 | ) | (1.11 | ) | 16.53 | 50.22 | 763,236 | 0.79 | 1.94 | 45 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 16.53 | 0.24 | 1.88 | 2.12 | (0.31 | ) | (0.99 | ) | (1.30 | ) | 17.35 | 13.16 | 739,720 | 0.78 | 1.36 | 40 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 17.35 | 0.25 | (0.71 | ) | (0.46 | ) | (0.32 | ) | (2.82 | ) | (3.14 | ) | 13.75 | (2.63 | ) | 526,295 | 0.80 | 1.60 | 39 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.70 | 0.29 | 0.29 | 0.58 | (0.31 | ) | (2.01 | ) | (2.32 | ) | 14.96 | 4.06 | 24,198 | 0.94 | 1.78 | 36 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 14.96 | 0.25 | (2.15 | ) | (1.90 | ) | (0.37 | ) | (0.90 | ) | (1.27 | ) | 11.79 | (14.61 | ) | 17,581 | 0.95 | 1.64 | 62 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.79 | 0.26 | 5.55 | 5.81 | (0.24 | ) | (0.85 | ) | (1.09 | ) | 16.51 | 49.95 | 24,509 | 0.94 | 1.79 | 45 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 16.51 | 0.21 | 1.89 | 2.10 | (0.29 | ) | (0.99 | ) | (1.28 | ) | 17.33 | 13.02 | 23,698 | 0.93 | 1.21 | 40 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 17.33 | 0.23 | (0.72 | ) | (0.49 | ) | (0.29 | ) | (2.82 | ) | (3.11 | ) | 13.73 | (2.81 | ) | 20,212 | 0.95 | 1.46 | 39 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.70 | 0.27 | 0.29 | 0.56 | (0.29 | ) | (2.01 | ) | (2.30 | ) | 14.96 | 3.94 | 13,131 | 1.04 | 1.68 | 36 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 14.96 | 0.24 | (2.16 | ) | (1.92 | ) | (0.35 | ) | (0.90 | ) | (1.25 | ) | 11.79 | (14.71 | ) | 9,330 | 1.05 | 1.54 | 62 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.79 | 0.24 | 5.55 | 5.79 | (0.22 | ) | (0.85 | ) | (1.07 | ) | 16.51 | 49.77 | 11,866 | 1.04 | 1.69 | 45 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 16.51 | 0.19 | 1.89 | 2.08 | (0.27 | ) | (0.99 | ) | (1.26 | ) | 17.33 | 12.90 | 11,283 | 1.03 | 1.11 | 40 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 17.33 | 0.21 | (0.71 | ) | (0.50 | ) | (0.27 | ) | (2.82 | ) | (3.09 | ) | 13.74 | (2.88 | ) | 9,196 | 1.05 | 1.36 | 39 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 18.98 | (0.01 | ) | 2.20 | 2.19 | | (2.19 | ) | (2.19 | ) | 18.98 | 12.89 | 187,604 | 0.94 | (0.07 | ) | 37 | |||||||||||||||||||||||||||||||||||
03/31/20 | 18.98 | (0.04 | ) | (1.42 | ) | (1.46 | ) | | (2.07 | ) | (2.07 | ) | 15.45 | (9.65 | ) | 153,668 | 0.95 | (0.19 | ) | 47 | ||||||||||||||||||||||||||||||||
03/31/21 | 15.45 | (0.13 | ) | 12.47 | 12.34 | | (2.84 | ) | (2.84 | ) | 24.95 | 79.25 | 199,683 | 0.94 | (0.56 | ) | 65 | |||||||||||||||||||||||||||||||||||
03/31/22 | 24.95 | (0.13 | ) | (0.16 | ) | (0.29 | ) | | (7.65 | ) | (7.65 | ) | 17.01 | (5.65 | ) | 167,780 | 0.94 | (0.56 | ) | 60 | ||||||||||||||||||||||||||||||||
03/31/23 | 17.01 | (0.03 | ) | (2.00 | ) | (2.03 | ) | | (4.04 | ) | (4.04 | ) | 10.94 | (10.93 | ) | 129,176 | 0.97 | (0.20 | ) | 48 | ||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 18.16 | (0.04 | ) | 2.09 | 2.05 | | (2.19 | ) | (2.19 | ) | 18.02 | 12.69 | 22,407 | 1.09 | (0.22 | ) | 37 | |||||||||||||||||||||||||||||||||||
03/31/20 | 18.02 | (0.06 | ) | (1.32 | ) | (1.38 | ) | | (2.07 | ) | (2.07 | ) | 14.57 | (9.72 | ) | 17,335 | 1.10 | (0.34 | ) | 47 | ||||||||||||||||||||||||||||||||
03/31/21 | 14.57 | (0.15 | ) | 11.74 | 11.59 | | (2.84 | ) | (2.84 | ) | 23.32 | 78.88 | 26,864 | 1.09 | (0.71 | ) | 65 | |||||||||||||||||||||||||||||||||||
03/31/22 | 23.32 | (0.15 | ) | (0.07 | ) | (0.22 | ) | | (7.65 | ) | (7.65 | ) | 15.45 | (5.76 | ) | 22,730 | 1.09 | (0.71 | ) | 60 | ||||||||||||||||||||||||||||||||
03/31/23 | 15.45 | (0.04 | ) | (1.84 | ) | (1.88 | ) | | (4.04 | ) | (4.04 | ) | 9.53 | (11.07 | ) | 18,825 | 1.12 | (0.35 | ) | 48 | ||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 17.70 | (0.06 | ) | 2.04 | 1.98 | | (2.19 | ) | (2.19 | ) | 17.49 | 12.62 | 14,806 | 1.19 | (0.32 | ) | 37 | |||||||||||||||||||||||||||||||||||
03/31/20 | 17.49 | (0.08 | ) | (1.27 | ) | (1.35 | ) | | (2.07 | ) | (2.07 | ) | 14.07 | (9.84 | ) | 10,933 | 1.20 | (0.44 | ) | 47 | ||||||||||||||||||||||||||||||||
03/31/21 | 14.07 | (0.17 | ) | 11.34 | 11.17 | | (2.84 | ) | (2.84 | ) | 22.40 | 78.69 | 16,308 | 1.19 | (0.81 | ) | 65 | |||||||||||||||||||||||||||||||||||
03/31/22 | 22.40 | (0.17 | ) | (0.02 | ) | (0.19 | ) | | (7.65 | ) | (7.65 | ) | 14.56 | (5.88 | ) | 13,772 | 1.19 | (0.81 | ) | 60 | ||||||||||||||||||||||||||||||||
03/31/23 | 14.56 | (0.05 | ) | (1.74 | ) | (1.79 | ) | | (4.04 | ) | (4.04 | ) | 8.73 | (11.15 | ) | 11,589 | 1.22 | (0.45 | ) | 48 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
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 | |||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 |
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 |
See Notes to Financial Statements
| ||
277 |
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 investment income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets end of period (000s) |
Ratio of expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 16.79 | $ | 0.18 | $ | 0.04 | $ | 0.22 | $ | (0.16 | ) | $ | (1.15 | ) | $ | (1.31 | ) | $ | 15.70 | 1.65 | % | $ | 195,861 | 0.94 | % | 1.08 | % | 29 | % | |||||||||||||||||||||||
03/31/20 | 15.70 | 0.20 | (3.54 | ) | (3.34 | ) | (0.22 | ) | (0.88 | ) | (1.10 | ) | 11.26 | (23.20 | ) | 144,314 | 0.96 | 1.25 | 36 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.26 | 0.14 | 8.04 | 8.18 | (0.19 | ) | (0.57 | ) | (0.76 | ) | 18.68 | 73.16 | 220,104 | 0.95 | 0.92 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 18.68 | 0.13 | 2.10 | 2.23 | (0.19 | ) | (0.92 | ) | (1.11 | ) | 19.80 | 12.04 | 205,935 | 0.95 | 0.67 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 19.80 | 0.20 | (1.63 | ) | (1.43 | ) | (0.16 | ) | (2.63 | ) | (2.79 | ) | 15.58 | (7.25 | ) | 170,288 | 0.96 | 1.17 | 31 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.74 | 0.15 | 0.04 | 0.19 | (0.13 | ) | (1.15 | ) | (1.28 | ) | 15.65 | 1.47 | 22,284 | 1.09 | 0.93 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 15.65 | 0.17 | (3.53 | ) | (3.36 | ) | (0.19 | ) | (0.88 | ) | (1.07 | ) | 11.22 | (23.34 | ) | 14,917 | 1.11 | 1.09 | 36 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.22 | 0.12 | 8.02 | 8.14 | (0.17 | ) | (0.57 | ) | (0.74 | ) | 18.62 | 73.00 | 23,122 | 1.10 | 0.77 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 18.62 | 0.10 | 2.10 | 2.20 | (0.17 | ) | (0.92 | ) | (1.09 | ) | 19.73 | 11.89 | 22,040 | 1.10 | 0.51 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 19.73 | 0.18 | (1.63 | ) | (1.45 | ) | (0.12 | ) | (2.63 | ) | (2.75 | ) | 15.53 | (7.35 | ) | 18,646 | 1.11 | 1.02 | 31 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.70 | 0.14 | 0.04 | 0.18 | (0.11 | ) | (1.15 | ) | (1.26 | ) | 15.62 | 1.40 | 14,219 | 1.19 | 0.82 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 15.62 | 0.16 | (3.52 | ) | (3.36 | ) | (0.18 | ) | (0.88 | ) | (1.06 | ) | 11.20 | (23.41 | ) | 9,654 | 1.21 | 0.99 | 36 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.20 | 0.10 | 8.01 | 8.11 | (0.15 | ) | (0.57 | ) | (0.72 | ) | 18.59 | 72.87 | 14,260 | 1.20 | 0.67 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 18.59 | 0.08 | 2.08 | 2.16 | (0.15 | ) | (0.92 | ) | (1.07 | ) | 19.68 | 11.69 | 13,418 | 1.20 | 0.41 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 19.68 | 0.16 | (1.62 | ) | (1.46 | ) | (0.10 | ) | (2.63 | ) | (2.73 | ) | 15.49 | (7.45 | ) | 10,490 | 1.21 | 0.92 | 31 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 14.28 | 0.03 | (0.16 | ) | (0.13 | ) | (0.03 | ) | (1.06 | ) | (1.09 | ) | 13.06 | (0.67 | ) | 236,342 | 0.92 | (1)(2) | 0.19 | (1)(2) | 41 | |||||||||||||||||||||||||||||||
03/31/20 | 13.06 | 0.03 | (2.95 | ) | (2.92 | ) | (0.03 | ) | (1.11 | ) | (1.14 | ) | 9.00 | (24.88 | ) | 143,176 | 0.96 | (1) | 0.24 | (1) | 65 | |||||||||||||||||||||||||||||||
03/31/21 | 9.00 | 0.03 | 8.04 | 8.07 | (0.04 | ) | (1.77 | ) | (1.81 | ) | 15.26 | 91.05 | 230,594 | 0.95 | (1) | 0.26 | (1) | 55 | ||||||||||||||||||||||||||||||||||
03/31/22 | 15.26 | 0.02 | 0.13 | 0.15 | (0.03 | ) | (1.84 | ) | (1.87 | ) | 13.54 | 0.33 | 205,586 | 0.94 | (1) | 0.15 | (1) | 50 | ||||||||||||||||||||||||||||||||||
03/31/23 | 13.54 | 0.05 | (1.26 | ) | (1.21 | ) | (0.05 | ) | (2.19 | ) | (2.24 | ) | 10.09 | (8.84 | ) | 158,048 | 0.96 | (1) | 0.39 | (1) | 41 | |||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 13.91 | 0.01 | (0.17 | ) | (0.16 | ) | (0.00 | ) | (1.06 | ) | (1.06 | ) | 12.69 | (0.88 | ) | 15,415 | 1.07 | (1)(2) | 0.03 | (1)(2) | 41 | |||||||||||||||||||||||||||||||
03/31/20 | 12.69 | 0.01 | (2.85 | ) | (2.84 | ) | (0.01 | ) | (1.11 | ) | (1.12 | ) | 8.73 | (24.95 | ) | 10,273 | 1.11 | (1) | 0.10 | (1) | 65 | |||||||||||||||||||||||||||||||
03/31/21 | 8.73 | 0.01 | 7.79 | 7.80 | (0.02 | ) | (1.77 | ) | (1.79 | ) | 14.74 | 90.75 | 17,618 | 1.10 | (1) | 0.11 | (1) | 55 | ||||||||||||||||||||||||||||||||||
03/31/22 | 14.74 | 0.00 | 0.12 | 0.12 | (0.01 | ) | (1.84 | ) | (1.85 | ) | 13.01 | 0.14 | 15,175 | 1.09 | (1) | 0.00 | (1) | 50 | ||||||||||||||||||||||||||||||||||
03/31/23 | 13.01 | 0.03 | (1.20 | ) | (1.17 | ) | (0.03 | ) | (2.19 | ) | (2.22 | ) | 9.62 | (8.93 | ) | 12,205 | 1.11 | (1) | 0.24 | (1) | 41 | |||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 13.69 | (0.01 | ) | (0.15 | ) | (0.16 | ) | | (1.06 | ) | (1.06 | ) | 12.47 | (0.92 | ) | 10,647 | 1.17 | (1)(2) | (0.07 | )(1)(2) | 41 | |||||||||||||||||||||||||||||||
03/31/20 | 12.47 | 0.00 | (2.80 | ) | (2.80 | ) | | (1.11 | ) | (1.11 | ) | 8.56 | (25.05 | ) | 6,905 | 1.21 | (1) | (0.01 | )(1) | 65 | ||||||||||||||||||||||||||||||||
03/31/21 | 8.56 | 0.00 | 7.62 | 7.62 | (0.00 | ) | (1.77 | ) | (1.77 | ) | 14.41 | 90.49 | 11,334 | 1.20 | (1) | 0.01 | (1) | 55 | ||||||||||||||||||||||||||||||||||
03/31/22 | 14.41 | (0.01 | ) | 0.12 | 0.11 | | (1.84 | ) | (1.84 | ) | 12.68 | 0.06 | 9,747 | 1.19 | (1) | (0.10 | )(1) | 50 | ||||||||||||||||||||||||||||||||||
03/31/23 | 12.68 | 0.02 | (1.17 | ) | (1.15 | ) | (0.02 | ) | (2.19 | ) | (2.21 | ) | 9.32 | (9.03 | ) | 8,126 | 1.21 | (1) | 0.14 | (1) | 41 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Multi-Managed Mid Cap Value Class 1 |
| % | | % | | % | | % | | % | ||||||||||
SA Multi-Managed Mid Cap Value Class 2 |
| | | | | |||||||||||||||
SA Multi-Managed Mid Cap Value Class 3 |
| | | | | |||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 |
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 | |||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 |
0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) | Net of the following expense reimbursements and waivers (based on average net assets): |
03/31/19 | ||||
SA Multi-Managed Small Cap Portfolio Class 1 |
0.00 | % | ||
SA Multi-Managed Small Cap Portfolio Class 2 |
0.00 | |||
SA Multi-Managed Small Cap Portfolio Class 3 |
0.00 |
See Notes to Financial Statements
|
||
278 |
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 investment income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets end of period (000s) |
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 9.69 | $ | 0.21 | $ | (0.66 | ) | $ | (0.45 | ) | $ | (0.26 | ) | $ | | $ | (0.26 | ) | $ | 8.98 | (4.44 | )% | $ | 410,320 | 0.99 | %(1) | 2.27 | %(1) | 22 | % | ||||||||||||||||||||||
03/31/20 | 8.98 | 0.17 | (1.23 | ) | (1.06 | ) | (0.30 | ) | (0.78 | ) | (1.08 | ) | 6.84 | (14.19 | ) | 265,249 | 1.04 | (1) | 1.88 | (1) | 20 | |||||||||||||||||||||||||||||||
03/31/21 | 6.84 | 0.11 | 3.29 | 3.40 | (0.16 | ) | (0.14 | ) | (0.30 | ) | 9.94 | 49.70 | 354,716 | 0.97 | (1) | 1.27 | (1) | 22 | ||||||||||||||||||||||||||||||||||
03/31/22 | 9.94 | 0.16 | (0.20 | ) | (0.04 | ) | (0.15 | ) | (0.51 | ) | (0.66 | ) | 9.24 | (0.84 | ) | 332,409 | 1.00 | (1) | 1.55 | (1) | 18 | |||||||||||||||||||||||||||||||
03/31/23 | 9.24 | 0.16 | (0.42 | ) | (0.26 | ) | (0.18 | ) | (0.56 | ) | (0.74 | ) | 8.24 | (2.25 | ) | 287,976 | 1.03 | (1) | 2.03 | (1) | 13 | |||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 9.71 | 0.19 | (0.66 | ) | (0.47 | ) | (0.24 | ) | | (0.24 | ) | 9.00 | (4.61 | ) | 17,959 | 1.14 | (1) | 2.07 | (1) | 22 | ||||||||||||||||||||||||||||||||
03/31/20 | 9.00 | 0.14 | (1.22 | ) | (1.08 | ) | (0.28 | ) | (0.78 | ) | (1.06 | ) | 6.86 | (14.30 | ) | 13,398 | 1.19 | (1) | 1.61 | (1) | 20 | |||||||||||||||||||||||||||||||
03/31/21 | 6.86 | 0.10 | 3.29 | 3.39 | (0.14 | ) | (0.14 | ) | (0.28 | ) | 9.97 | 49.49 | 19,379 | 1.12 | (1) | 1.15 | (1) | 22 | ||||||||||||||||||||||||||||||||||
03/31/22 | 9.97 | 0.14 | (0.20 | ) | (0.06 | ) | (0.14 | ) | (0.51 | ) | (0.65 | ) | 9.26 | (1.08 | ) | 16,909 | 1.15 | (1) | 1.41 | (1) | 18 | |||||||||||||||||||||||||||||||
03/31/23 | 9.26 | 0.15 | (0.43 | ) | (0.28 | ) | (0.16 | ) | (0.56 | ) | (0.72 | ) | 8.26 | (2.46 | ) | 14,505 | 1.18 | (1) | 1.89 | (1) | 13 | |||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 9.67 | 0.18 | (0.65 | ) | (0.47 | ) | (0.23 | ) | | (0.23 | ) | 8.97 | (4.66 | ) | 13,689 | 1.24 | (1) | 1.96 | (1) | 22 | ||||||||||||||||||||||||||||||||
03/31/20 | 8.97 | 0.14 | (1.22 | ) | (1.08 | ) | (0.27 | ) | (0.78 | ) | (1.05 | ) | 6.84 | (14.34 | ) | 10,100 | 1.29 | (1) | 1.53 | (1) | 20 | |||||||||||||||||||||||||||||||
03/31/21 | 6.84 | 0.09 | 3.28 | 3.37 | (0.13 | ) | (0.14 | ) | (0.27 | ) | 9.94 | 49.35 | 13,369 | 1.22 | (1) | 1.04 | (1) | 22 | ||||||||||||||||||||||||||||||||||
03/31/22 | 9.94 | 0.13 | (0.20 | ) | (0.07 | ) | (0.13 | ) | (0.51 | ) | (0.64 | ) | 9.23 | (1.18 | ) | 11,304 | 1.25 | (1) | 1.31 | (1) | 18 | |||||||||||||||||||||||||||||||
03/31/23 | 9.23 | 0.14 | (0.42 | ) | (0.28 | ) | (0.15 | ) | (0.56 | ) | (0.71 | ) | 8.24 | (2.49 | ) | 9,506 | 1.28 | (1) | 1.78 | (1) | 13 | |||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.53 | 0.31 | 0.13 | 0.44 | (0.31 | ) | (0.03 | ) | (0.34 | ) | 11.63 | 4.03 | 928,761 | 0.68 | 2.68 | 38 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 11.63 | 0.30 | 0.44 | 0.74 | (0.38 | ) | | (0.38 | ) | 11.99 | 6.36 | 866,019 | 0.69 | 2.49 | 45 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 11.99 | 0.23 | 0.24 | 0.47 | (0.33 | ) | (0.26 | ) | (0.59 | ) | 11.87 | 3.81 | 948,017 | 0.68 | 1.88 | 41 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 11.87 | 0.20 | (0.72 | ) | (0.52 | ) | (0.21 | ) | (0.28 | ) | (0.49 | ) | 10.86 | (4.61 | ) | 870,018 | 0.68 | 1.68 | 39 | |||||||||||||||||||||||||||||||||
03/31/23 | 10.86 | 0.21 | (0.78 | ) | (0.57 | ) | (0.24 | ) | | (0.24 | ) | 10.05 | (5.25 | ) | 753,833 | 0.70 | 2.09 | 38 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.51 | 0.29 | 0.14 | 0.43 | (0.29 | ) | (0.03 | ) | (0.32 | ) | 11.62 | 3.91 | 19,873 | 0.83 | 2.53 | 38 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 11.62 | 0.28 | 0.45 | 0.73 | (0.36 | ) | | (0.36 | ) | 11.99 | 6.27 | 19,442 | 0.84 | 2.34 | 45 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 11.99 | 0.22 | 0.22 | 0.44 | (0.31 | ) | (0.26 | ) | (0.57 | ) | 11.86 | 3.58 | 20,138 | 0.84 | 1.73 | 41 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 11.86 | 0.18 | (0.72 | ) | (0.54 | ) | (0.19 | ) | (0.28 | ) | (0.47 | ) | 10.85 | (4.78 | ) | 17,263 | 0.83 | 1.53 | 39 | |||||||||||||||||||||||||||||||||
03/31/23 | 10.85 | 0.20 | (0.78 | ) | (0.58 | ) | (0.22 | ) | | (0.22 | ) | 10.05 | (5.35 | ) | 13,984 | 0.85 | 1.93 | 38 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.45 | 0.28 | 0.14 | 0.42 | (0.28 | ) | (0.03 | ) | (0.31 | ) | 11.56 | 3.82 | 12,712 | 0.93 | 2.43 | 38 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 11.56 | 0.27 | 0.44 | 0.71 | (0.34 | ) | | (0.34 | ) | 11.93 | 6.18 | 11,770 | 0.94 | 2.24 | 45 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 11.93 | 0.20 | 0.23 | 0.43 | (0.30 | ) | (0.26 | ) | (0.56 | ) | 11.80 | 3.48 | 11,089 | 0.94 | 1.64 | 41 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 11.80 | 0.17 | (0.72 | ) | (0.55 | ) | (0.17 | ) | (0.28 | ) | (0.45 | ) | 10.80 | (4.83 | ) | 9,188 | 0.93 | 1.43 | 39 | |||||||||||||||||||||||||||||||||
03/31/23 | 10.80 | 0.19 | (0.79 | ) | (0.60 | ) | (0.20 | ) | | (0.20 | ) | 10.00 | (5.53 | ) | 7,217 | 0.95 | 1.83 | 38 |
* | 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. |
(1) | Net of the following expense reimbursements and waivers (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 |
0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | ||||||||||
SA Multi-Managed International Equity Portfolio Class 2 |
0.04 | 0.04 | 0.04 | 0.04 | 0.04 | |||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 |
0.04 | 0.04 | 0.04 | 0.04 | 0.04 |
See Notes to Financial Statements
| ||
279 |
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 investment income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets end of period (000s) |
Ratio of expenses to average net assets(1) |
Ratio of net investment income to average net assets(1) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 9.64 | $ | 0.12 | $ | 0.10 | $ | 0.22 | $ | (0.36 | ) | $ | | $ | (0.36 | ) | $ | 9.50 | 2.40 | % | $ | 337,714 | 0.60 | % | 1.24 | % | 22 | % | ||||||||||||||||||||||||
03/31/20 | 9.50 | 0.21 | 0.02 | 0.23 | (0.04 | ) | | (0.04 | ) | 9.69 | 2.40 | 259,205 | 0.59 | 2.09 | 31 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 9.69 | 0.04 | 0.71 | 0.75 | (0.29 | ) | (0.08 | ) | (0.37 | ) | 10.07 | 7.71 | 252,182 | 0.59 | 0.42 | 43 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 10.07 | 0.36 | 0.08 | 0.44 | | (0.25 | ) | (0.25 | ) | 10.26 | 4.37 | 278,308 | 0.59 | 3.51 | 109 | |||||||||||||||||||||||||||||||||||||
03/31/23 | 10.26 | 0.42 | (1.16 | ) | (0.74 | ) | (0.25 | ) | (0.14 | ) | (0.39 | ) | 9.13 | (7.11 | ) | 245,407 | 0.59 | 4.48 | 57 | |||||||||||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 9.56 | 0.10 | 0.10 | 0.20 | (0.32 | ) | | (0.32 | ) | 9.44 | 2.17 | 387,047 | 0.85 | 1.02 | 22 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 9.44 | 0.17 | 0.03 | 0.20 | (0.03 | ) | | (0.03 | ) | 9.61 | 2.14 | 335,450 | 0.84 | 1.74 | 31 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 9.61 | 0.02 | 0.71 | 0.73 | (0.27 | ) | (0.08 | ) | (0.35 | ) | 9.99 | 7.51 | 407,229 | 0.84 | 0.18 | 43 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 9.99 | 0.33 | 0.07 | 0.40 | | (0.25 | ) | (0.25 | ) | 10.14 | 4.00 | 431,710 | 0.84 | 3.23 | 109 | |||||||||||||||||||||||||||||||||||||
03/31/23 | 10.14 | 0.39 | (1.14 | ) | (0.75 | ) | (0.22 | ) | (0.14 | ) | (0.36 | ) | 9.03 | (7.26 | ) | 392,544 | 0.84 | 4.20 | 57 |
* | 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. |
(1) | Net of the following expense reimbursements and waivers (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA American Century Inflation Protection Portfolio Class 1 |
0.05 | % | 0.05 | % | 0.05 | % | 0.05 | % | 0.06 | % | ||||||||||
SA American Century Inflation Protection Portfolio Class 3 |
0.05 | 0.05 | 0.05 | 0.05 | 0.06 |
See Notes to Financial Statements
|
||
280 |
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 investment income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets end of period (000s) |
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 20.36 | $ | 0.58 | $ | (0.51 | ) | $ | 0.07 | $ | (0.84 | ) | $ | (1.96 | ) | $ | (2.80 | ) | $ | 17.63 | 1.76 | % | $ | 273,629 | 0.72 | % | 2.95 | % | 16 | % | ||||||||||||||||||||||
03/31/20 | 17.63 | 0.32 | (3.39 | ) | (3.07 | ) | (0.10 | ) | (0.30 | ) | (0.40 | ) | 14.16 | (17.99 | ) | 188,851 | 0.73 | 1.77 | 12 | |||||||||||||||||||||||||||||||||
03/31/21 | 14.16 | 0.59 | 9.45 | 10.04 | (0.34 | ) | (1.19 | ) | (1.53 | ) | 22.67 | 71.65 | 334,737 | 0.72 | 3.12 | 35 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 22.67 | 0.38 | 2.39 | 2.77 | (0.63 | ) | (1.37 | ) | (2.00 | ) | 23.44 | 12.61 | 339,287 | 0.71 | 1.59 | 14 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 23.44 | 0.33 | (1.53 | ) | (1.20 | ) | (0.41 | ) | (2.41 | ) | (2.82 | ) | 19.42 | (5.40 | ) | 315,610 | 0.72 | 1.58 | 14 | |||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 2 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 20.33 | 0.55 | (0.49 | ) | 0.06 | (0.74 | ) | (1.96 | ) | (2.70 | ) | 17.69 | 1.61 | 13,536 | 0.87 | 2.80 | 16 | |||||||||||||||||||||||||||||||||||
03/31/20 | 17.69 | 0.30 | (3.41 | ) | (3.11 | ) | (0.09 | ) | (0.30 | ) | (0.39 | ) | 14.19 | (18.14 | ) | 9,512 | 0.88 | 1.62 | 12 | |||||||||||||||||||||||||||||||||
03/31/21 | 14.19 | 0.55 | 9.48 | 10.03 | (0.31 | ) | (1.19 | ) | (1.50 | ) | 22.72 | 71.40 | 14,886 | 0.87 | 2.91 | 35 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 22.72 | 0.34 | 2.41 | 2.75 | (0.60 | ) | (1.37 | ) | (1.97 | ) | 23.50 | 12.48 | 14,912 | 0.86 | 1.45 | 14 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 23.50 | 0.30 | (1.54 | ) | (1.24 | ) | (0.37 | ) | (2.41 | ) | (2.78 | ) | 19.48 | (5.55 | ) | 12,154 | 0.87 | 1.44 | 14 | |||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 20.28 | 0.53 | (0.49 | ) | 0.04 | (0.65 | ) | (1.96 | ) | (2.61 | ) | 17.71 | 1.51 | 9,295 | 0.97 | 2.70 | 16 | |||||||||||||||||||||||||||||||||||
03/31/20 | 17.71 | 0.28 | (3.41 | ) | (3.13 | ) | (0.08 | ) | (0.30 | ) | (0.38 | ) | 14.20 | (18.20 | ) | 6,713 | 0.98 | 1.52 | 12 | |||||||||||||||||||||||||||||||||
03/31/21 | 14.20 | 0.53 | 9.48 | 10.01 | (0.29 | ) | (1.19 | ) | (1.48 | ) | 22.73 | 71.19 | 9,951 | 0.97 | 2.81 | 35 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 22.73 | 0.32 | 2.40 | 2.72 | (0.58 | ) | (1.37 | ) | (1.95 | ) | 23.50 | 12.32 | 9,288 | 0.96 | 1.35 | 14 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 23.50 | 0.28 | (1.53 | ) | (1.25 | ) | (0.34 | ) | (2.41 | ) | (2.75 | ) | 19.50 | (5.59 | ) | 7,398 | 0.97 | 1.34 | 14 |
* | 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. |
(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: |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 |
0.00 | % | 0.00 | % | 0.01 | % | 0.00 | % | 0.00 | % | ||||||||||
SA Columbia Focused Value Portfolio Class 2 |
0.00 | 0.00 | 0.01 | 0.00 | 0.00 | |||||||||||||||
SA Columbia Focused Value Portfolio Class 3 |
0.00 | 0.00 | 0.01 | 0.00 | 0.00 |
(2) | Net of the following expense reimbursements and waivers (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 |
0.32 | % | 0.32 | % | 0.32 | % | 0.31 | % | 0.32 | % | ||||||||||
SA Columbia Focused Value Portfolio Class 2 |
0.32 | 0.32 | 0.32 | 0.31 | 0.32 | |||||||||||||||
SA Columbia Focused Value Portfolio Class 3 |
0.32 | 0.32 | 0.32 | 0.31 | 0.32 |
See Notes to Financial Statements
| ||
281 |
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 investment income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets end of period (000s) |
Ratio of expenses to average net assets(1)(2) |
Ratio of net investment income to average net assets(1)(2) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Allocation Growth Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | $ | 14.45 | $ | 0.33 | $ | 0.07 | $ | 0.40 | $ | (0.54 | ) | $ | (1.05 | ) | $ | (1.59 | ) | $ | 13.26 | 4.14 | % | $ | 150 | 0.15 | % | 2.32 | % | 20 | % | |||||||||||||||||||||||
03/31/20 | 13.26 | 0.18 | (1.13 | ) | (0.95 | ) | (0.01 | ) | (0.41 | ) | (0.42 | ) | 11.89 | (7.61 | ) | 136 | 0.15 | 1.29 | 26 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.89 | 0.23 | 5.31 | 5.54 | (0.16 | ) | (0.64 | ) | (0.80 | ) | 16.63 | 46.76 | 228 | 0.13 | 1.57 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 16.63 | 0.07 | 0.63 | 0.70 | (0.26 | ) | (0.75 | ) | (1.01 | ) | 16.32 | 3.85 | 5,436 | 0.12 | 0.45 | 10 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 16.32 | 0.20 | (1.33 | ) | (1.13 | ) | (0.39 | ) | (0.84 | ) | (1.23 | ) | 13.96 | (6.65 | ) | 4,322 | 0.12 | 1.40 | 15 | |||||||||||||||||||||||||||||||||
SA Allocation Growth Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 14.41 | 0.21 | 0.16 | 0.37 | (0.49 | ) | (1.05 | ) | (1.54 | ) | 13.24 | 3.89 | 160,980 | 0.40 | 1.55 | 20 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 13.24 | 0.15 | (1.14 | ) | (0.99 | ) | (0.00 | ) | (0.41 | ) | (0.41 | ) | 11.84 | (7.90 | ) | 192,198 | 0.40 | 1.09 | 26 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.84 | 0.19 | 5.28 | 5.47 | (0.13 | ) | (0.64 | ) | (0.77 | ) | 16.54 | 46.37 | 319,854 | 0.38 | 1.26 | 29 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 16.54 | 0.16 | 0.49 | 0.65 | (0.23 | ) | (0.75 | ) | (0.98 | ) | 16.21 | 3.58 | 394,425 | 0.37 | 0.92 | 10 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 16.21 | 0.17 | (1.33 | ) | (1.16 | ) | (0.35 | ) | (0.84 | ) | (1.19 | ) | 13.86 | (6.87 | ) | 391,646 | 0.37 | 1.18 | 15 | |||||||||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 1 |
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03/31/19 | 11.75 | 0.15 | 0.13 | 0.28 | (0.56 | ) | (1.40 | ) | (1.96 | ) | 10.07 | 4.24 | 374 | 0.12 | 1.42 | 18 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 10.07 | 0.18 | (0.60 | ) | (0.42 | ) | (0.18 | ) | (0.39 | ) | (0.57 | ) | 9.08 | (4.96 | ) | 190 | 0.12 | 1.67 | 22 | |||||||||||||||||||||||||||||||||
03/31/21 | 9.08 | 0.18 | 3.23 | 3.41 | | (0.47 | ) | (0.47 | ) | 12.02 | 37.59 | 256 | 0.12 | 1.65 | 23 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 12.02 | 0.16 | 0.19 | 0.35 | (0.25 | ) | (0.70 | ) | (0.95 | ) | 11.42 | 2.49 | 257 | 0.11 | 1.30 | 10 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 11.42 | 0.13 | (0.88 | ) | (0.75 | ) | (0.33 | ) | (0.71 | ) | (1.04 | ) | 9.63 | (6.28 | ) | 319 | 0.12 | 1.31 | 12 | |||||||||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 3 |
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03/31/19 | 11.72 | 0.19 | 0.07 | 0.26 | (0.51 | ) | (1.40 | ) | (1.91 | ) | 10.07 | 3.95 | 462,493 | 0.37 | 1.67 | 18 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 10.07 | 0.13 | (0.58 | ) | (0.45 | ) | (0.15 | ) | (0.39 | ) | (0.54 | ) | 9.08 | (5.19 | ) | 403,234 | 0.37 | 1.25 | 22 | |||||||||||||||||||||||||||||||||
03/31/21 | 9.08 | 0.15 | 3.23 | 3.38 | | (0.47 | ) | (0.47 | ) | 11.99 | 37.26 | 530,277 | 0.37 | 1.38 | 23 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 11.99 | 0.13 | 0.18 | 0.31 | (0.22 | ) | (0.70 | ) | (0.92 | ) | 11.38 | 2.18 | 525,534 | 0.36 | 1.05 | 10 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 11.38 | 0.13 | (0.91 | ) | (0.78 | ) | (0.30 | ) | (0.71 | ) | (1.01 | ) | 9.59 | (6.60 | ) | 465,607 | 0.37 | 1.31 | 12 |
* | 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, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions. |
(1) | Does not include underlying fund expenses that the Portfolios bear indirectly. |
(2) | Net of the following expense reimbursements and waivers (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Allocation Growth Portfolio Class 1 |
0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||
SA Allocation Growth Portfolio Class 3 |
0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||
SA Allocation Moderate Growth Portfolio Class 1 |
0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||
SA Allocation Moderate Growth Portfolio Class 3 |
0.01 | 0.01 | 0.01 | 0.01 | 0.01 |
See Notes to Financial Statements
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282 |
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 investment income |
Dividends from net realized gain on investments |
Total distributions |
Net Asset Value end of period |
Total Return** |
Net Assets end of period (000s) |
Ratio of expenses to average net assets(1)(2) |
Ratio of net investment income to average net assets(1)(2) |
Portfolio turnover |
|||||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Portfolio Class 1 |
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03/31/19 | $ | 11.61 | $ | 0.19 | $ | 0.16 | $ | 0.35 | $ | (0.56 | ) | $ | (1.20 | ) | $ | (1.76 | ) | $ | 10.20 | 4.52 | % | $ | 213 | 0.13 | % | 1.77 | % | 19 | % | |||||||||||||||||||||||
03/31/20 | 10.20 | 0.21 | (0.49 | ) | (0.28 | ) | (0.18 | ) | (0.34 | ) | (0.52 | ) | 9.40 | (3.31 | ) | 90 | 0.13 | 1.90 | 26 | |||||||||||||||||||||||||||||||||
03/31/21 | 9.40 | 0.19 | 2.79 | 2.98 | | (0.45 | ) | (0.45 | ) | 11.93 | 31.78 | 117 | 0.13 | 1.72 | 24 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 11.93 | 0.18 | 0.06 | 0.24 | (0.27 | ) | (0.64 | ) | (0.91 | ) | 11.26 | 1.57 | 142 | 0.12 | 1.46 | 12 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 11.26 | 0.18 | (0.91 | ) | (0.73 | ) | (0.33 | ) | (0.68 | ) | (1.01 | ) | 9.52 | (6.19 | ) | 193 | 0.13 | 1.90 | 13 | |||||||||||||||||||||||||||||||||
SA Allocation Moderate Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.58 | 0.20 | 0.12 | 0.32 | (0.50 | ) | (1.20 | ) | (1.70 | ) | 10.20 | 4.27 | 294,856 | 0.38 | 1.79 | 19 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 10.20 | 0.14 | (0.45 | ) | (0.31 | ) | (0.16 | ) | (0.34 | ) | (0.50 | ) | 9.39 | (3.64 | ) | 256,715 | 0.38 | 1.33 | 26 | |||||||||||||||||||||||||||||||||
03/31/21 | 9.39 | 0.16 | 2.79 | 2.95 | | (0.45 | ) | (0.45 | ) | 11.89 | 31.50 | 319,388 | 0.38 | 1.46 | 24 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 11.89 | 0.13 | 0.08 | 0.21 | (0.24 | ) | (0.64 | ) | (0.88 | ) | 11.22 | 1.35 | 312,112 | 0.37 | 1.09 | 12 | ||||||||||||||||||||||||||||||||||||
03/31/23 | 11.22 | 0.13 | (0.88 | ) | (0.75 | ) | (0.30 | ) | (0.68 | ) | (0.98 | ) | 9.49 | (6.42 | ) | 273,074 | 0.38 | 1.36 | 13 | |||||||||||||||||||||||||||||||||
SA Allocation Balanced Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 10.83 | 0.24 | 0.11 | 0.35 | (0.55 | ) | (0.97 | ) | (1.52 | ) | 9.66 | 4.33 | 114 | 0.13 | 2.29 | 22 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 9.66 | 0.17 | (0.22 | ) | (0.05 | ) | (0.18 | ) | (0.20 | ) | (0.38 | ) | 9.23 | (0.78 | ) | 146 | 0.14 | 1.76 | 31 | |||||||||||||||||||||||||||||||||
03/31/21 | 9.23 | 0.23 | 1.92 | 2.15 | (0.15 | ) | (0.39 | ) | (0.54 | ) | 10.84 | 23.42 | 137 | 0.13 | 2.09 | 31 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 10.84 | 0.16 | (0.11 | ) | 0.05 | (0.13 | ) | (0.36 | ) | (0.49 | ) | 10.40 | 0.20 | 173 | 0.13 | 1.50 | 14 | |||||||||||||||||||||||||||||||||||
03/31/23 | 10.40 | 0.09 | (0.73 | ) | (0.64 | ) | (0.29 | ) | (0.48 | ) | (0.77 | ) | 8.99 | (5.92 | ) | 69 | 0.14 | 0.89 | 14 | |||||||||||||||||||||||||||||||||
SA Allocation Balanced Portfolio Class 3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/19 | 10.80 | 0.21 | 0.12 | 0.33 | (0.50 | ) | (0.97 | ) | (1.47 | ) | 9.66 | 4.11 | 215,693 | 0.38 | 2.01 | 22 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 9.66 | 0.15 | (0.22 | ) | (0.07 | ) | (0.16 | ) | (0.20 | ) | (0.36 | ) | 9.23 | (1.02 | ) | 206,134 | 0.39 | 1.52 | 31 | |||||||||||||||||||||||||||||||||
03/31/21 | 9.23 | 0.17 | 1.97 | 2.14 | (0.13 | ) | (0.39 | ) | (0.52 | ) | 10.85 | 23.25 | 257,105 | 0.38 | 1.61 | 31 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 10.85 | 0.13 | (0.12 | ) | 0.01 | (0.10 | ) | (0.36 | ) | (0.46 | ) | 10.40 | (0.11 | ) | 264,518 | 0.38 | 1.17 | 14 | ||||||||||||||||||||||||||||||||||
03/31/23 | 10.40 | 0.14 | (0.79 | ) | (0.65 | ) | (0.27 | ) | (0.48 | ) | (0.75 | ) | 9.00 | (6.09 | ) | 237,811 | 0.39 | 1.45 | 14 |
* | 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, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions. |
(1) | Does not include underlying fund expenses that the Portfolios bear indirectly. |
(2) | Net of the following expense reimbursements and waivers (based on average net assets): |
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | 03/31/23 | ||||||||||||||||
SA Allocation Moderate Portfolio Class 1 |
0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||
SA Allocation Moderate Portfolio Class 3 |
0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||
SA Allocation Balanced Portfolio Class 1 |
0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||
SA Allocation Balanced Portfolio Class 3 |
0.01 | 0.01 | 0.01 | 0.01 | 0.01 |
See Notes to Financial Statements
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283 |
SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Board of Trustees of Seasons Series Trust and Shareholders of each of the nineteen portfolios listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of each of the portfolios listed in the table below (nineteen portfolios (each a Portfolio and collectively the Portfolios) constituting Seasons Series Trust) as of March 31, 2023, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period ended March 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended March 31, 2023. In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of March 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended March 31, 2023 and each of the financial highlights for each of the five years in the period ended March 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Seasons Series Trust |
SA Allocation Balanced Portfolio |
SA Allocation Growth Portfolio |
SA Allocation Moderate Growth Portfolio |
SA Allocation Moderate Portfolio |
SA American Century Inflation Protection Portfolio |
SA Columbia Focused Value Portfolio |
SA Multi-Managed Diversified Fixed Income Portfolio |
SA Multi-Managed Growth Portfolio |
SA Multi-Managed Income/Equity Portfolio |
SA Multi-Managed Income Portfolio |
SA Multi-Managed International Equity 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 |
SA Multi-Managed Moderate Growth Portfolio |
SA Multi-Managed Small Cap Portfolio |
SA Putnam Asset Allocation Diversified Growth Portfolio |
SA T. Rowe Price Growth Stock Portfolio |
Basis for Opinions
These financial statements are the responsibility of the Portfolios management. Our responsibility is to express an opinion on the Portfolios financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of March 31, 2023 by correspondence with the custodian, transfer agents,
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284 |
SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM (continued)
brokers and selling or agent banks; when replies were not received by a transfer agent, broker, or selling or agent bank, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Houston, Texas
May 26, 2023
We have served as the auditor of one or more investment companies in the SunAmerica annuity family of funds (consisting of SunAmerica Series Trust and Seasons Series Trust) since at least 1986. We have not been able to determine the specific year we began serving as auditor.
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285 |
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2023 (unaudited)
At a meeting held on October 13, 2022, the Board of Trustees (the Board), including the Trustees that are not interested persons of Seasons Series Trust (the Trust), as defined in the Investment Company Act of 1940, as amended (the Independent Trustees), approved with respect to each Portfolio the continuation of the Investment Management and Advisory Agreement between SunAmerica Asset Management LLC (SunAmerica or the Adviser) and the Trust (the Advisory Agreement) and the continuation of each Subadvisory Agreement between SunAmerica and each of the following subadvisers (the Subadvisory Agreements): American Century Investment Management, Inc. (American Century), Columbia Management Investment Advisers, LLC (Columbia), Goldman Sachs Asset Management, L.P. (GSAM), J.P. Morgan Investment Management Inc. (JPMorgan), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management Inc. (MSIM), PineBridge Investments, LLC (PineBridge), Putnam Investment Management, LLC (Putnam), Schroder Investment Management North America Inc. (SIMNA),1 T. Rowe Price Associates, Inc. (T. Rowe Price) and Wellington Management Company, LLP (Wellington) (collectively referred to as the Subadvisers and each a Subadviser). The Advisory Agreement and Subadvisory Agreements are collectively referred to as the Advisory Contracts.
In connection with the approval of the Advisory Contracts, the Board received materials related to certain factors used in its consideration whether to renew or approve the Advisory Contracts. Those factors included:
(1) | the requirements of the Trust in the areas of investment supervisory and administrative services; |
(2) | the nature, extent and quality of the investment advisory, administrative, operational and compliance services provided by SunAmerica, including a review of the investment performance of the Portfolios and oversight of the Subadvisers; |
(3) | the size and structure of the investment advisory fee and any other material payments to the Adviser and Subadvisers and, in connection therewith, a review of the costs of services provided and the profits realized by the Adviser and its affiliates from the relationship with the Trust; |
(4) | the expenses paid by each of the Portfolios, including their total operating expenses and any applicable expense limitation; |
(5) | the extent to which the Adviser realizes economies of scale and shares them with the Trust; |
(6) | the organizational capability, resources, personnel and financial condition of the Adviser and Subadvisers and their affiliates; and |
(7) | the fees paid by the Adviser to the Subadvisers for managing the Portfolios of the Trust. |
In addition, the Board considered (a) the historical relationship between the Trust and SunAmerica; (b) the possibility that services of the type required by the Trust might be better obtained from other organizations; (c) the conditions and trends prevailing in the economy, the securities markets and the investment company industry; and (d) the reasonableness of the amount of the fee retained by the Adviser in light of the services provided by the Adviser and the Subadvisers.
The Independent Trustees were separately represented by counsel that is independent of SunAmerica in connection with their consideration of approval of the Advisory Contracts. The matters discussed below were also considered separately by the Independent Trustees in executive sessions during which their independent counsel provided guidance to the Independent Trustees.
The Board received information regarding the Trusts advisory and subadvisory fees compared to advisory and subadvisory fee rates of a group of funds with similar investment strategies and/or objectives, as applicable (respectively, the Expense Group/Universe and the Subadvised Expense Group/Universe), as selected and prepared by an independent third-party provider of investment company data. The Board also received performance data and expense information prepared by management. In addition, the Board considered the expenses and performance of SunAmerica and the Subadvisers with respect to accounts and mutual funds managed by each that have comparable investment objectives and strategies to each of the Portfolios that they manage.
Nature, Extent and Quality of Services.
The Board, including the Independent Trustees, considered the nature, quality and extent of services provided by SunAmerica and each of the Subadvisers. In making its evaluation, the Board considered that SunAmerica acts as adviser for each Portfolio, manages the investment of portions of certain Portfolios assets, manages the daily business affairs of the Trust, obtains and evaluates economic, statistical and financial information to formulate and implement investment policies, and provides oversight with respect to the daily management of certain Portfolios assets, or a portion thereof, allocated to the Subadvisers, subject to the Trustees oversight and
1 | The Board also approved the continuation of the Sub-Subadvisory Agreement between SIMNA and Schroder Investment Management North America Limited. |
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286 |
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2023 (unaudited) (continued)
control. It was also noted that SunAmericas advisory fees compensate SunAmerica for services such as monitoring Portfolio performance, selecting and replacing Subadvisers, determining asset allocations among Portfolios with multiple Subadvisers and ensuring that the Subadvisers styles adhere to the prospectus and statement of additional information as well as other administrative, compliance and legal services.
The Board noted that SunAmerica is responsible for overseeing the performance of services by the Trusts custodian, transfer agent and dividend disbursing agent. The Board also noted that SunAmerica is responsible for the financial, legal and accounting records required to be maintained by each Portfolio and for the administration of the Trusts business affairs, including providing such office space, bookkeeping, accounting, clerical, secretarial and administrative services (exclusive of, and in addition to, any such service provided by any others retained by the Trust or any Portfolio) and such executive and other personnel as may be necessary for the operations of each Portfolio. The Board considered that SunAmerica monitors and reviews the activities of third-party service providers that may provide additional administrative services.
In addition, the Board considered the key personnel of SunAmerica who are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios. The Board also considered the compensation program for SunAmericas investment professionals.
With respect to the Subadvisers, the Board noted that the Subadvisers are responsible for providing investment management services on a day-to-day basis. In such role, each Subadviser (i) determines the securities to be purchased or sold and executes such documents on behalf of the Portfolios they manage as may be necessary in connection therewith; (ii) provides SunAmerica with records concerning their activities; and (iii) renders regular reports to SunAmerica and to officers and Trustees of the Trust concerning their discharge of the foregoing responsibilities. The Board reviewed each Subadvisers history, structure and size, and investment experience. The Board considered each Subadvisers personnel who are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios, as well as current and projected staffing levels and compensation practices. The Board was informed that in managements judgment, each of the Subadvisers has the size, viability and resources to attract and retain highly qualified investment professionals.
The Board reviewed the qualifications, background and responsibilities of SunAmericas staff and each of the Subadvisers staff who is responsible for providing investment management services to the Portfolios and other key personnel of SunAmerica in addition to current and projected staffing levels and compensation practices.
The Board considered SunAmericas reputation and long-standing relationship with the Portfolios and considered the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of types of mutual funds and shareholder services. The Board also considered the Trusts relationship with affiliated life insurance companies that offer the Portfolios through variable annuity and variable life insurance products. The Board considered SunAmericas experience in providing management and investment advisory and administrative services to advisory clients. The Board also considered SunAmericas code of ethics and its risk management process, and that SunAmerica has developed internal procedures, adopted by the Board, for monitoring compliance with the investment objectives, policies and restrictions of the Portfolios as set forth in the Portfolios registration statement.
The Board also reviewed and considered SunAmericas and each Subadvisers compliance and regulatory history, including information about whether any were involved in any litigation, regulatory actions or investigations that could impair their ability to serve as an adviser or subadviser to the Portfolios. The Board considered SunAmericas and the Subadvisers risk assessment and risk management processes. The Board concluded that there was no information provided that would have a material adverse effect on SunAmericas or the Subadvisers ability to provide services to the Trust.
The Board concluded that it was satisfied with the nature, quality and extent of the services provided by or to be provided by SunAmerica and each Subadviser and that there was a reasonable basis on which to conclude that they would provide high quality services to the Trust.
Portfolio Fees and Expenses; Investment Performance.
The Board, including the Independent Trustees, received and reviewed information regarding the Portfolios fees (actual or contractual management fees, subadvisory fees, non-management fees, and 12b-1 fees, if applicable), and expense ratios compared against such fees and expense ratios of the Expense Group/Universe for each Portfolio. Such fees and expense ratios were compared both before and after expense waivers, caps and reimbursements, if any. It was noted that with respect to subadvisory fees, SunAmerica negotiates such fees at arms length. The Board also considered that the subadvisory fees are paid by SunAmerica out of its advisory fee and not by the Portfolios, and that subadvisory fees may vary widely within a Subadvised Expense Group/Universe for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further
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287 |
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2023 (unaudited) (continued)
considered the amount of subadvisory fees paid by SunAmerica and the amount of the management fees that it retained and determined that these amounts were reasonable in light of the services performed by SunAmerica and the Subadvisers, respectively.
To assist in analyzing the reasonableness of the advisory and subadvisory fees, the Board received a report prepared independently by Broadridge Financial Solutions, Inc. (Broadridge) as well as information provided by management. The Board also considered advisory fees received by the Adviser and the Subadvisers with respect to other mutual funds and accounts with similar investment strategies to the Portfolios each advises. Based on the information from Broadridge, the Board reviewed detailed information about peer groups of comparable mutual funds based on various factors such as the type of fund (those underlying variable insurance products), comparable investment objectives and strategies, among other factors. Referred to herein are Expense Groups and Performance Groups/Universes that represent those peer groups of funds used to compare expenses and performance, respectively.
The Trustees noted that expense information as a whole was useful in assessing whether SunAmerica and the Subadvisers were providing services at a cost that was competitive with other similar funds. The performance information included annualized returns for the period since inception and the one-, three-, five- and ten-year periods, as applicable, ended May 31, 2022 from Broadridge and performance information as of May 31, 2022 from management. On a quarterly basis, the Board monitors and reviews various materials presented and prepared by management, including but not limited to each Portfolios overall performance, performance relative to each Portfolios relevant benchmark and Morningstar and/or Broadridge peer groups, as applicable, and each Subadvisers performance within a Portfolio. The Board considered that management makes particular note of Portfolios that may require closer monitoring or potential corrective action by the Board.
As part of its review of the Portfolios fees and expenses and performance, the Board considered information, including but not limited to the following expense and performance information, provided by Broadridge and management in making its determinations. It was noted that actual advisory and subadvisory fees and total expenses were calculated as of each Portfolios most recent fiscal year end, which may vary among the Portfolios Expense Group/Universe. The Board considered managements discussion of the Trusts multi-manager subadvisory management structure and its explanation that the structure results in increased advisory fees and expenses to these Portfolios but noted the potential benefits to this type of multi-manager strategy where the Portfolios have access to the expertise of multiple subadvisers and the varied investment techniques employed by each subadviser in connection with a Portfolios investment objectives/strategies.
| SA Allocation Balanced Portfolio (advised by SunAmerica). The Board considered that the Portfolios actual management fees and total expenses were above the median of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses and noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.09% of average daily net assets. |
The Board considered that the Portfolio performed slightly below its benchmark index for the one-year period and above that index for the three-, five- and ten-year periods. The Board also noted that the Portfolio performed below the medians of its Performance Group for the one- and ten-year periods and above the medians for the three- and five-year periods. The Board took account of managements discussion of the Portfolios performance and noted that SunAmerica assumed full control of the Portfolio in 2015.
| SA Allocation Growth Portfolio (advised by SunAmerica). The Board considered that the Portfolios actual management fees were slightly above and total expenses were below the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.09% of average daily net assets. |
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed below the median of its Performance Group for the one-year period but above the medians of its Performance Group for the three-, five- and ten-year periods. The Board took account of managements discussion of the Portfolios performance and noted that SunAmerica assumed full control of the Portfolio in 2015.
| SA Allocation Moderate Portfolio (advised by SunAmerica). The Board considered that the Portfolios actual management fees were slightly above and total expenses were at the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.09% of average daily net assets. |
The Board considered that the Portfolio performed slightly below its benchmark index for the one-year period and above that index for the three-, five- and ten-year periods. The Board also considered that the Portfolio performed below the median of its Performance Group for the one-year period, above the medians for the three- and five-year periods and at the median for the ten-year period. The Board took account of managements discussion of the Portfolios recent performance and noted that SunAmerica assumed full control of the Portfolio in 2015.
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March 31, 2023 (unaudited) (continued)
| SA Allocation Moderate Growth Portfolio (advised by SunAmerica). The Board considered that the Portfolios actual management fees were slightly above and total expenses were below the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.09% of average daily net assets. |
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed below the medians of its Performance Group for the same periods. The Board took into consideration managements discussion of the Portfolios performance and noted that SunAmerica assumed full control of the Portfolio in 2015.
| SA Columbia Focused Value Portfolio (subadvised by Columbia). The Board considered that the Portfolios actual management fees and total expenses were below the medians of its Expense Group. The Board noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.67% of average daily net assets. |
The Board also considered that the Portfolio performed below its benchmark index for the one-year period but above that index for the three-, five- and ten-year periods. The Board noted that the Portfolio performed above the medians of the Performance Group for the one-, three-, five- and ten-year periods.
| SA Multi-Managed Diversified Fixed Income Portfolio (subadvised by PineBridge and Wellington). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses. |
The Board also considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board noted that the Portfolio performed below the medians of its Performance Group for the same periods. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration managements discussion of the Portfolios performance.
| SA Multi-Managed Growth Portfolio (components subadvised by J.P. Morgan, MSIM, and Wellington). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board considered managements report that the Portfolio is a multi-fund strategy and its costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that effective August 1, 2022, SunAmerica added an expense limitation of 1.27%, 1.42% and 1.52% on Class 1, Class 2 and Class 3 shares, respectively, and had agreed to further lower those expense limitations by 20 basis points for each class of shares, effective November 1, 2022. The Board further noted that SunAmerica had also contractually agreed to a fee waiver that lowers the advisory fee with respect to the Portfolio by 27 basis points at each applicable breakpoint. |
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the medians of the Portfolios Performance Group for same periods. The Board took account of managements discussion of the Portfolios performance and noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 and another in May 2019 due to performance.
| SA Multi-Managed Income Portfolio (components subadvised by MSIM and Wellington). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board considered managements report that, as a multi-fund strategy, the Portfolios costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that effective August 1, 2022, SunAmerica added an expense limitation of 1.23%, 1.38% and 1.48% on Class 1, Class 2 and Class 3 shares, respectively, and had agreed to further lower those expense limitations by 5 basis points for each class of shares, effective November 1, 2022. The Board further noted that SunAmerica had contractually agreed to a fee waiver that lowers the advisory fee with respect to the Portfolio by 8 basis points at each applicable breakpoint. |
The Board considered that the Portfolio performed below its benchmark index for the one-year period but above that index for the three-, five- and ten-year periods. The Board also noted that performance was below the medians of its Performance Group for the one-, three-, five- and ten-year periods. The Board took account of managements discussion of the Portfolios performance and noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 and another in May 2019 due to performance.
| SA Multi-Managed Income/Equity Portfolio (components subadvised by MSIM and Wellington). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board considered managements report that, as a multi-fund strategy, the Portfolios costs reflect the additional expenses of multi-manager asset |
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March 31, 2023 (unaudited) (continued)
allocation and administration. The Board noted that effective August 1, 2022, SunAmerica added an expense limitation of 1.15%, 1.30% and 1.40% on Class 1, Class 2 and Class 3 shares, respectively, and had agreed to further lower those expense limitations by 2 basis points for each class of shares, effective November 1, 2022. The Board further noted that SunAmerica had contractually agreed to a fee waiver that lowers the advisory fee with respect to the Portfolio by 6 basis points at each applicable breakpoint. |
The Board considered that the Portfolio performed below its benchmark index for the one-year period but above that index for the three-, five- and ten-year periods. The Board further considered that the Portfolio performed at the medians of its Performance Universe for the same periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 and another in May 2019 due to performance.
| SA Multi-Managed International Equity Portfolio (advised/subadvised by SunAmerica, SIMNA and T. Rowe Price). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses and noted that SunAmerica is currently waiving 4 basis points of the advisory fee pursuant to a contractual fee waiver agreement. |
The Board considered that the Portfolio performed below its benchmark index for the one- and ten-year periods but above that index for the three- and five-year periods. The Board noted that the Portfolio performed above the medians of its Performance Universe for the one- and five-year periods and below the medians for the three- and ten-year periods. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took account of managements discussion of the Portfolios performance and noted that management replaced one of the Subadvisers in 2014 and another in 2017.
| SA Multi-Managed Large Cap Growth Portfolio (advised/subadvised by SunAmerica, GSAM and MSIM). The Board considered that the Portfolios actual management fees and total expenses were below the medians of its Expense Group. The Board noted that SunAmerica had contractually agreed to a fee waiver that lowers the advisory fee with respect to the Portfolio at each applicable breakpoint. |
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the medians of its Performance Group for the same periods. The Board took into consideration managements discussion of the Portfolios performance and noted that the Portfolio is managed by multiple Subadvisers and that SunAmerica replaced one Subadviser in May 2019.
| SA Multi-Managed Large Cap Value Portfolio (advised/subadvised by SunAmerica, American Century and Wellington). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses. |
The Board considered that the Portfolio performed above its benchmark index for the one-year period but below that index for the three-, five- and ten-year periods. The Board also considered that performance was above the medians of its Performance Group for the one-, three- and five-year periods and below the median for the ten-year period. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration managements discussion of the Portfolios performance and noted that management has subjected the Portfolio to heightened monitoring and added American Century to replace a Subadviser in 2015.
| SA Multi-Managed Mid Cap Growth Portfolio (advised/subadvised by SunAmerica, T. Rowe Price and Wellington). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses. |
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the medians of the Portfolios Performance Group for the one- and three-year periods, at the median for the five-year period and above the median for the ten-year period. The Board took into consideration managements discussion of the Portfolios performance.
| SA Multi-Managed Mid Cap Value Portfolio (advised/subadvised by SunAmerica, T. Rowe Price and MFS). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses. |
The Board considered that the Portfolio performed above its benchmark index for the one-, three- and five-year periods and below that index for the ten-year period. The Board also considered that performance was below the medians of the Portfolios Performance Group for the one-, three-, five- and ten-year periods. The Board took into consideration managements discussion of the Portfolios performance and noted that T. Rowe Price had replaced one of the Subadvisers in February 2017.
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March 31, 2023 (unaudited) (continued)
| SA Multi-Managed Moderate Growth Portfolio (components subadvised by J.P. Morgan, MSIM and Wellington). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board considered managements report that, as a multi-fund strategy, the Portfolios costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that effective August 1, 2022, SunAmerica added an expense limitation of 1.09%, 1.24% and 1.34% on Class 1, Class 2 and Class 3 shares, respectively, and had agreed to further lower those expense limitations by 5 basis points for each class of shares, effective November 1, 2022. The Board also noted SunAmerica had contractually agreed to a fee waiver that lowers the advisory fee with respect to the Portfolio by 10 basis points at each applicable breakpoint. |
The Board considered that the Portfolio performed above its benchmark index for the one-, three- and five-year periods but below that index for the ten-year period. The Board also considered that performance was below the medians of the Portfolios Performance Group for the one-, three-, five- and ten-year periods. The Board took account of managements discussion of the Portfolios performance and noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 and another in May 2019 due to performance.
| SA Multi-Managed Small Cap Portfolio (advised/subadvised by SunAmerica, J.P. Morgan and SIMNA). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses. |
The Board considered that the Portfolio performed above its benchmark index for the one-, three- and five-year periods and below the index for the ten-year period. The Board further considered that the Portfolio performed below the medians of its Performance Group for the one-, three- and ten-year periods and above the median for the five-year period. The Board took into consideration managements discussion of the Portfolios performance and noted that SIMNA had replaced one of the Subadvisers in November 2019.
| SA American Century Inflation Protection Portfolio (subadvised by American Century). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses and noted that SunAmerica is voluntarily waiving 0.06% of is advisory fee. |
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed above the median of its Performance Group for the one-year period and below the medians for the three-, five- and ten-year periods. The Board took into consideration managements discussion of the Portfolios performance and noted that American Century took over as Subadviser to the Portfolio in February 2022 and therefore performance is not fully reflective of the track record of the new Subadviser.
| SA Putnam Asset Allocation Diversified Growth Portfolio (subadvised by Putnam). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses and noted that SunAmerica is currently waiving 15 basis points of the advisory fee pursuant to a contractual fee waiver agreement. |
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed at the median of its Performance Group for the one- and three-year periods, below the median for the five-year period and above the median for the ten-year period. The Board took into consideration managements discussion of the Portfolios performance.
| SA T. Rowe Price Growth Stock Portfolio (subadvised by T. Rowe Price). The Board considered that the Portfolios actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration managements discussion of the Portfolios fees and expenses. |
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolios performed below the medians of its Performance Group for the same periods. The Board took into consideration managements discussion of the Portfolios performance.
The Trustees noted that expense and performance information as a whole was useful in assessing whether the Subadvisers were providing services at a cost that was competitive with other similar funds.
Cost of Services & Benefits Derived.
With respect to indirect costs and benefits, the Board was informed, based on managements judgment, that any indirect costs incurred by SunAmerica in connection with rendering investment advisory services to the Trust were inconsequential to the analysis of the
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March 31, 2023 (unaudited) (continued)
adequacy of the advisory fees, and that any collateral benefits derived as a result of providing advisory services to the Trust did not impact the reasonableness of the advisory fee. The Board considered that SunAmerica is paid an administrative services fee of up to 0.04% of the average daily net asset value of the Trusts Portfolios pursuant to an arrangement between SunAmerica and certain affiliated life insurance companies (the Life Companies). The Board considered that the Trust also pays VALIC Retirement Services Company, an affiliate of SunAmerica, a fee for the provision of recordkeeping and shareholder services to contract owners and participants.
In connection with benefits derived from the Trust, the Board considered that the Life Companies may benefit as a result of their direct ownership of the Portfolios shares, which amounts may be significant. It was noted that in calculating their corporate income tax liability as insurance companies, the Life Companies, as corporate mutual fund shareholders, may exclude a portion of the ordinary dividends paid by underlying U.S. equities in the Portfolios to the same extent the Portfolios receive certain dividends with respect to shares of stock issued by domestic corporations, subject to applicable tax laws and regulations. In addition, the Life Companies may also rely on foreign tax credits with respect to certain foreign securities held by applicable Portfolios. The Board considered that the Life Companies receive financial support from SunAmerica and certain Subadvisers for distribution-related activities, including administrative, marketing and other servicing activities, including payments to help offset costs for marketing activities and training (including training of registered representatives of AIG Capital Services, Inc., an affiliate of SunAmerica) to support sales of the Portfolios, as well as occasional gifts, entertainment or other compensation as incentives. It was noted that such payments may be derived from 12b-1 (service) fees that are deducted directly from the assets of the Portfolios or from investment management fees received by SunAmerica or the Subadvisers. In addition, the Board considered that, because shares of the Portfolios are offered as investment options through variable annuity or life contracts issued by the Life Companies (the Variable Contracts), the investment objectives, strategies and performance of the Portfolios may positively or negatively impact a Life Companys ability to hedge and the related hedging costs associated with guarantees that the Life Company may provide as the issuer of the Variable Contracts.
The Board concluded that any benefits that SunAmerica and its affiliates could be expected to receive with regard to providing investment advisory and other services to the Portfolios were reasonable.
Profitability and Economies of Scale.
The Board received information related to SunAmericas profitability as well as the profitability of certain affiliates with respect to the services they provide to the Trusts Portfolios. The profitability analysis reflected the relationship between SunAmerica and the affiliated Life Companies. The Board considered that, pursuant to administrative services agreements between SunAmerica and each of the Life Companies, SunAmerica pays a fee to each Life Company at an annual rate of 25 basis points of the average daily net assets of the Portfolios that are held by the corresponding separate accounts of each Life Company, in exchange for certain administrative services provided to the Portfolios. The Board determined that the profitability to SunAmerica in connection with its relationship to the Trust was reasonable. In addition, the Board considered the Investment Management Profitability Analysis prepared by an independent information service, Broadridge, and noted that SunAmericas profitability was generally in the range of the profitability of companies contained in the report.
It was noted that the subadvisory fees paid pursuant to the Subadvisory Agreements are paid by SunAmerica out of the advisory fees that it receives under the Advisory Agreement. The Trustees also relied on the ability of SunAmerica to negotiate the Subadvisory Agreements and the fees thereunder at arms length. It was noted that SunAmerica reviewed a number of factors in determining appropriate subadvisory fees payable to each Subadviser. Such factors include review of (1) style class peers primarily within the variable annuity universe; (2) key competitor analysis; (3) portfolio analysis; and (4) special considerations such as competitor subaccount characteristics, uniqueness of the product and the managers prestige. The Board determined that the profitability to each Subadviser in connection with its relationship with the respective Portfolios is therefore not a material factor in their consideration of the Subadvisory Agreements.
The Board also received and considered information regarding the ability of the Portfolios to achieve economies of scale. It was noted that the advisory fees of nearly all Portfolios contain breakpoints that will reduce the fees paid by a Portfolio as its assets increase. The Board also considered that SunAmerica has voluntarily agreed to waive fees in certain instances, which was noted earlier in the discussion of fees. It was noted that as a result of being part of a complex of mutual funds advised or administered by SunAmerica, the Trust is able to share common resources and may share certain expenses, which could result in a Portfolio experiencing lower expenses than it otherwise would achieve if the Trust were a stand-alone entity. The Board considered that management believed that the Portfolios existing fee schedules and the fee schedules for those Portfolios for which management proposed reductions or waivers reflect the economies of scale inherent in providing investment advice to a Portfolio in its particular asset category and asset size. The Board concluded that any potential economies of scale are currently being shared between the Trust and SunAmerica in an appropriate manner.
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March 31, 2023 (unaudited) (continued)
The Board considered that certain Subadvisory Agreements also contain breakpoints in the fee schedules, however, since SunAmerica, and not the Trust, is responsible for the payment of the fees pursuant to the Subadvisory Agreements, the Trust does not directly benefit from any reduction in subadvisory fee rates. For similar reasons as stated above with respect to the Subadvisers profitability and the costs of their providing services, the Board concluded that the potential for economies of scale in the Subadvisers management of the Portfolios are not a material factor in its consideration at this time.
Terms of Advisory Contracts.
The Board, including the Independent Trustees, reviewed the terms of the Advisory Contracts including the duties and responsibilities undertaken by SunAmerica and the Subadvisers as discussed above. The Board considered that SunAmerica pays all of its own expenses in connection with the performance of its duties, as well as the salaries, fees and expenses of the officers of the Trust who are employees of SunAmerica. The Board also reviewed the terms of payment for services rendered and noted that SunAmerica compensates the Subadvisers out of the fees it receives from the Trust. The Board noted that each Subadvisory Agreement provides that the Subadviser will pay all of its own expenses in connection with the performance of its duties as well as the cost of maintaining the staff and personnel as necessary for it to perform its obligations. The Board also considered other terms and conditions of the Advisory Contracts.
Conclusions.
In reaching its decision to recommend the renewal of the Advisory Contracts, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered and each Trustee attributes different weight to the various factors. Based upon the materials it reviewed, the representations made to it and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that SunAmerica and the Subadvisers possess the capability and resources to perform the duties required of them under their respective Advisory Contracts.
Further, based upon its review of the Advisory Contracts, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that: (1) the terms of the Advisory Contracts are reasonable, fair and in the best interest of the Portfolios and their shareholders, and (2) the advisory fee rates and subadvisory fee rates are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality and the other factors considered.
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APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2023 (unaudited) (continued)
FOR THE TRUST IN CONNECTION WITH THE SEPARATION PLAN
The Board, including the Independent Trustees, met on September 22, 2022 and October 13, 2022 (together, the Board Meeting) to evaluate, among other matters, AIGs intention to sell its entire interest in Corebridge over time following an initial public offering of Corebridges common stock (the Separation Plan), and to determine whether to approve new Investment Advisory and Management Agreements (the New Advisory Agreements) and Subadvisory and Sub-Subadvisory Agreements (the New Subadvisory Agreements and, collectively with the New Advisory Agreements, the New Agreements) for the Trust, on behalf of their respective Portfolios, and to recommend approval of the New Advisory Agreements to the shareholders of the Trusts portfolios (collectively, the Portfolios). At the Board Meeting and throughout the process of considering the Separation Plan, the Independent Trustees were assisted in their review, and were advised, by independent legal counsel and met with counsel in executive sessions separate from representatives of SunAmerica.
The Board was aware that the implementation of the Separation Plan may not result immediately in a change of control of SunAmerica (a Change of Control Event) but also recognized that the Separation Plan contemplates a series of transactions that may be deemed to constitute one or more Change of Control Events in the future. The Board concluded that approval by shareholders at this time of the New Advisory Agreements and any new advisory agreements that may become effective upon certain Change of Control Events in the future (the Future Advisory Agreements) will allow the Portfolios to benefit from the continuation of services by SunAmerica and its affiliates throughout the implementation of the Separation Plan without the need for multiple shareholder meetings. The Board further considered that the expenses associated with obtaining shareholder approval of the New Advisory Agreements would be split equally between SunAmerica and the Trust, in consideration of the fact that the proxy solicitation process will include multiple proposals, including proposals unrelated to the Separation Plan.
A substantial portion of the Boards review was conducted in connection with its annual consideration of the renewal (the Annual Renewals) of the current Investment Advisory and Management Agreement (the Current Advisory Agreement) and Subadvisory and Sub-Subadvisory Agreements (the Current Subadvisory Agreements and together with the Current Advisory Agreement, the Current Agreements) of the Trust, which also occurred during the Board Meeting. During the review process that led to its renewal of the Current Agreements, the Board considered that it was also being asked to consider approval of the New Agreements in connection with the Separation Plan.
Prior to the Board Meeting, the Independent Trustees requested certain detailed information from SunAmerica regarding the Separation Plan, the Trust and the New Agreements, as well as the Annual Renewals, and reviewed the responses thereto. The Board communicated with senior representatives of SunAmerica regarding their personnel, operations and financial condition. The Board also reviewed the terms of the Separation Plan and considered its possible effects on the Portfolios and their shareholders. In this regard, the Trustees spoke with representatives of SunAmerica during the Board Meeting and, with respect to the Independent Trustees, in private sessions with their independent counsel to discuss the anticipated effects of the Separation Plan.
In connection with the Annual Renewals, the Board received materials related to certain factors used in its consideration whether to renew the Current Agreements. The Board also relied on this information in relation to its consideration whether to approve the New Agreements. Those factors included:
(1) | the requirements of the Trust in the areas of investment supervisory and administrative services; |
(2) | the nature, extent and quality of the investment advisory, administrative, operational and compliance services provided by SunAmerica, including a review of the investment performance of the Portfolios and oversight of the Trusts subadvisers and sub-subadvisers (collectively, the Subadvisers); |
(3) | the size and structure of the investment advisory fee and any other material payments to SunAmerica and the Subadvisers and, in connection therewith, a review of the costs of services provided and the profits realized by SunAmerica and its affiliates from the relationship with the Trust; |
(4) | the expenses paid by each of the Portfolios, including their total operating expenses and any applicable expense limitation; |
(5) | the extent to which SunAmerica realizes economies of scale and shares them with the Trust; |
(6) | the organizational capability, resources, personnel and financial condition of SunAmerica and the Subadvisers and their affiliates; and |
(7) | the fees paid by SunAmerica to the Subadvisers for managing the Portfolios of the Trust. |
In addition, the Board considered (a) the historical relationship between the Trust and SunAmerica; (b) the possibility that services of the type required by the Trust might be better obtained from other organizations; (c) the conditions and trends prevailing in the
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economy, the securities markets and the investment company industry; and (d) the reasonableness of the amount of the fee retained by SunAmerica in light of the services provided by SunAmerica and the Subadvisers.
In addition to the information the Board received and considered in approving the Current Agreements, SunAmerica also provided information relating to the New Advisory Agreements, including, but not limited to, the Separation Plan, the expected benefits and costs to shareholders of the Trust, and the expected management and operation of SunAmerica after a Change of Control Event. The Board focused its review on, and requested and evaluated other information relating to, the potential impact of implementing the Separation Plan on the operations, personnel, organizational structure, capitalization, and financial and other resources of SunAmerica and its affiliates that render administrative, distribution, compliance, and other services to the Trust. The Independent Trustees were also provided with legal memoranda discussing their fiduciary duties related to the approval of the Current Agreements, the New Agreements as well as considerations relevant to the Separation Plan.
The Independent Trustees were separately represented by counsel that is independent of SunAmerica in connection with their consideration of approval of the New Agreements. The matters discussed below were also considered separately by the Independent Trustees in executive sessions during which their independent counsel provided guidance to the Independent Trustees. The Board and the Independent Trustees did not identify any single matter or particular data point that, in isolation, would be controlling in their decision to approve the New Agreements. Rather, the Board and the Independent Trustees considered the total mix of information provided. The following summary describes the key factors considered by the Board and the Independent Trustees and the conclusions that formed the basis for approving the New Agreements, in light of the legal advice furnished to them by independent legal counsel and their own business judgment. The following list of factors is not inclusive of all factors that were considered.
Nature, Quality and Extent of Services.
The Board, including the Independent Trustees, considered the nature, quality and extent of services provided by SunAmerica and each of the Subadvisers. In making its evaluation, the Board considered that SunAmerica acts as adviser for each Portfolio, manages the investment of portions of certain Portfolios assets, manages the daily business affairs of the Trust, obtains and evaluates economic, statistical and financial information to formulate and implement investment policies, and provides oversight with respect to the daily management of certain Portfolios assets, or a portion thereof, allocated to the Subadvisers, subject to the Trustees oversight and control. It was also noted that SunAmericas advisory fees compensate SunAmerica for services such as monitoring Portfolio performance, selecting and replacing Subadvisers, determining asset allocations among Portfolios with multiple Subadvisers and ensuring that the Subadvisers styles adhere to the prospectus and statement of additional information as well as other administrative, compliance and legal services.
The Board noted that SunAmerica is responsible for overseeing the performance of services by the Trusts custodian, transfer agent and dividend disbursing agent. The Board also noted that SunAmerica is responsible for the financial, legal and accounting records required to be maintained by each Portfolio and for the administration of the Trusts business affairs, including providing such office space, bookkeeping, accounting, clerical, secretarial and administrative services (exclusive of, and in addition to, any such service provided by any others retained by the Trust or any Portfolio) and such executive and other personnel as may be necessary for the operations of each Portfolio. The Board considered that SunAmerica monitors and reviews the activities of third-party service providers that may provide additional administrative services. The Board also considered that no material changes in SunAmericas management or operations are expected as a result of the Separation Plan and that the Separation Plan is not expected to have an effect on SunAmericas performance or delivery of services under the New Advisory Agreements relative to SunAmericas performance or delivery of services under the Current Advisory Agreement.
In addition, the Board considered the key personnel of SunAmerica who are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios in addition to current and projected staffing levels and compensation practices. The Board also considered the compensation program for SunAmericas investment professionals. The Board considered that no material changes to any Portfolios investment management team or SunAmericas compensation practices are expected to occur as a result of the Separation Plan.
With respect to the Subadvisers, the Board noted that the Subadvisers are responsible for providing investment management services on a day-to-day basis. In such role, each Subadviser (i) determines the securities to be purchased or sold and executes such documents on behalf of the Portfolios they manage as may be necessary in connection therewith; (ii) provides SunAmerica with records concerning their activities; and (iii) renders regular reports to SunAmerica and to officers and Trustees of the Trust concerning their discharge of the foregoing responsibilities. In connection with the Annual Renewals, the Board reviewed each Subadvisers history, structure and size, and investment experience. The Board considered each Subadvisers personnel who are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios, as well as current and projected staffing
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APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2023 (unaudited) (continued)
levels and compensation practices. The Board was informed that in managements judgment, each of the Subadvisers has the size, viability and resources to attract and retain highly qualified investment professionals.
The Board considered SunAmericas reputation and long-standing relationship with the Portfolios and considered the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of types of mutual funds and shareholder services. The Board also considered the Trusts relationship with affiliated life insurance companies that offer the Portfolios through variable annuity and variable life insurance products. The Board considered SunAmericas experience in providing management and investment advisory and administrative services to advisory clients. The Board also considered SunAmericas code of ethics and its risk management process, and that SunAmerica has developed internal procedures, adopted by the Board, for monitoring compliance with the investment objectives, policies and restrictions of the Portfolios as set forth in the Portfolios registration statement. The Board further considered that no material changes to SunAmericas risk management processes and compliance policies and procedures were expected to result from the anticipated change of control of SunAmerica.
In connection with the Annual Renewals, the Board also reviewed and considered the Advisers and each Subadvisers compliance and regulatory history, including information about whether any were involved in any litigation, regulatory actions or investigations that could impair their ability to serve as an adviser or subadviser to the Portfolios. The Board considered SunAmericas and the Subadvisers risk assessment and risk management processes. The Board concluded that there was no information provided that would have a material adverse effect on SunAmericas or the Subadvisers ability to provide services to the Trust.
The Board considered that the nature, extent and quality of the services provided to the Portfolios by the Adviser and each Subadviser were expected to remain unchanged after the change of control of the Adviser that would result from the implementation of the Separation Plan.
Portfolio Fees and Expenses; Investment Performance
The Board, including the Independent Trustees, received and reviewed information regarding the Portfolios fees (actual or contractual management fees, subadvisory fees, non-management fees, and 12b-1 fees, if applicable), and expense ratios compared against such fees and expense ratios of the Expense Group/Universe for each Portfolio. Such fees and expense ratios were compared both before and after expense waivers, caps and reimbursements, if any. It was noted that with respect to subadvisory fees, SunAmerica negotiates such fees at arms length. The Board also considered that the subadvisory fees are paid by SunAmerica out of its advisory fee and not by the Portfolios, and that subadvisory fees may vary widely within a Subadvised Expense Group/Universe for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further considered the amount of subadvisory fees paid by SunAmerica and the amount of the management fees that it retained and determined that these amounts were reasonable in light of the services performed by SunAmerica and the Subadvisers, respectively.
To assist in analyzing the reasonableness of the advisory and subadvisory fees, the Board received a report prepared independently by Broadridge Financial Solutions, Inc. (Broadridge) as well as information provided by management. The Board also considered advisory fees received by SunAmerica and the Subadvisers with respect to other mutual funds and accounts with similar investment strategies to the Portfolios each advises. Based on the information from Broadridge, the Board reviewed detailed information about peer groups of comparable mutual funds based on various factors such as the type of fund (those underlying variable insurance products), comparable investment objectives and strategies, among other factors. Referred to herein are Expense Groups and Performance Groups/Universes that represent those peer groups of funds used to compare expenses and performance, respectively. The Board also received performance data and expense information prepared by management.
The Trustees noted that the expense information as a whole was useful in assessing whether SunAmerica and the Subadvisers were providing services at a cost that was competitive with other similar funds. The performance information included annualized returns for the period since inception and the one-, three-, five- and ten-year periods, as applicable, ended May 31, 2022 from Broadridge and performance information as of May 31, 2022 from management. On a quarterly basis, the Board monitors and reviews various materials presented and prepared by management, including but not limited to each Portfolios overall performance, performance relative to each Portfolios relevant benchmark and Morningstar and/or Broadridge peer groups, as applicable, and each Subadvisers performance within a Portfolio. The Board considered that management makes particular note of Portfolios that may require closer monitoring or potential corrective action by the Board.
As part of its review of the Portfolios fees and expenses and performance in connection with the Annual Renewals, the Board noted that it considered expense and performance information for each Portfolio provided by Broadridge and management in making its determination to renew the Current Advisory Agreement. For Portfolios with periods of relative underperformance, the Board considered managements explanations of and plans to address that underperformance. The Board also reviewed Portfolios with higher expenses relative to their respective Expense Groups/Universes and considered managements discussions in that regard. In particular,
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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2023 (unaudited) (continued)
the Board considered managements discussion of the Trusts multi-manager subadvisory management structure and its explanation that the structure results in increased advisory fees and expenses to these Portfolios but noted the potential benefits to this type of multi-manager strategy where the Portfolios have access to the expertise of multiple subadvisers and the varied investment techniques employed by each Subadviser in connection with a Portfolios investment objectives/strategies. The Board also considered that the Separation Plan is not expected to result in any changes to the contractual investment advisory fees charged to the Portfolios, nor a reduction in any fee waiver or expense limitation agreed to by SunAmerica with respect to the Portfolios.
Ultimately, the Board and the Independent Trustees concluded that SunAmerica has a strong long-term record of effectively managing each of the Portfolios and monitoring the effectiveness of the contributions made by each of the Subadvisers. The Board and the Independent Trustees further concluded that SunAmerica was applying appropriate discipline and oversight to ensure that each Portfolio adhered to its stated investment objective and strategies and that SunAmericas record in managing each Portfolio supported the conclusion that its continued management should benefit each Portfolio and its shareholders.
Cost of Services & Benefits Derived
With respect to indirect costs and benefits, the Board was informed, based on managements judgment, that any indirect costs incurred by SunAmerica in connection with rendering investment advisory services to the Trust were inconsequential to the analysis of the adequacy of the advisory fees, and that any collateral benefits derived as a result of providing advisory services to the Trust did not impact the reasonableness of the advisory fee. In its considerations with respect to the Annual Renewals, the Board considered that SunAmerica is paid an administrative services fee of up to 0.04% of the average daily net asset value of the Trusts Portfolios pursuant to an arrangement between SunAmerica and certain affiliated life insurance companies (the Life Companies). The Board considered that the Trust also pays VALIC Retirement Services Company, an affiliate of SunAmerica, a fee for the provision of recordkeeping and shareholder services to contract owners and participants.
Also in connection with the Annual Renewals, the Board considered that the Life Companies may benefit as a result of their direct ownership of the Portfolios shares, which amounts may be significant. It was noted that in calculating their corporate income tax liability as insurance companies, the Life Companies, as corporate mutual fund shareholders, may exclude a portion of the ordinary dividends paid by underlying U.S. equities in the Portfolios to the same extent the Portfolios receive certain dividends with respect to shares of stock issued by domestic corporations, subject to applicable tax laws and regulations. In addition, the Life Companies may rely on foreign tax credits with respect to certain foreign securities held by applicable Portfolios. The Board considered that the Life Companies receive financial support from SunAmerica and certain Subadvisers for distribution-related activities, including administrative, marketing and other servicing activities, including payments to help offset costs for marketing activities and training to support sales of the Portfolios, as well as occasional gifts, entertainment or other compensation as incentives. It was noted that such payments may be derived from 12b-1 (service) fees that are deducted directly from the assets of the Portfolios or from investment management fees received by SunAmerica or the Subadvisers. In addition, the Board considered that, because shares of the Portfolios are offered as investment options through variable annuity or life contracts issued by the Life Companies (the Variable Contracts), the investment objectives, strategies and performance of the Portfolios may positively or negatively impact a Life Companys ability to hedge and the related hedging costs associated with guarantees that the Life Company may provide as the issuer of the Variable Contracts.
The Board considered that the benefits derived by SunAmerica and its affiliates were not expected to change materially as a result of the anticipated change of control of SunAmerica. The Board concluded that any benefits that SunAmerica and its affiliates could be expected to receive with regard to providing investment advisory and other services to the Portfolios would continue to be reasonable.
Profitability and Economies of Scale
The Board considered that SunAmerica is unable to estimate the profitability of the New Advisory Agreements to itself or its affiliates, because the Separation Plan has not yet commenced and the New Advisory Agreements are not yet in effect. The Board noted, however, that in connection with the Annual Renewals, it received information related to SunAmericas profitability as well as the profitability of certain affiliates with respect to the services they provide to the Trusts Portfolios in connection with the Current Advisory Agreement. The profitability analysis reflected the relationship between SunAmerica and the affiliated Life Companies. The Board considered that, pursuant to administrative services agreements between SunAmerica and each of the Life Companies, SunAmerica pays a fee to each Life Company at an annual rate of 25 basis points of the average daily net assets of the Portfolios that are held by the corresponding separate accounts of each Life Company, in exchange for certain administrative services provided to the Portfolios. The Board determined that the profitability to SunAmerica in connection with its relationship to the Trust under the Current Advisory Agreement was reasonable. In addition, the Board considered the Investment Management Profitability Analysis prepared by
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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2023 (unaudited) (continued)
an independent information service, Broadridge, and noted that SunAmericas profitability under the Current Advisory Agreement was generally in the range of the profitability of companies contained in the report.
It was noted that the subadvisory fees paid pursuant to the Subadvisory Agreements are paid by SunAmerica out of the advisory fees that it receives under the Advisory Agreement, except that sub-subadvisory fees are paid by the respective Subadviser to the Sub-Subadviser. The Trustees also relied on the ability of SunAmerica to negotiate the Subadvisory Agreements and the fees thereunder at arms length. It was noted that SunAmerica reviewed a number of factors in determining appropriate subadvisory fees payable to each Subadviser. Such factors include review of (1) style class peers primarily within the variable annuity universe; (2) key competitor analysis; (3) portfolio analysis; and (4) special considerations such as competitor subaccount characteristics, uniqueness of the product and the managers prestige. The Board determined that the profitability to each Subadviser in connection with its relationship with the respective Portfolios is therefore not a material factor in their consideration of the Subadvisory Agreements.
The Board also received and considered information regarding the ability of the Portfolios to achieve economies of scale. It was noted that the advisory fees of nearly all Portfolios contain breakpoints that will reduce the fees paid by a Portfolio as its assets increase. The Board also considered that SunAmerica has voluntarily agreed to waive fees in certain instances, which was noted earlier in the discussion of fees. The Board considered that the multiple fee waivers and expense limitations agreed to by SunAmerica were expected to continue unchanged after the change of control of SunAmerica that would result from the Separation Plan.
It was noted that as a result of being part of a complex of mutual funds advised or administered by SunAmerica, the Trust is able to share common resources and may share certain expenses, which could result in a Portfolio experiencing lower expenses than it otherwise would achieve if the Trust were a stand-alone entity. The Board considered that management believed that the Portfolios existing fee schedules reflect the economies of scale inherent in providing investment advice to a Portfolio in its particular asset category and asset size. The Board concluded that any potential economies of scale are currently being shared between the Trust and SunAmerica in an appropriate manner and would continue to be shared after implementation of the Separation Plan.
The Board considered that certain Subadvisory Agreements also contain breakpoints in the fee schedules, however, since SunAmerica, and not the Trust, is responsible for the payment of the fees pursuant to the Subadvisory Agreements, the Trust does not directly benefit from any reduction in subadvisory fee rates. For similar reasons as stated above with respect to the Subadvisers profitability and the costs of their providing services, the Board concluded that the potential for economies of scale in the Subadvisers management of the Portfolios are not a material factor in its consideration at this time.
Considerations Specific to the Separation Plan
The Board considered the expected impact of the Separation Plan on SunAmerica and its ability to serve the Portfolios. The Board also considered the expected advantages and disadvantages to shareholders as a result of the Separation Plan. The Board and the Independent Trustees noted in particular that the terms of the New Agreements are substantially identical to those of the Current Agreements; that the advisory and subadvisory fee rates under the New Agreements are identical to those under the Current Agreements; that the fee waivers and expense limitations agreed to by SunAmerica with respect to any Portfolio will not change; that the nature, extent and quality of the services to be provided by SunAmerica pursuant to the New Advisory Agreements and by the Subadvisers pursuant to the New Subadvisory Agreements are expected to be provided with the same level of commitment; that the continued retention of SunAmerica and the Subadvisers would minimize the disruption of the Portfolios operations and would not cause the Trust to incur additional costs and expenses that would be necessary if a new investment adviser were to be hired; and that the key personnel serving the Trust are expected to continue to be retained after the change of control of SunAmerica. The Board and the Independent Trustees also considered the strength of SunAmericas relationships with and historical management of the Subadvisers, as well as potential disadvantages of the Separation Plan to Portfolio shareholders, such as the potential eventual loss of affiliation with the AIG name brand. Based on the information provided by SunAmerica, the Board and the Independent Trustees concluded that the Separation Plan is not likely to result in any diminution of SunAmericas financial resources or its ability to continue to serve the Trust, or to otherwise destabilize SunAmerica or its management or personnel.
On the basis of these and other factors, the Board, and the Independent Trustees separately, concluded that the continued engagement of SunAmerica and the Subadvisers to provide investment advisory and management services to the Trust would be in the best interests of the Trust and their respective Portfolios. The Board, and the Independent Trustees separately, then voted unanimously (i) to approve the New Agreements, including the advisory and subadvisory fee rates proposed in the New Agreements, in respect of each Portfolio for a period not to exceed two years commencing immediately following shareholder approval of the New Advisory Agreements, and (ii) to recommend to shareholders of each Portfolio that they approve the New Advisory Agreements.
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SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited)
The following table contains information regarding the Trustees and Officers that oversee operations of the Portfolios and other investment companies within the Fund complex.
Name, Address and Age |
Position Held |
Term of Office |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Trustee(2) |
Other Directorships Held by Trustee(3) | |||||||
Independent Trustees | ||||||||||||
Jane Jelenko Age: 74 |
Trustee | 2006 Present | Former Partner of KPMG LLP and Managing Director of BearingPoint, Inc. (formerly KPMG Consulting) (Retired in 2003). | 80 | Director, Countrywide Bank (banking) (2003-2008); Director, Cathay General Bancorp and Cathay Bank (banking) (2012 Present). | |||||||
Gilbert T. Ray(4) Age: 78 |
Trustee | 2001 Present | Former Partner, OMelveny & Myers LLP (law firm) (Retired in 2000). | 80 | Director, Advance Auto Parts, Inc. (retailauto and home supply stores) (2002-2018); Director, Watson, Wyatt Worldwide (services management consulting services) (2000-2018); Director, DineEquity (services restaurant) (2004 Present); Director, Diamond Rock Hospitality (financial real estate) (2005 Present); Director, Towers Watson & Co. (services management consulting services) (2010-2018). | |||||||
Bruce G. Willison Age: 74 |
Trustee and Chairman | 2001 Present | Professor of Management, Anderson School at UCLA (1999-2011); Dean, Anderson School at UCLA (1999-2005); co-founder, Grandpoint Capital, Inc. (2009 2010); Chairman of Tyfone, Inc. - Portland, OR (2018 Present); Chairman of Catholic Schools Collaborative (2011 Present). | 80 | Director, GrandPoint Bank (banking) (2011 Present); Director, Indy Mac Bancorp (banking) (2003-2008); Director, Move, Inc. (internet real estate site) (2003 Present); Director, Health Net, Inc. (health insurance plan) (2000-2016). | |||||||
Tracey C. Doi Age: 62 |
Trustee | 2021 Present | Chief Financial Officer, Group Vice President of Toyota Motor North America (2000-2022); Board Member, National Asian American Chamber of Commerce (2012-Present); Board Governor, Japanese American National Museum (2005-Present); Board Member, 2020 Women on Boards (nonprofit leadership organization) (2017-Present); Board Member, National Association of Corporate Directors, North Texas (nonprofit leadership organization) (2020-Present). | 80 | Director, Quest Diagnostics (2021 Present); Director, City National Bank (banking) (2016-2022). | |||||||
Charles H. Self III Age: 65 |
Trustee | 2021 Present | Chief Operating Officer, Chief Compliance Officer and Chief Investment Officer of iSectors (2014-2021); Chief Investment Officer of Sumnicht & Associates (2014-2021). | 80 | None | |||||||
Martha B. Willis(5) Age: 62 |
Trustee | 2023 Present | President and Founder, MBW Consulting (August 2022-Present); Executive Vice President, Chief Marketing Officer of TIAA (June 2020March 2022); Executive Vice President, Chief Marketing Officer, Nuveen (May 2016-June 2020); Chair of the Board, Nuveen UCITS funds (investment funds) (2019-2021) | 80 | None |
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TRUSTEES AND OFFICERS INFORMATION (unaudited) (continued)
Name, |
Position Held |
Length of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee(2) |
Other
Directorship(s) Held | |||||||
Interested Trustee | ||||||||||||
John T. Genoy(6) Age: 54 |
President and Trustee | 2001 Present | President (since 2021) and Chief Operating Officer (since 2006), SAAMCo; Chief Financial Officer and Director, SAAMCo (2002-2021); Senior Vice President, SAAMCo (2004-2021). | 80 | None | |||||||
Officers | ||||||||||||
Gregory R. Kingston Age: 57 |
Treasurer and Principal Financial Officer/ Principal Accounting Officer | 2014 Present | Senior Vice President, SAAMCo (2014 Present); Vice President, SAAMCo (2001-Present); Head of Mutual Fund Administration, SAAMCo (2014 Present). | N/A | N/A | |||||||
Christopher C. Joe Age: 54 |
Vice President and Chief Compliance Officer | 2017 Present | Chief Compliance Officer, Seasons Series Trust, SunAmerica Series Trust and VALIC Company I (2017 Present); Chief Compliance Officer, VALIC Retirement Services Company (2017-2019); Chief Compliance Officer, Invesco Powershares (2011-2017); Chief Compliance Officer, Invesco Investment Advisers, LLC (2010-2013); U.S. Compliance Director, Invesco, Ltd (2006-2014); Deputy Chief Compliance Officer, Invesco Advisers, Inc. (2014-2015). | N/A | N/A | |||||||
Kathleen D. Fuentes Age: 54 |
Chief Legal Officer, Vice President and Secretary | 2015 Present | Vice President and Deputy General Counsel, SAAMCo (2006 Present). | N/A | N/A | |||||||
Gregory N. Bressler Age: 56 |
Vice President and Assistant Secretary | 2005 Present | Assistant Secretary, SAAMCo (2021 Present); Senior Vice President and General Counsel, SAAMCo (2005 Present). | N/A | N/A | |||||||
Shawn Parry Age: 50 |
Vice President and Assistant Treasurer | 2014 Present | Vice President, SAAMCo (2014 Present); Assistant Vice President, SAAMCo (2010-2014) | N/A | N/A | |||||||
Donna McManus Age: 62 |
Vice President and Assistant Treasurer | 2014 Present | Vice President, SAAMCo (2014 Present); Managing Director, BNY Mellon (2000-2014). | N/A | N/A | |||||||
Matthew J. Hackethal Age: 51 |
Anti-Money Laundering Compliance Officer | 2006 Present | Vice President, SAAMCo (2011 Present); Acting Chief Compliance Officer, SAAMCo (2016-2017); Chief Compliance Officer, SAAMCo (2006 Present). | N/A | N/A |
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SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited) (continued)
Name, |
Position Held |
Length of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Officer(2) |
Other
Directorship(s) Held | |||||||
Salimah Shamji Age: 51 |
Vice President | 2020 Present | Vice President, SAAMCo (2008 Present). | N/A | N/A | |||||||
Christopher J.Tafone Age: 48 |
Vice President and Assistant Secretary | 2021 Present (Vice President; (2016 Present) (Assistant Secretary) | Vice President, SAAMCo (2016 Present); Associate General Counsel, Corebridge Life & Retirement (2016 Present). | N/A | N/A |
| The business address for each Trustee and Officer is 21650 Oxnard Street, 10th Fl. Woodland Hills, CA 91367-4901. |
(1) | Trustees serve until their successors are duly elected and qualified. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his/her successor is duly elected and qualified. |
(2) | The Fund Complex consists of all registered investment company portfolios for which SAAMCo serves as investment adviser or administrator. The Fund Complex includes the Trust (19 portfolios); SunAmerica Series Trust (61 portfolios) and VALIC Company I (36 funds). |
(3) | Directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., public companies) or other investment companies regulated under the 1940 Act other than those listed under the preceding column. |
(4) | On January 18, 2023, the Board approved a temporary exception to the Independent Trustee Retirement Policy to extend the term of Mr. Ray until the earlier of the adjournment of the meeting of the Board on June 8, 2023, or such time as his successor is duly elected and qualified. |
(5) | Ms. Willis was elected as a new Independent Trustee to the Trusts Board as of the close of business on January 19, 2023. |
(6) | Interested Trustee, as defined within the Investment Company Act of 1940, based on his positions with SAAMCo. |
Additional information concerning the Trustees and Officers is contained in the Statement of Additional Information and is available without charge by calling (800) 445-SUN2.
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SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (unaudited)
Certain tax information regarding the Seasons Series Trust Portfolios is required to be provided to the shareholders based upon each Portfolios income and capital gain distributions for the taxable year ended March 31, 2023.
During the year ended March 31, 2023, the Portfolios paid the following dividends per share along with the percentage of ordinary income dividends that qualified for the dividends received deductions for corporations.
Portfolio |
Total Dividends |
Net Investment Income |
Net Short-term Capital Gains * |
Net Long-Term Capital Gains |
Qualifying % for the Dividends Received Deductions |
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SA Multi-Managed Growth Class 1 |
$1.86 | $ | | $ | | $ | 1.86 | | % | |||||||||||
SA Multi-Managed Growth Class 2 |
1.86 | | | 1.86 | | |||||||||||||||
SA Multi-Managed Growth Class 3 |
1.86 | | | 1.86 | | |||||||||||||||
SA Multi-Managed Moderate Growth Class 1 |
1.17 | | 0.05 | 1.12 | 43.21 | |||||||||||||||
SA Multi-Managed Moderate Growth Class 2 |
1.17 | | 0.05 | 1.12 | 43.21 | |||||||||||||||
SA Multi-Managed Moderate Growth Class 3 |
1.17 | | 0.05 | 1.12 | 43.21 | |||||||||||||||
SA Multi-Managed Income/Equity Class 1 |
0.61 | 0.07 | 0.00 | 0.54 | 2.77 | |||||||||||||||
SA Multi-Managed Income/Equity Class 2 |
0.59 | 0.05 | 0.00 | 0.54 | 2.77 | |||||||||||||||
SA Multi-Managed Income/Equity Class 3 |
0.58 | 0.04 | 0.00 | 0.54 | 2.77 | |||||||||||||||
SA Multi-Managed Income Class 1 |
0.47 | 0.15 | | 0.32 | 0.69 | |||||||||||||||
SA Multi-Managed Income Class 2 |
0.45 | 0.13 | | 0.32 | 0.69 | |||||||||||||||
SA Multi-Managed Income Class 3 |
0.44 | 0.12 | | 0.32 | 0.69 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Class 1 |
2.32 | 0.18 | 0.32 | 1.82 | 25.01 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Class 2 |
2.29 | 0.15 | 0.32 | 1.82 | 25.01 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Class 3 |
2.28 | 0.14 | 0.32 | 1.82 | 25.01 | |||||||||||||||
SA T. Rowe Price Growth Stock Class 1 |
2.89 | | | 2.89 | | |||||||||||||||
SA T. Rowe Price Growth Stock Class 2 |
2.89 | | | 2.89 | | |||||||||||||||
SA T. Rowe Price Growth Stock Class 3 |
2.89 | | | 2.89 | | |||||||||||||||
SA MultiManaged Large Cap Growth Class 1 |
1.90 | | 0.00 | 1.90 | 100.00 | |||||||||||||||
SA MultiManaged Large Cap Growth Class 2 |
1.90 | | 0.00 | 1.90 | 100.00 | |||||||||||||||
SA MultiManaged Large Cap Growth Class 3 |
1.90 | | 0.00 | 1.90 | 100.00 | |||||||||||||||
SA MultiManaged Large Cap Value Class 1 |
3.14 | 0.32 | 0.26 | 2.56 | 49.91 | |||||||||||||||
SA MultiManaged Large Cap Value Class 2 |
3.11 | 0.29 | 0.26 | 2.56 | 49.91 | |||||||||||||||
SA MultiManaged Large Cap Value Class 3 |
3.09 | 0.27 | 0.26 | 2.56 | 49.91 | |||||||||||||||
SA Multi-Managed Mid Cap Growth Class 1 |
4.04 | | 0.21 | 3.83 | 35.41 | |||||||||||||||
SA Multi-Managed Mid Cap Growth Class 2 |
4.04 | | 0.21 | 3.83 | 35.41 | |||||||||||||||
SA Multi-Managed Mid Cap Growth Class 3 |
4.04 | | 0.21 | 3.83 | 35.41 | |||||||||||||||
SA Multi-Managed Mid Cap Value Class 1 |
2.79 | 0.16 | 0.52 | 2.11 | 43.87 | |||||||||||||||
SA Multi-Managed Mid Cap Value Class 2 |
2.75 | 0.12 | 0.52 | 2.11 | 43.87 | |||||||||||||||
SA Multi-Managed Mid Cap Value Class 3 |
2.73 | 0.10 | 0.52 | 2.11 | 43.87 | |||||||||||||||
SA Multi-Managed Small Cap Class 1 |
2.24 | 0.05 | 0.23 | 1.96 | 51.14 | |||||||||||||||
SA Multi-Managed Small Cap Class 2 |
2.22 | 0.03 | 0.23 | 1.96 | 51.14 | |||||||||||||||
SA Multi-Managed Small Cap Class 3 |
2.21 | 0.02 | 0.23 | 1.96 | 51.14 | |||||||||||||||
SA Multi-Managed International Equity Class 1 |
0.74 | 0.18 | 0.02 | 0.54 | 0.69 | |||||||||||||||
SA Multi-Managed International Equity Class 2 |
0.72 | 0.16 | 0.02 | 0.54 | 0.69 | |||||||||||||||
SA Multi-Managed International Equity Class 3 |
0.71 | 0.15 | 0.02 | 0.54 | 0.69 |
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302 |
SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (unaudited) (continued)
Portfolio |
Total Dividends |
Net Investment Income |
Net Short-term Capital Gains * |
Net Long-Term Capital Gains |
Qualifying % for the Dividends Received Deductions |
|||||||||||||||
SA Multi-Managed Diversified Fixed Income Class 1 |
$ 0.24 | $ | 0.24 | $ | | $ | | 0.01 | % | |||||||||||
SA Multi-Managed Diversified Fixed Income Class 2 |
0.22 | 0.22 | | | 0.01 | |||||||||||||||
SA Multi-Managed Diversified Fixed Income Class 3 |
0.20 | 0.20 | | | 0.01 | |||||||||||||||
SA American Century Inflation Protection Class 1 |
0.39 | 0.25 | 0.14 | | | |||||||||||||||
SA American Century Inflation Protection Class 3 |
0.36 | 0.22 | 0.14 | | | |||||||||||||||
SA Columbia Focused Value Class 1 |
2.82 | 0.41 | 0.03 | 2.38 | 100.00 | |||||||||||||||
SA Columbia Focused Value Class 2 |
2.78 | 0.37 | 0.03 | 2.38 | 100.00 | |||||||||||||||
SA Columbia Focused Value Class 3 |
2.75 | 0.34 | 0.03 | 2.38 | 100.00 | |||||||||||||||
SA Allocation Growth Class 1 |
1.23 | 0.39 | 0.00 | 0.84 | 26.94 | |||||||||||||||
SA Allocation Growth Class 3 |
1.19 | 0.35 | 0.00 | 0.84 | 26.94 | |||||||||||||||
SA Allocation Moderate Growth Class 1 |
1.04 | 0.33 | 0.00 | 0.71 | 22.11 | |||||||||||||||
SA Allocation Moderate Growth Class 3 |
1.01 | 0.30 | 0.00 | 0.71 | 22.11 | |||||||||||||||
SA Allocation Moderate Class 1 |
1.01 | 0.33 | 0.00 | 0.68 | 19.12 | |||||||||||||||
SA Allocation Moderate Class 3 |
0.98 | 0.30 | 0.00 | 0.68 | 19.12 | |||||||||||||||
SA Allocation Balanced Class 1 |
0.77 | 0.29 | 0.00 | 0.48 | 14.62 | |||||||||||||||
SA Allocation Balanced Class 3 |
0.75 | 0.27 | 0.00 | 0.48 | 14.62 |
* | Short-Term capital gains are treated as ordinary income for tax purposes. |
Under the Internal Revenue Code Section 853, portfolios make an election to pass through foreign taxes paid to its shareholders. During the year ended March 31, 2023, foreign source income and foreign taxes passed through to shareholders were as follows:
Portfolio |
Foreign Taxes Passed Through |
Foreign Source Income |
||||||
SA Multi-Managed International Equity |
$ | 786,134 | $ | 9,253,566 | ||||
SA Allocation Growth |
307,877 | 1,959,507 | ||||||
SA Allocation Moderate Growth |
290,488 | 1,838,220 | ||||||
SA Allocation Moderate |
134,030 | 856,414 | ||||||
SA Allocation Balanced |
80,097 | 512,351 |
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303 |
SEASONS SERIES TRUST
COMPARISONS: PORTFOLIO VS INDEXES (unaudited)
To help you better understand the investment management of the Portfolios, we have included on the following pages investment comments regarding the 19 investment portfolios of the Seasons Series Trust:
Seasons Strategies
1. | SA Multi-Managed Growth Portfolio |
2. | SA Multi-Managed Moderate Growth Portfolio |
3. | SA Multi-Managed Income/Equity Portfolio |
4. | SA Multi-Managed Income Portfolio |
5. | SA Putnam Asset Allocation Diversified Growth Portfolio |
6. | SA T. Rowe Price Growth Stock Portfolio |
Seasons Select Portfolios
7. | SA Multi-Managed Large Cap Growth Portfolio |
8. | SA Multi-Managed Large Cap Value Portfolio |
9. | SA Multi-Managed Mid Cap Growth Portfolio |
10. | SA Multi-Managed Mid Cap Value Portfolio |
11. | SA Multi-Managed Small Cap Portfolio |
12. | SA Multi-Managed International Equity Portfolio |
13. | SA Multi-Managed Diversified Fixed Income Portfolio |
14. | SA American Century Inflation Protection Portfolio |
Seasons Focused Portfolios
15. | SA Columbia Focused Value Portfolio |
Seasons Managed Allocation Portfolios
16. | SA Allocation Growth Portfolio |
17. | SA Allocation Moderate Growth Portfolio |
18. | SA Allocation Moderate Portfolio |
19. | SA Allocation Balanced Portfolio |
Asset allocations for each Seasons Strategies Portfolio, as shown in your prospectus, represent a neutral asset allocation mix; actual allocations may vary based on performance and the money managers evaluation of market conditions. For more information on the composition of the Seasons Strategies as well as their underlying portfolios, please refer to your prospectus.
Seasons Select Portfolios (except SA American Century Inflation Protection Portfolio) have portions that are actively managed and a portion that is passively managed. The passively managed portion of each Portfolio seeks to track an index or a subset of an index. Each of the remaining portions is actively managed by experts who bring their knowledge and experience to the security selection and asset allocation processes.
The Seasons Focused Portfolios invest in a concentrated group of securities hand-picked by a leading money manager from investment opportunities in specific industries and market sectors. Although this concentrated approach offers potentially higher returns, it also comes with potentially higher risk.
In the following pages, we have also included graphs that compare the portfolios performance with certain market indices. These graphs show the hypothetical growth of a $10,000 investment in the Seasons Series Trust portfolio versus the same $10,000 investment in comparable market indices, for the ten years ended March 31, 2023. Importantly, such indices represent paper portfolios and do not reflect the costs and expenses of actual investing. Descriptions of these market indices are provided next to the individual graphs.
Please note that the graphs and tables that accompany the following investment comments show the performance of the portfolio at the Seasons Series Trust level. The returns shown represent Class 1 shares, unless otherwise noted, and include all trust expenses, but no insurance company expenses associated with the variable annuity contract, and no contingent deferred sales charge. The returns for Class 2 and Class 3 shares differ from Class 1 only to the extent that Class 2 and Class 3 shares are subject to 12b-1 fees. All dividends are assumed to be reinvested. No expenses are deducted from the performance of the indices.
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304 |
Market indices referenced are unmanaged. You cannot invest directly in an index. Investments in stocks and bonds are subject to risk, including stock market and interest-rate fluctuations. Investments in non-U.S. stocks are subject to additional risks, including political and social instability, differing securities regulations and accounting standards, and limited public information. Mortgage-backed securities are subject to prepayment, which can result in reinvestment of principal at lower yields. Money market instruments generally offer stability and income, but an investment in these securities, like investments in other portfolios, is not guaranteed by the U.S. government or any other entity. Lower rated high yield, high-risk securities generally involve more credit risk. These securities may also be subject to greater market price fluctuations than lower yielding, higher rated debt securities. The common stocks of medium-sized companies may be more volatile than those of larger, more established companies. Investing in real estate involves special risks, which may not be associated with investing in stocks, including possible declines in real estate values, adverse economic conditions, and changes in interest rates. Investments in small capitalization and emerging growth companies involve greater than average risk. Such securities may have limited marketability and the issuers may have limited product lines, markets and financial resources. The value of such investments may fluctuate more widely than investments in larger, more established companies. The technology industry can be significantly affected by obsolescence, short product cycles, falling prices and profits, and competition from new market participants. Funding choices that primarily invest in one sector are more volatile than those that diversify across many industry sectors and companies.
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305 |
SA Multi-Managed Growth Portfolio Class 1 (unaudited)
Investment Goal: |
Long-term growth of capital | |
Managers: |
J.P. Morgan Investment Management Inc. | |
Morgan Stanley & Co., Inc | ||
Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Growth Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-17.37% | -17.44% | -17.56% | |||||||||
5-Year |
3.57% | 3.43% | 3.31% | |||||||||
10-Year |
6.62% | 6.46% | 6.35% | |||||||||
Since Inception |
7.24% | 4.10% | 7.08% |
* | Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market. |
2 | The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
3 | Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index. |
4 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
5 | The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values. |
6 | The Blended Index consists of 51% Russell 1000® Index, 27% Bloomberg U.S. Aggregate Bond Index, 20% Russell 2000® Index, and 2% FTSE Treasury Bill 3 Month Index. |
7 | The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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306 |
SA Multi-Managed Growth Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Growth Portfolio Class 1
The SA Multi-Managed Growth Portfolio Class 1 shares posted a return of -17.37% for the 12-month period ending March 31, 2023, compared to a -7.73% return for the S&P 500® Index, a -4.78% return for the Bloomberg U.S. Aggregate Bond Index and a -7.51% return for the Blended Index, which is comprised of 71% equity and 29% fixed income and short-term bonds.
The Portfolio allocates its assets among three distinct components. The managed components include a fixed income component, a growth component, and a small cap growth component. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg U.S. Aggregate Bond Index. The growth component, managed by Morgan Stanley Investment Management, is benchmarked to the Russell 1000® Growth Index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000® Index.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolios allocation to securitized sectors including non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and collateralized loan obligations (CLO) had a negative impact on relative results. An underweight to agency mortgage-backed securities (MBS) passthroughs modestly helped performance. The Portfolios combined duration and yield curve positioning added to performance in the period. Investment grade credit positioning had a small negative impact on performance overall, as positive results from security selection were offset by negative results from an underweight to the sector, primarily industrials. The Portfolios allocation to high yield credit had a positive impact on results. The Portfolios allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to performance. Additionally, the Portfolio held select exposure to emerging markets debt which benefited performance over the period.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period, largely due to unfavorable stock selection, while sector allocation was a smaller detractor. Large cap growth equities, as measured by the Russell 1000® Growth Index, declined over the year. Nearly all sectors fell over the period, with the largest decline in communication services, while utilities and energy were the only Russell 1000® Growth Index sectors with positive performance. Mixed stock selection in information technology drove the majority of the Portfolios relative underperformance. DataDog, Inc., Class A was the largest detractor within the sector and second largest across the whole Portfolio. Stock selection in financials also dampened relative performance, with Block, Inc. and Coinbase Global, Inc. among the top 10 largest detracting holdings. The Portfolios stock selection and sector allocations in most other sectors diminished relative performance as well; an overweight in communication services, stock selection in health care and a lack of exposure to consumer staples were also among the greatest detractors. Nearly all sectors detracted over the period; although stock selection in communication services was modestly favorable to relative performance. Meta Platforms, Inc., Class A was the top contributing holding within the sector and across the Portfolio. However, the contribution from Meta Platforms, Inc., Class A was offset by ZoomInfo Technologies, Inc. the largest detractor in the communication services sector and across the whole Portfolio. An average overweight in health care was a small positive contributor. The real estate and utilities sectors, which the Portfolio had no exposure to, had a neutral impact on performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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307 |
SA Multi-Managed Growth Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Growth Portfolio Class 1 (continued)
The Portfolio component managed by J.P. Morgan Investment Management, Inc. outperformed its benchmark for the period. On the positive side, holdings in the industrial cyclical, consumer cyclical and pharmaceutical sectors contributed to performance. At the individual stock level, overweight positions in Reata Pharmaceuticals, Inc., Class A, Catalyst Pharmaceuticals, Inc., and Option Care Health, Inc. were some of the top individual contributors. On the negative side, holdings in the energy, consumer staples and software & services sectors detracted from performance. At the individual stock level, overweight allocations in Fate Therapeutics, Inc., Fulcrum Therapeutics, Inc. and Ovintiv, Inc. were amongst the top individual detractors from results. While the Portfolio seeks to be sector neutral, as of March 31, 2023, the Portfolios largest overweight exposures were in the software & services, consumer cyclical and semiconductors sectors. The largest underweight exposures were in the pharmaceutical, industrial cyclical and utilities sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
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308 |
SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited)
Investment Goal: |
Long-term growth of capital, with capital preservation as a secondary objective | |
Managers: |
J.P. Morgan Investment Management Inc. | |
Morgan Stanley & Co., Inc | ||
Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Moderate Growth Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-14.01% | -14.24% | -14.26% | |||||||||
5-Year |
3.55% | 3.38% | 3.28% | |||||||||
10-Year |
5.83% | 5.67% | 5.57% | |||||||||
Since Inception |
6.72% | 4.15% | 6.34% |
* | Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market. |
2 | The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
3 | Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index. |
4 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
5 | The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values. |
6 | The Blended Index consists of 37.9% Russell 1000® Index, 42.3% Bloomberg U.S. Aggregate Bond Index, 18% Russell 2000® Index, and 1.8% FTSE Treasury Bill 3 Month Index. |
7 | The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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309 |
SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Moderate Growth Portfolio Class 1
The SA Multi-Managed Moderate Growth Portfolio Class 1 shares posted a return of -14.01% for the 12-month period ending March 31, 2023, compared to a -7.73% return for the S&P 500® Index, a -4.78% return for the Bloomberg U.S. Aggregate Bond Index and a -6.86% return for the Blended Index, which is comprised of 56% equity and 44% fixed income and short-term bonds.
The Portfolio allocates its assets among three distinct components. The managed components include a fixed income component, a growth component, and a small cap growth component. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg U.S. Aggregate Bond Index. The growth component, managed by Morgan Stanley Investment Management, is benchmarked to the Russell 1000® Growth Index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000® Index.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolios allocation to securitized sectors including non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and collateralized loan obligations (CLO) had a negative impact on relative results. An underweight to agency mortgage-backed securities (MBS) passthroughs modestly helped performance. The Portfolios combined duration and yield curve positioning added to performance in the period. Investment grade credit positioning had a small negative impact on performance overall, as positive results from security selection were offset by negative results from an underweight to the sector, primarily industrials. The Portfolios allocation to high yield credit had a positive impact on results. The Portfolios allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to performance. Additionally, the Portfolio held select exposure to emerging markets debt which benefited performance over the period. During the period, the Portfolio used interest rate futures and swaps to manage duration and yield curve exposure, and currency forwards to manage currency risk. The interest rate futures positioning had a positive impact on absolute performance. Overall, the combined net effects of tactical duration and yield curve positioning had a significant positive impact. Credit default swaps were used as a source of liquidity and to manage overall Portfolio credit exposure.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period, largely due to unfavorable stock selection, while sector allocation was a smaller detractor. Large cap growth equities, as measured by the Russell 1000® Growth Index, declined over the year. Nearly all sectors fell over the period, with the largest decline in communication services, while utilities and energy were the only Russell 1000® Growth Index sectors with positive performance. Mixed stock selection in information technology drove the majority of the Portfolios relative underperformance. Datadog, Inc., Class A was the largest detractor within the sector and second largest across the whole Portfolio. Stock selection in financials also dampened relative performance, with Block, Inc. and Coinbase Global, Inc., Class A among the top 10 largest detracting holdings. The Portfolios stock selection and sector allocatins in most other sectors diminished relative performance as well; an overweight in communication services, stock selection in health care and a lack of exposure to consumer staples were also among the greatest detractors. Nearly all sectors detracted over the period; although stock selection in communication services was modestly favorable to relative performance. Meta Platforms, Inc., Class A was the top contributing holding within the sector and across the Portfolio. However, the contribution from Meta Platforms, Inc., Class A was offset by ZoomInfo Technologies, Inc., the largest detractor in the communication services sector and across the whole
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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310 |
SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Moderate Growth Portfolio Class 1 (continued)
Portfolio. An average overweight in health care was a small positive contributor. The real estate and utilities sectors, which the Portfolio had no exposure to, had a neutral impact on performance.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. outperformed its benchmark for the period. On the positive side, holdings in the industrial cyclical, consumer cyclical and pharmaceutical sectors contributed to performance. At the individual stock level, overweight positions in Reata Pharmaceuticals, Inc., Class A Catalyst Pharmaceuticals, Inc. and Option Care Health, Inc. were some of the top individual contributors. On the negative side, holdings in the energy, consumer staples and software & services sectors detracted from performance. At the individual stock level, overweight allocations in Fate Therapeutics, Inc. Fulcrum Therapeutics, Inc. and Ovintiv, Inc. were amongst the top individual detractors from results. While the Portfolio seeks to be sector neutral, as of March 31, 2023, the Portfolios largest overweight exposures were in the software & services, consumer cyclical and semiconductors sectors. The largest underweight exposures were in the pharmaceutical, industrial cyclical and utilities sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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311 |
SA Multi-Managed Income/Equity Portfolio Class 1 (unaudited)
Investment Goal: |
Conservation of principal while maintaining some potential for long-term growth of capital | |
Managers: |
Morgan Stanley & Co., Inc | |
Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Income/Equity Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-11.79% | -11.90% | -11.91% | |||||||||
5-Year |
1.96% | 1.83% | 1.69% | |||||||||
10-Year |
3.69% | 3.54% | 3.42% | |||||||||
Since Inception |
5.60% | 4.03% | 4.96% |
* | Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market. |
2 | The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
3 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
4 | The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values. |
5 | The Blended Index consists of 33.4% Russell 1000® Index, 63.8% Bloomberg U.S. Aggregate Bond Index, and 2.8% FTSE Treasury Bill 3 Month Index. |
6 | The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Income/Equity Portfolio Class 1
The SA Multi-Managed Income/Equity Portfolio Class 1 shares posted a return of -11.79% for the 12-month period ending March 31, 2023, compared to a -7.73% return for the S&P 500® Index and a -4.78% return for the Bloomberg U.S. Aggregate Bond Index. The Blended Index, comprising approximately 33% equity and 67% fixed income and short-term bonds, returned -5.49%.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
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312 |
SA Multi-Managed Income/Equity Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Income/Equity Portfolio Class 1 (continued)
The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg U.S. Aggregate Bond Index. The growth component, managed by Morgan Stanley Investment Management, is benchmarked to the Russell 1000® Growth Index.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolios allocation to securitized sectors including non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and collateralized loan obligations (CLO) had a negative impact on relative results. An underweight to agency mortgage-backed securities (MBS) passthroughs modestly helped performance. The Portfolios combined duration and yield curve positioning added to performance in the period. Investment grade credit positioning had a small negative impact on performance overall, as positive results from security selection were offset by negative results from an underweight to the sector, primarily industrials. The Portfolios allocation to high yield credit had a positive impact on results. The Portfolios allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to performance. Additionally, the Portfolio held select exposure to emerging markets debt which benefited performance over the period. During the period, the Portfolio used interest rate futures and swaps to manage duration and yield curve exposure, and currency forwards to manage currency risk. The interest rate futures positioning had a positive impact on absolute performance. Overall, the combined net effects of tactical duration and yield curve positioning had a significant positive impact. Credit default swaps were used as a source of liquidity and to manage overall Portfolio credit exposure.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period, largely due to unfavorable stock selection, while sector allocation was a smaller detractor. Large cap growth equities, as measured by the Russell 1000® Growth Index, declined over the year. Nearly all sectors fell over the period, with the largest decline in communication services, while utilities and energy were the only Russell 1000® Growth Index sectors with positive performance. Mixed stock selection in information technology drove the majority of the Portfolios relative underperformance. Datadog, Inc., Class A was the largest detractor within the sector and second largest across the whole Portfolio. Stock selection in financials also dampened relative performance, with Block, Inc. and Coinbase Global, Inc., Class A among the top 10 largest detracting holdings. The Portfolios stock selection and sector allocations in most other sectors diminished relative performance as well; an overweight in communication services, stock selection in health care and a lack of exposure to consumer staples were also among the greatest detractors. Nearly all sectors detracted over the period; although stock selection in communication services was modestly favorable to relative performance. Meta Platforms, Inc., Class A was the top contributing holding within the sector and across the Portfolio. However, the contribution from Meta Platforms, Inc., Class A was offset by ZoomInfo Technologies, Inc., the largest detractor in the communication services sector and across the whole Portfolio. An average overweight in health care was a small positive contributor. The real estate and utilities sectors, which the Portfolio had no exposure to, had a neutral impact on performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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313 |
SA Multi-Managed Income Portfolio Class 1 (unaudited)
Investment Goal: |
Capital preservation | |
Managers: |
Morgan Stanley & Co., Inc | |
Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Income Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-8.61% | -8.82% | -8.85% | |||||||||
5-Year |
1.37% | 1.22% | 1.10% | |||||||||
10-Year |
2.50% | 2.35% | 2.24% | |||||||||
Since Inception |
4.90% | 3.85% | 4.07% |
* | Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market. |
2 | The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
3 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
4 | The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values. |
5 | The Blended Index consists of 17.35% Russell 1000® Index, 80.95% Bloomberg U.S. Aggregate Bond Index, and 1.70% FTSE Treasury Bill 3 Month Index. |
6 | The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Income Portfolio Class 1
The SA Multi-Managed Income Portfolio Class 1 shares posted a return of -8.61% for the 12-month period ending March 31, 2023, compared to a -7.73% return for the S&P 500® Index and a -4.78% return for the Bloomberg U.S. Aggregate Bond Index. The Blended Index, comprising approximately 17% equity and 83% fixed income and short-term bonds, returned -5.10%.
The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg U.S. Aggregate Bond Index. The growth component, managed by Morgan Stanley Investment Management, is benchmarked to the Russell 1000® Growth Index.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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314 |
SA Multi-Managed Income Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Income Portfolio Class 1 (continued)
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolios allocation to securitized sectors including non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and collateralized loan obligations (CLO) had a negative impact on relative results. An underweight to agency mortgage-backed securities (MBS) passthroughs modestly helped performance. The Portfolios combined duration and yield curve positioning added to performance in the period. Investment grade credit positioning had a small negative impact on performance overall, as positive results from security selection were offset by negative results from an underweight to the sector, primarily industrials. The Portfolios allocation to high yield credit had a positive impact on results. The Portfolios allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to performance. Additionally, the Portfolio held select exposure to emerging markets debt which benefited performance over the period. During the period, the Portfolio used interest rate futures and swaps to manage duration and yield curve exposure, and currency forwards to manage currency risk. The interest rate futures positioning had a positive impact on absolute performance. Overall, the combined net effects of tactical duration and yield curve positioning had a significant positive impact. Credit default swaps were used as a source of liquidity and to manage overall Portfolio credit exposure.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period, largely due to unfavorable stock selection, while sector allocation was a smaller detractor. Large cap growth equities, as measured by the Russell 1000® Growth Index, declined over the year. Nearly all sectors fell over the period, with the largest decline in communication services, while utilities and energy were the only Russell 1000® Growth Index sectors with positive performance. Mixed stock selection in information technology drove the majority of the Portfolios relative underperformance. DataDog, Inc., Class A was the largest detractor within the sector and second largest across the whole Portfolio. Stock selection in financials also dampened relative performance, with Block, Inc. and Coinbase Global, Inc., Class A among the top 10 largest detracting holdings. The Portfolios stock selection and sector allocations in most other sectors diminished relative performance as well; an overweight in communication services, stock selection in health care and a lack of exposure to consumer staples were also among the greatest detractors. Nearly all sectors detracted over the period; although stock selection in communication services was modestly favorable to relative performance. Meta Platforms, Inc., Class A was the top contributing holding within the sector and across the Portfolio. However, the contribution from Meta Platforms, Inc., Class A was offset by ZoomInfo Technologies, Inc., the largest detractor in the communication services sector and across the whole Portfolio. An average overweight in health care was a small positive contributor. The real estate and utilities sectors, which the Portfolio had no exposure to, had a neutral impact on performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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315 |
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 (unaudited)
Investment Goal: |
Capital appreciation | |
Manager: |
Putnam Investment Management, LLC |
Growth of a $10,000 Investment
SA Putnam Asset Allocation Diversified Growth Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-6.73% | -6.87% | -6.88% | |||||||||
5-Year |
5.80% | 5.64% | 5.55% | |||||||||
10-Year |
7.80% | 7.64% | 7.54% | |||||||||
Since Inception |
6.13% | 5.22% | 7.21% |
* | Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market. |
2 | The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. |
3 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
4 | MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties |
5 | The Blended Index consists of 60% Russell 3000® Index, 15% Bloomberg U.S. Aggregate Bond Index, 15% MSCI EAFE Index (net), 5% JP Morgan Developed HighYield Index and 5% MSCI Emerging Markets Index (net). |
6 | The JP Morgan Developed High Yield Index is designed to mirror the investable universe of the US dollar developed high yield corporate debt market, including domestic and international issues. International issues are comprised of only developed market issues. |
7 | MSCI Emerging Markets Index (net) captures large and mid cap representation across 24 emerging market countries. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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316 |
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 (unaudited) (continued)
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1
The SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 shares posted a return of -6.73% for the 12-month period ending March 31, 2023, compared to an -8.58% return for the Russell 3000® Index and a -6.51% return for the Blended Index of 60% Russell 3000® Index, 15% MSCI EAFE Index (net), 15% Bloomberg U.S. Aggregate Bond Index, 5% JP Morgan Developed Market High Yield Index, and 5% MSCI Emerging Markets Index (net).
Tactical allocation decisions weighed on performance, while security selection boosted performance over the period. Overall, asset allocation decisions were negative over the period. On balance, the Portfolio was tactically underweight equity risk relative to the Blended Index, which hurt performance. A tactical modest underweight position to interest-rate risk relative to the Blended Index led to a positive contribution. During the period, the Portfolio used interest rate futures. Overall, the positioning had a negative impact on absolute performance.
Security selection enhanced performance over the past year. The Portfolios U.S. large cap core and U.S. small cap core equity holdings were the primary drivers of positive performance. Selection within international developed markets equities, emerging markets equities, and core fixed income led to a loss.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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317 |
SA T. Rowe Price Growth Stock Portfolio Class 1 (unaudited)
Investment Goal: |
Long-term capital appreciation, with a secondary objective of increasing dividend income | |
Manager: |
T. Rowe Price Associates, Inc. |
Growth of a $10,000 Investment
SA T. Rowe Price Growth Stock Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-18.44% | -18.56% | -18.64% | |||||||||
5-Year |
6.88% | 6.73% | 6.61% | |||||||||
10-Year |
11.66% | 11.49% | 11.38% | |||||||||
Since Inception |
9.06% | 6.92% | 9.59% |
* | Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The Russell 1000® Growth Index consists of stocks with a greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA T. Rowe Price Growth Stock Portfolio Class 1
The SA T. Rowe Price Growth Stock Portfolio Class 1 shares returned -18.44% for the 12-month period ending March 31, 2023, compared to a return of -10.90% for the Russell 1000® Growth Index.
Unfavorable stock selection was the most significant factor in relative underperformance. Of the securities held in the Portfolio during the period, positions in Rivian Automotive, Inc. and Amazon.com, Inc. were among the largest detractors from relative results, while the Portfolios stake in Snap Inc., which has been eliminated, also hurt results. Alternatively, the Portfolios overweight exposure to Ross Stores, Inc. contributed to relative returns.
Adverse sector allocation also weighed on relative returns during the period. Overweight allocations to the consumer discretionary and communication services sectors detracted the most. Conversely, an underweight allocation to the information technology sector contributed positively to performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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318 |
SA Multi-Managed Large Cap Growth Portfolio Class 1 (unaudited)
Investment Goal: |
Long-term growth of capital | |
Managers: |
Goldman Sachs Asset Management, L.P. | |
Morgan Stanley & Co., Inc | ||
SunAmerica Asset Management, LLC |
SA Multi-Managed Large Cap Growth Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-17.70% | -17.81% | -17.84% | |||||||||
5-Year |
9.01% | 8.85% | 8.74% | |||||||||
10-Year |
11.57% | 11.41% | 11.30% | |||||||||
Since Inception |
6.45% | 5.57% | 9.20% |
* | Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The S&P 500® Growth Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500® Index across six factors including: sales growth, earnings to price and momentum. The index is comprised of stocks identified as pure growth, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted. |
2 | The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Large Cap Growth Portfolio Class 1
The SA Multi-Managed Large Cap Growth Portfolio Class 1 shares returned -17.70% for the 12-month period ending March 31, 2023, compared to a -15.33% return for the S&P® 500 Growth Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the S&P® 500 Growth Index, a strategy known as replication.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period, largely due to unfavorable stock selection while sector allocation was a smaller detractor. Large cap growth equities, as measured by the Russell 1000® Growth Index, declined over the year. Nearly all sectors fell over the period, with the largest decline in communication services, while utilities and energy were the only Russell 1000® Growth Index sectors with positive performance. Mixed stock selection in information technology drove the majority of the Portfolios relative underperformance. DataDog was the largest detractor within the sector and second largest across the whole Portfolio. Stock selection in financials also dampened relative performance, with Block and
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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319 |
SA Multi-Managed Large Cap Growth Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Large Cap Growth Portfolio Class 1 (continued)
Coinbase Global, Inc., Class A among the largest detracting holdings. The Portfolios stock selection and sector allocations in most other sectors diminished relative performance as well; an overweight in communication services, a lack of exposure to consumer staples and stock selection in health care were also among the greatest detractors. Nearly all sectors detracted over the period; although stock selection in communication services was modestly favorable to relative performance. Meta Platforms, Inc., Class A was the top contributing holding within the sector and second largest across the Portfolio. However, the contribution from Meta Platforms, Inc., Class A was offset by ZoomInfo Technologies, Inc., the largest detractor in the communication services sector and across the whole Portfolio. An underweight in health care was a small positive contributor. The real estate and utilities sectors, which the Portfolio had no exposure to, had a neutral impact on performance. Consumer discretionary also had a negligible effect on performance; however, Amazon.com, Inc. was the top contributing holding to relative performance due to the Portfolios smaller position size versus the Russell 1000® Growth Index.
The Portfolio component managed by Goldman Sachs Asset Management, L.P. outperformed its benchmark for the period. Holdings in the health care and consumer staples sectors contributed to performance, while holdings in the information technology and financials sectors detracted from returns. Key contributors to performance in the health care sector included Seagen, Inc. and Boston Scientific Corp., while the top contributors to performance within the consumer staples sector included Coca-Cola Co. and Monster Beverage Corp. Key detractors from performance in the information technology sector were Bill.com Holdings, Inc., Inc. and Marvell Technology, Inc. The top detractors in the financials sector included PayPal Holdings, Inc. and Affirm Holdings, Inc.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
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320 |
SA Multi-Managed Large Cap Value Portfolio Class 1 (unaudited)
Investment Goal: |
Long-term growth of capital | |
Managers: |
American Century Investment Management Inc. | |
Wellington Management Company LLP | ||
SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Large Cap Value Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-2.63% | -2.81% | -2.88% | |||||||||
5-Year |
8.08% | 7.92% | 7.80% | |||||||||
10-Year |
8.71% | 8.54% | 8.44% | |||||||||
Since Inception |
6.92% | 6.73% | 8.20% |
* | Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The S&P 500®Value Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500® Index across six factors including: book value to price ratio, earnings to price ratio and sales to price ratio. The index is comprised of stocks identified as pure value, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Large Cap Value Portfolio Class 1
The SA Multi-Managed Large Cap Value Portfolio Class 1 shares returned -2.63% for the 12-month period ending March 31, 2023, compared to a -0.16% return for the S&P® 500 Value Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the S&P® 500 Value Index, a strategy known as replication.
The Portfolio component managed by American Century Investment Management, Inc. outperformed its benchmark for the period. Sector allocation positively impacted the Portfolios relative performance. Notably, the Portfolios overweight in consumer staples and underweights in the financials and real estate sectors helped returns. Security selection in the consumer staples and financials sectors buoyed the Portfolios relative results. Within consumer staples, Unilever PLC ADR was a top contributor. Conversely, security selection in the health care, communication services and consumer discretionary sectors hurt relative performance. Medical device company Medtronic PLC was a key detractor. During the period, the Portfolio used foreign currency forwards. Overall, the use of foreign currency forwards had a positive impact on absolute performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
| ||
321 |
SA Multi-Managed Large Cap Value Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Large Cap Value Portfolio Class 1 (continued)
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. Sector allocation, a result of the bottom-up stock selection process, drove relative underperformance. Allocation effect was driven by the Portfolios underweights to communication services and consumer staples, along with an overweight to real estate. This was partially offset by the Portfolios overweight to information technology and underweight to materials. Security selection also weighed on relative results. Weak selection in health care, communication services, and energy was partially offset by stronger selection in financials and real estate. Top relative detractors during the period included an underweight position in Meta Platforms, Inc., Class A, not holding Exxon Mobil Corp., and an overweight position in F5, Inc. Top relative contributors during the period included an out-of-benchmark position in Hubbell, Inc., not holding Berkshire Hathaway, Inc., Class B, as well as the Portfolios overweight position in ConocoPhillips.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
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322 |
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (unaudited) |
Investment Goal: |
Long-term growth of capital | |
Managers: |
T. Rowe Price Associates, Inc. | |
Wellington Management Company LLP | ||
SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Mid Cap Growth Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-10.93% | -11.07% | -11.15% | |||||||||
5-Year |
8.97% | 8.81% | 8.69% | |||||||||
10-Year |
10.88% | 10.72% | 10.60% | |||||||||
Since Inception |
9.11% | 7.37% | 10.55% |
* | Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | Russell Midcap® Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Mid Cap Growth Portfolio Class 1
The SA Multi-Managed Mid Cap Growth Portfolio Class 1 shares returned -10.93% for the 12-month period ending March 31, 2023, compared to a -8.52% return for the Russell Midcap® Growth Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the Russell Midcap® Growth Index, a strategy known as replication.
The Portfolio component managed by T. Rowe Price Associates, Inc. outperformed its benchmark for the period. Stock selection in the consumer discretionary sector contributed considerably to relative performance. Not owning certain consumer discretionary stocks with poor one-year returns helped the Portfolios relative performance, as did owning strong performers, such as specialty retailers AutoZone, Inc. and OReilly Automotive, Inc. Stock choices in the information technology sector also contributed considerably to the Portfolios relative results. Not owning several information technology stocks that fell significantly over the last year helped the Portfolios relative results, as did owning strong performers, such as
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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323 |
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (continued)
Motorola Solutions, Inc. and Arista Networks, Inc. Stock selection in the energy sector made a more modest contribution to relative performance. The Portfolios position in private placement Venture Global LNG, Inc. strongly outperformed the sector, and avoiding certain stocks that fell sharply were additive. An underweight to the poor-performing communication services sector partially offset the negative impact of stock choices in the sector; not owning stocks with strong positive returns were disadvantageous. Stock choices in the health care sector also hurt relative results, as did a sector underweight allocation. Sector allocation overall had a negative impact on the Portfolios relative performance.
The Portfolio component managed by Wellington Management Company LLP trailed its benchmark for the period. Security selection was the primary driver of relative underperformance. Stock selection was weakest within information technology, communication services, and health care. Strong selection in consumer discretionary partially offset negative performance. Sector allocation, a result of the bottom-up stock selection process, also detracted from relative returns during the period. The most significant detractors from relative results came from the Portfolios overweight allocation to communication services and underweight to energy. In contrast, the Portfolios underweight exposures to information technology and real estate contributed to relative returns. Top detractors from relative performance during the period included an out of benchmark position in Snap and overweights in ZoomInfo Technologies, Inc. and RingCentral, Inc., Class A., Snap, Inc. and RingCentral, Inc., Class A were eliminated during the period. Top contributors to relative performance during the period included overweight positions in Ultra Beauty, Inc., Insulet Corp., and Arista Networks, Inc.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
||
324 |
SA Multi-Managed Mid Cap Value Portfolio Class 1 (unaudited)
Investment Goal: |
Long-term growth of capital | |
Managers: |
T. Rowe Price Associates, Inc. | |
Massachusetts Ficial Services Company | ||
SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Mid Cap Value Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-7.25% | -7.35% | -7.45% | |||||||||
5-Year |
7.03% | 6.88% | 6.77% | |||||||||
10-Year |
8.36% | 8.20% | 8.09% | |||||||||
Since Inception |
9.04% | 8.61% | 8.97% |
* | Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | Russell Midcap® Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Mid Cap Value Portfolio Class 1
The SA Multi-Managed Mid Cap Value Portfolio Class 1 shares returned -7.25% for the 12-month period ending March 31, 2023, compared to a -9.22% return for the Russell Midcap® Value Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the Russell Midcap® Value Index, a strategy known as replication.
The Portfolio component managed by Massachusetts Financial Services Company outperformed its benchmark for the period. Stock selection and an underweight position in the real estate sector contributed to relative performance. Stock selection in both the consumer discretionary and information technology sectors also benefited relative results. Within the consumer discretionary sector, the Portfolios overweight positions in Toll Brothers, Inc. and LKQ Corp. supported relative performance. Within the information technology sector, an overweight position in ON Semiconductor bolstered relative returns. Elsewhere, not holding shares of First Republic Bank aided relative results. Additionally, overweight positions in
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
| ||
325 |
SA Multi-Managed Mid Cap Value Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Mid Cap Value Portfolio Class 1 (continued)
PG&E Corp., Graphic Packaging Holdings Co., Hess Corp. and Everest Re Group, Ltd., and the Portfolios position in Eaton Corp. PLC buoyed relative results. Stock selection in the financials sector detracted from relative results. Within this sector, the Portfolios overweight positions in SVB Financial Group, Signature Bank, Zions Bancorporation and Assurant, Inc. hindered relative results. Elsewhere, not holding shares of First Solar, Inc. and Phillips 66 dampened relative results. Additionally, the Portfolios overweight positions in Westrock Co., Liberty Broadband, Newell Brands, Inc., and the Portfolios position in Maravai Lifesciences Holdings, Inc., Class A further weakened relative returns.
The Portfolio component managed by T. Rowe Price Associates, Inc. outperformed its benchmark for the period. Relative outperformance was mainly driven by favorable security choices; however, sector allocation effects also proved beneficial. The energy sector contributed most through stock selection, with the Portfolios holdings in TechnipFMC PLC and Tidewater, Inc. contributing significantly to performance. In consumer staples, stock selection benefited relative returns driven primarily by Flowers Foods, Inc. An underweight allocation to real estate benefited relative returns, as did stock selection within the sector, albeit to a lesser extent. Conversely, stock selection within the materials sector pulled down relative performance driven by select mining names. An overweight allocation to communication services also detracted.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
||
326 |
SA Multi-Managed Small Cap Portfolio Class 1 (unaudited)
Investment Goal: |
Long-term growth of capital | |
Managers: |
SunAmerica Asset Management, LLC | |
Schroder Investment Management North America Inc. | ||
J.P. Morgan Investment Management Inc. |
Growth of a $10,000 Investment
SA Multi-Managed Small Cap Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-8.84% | -8.93% | -9.03% | |||||||||
5-Year |
5.45% | 5.29% | 5.18% | |||||||||
10-Year |
7.67% | 7.51% | 7.40% | |||||||||
Since Inception |
5.47% | 4.57% | 7.51% |
* | Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Small Cap Portfolio Class 1
The SA Multi-Managed Small Cap Portfolio Class 1 shares returned -8.84% for the 12-months ended March 31, 2023, compared to a -11.61% return for the Russell 2000® Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the S&P Small Cap 600® Index, a strategy known as replication.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. outperformed its benchmark for the period. On the positive side, holdings in the industrial cyclical, consumer cyclical and pharmaceutical sectors contributed to performance. At the individual stock level, overweight positions in Reata Pharmaceuticals, Catalyst Pharmaceuticals and Option Care were some of the top individual contributors. On the negative side, holdings in the energy, consumer staples and software & services sectors detracted from performance. At the individual stock level, overweight allocations in Fate Therapeutics, Fulcrum Therapeutics and Ovintiv were amongst the top individual detractors from results. While the Portfolio seeks to be sector neutral, as of March 31, 2023, the Portfolios largest overweight exposures were in the software & services, consumer cyclical and semiconductors
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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327 |
SA Multi-Managed Small Cap Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Small Cap Portfolio Class 1 (continued)
sectors. The largest underweight exposures were in the pharmaceutical, industrial cyclical and utilities sectors.
The Portfolio component managed by Schroder Investment Management North America Inc. outperformed its benchmark for the period. Financials and basic materials were the strongest performing sectors in terms of total effect. The Portfolio has positive total effect in 9 of 11 sectors. Financials was one of the best contributors due to the Portfolios underweight and stock selection within banks. To start the year, the Portfolio was overweight banks but decreased exposure significantly over the period. Basic materials performed well due to the Portfolios stock selection in the diversified materials and diversified chemicals industries. The Portfolios overweight to basic materials also contributed for the period. The Portfolio was overweight basic materials throughout the period. Over the year, the Portfolio lowered relative exposure in financials and telecommunications. Stock selection was the main driver of outperformance for the period, with positive stock selection in 8 of 11 sectors. Examples of stocks held that contributed include Allegro MicroSystems, which develops advanced semiconductor devices, and Maxar Technologies, which provides telecommunication and space technology solutions. Aside from financials, primarily due to an underweight in banks, basic materials, industrials and health care also contributed significantly. The industrials sector was led by the diversified industrials industry, while stock selection and an underweight to biotech contributed within health care.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
||
328 |
SA Multi-Managed International Equity Portfolio Class 1 (unaudited)
Investment Goal: |
Long-term growth of capital | |
Managers: |
T. Rowe Price Associates, Inc. | |
Schroder Investment Management North America Inc. | ||
SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed International Equity Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-2.25% | -2.46% | -2.49% | |||||||||
5-Year |
3.50% | 3.33% | 3.24% | |||||||||
10-Year |
4.60% | 4.43% | 4.34% | |||||||||
Since Inception |
2.81% | 2.40% | 5.54% |
* | Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid-cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The Index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed International Equity Portfolio Class 1
The SA Multi-Managed International Equity Portfolio Class 1 shares returned -2.25% for the 12-month period ending March 31, 2023, compared to a -1.38% return for the MSCI EAFE Index (net).
The Portfolio component managed by SunAmerica Asset Management, LLC invest in all or substantially all of the stocks included in the MSCI EAFE Index (net), a strategy known as replication.
The Portfolio component managed by T. Rowe Price Associates, Inc. underperformed its benchmark for the period. From a sector perspective, adverse stock selection drove underperformance and outweighed slightly positive allocations. Consumer discretionary stocks detracted the most from relative performance due to negative selection, led by holdings in the textiles, apparel, and luxury goods industry. The information technology sector hurt relative returns owing to unfavorable stock selection and an overweight to the sector, which trailed the benchmark. Real estate contributed to relative performance chiefly due to an underweight allocation to the sector, which lagged the benchmark with a double-digit negative return.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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329 |
SA Multi-Managed International Equity Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed International Equity Portfolio Class 1 (continued)
Utilities added value owing to positive stock selection. From a regional perspective, unfavorable stock selection drove underperformance. Developed Europe weighed on relative returns the most chiefly due to negative stock selection. The U.S. added the most value due to positive stock selection.
The Portfolio component managed by Schroder Investment Management North America Inc. underperformed its benchmark for the period. Stock selection was negative, but was partially offset by stronger sector allocation. Holdings in the health care, industrials, and consumer staples sectors were the primary detractors of relative returns. Conversely, stock picks in information technology, utilities and communication services made a positive contribution. Holdings in the United Kingdom, Pacific ex-Japan, and Africa/Middle East performed well, with holdings in Continental Europe and emerging markets weighed on performance. Stock selection in health care proved to be a headwind for relative performance. Pharmaceutical company Roche underperformed. Financial stocks, Toronto Dominion Bank, B3 and Macquarie Group also proved to be a drag on returns. Conversely, the Portfolios information technology holdings were among the strongest performers.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
||
330 |
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (unaudited)
Investment Goal: |
Relatively high current income and secondarily capital appreciation | |
Managers: |
PineBridge Investments LLC | |
Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Diversified Fixed Income Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-5.25 | % | -5.35 | % | -5.53 | % | ||||||
5-Year |
0.75 | % | 0.61 | % | 0.51 | % | ||||||
10-Year |
1.14 | % | 1.00 | % | 0.89 | % | ||||||
Since Inception |
3.22 | % | 3.12 | % | 2.65 | % |
* | Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02 |
1 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
2 | The Bloomberg U.S. Government Bond Index is comprised of the U.S. Treasury and U.S. Agency Indices. The U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). |
3 | The Bloomberg U.S. Corporate IG Index measures publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. |
4 | The Bloomberg U.S. Agency Fixed Rate MBS Index covers agency fixed-rate mortgage-backed pass-through securities (MBS) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). |
5 | The Bloomberg CMBS ERISA Eligible Index has been designed to measure the performance of the commercial mortgage-backed securities (CMBS) market. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Diversified Fixed Income Portfolio Class 1
The SA Multi-Managed Diversified Fixed Income Portfolio Class 1 shares returned -5.25% for the 12-month period ending March 31, 2023, compared to a -4.78% return for the Bloomberg U.S. Aggregate Bond Index.
The Portfolio component passively managed by PineBridge Investments, LLC seeks to invest in a sampling of securities included in the Bloomberg U.S. Government Bond Index by utilizing a statistical technique known as optimization.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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331 |
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (unaudited) (continued)
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (continued)
The Portfolio component actively managed by PineBridge Investments, LLC, underperformed its benchmark for the period. Underperformance was largely due to security selection and asset allocation. The negative impact of security selection was driven by select securities in the financials and communications sectors. Asset allocation was negative due to the Portfolios underweight in the government sector and overweight in the non-corporate sector. For the period, the option-adjusted spreads of the Bloomberg U.S. Aggregate Bond Index moved wider by 17 basis points. The Portfolios duration positioning contributed to performance during the period.
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark for the period. Relative outperformance during the period was primarily driven by the Portfolios duration and yield curve positioning as well as positioning within credit. Security selection within investment grade credit, particularly industrials and financials, benefited relative performance. An underweight allocation to industrials detracted from results. The Portfolios positions in high yield credit also contributed favorably, while positions in bank loans detracted from results. The Portfolios allocation to securitized sectors including non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and collateralized loan obligations (CLO) had a negative impact on relative results. An underweight to agency mortgage-backed securities (MBS) passthroughs helped performance. The Portfolios allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to performance. Additionally, the Portfolio held select exposure to emerging markets debt which benefited performance over the period.
During the period, the Portfolio used interest rate futures and swaps to manage duration and yield curve exposure, and currency forwards to manage currency risk. The interest rate futures positioning had a positive impact on absolute performance. Overall, the combined net effects of tactical duration and yield curve positioning had a significant positive impact. Credit default swaps were used as a source of liquidity and to manage overall Portfolio credit exposure.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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332 |
SA American Century Inflation Protection Portfolio Class 3 (unaudited)
Investment Goal: |
Long-term total return using a strategy that seeks to protect against U.S. inflation | |
Manager: |
American Century Investment Management, Inc. |
Growth of a $10,000 Investment
SA American Century Inflation Protection Portfolio |
| |||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||
Class 1* | Class 3* | |||||||
1-Year |
-7.11% | -7.26% | ||||||
5-Year |
1.83% | 1.59% | ||||||
10-Year |
1.01% | 0.76% | ||||||
Since Inception |
1.27% | 2.22% |
* | Inception date for Class 1: 01/23/12; Class 3: 02/14/05 |
1 | The Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index measures the performance of fixed-income securities with fixed-rate coupon payments that adjust for inflation, as measured by the Consumer Price Index for All Urban Consumers. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA American Century Inflation Protection Portfolio Class 3
The SA American Century Inflation Protection Portfolio Class 3 shares returned -7.26% for the 12-month period ending March 31, 2023, compared to a -6.06% return for the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index.
The main detractor from relative performance was the Portfolios positioning in out-of-benchmark mortgage securities, asset-backed securities, and investment grade corporate bonds. The Portfolios positioning in inflation-indexed debt helped temper some of the negative effects from the corporate and securitized holdings. To maximize inflation exposure, inflation swaps were used to create an inflation overlay for the corporate and securitized securities. This strategy positioned the Portfolio with an overweight to inflation, which aided relative results through most of the period. Late in the Portfolios fiscal year, inflation exposure was reduced to a neutral position. Additionally, a shorter-than-benchmark duration was held early in the period, which helped performance. The Portfolio was later repositioned to a slightly longer-than-benchmark duration, which contributed to results late in the reporting period.
During the period, the Portfolio used inflation swaps and Treasury futures. Overall, the use of inflation swaps as well as Treasury futures had a negative impact on absolute performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
| ||
333 |
SA Columbia Focused Value Portfolio Class 2 (unaudited)
Investment Goal: |
Long-term growth of capital | |
Manager: |
Columbia Management Investment | |
Advisers, LLC |
Growth of a $10,000 Investment
SA Columbia Focused Value Portfolio |
| |||||||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||||||
Class 1* | Class 2* | Class 3* | ||||||||||
1-Year |
-5.40% | -5.55% | -5.59% | |||||||||
5-Year |
8.82% | 8.66% | 8.55% | |||||||||
10-Year |
10.68% | 10.52% | 10.41% | |||||||||
Since Inception |
11.04% | 8.79% | 9.63% |
* | Inception date for Class 1: 01/23/12; Class 2: 10/01/01; Class 3: 11/11/02 |
1 | The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Columbia Focused Value Portfolio Class 2
The SA Columbia Focused Value Portfolio Class 2 shares returned -5.55% for the 12-month period ending March 31, 2023, compared to a return of -5.91% for the Russell 1000 Value Index.
As measured by the sectors within the S&P 500® Index, energy stocks outperformed, followed by consumer staples and industrials. All other sectors delivered negative results, with real estate, consumer discretionary, communication services, and financials stocks declining the most with double-digit negative results. Growth stocks, as measured by the Russell 1000® Growth Index, underperformed value stocks as measured by the Russell 1000® Value Index.
Sector allocation, which is a byproduct of the Portfolios bottom-up process, was the primary driver of outperformance. An overweight to energy and an underweight to real estate helped relative results. The Portfolios underweight to consumer staples detracted.
Security selection detracted from relative results. Top detractors included Baxter International, Inc., Centene Corp., and Qurate Retail, Inc., Series A. Lack of exposure to Exxon Mobil Corp. also detracted. Top individual contributors included Marathon Petroleum Corp., TechnipFMC PLC, and PG&E Corp.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
||
334 |
SA Allocation Growth Portfolio Class 3 (unaudited)
Investment Goal: |
Long-term capital appreciation | |
Manager: |
SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Growth Portfolio |
| |||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||
Class 1* | Class 3* | |||||||
1-Year |
-6.65% | -6.87% | ||||||
5-Year |
6.48% | 6.20% | ||||||
10-Year |
N/A | 7.14% | ||||||
Since Inception |
7.71% | 5.83% |
* | Inception date for Class 1: 09/26/16; Class 3: 02/14/05 |
1 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
2 | The Blended Index consists of 57% Russell 3000® Index, 23% MSCI EAFE Index (net) and 20% Bloomberg U.S. Aggregate Bond Index. |
3 | The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
4 | MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Allocation Growth Portfolio Class 3
The SA Allocation Growth Portfolio Class 3 shares posted a return of -6.87% for the 12-month period ending March 31, 2023, compared to a -5.94% return for the Blended Index (57% Russell 3000® Index, 23% MSCI EAFE Index (net), and 20% Bloomberg U.S. Aggregate Bond Index). Within the Blended Index, the Russell 3000® Index returned -8.58%, the MSCI EAFE Index (net) returned -1.38%, and the Bloomberg U.S. Aggregate Bond Index returned -4.78%.
Asset allocation within the broader equity and fixed income asset classes as well as underweight exposure to international equities detracted from results. Manager contribution also hampered relative results as underlying portfolios, in aggregate, underperformed their respective benchmarks. Allocations to small cap equities and REITs further detracted from performance.
A value tilt within large cap and underlying value portfolios contributed positively to performance, as value outperformed growth for the period. Within fixed income, the Portfolios allocation to intermediate maturity core bonds contributed positively to returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
| ||
335 |
SA Allocation Moderate Growth Portfolio Class 3 (unaudited)
Investment Goal: |
Long-term capital appreciation | |
Manager: |
SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Moderate Growth Portfolio |
| |||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||
Class 1* | Class 3* | |||||||
1-Year |
-6.28% | -6.60% | ||||||
5-Year |
5.54% | 5.24% | ||||||
10-Year |
N/A | 5.99% | ||||||
Since Inception |
6.51% | 5.20% |
* | Inception date for Class 1: 09/26/16; Class 3: 02/14/05 |
1 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
2 | The Blended Index consists of 47% Russell 3000® Index, 18% MSCI EAFE Index (net) and 35% Bloomberg U.S. Aggregate Bond Index. |
3 | The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
4 | MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Allocation Moderate Growth Portfolio Class 3
The SA Allocation Moderate Growth Portfolio Class 3 shares posted a return of -6.60% for the 12-month period ending March 31, 2023, compared to a -5.66% return for the Blended Index (47% Russell 3000® Index, 18% MSCI EAFE Index (net), and 35% Bloomberg U.S. Aggregate Bond Index). Within the Blended Index, the Russell 3000® Index returned -8.58%, the MSCI EAFE Index (net) returned -1.38%, and the Bloomberg U.S. Aggregate Bond Index returned -4.78%.
Asset allocation was the leading detractor from returns due to underweight exposure to fixed income and international equities, which outperformed domestic equities for the period. Manager contribution also hampered relative results as underlying portfolios, in aggregate, underperformed their respective benchmarks. Allocations to small cap equities and REITs further detracted from performance.
A value tilt within large cap and underlying value portfolios contributed positively to performance, as value outperformed growth for the period. Within fixed income, allocations to intermediate maturity core bonds and ultra-short bonds contributed positively to returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
||
336 |
SA Allocation Moderate Portfolio Class 3 (unaudited)
Investment Goal: |
Long-term capital appreciation and moderate current income | |
Manager: |
SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Moderate Portfolio |
| |||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||
Class 1* | Class 3* | |||||||
1-Year |
-6.19% | -6.42% | ||||||
5-Year |
4.88% | 4.62% | ||||||
10-Year |
N/A | 5.32% | ||||||
Since Inception |
5.69% | 4.98% |
* | Inception date for Class 1: 09/26/16; Class 3: 02/14/05 |
1 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg Capital fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
2 | The Blended Index consists of 41% Russell 3000® Index, 14% MSCI EAFE Index (net) and 45% Bloomberg U.S. Aggregate Bond Index. |
3 | The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
4 | MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Allocation Moderate Portfolio Class 3
The SA Allocation Moderate Portfolio Class 3 shares posted a return of -6.42% for the 12-month period ending March 31, 2023, compared to a -5.55% return for the Blended Index (41% Russell 3000® Index, 14% MSCI EAFE Index (net), and 45% Bloomberg U.S. Aggregate Bond Index). Within the Blended Index, the Russell 3000® Index returned -8.58%, the MSCI EAFE Index (net) returned -1.38%, and the Bloomberg U.S. Aggregate Bond Index returned -4.78%.
Asset allocation within the broader equity and fixed income asset classes as well as underweight exposure to international equities detracted from results. Manager contribution also hampered relative results as underlying portfolios, in aggregate, underperformed their respective benchmarks. Allocations to small cap equities and REITs further detracted from performance.
A value tilt within large cap and underlying value portfolios contributed positively to performance, as value outperformed growth for the period. Within fixed income, allocations to intermediate maturity core bonds and ultra-short bonds contributed positively to returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
| ||
337 |
SA Allocation Balanced Portfolio Class 3 (unaudited)
Investment Goal: |
Long-term capital appreciation and current income | |
Manager: |
SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Balanced Portfolio |
| |||||||
Average Annual Total Returns as of 03/31/23 |
| |||||||
Class 1* | Class 3* | |||||||
1-Year |
-5.92% | -6.09% | ||||||
5-Year |
3.79% | 3.56% | ||||||
10-Year |
N/A | 4.32% | ||||||
Since Inception |
4.33% | 4.49% |
* | Inception date for Class 1: 09/26/16; Class 3: 02/14/05 |
1 | The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities. |
2 | The Blended Index consists of 30% Russell 3000® Index, 10% MSCI EAFE Index (net) & 60% Bloomberg U.S. Aggregate Bond Index. |
3 | The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
4 | MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. |
Note: The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.corebridgefinancial.com/annuities for performance data current to the most recent month-end.
SA Allocation Balanced Portfolio Class 3
The SA Allocation Balanced Portfolio Class 3 shares posted a return of -6.09% for the 12-month period ending March 31, 2023, compared to a -5.28% return for the Blended Index (30% Russell 3000® Index, 10% MSCI EAFE Index (net), and 60% Bloomberg U.S. Aggregate Bond Index). Within the Blended Index, the Russell 3000® Index returned -8.58%, the MSCI EAFE Index (net) returned -1.38%, and the Bloomberg U.S. Aggregate Bond Index returned -4.78%.
Asset allocation was the leading detractor from returns due to underweight exposure to fixed income and international equities, which outperformed domestic equities for the period. Manager contribution also hampered relative results as underlying portfolios, in aggregate, underperformed their respective benchmarks. Allocations to small cap equities and REITs further detracted from performance.
A value tilt within large cap and underlying value portfolios contributed positively to performance, as value outperformed growth for the period. Within fixed income, allocations to intermediate maturity core bonds, ultra-short bonds, and high yield bonds contributed positively to returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
|
||
338 |
SEASONS SERIES TRUST
RESULTS OF SPECIAL SHAREHOLDER MEETINGS
March 31, 2023 (unaudited)
On January 19, 2023, a joint special meeting of shareholders (the Special Meeting) of each of the portfolios of the Trust to consider certain proposals, including the proposals listed below. Each of the applicable proposals were approved and the results of the Special Meeting with the respect to the proposals applicable to the Portfolios were as follows:
1. To elect six Trustees to the Board of Trustees (the Board) (voted on by all shareholders of all the portfolios of Trust, voting together).
Name of Trustee |
FOR | WITHHOLD | ||||||
(01) Tracey C. Doi |
450,673,711.085 | 4,890,881.238 | ||||||
(02) John T. Genoy |
450,869,073.786 | 4,695,518.538 | ||||||
(03) Jane Jelenko |
449,323,106.833 | 6,241,485.490 | ||||||
(04) Charles H. Self III |
450,418,290.340 | 5,146,301.984 | ||||||
(05) Martha B. Willis |
450,179,018.269 | 5,385,574.055 | ||||||
(06) Bruce G. Willison |
449,693,284.325 | 5,871,307.999 |
2. The shareholders of the Portfolios were asked to consider and vote upon a proposal to approve a new investment advisory and management agreement between SunAmerica and the Trust, on behalf of each of its respective Portfolios, and to approve any future investment advisory and management agreements between SunAmerica and the Trust, each to take effect upon a Change of Control Event resulting from the Separation Plan. The result of the vote taken with respect to such proposal at the Special Meeting was as follows:
Name of Portfolio |
FOR | AGAINST | ABSTAIN | |||||||||
SA Allocation Balanced Portfolio |
21,631,931.292 | 397,995.340 | 2,485,226.308 | |||||||||
SA Allocation Growth Portfolio |
25,080,792.270 | 112,996.126 | 768,992.571 | |||||||||
SA Allocation Moderate Growth Portfolio |
41,958,049.927 | 908,724.652 | 1,912,728.350 | |||||||||
SA Allocation Moderate Portfolio |
25,116,127.882 | 892,100.261 | 865,770.495 | |||||||||
SA American Century Inflation Protection Portfolio |
65,572,396.040 | 790,805.888 | 1,537,337.529 | |||||||||
SA Columbia Focused Value Portfolio |
14,172,260.914 | 0.000 | 41,959.013 | |||||||||
SA Multi-Managed Diversified Fixed Income Portfolio |
76,931,500.186 | 0.000 | 148,584.319 | |||||||||
SA Multi-Managed Growth Portfolio |
505,317.739 | 13,597.396 | 53,013.328 | |||||||||
SA Multi-Managed Income Portfolio |
683,461.162 | 4,252.705 | 23,467.162 | |||||||||
SA Multi-Managed Income/Equity Portfolio |
718,546.355 | 8,190.191 | 36,889.737 | |||||||||
SA Multi-Managed International Equity Portfolio |
36,449,870.818 | 12,930.990 | 115,232.732 | |||||||||
SA Multi-Managed Large Cap Growth Portfolio |
32,448,388.130 | 9,285.619 | 91,009.777 | |||||||||
SA Multi-Managed Large Cap Value Portfolio |
39,616,468.141 | 3,978.864 | 140,005.941 | |||||||||
SA Multi-Managed Mid Cap Growth Portfolio |
11,138,563.561 | 0.000 | 122,253.776 | |||||||||
SA Multi-Managed Mid Cap Value Portfolio |
11,261,133.588 | 0.000 | 73,959.769 | |||||||||
SA Multi-Managed Moderate Growth Portfolio |
984,414.346 | 10,093.221 | 89,041.659 | |||||||||
SA Multi-Managed Small Cap Portfolio |
15,771,590.685 | 6,607.193 | 73,429.029 | |||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio |
9,203,791.046 | 116,139.547 | 566,914.373 | |||||||||
SA T. Rowe Price Growth Stock Portfolio |
13,793,797.303 | 14,510.388 | 78,166.690 |
| ||
339 |
SEASONS SERIES TRUST
RESULTS OF SPECIAL SHAREHOLDER MEETINGS
March 31, 2023 (unaudited) (continued)
3. The shareholders of the Portfolios were asked to consider and vote upon a proposal to approve a modified manager-of-managers structure for each Portfolio. The result of the vote taken with respect to such proposal at the Special Meeting was as follows:
Name of Portfolio |
FOR | AGAINST | ABSTAIN | |||||||||
SA Allocation Balanced Portfolio |
21,352,296.347 | 779,099.133 | 2,383,757.461 | |||||||||
SA Allocation Growth Portfolio |
24,903,224.350 | 139,737.466 | 919,819.151 | |||||||||
SA Allocation Moderate Growth Portfolio |
41,296,541.116 | 1,356,214.574 | 2,126,747.238 | |||||||||
SA Allocation Moderate Portfolio |
24,814,048.958 | 990,768.802 | 1,069,180.877 | |||||||||
SA American Century Inflation Protection Portfolio |
64,628,977.102 | 1,506,225.066 | 1,765,337.290 | |||||||||
SA Columbia Focused Value Portfolio |
14,179,942.671 | 0.000 | 34,277.255 | |||||||||
SA Multi-Managed Diversified Fixed Income Portfolio |
76,931,500.186 | 0.000 | 148,584.319 | |||||||||
SA Multi-Managed Growth Portfolio |
505,648.210 | 13,597.396 | 52,682.857 | |||||||||
SA Multi-Managed Income Portfolio |
678,478.654 | 4,252.705 | 28,449.671 | |||||||||
SA Multi-Managed Income/Equity Portfolio |
718,545.910 | 8,190.636 | 36,889.737 | |||||||||
SA Multi-Managed International Equity Portfolio |
36,450,165.302 | 37,394.050 | 90,475.187 | |||||||||
SA Multi-Managed Large Cap Growth Portfolio |
32,475,401.885 | 28,307.369 | 44,974.270 | |||||||||
SA Multi-Managed Large Cap Value Portfolio |
39,637,867.947 | 16,721.280 | 105,863.719 | |||||||||
SA Multi-Managed Mid Cap Growth Portfolio |
11,170,456.619 | 0.000 | 90,360.719 | |||||||||
SA Multi-Managed Mid Cap Value Portfolio |
11,287,959.735 | 2,936.449 | 44,197.173 | |||||||||
SA Multi-Managed Moderate Growth Portfolio |
1,003,153.758 | 10,093.221 | 70,302.247 | |||||||||
SA Multi-Managed Small Cap Portfolio |
15,789,485.369 | 21,014.416 | 41,127.122 | |||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio |
9,202,473.607 | 118,763.508 | 565,607.850 | |||||||||
SA T. Rowe Price Growth Stock Portfolio |
13,799,531.082 | 14,510.549 | 72,432.750 |
|
||
340 |
SEASONS SERIES TRUST
VOTING PROXIES ON TRUST PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses to determine how to vote proxies related to securities held in the Trusts Portfolios which is available in the Trusts Statement of Additional Information, may be obtained without charge upon request, by calling (800) 445-SUN2. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commissions website at http://www.sec.gov.
PROXY VOTING RECORD ON TRUST PORTFOLIO SECURITIES
Information regarding how Seasons Series Trust Portfolios voted proxies related to securities held in Seasons Series Trust Portfolios during the most recent twelve month period ended June 30 is available, once filed with the U.S. Securities and Exchange Commission, without charge, upon request, by calling (800) 445-SUN2 or on the U.S. Securities and Exchange Commissions website at http://www.sec.gov.
DISCLOSURE OF QUARTERLY PORTFOLIO HOLDINGS
The Trust is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-PORT. The Trusts Forms N-PORT are available on the U.S. Securities and Exchange Commissions website at http://www.sec.gov.
This report is submitted solely for the general information of shareholders of the Trust. Distribution of this report to persons other than shareholders of the Trust is authorized only in connection with a currently effective prospectus, setting forth details of the Trust, which must precede or accompany this report.
| ||
341 |
ANNUITY SERVICE CENTER P.O. BOX 15570 AMARILLO, TX 79105-5570
CHANGE SERVICE REQUESTED |
J1906AR.19 (5/23)
Item 2. Code of Ethics.
Seasons Series Trust (the registrant) has adopted a Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (the Code). During the fiscal year ended March 31, 2023, there were no reportable waivers or implicit waivers to a provision of the Code that applies to the registrants Principal Executive and Principal Accounting Officers (the Covered Officers).
Item 3. Audit Committee Financial Expert.
The registrants Board of Trustees has determined that Jane Jelenko, Tracey C. Doi and Charles H. Self III each qualify as audit committee financial experts, as defined in Item 3(b) of Form N-CSR. Ms. Jelenko, Ms. Doi and Mr. Self are considered to be independent for purposes of Item 3(a) (2) of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) (d) Aggregate fees billed to the registrant for the last two fiscal years for professional services rendered by the registrants principal accountant were as follows:
2022 | 2023 | |||||||
(a) Audit Fees |
$ | 788,492 | $ | 812,149 | ||||
(b) Audit-Related Fees |
$ | 0 | $ | 0 | ||||
(c) Tax Fees |
$ | 175,482 | $ | 180,754 | ||||
(d) All Other Fees |
$ | 0 | $ | 0 |
Audit Fees include amounts related to the audit of the registrants annual financial statements and services normally provided by the principal accountant in connection with statutory and regulatory filings. Tax Fees principally include tax compliance, tax advice, tax planning and preparation of tax returns.
Aggregate fees billed to the investment adviser and Adviser Affiliates (as defined below in Item 4(e)) that are required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X for the last two fiscal years for services rendered by the registrants principal accountant were as follows:
2022 | 2023 | |||||||
(b) Audit-Related Fees |
$ | 0 | $ | 0 | ||||
(c) Tax Fees |
$ | 0 | $ | 0 | ||||
(d) All Other Fees |
$ | 209,002 | $ | 493,973 |
(e) (1) The registrants audit committee pre-approves all audit services provided by the registrants principal accountant for the registrant and all non-audit services provided by the registrants principal accountant for the registrant, its investment adviser and any entities controlling, controlled by, or under common control with the investment adviser (Adviser Affiliates) that provide ongoing services to the registrant, if the engagement by the investment adviser or Adviser Affiliates relates directly to the operations and financial reporting of the registrant. The audit committee has not presently established any pre-approval policies and procedures that permit the pre-approval of the above services other than by the full audit committee. Certain de minimis exceptions are allowed for non-audit services in accordance with Rule 2-01(c)(7)(i)(C) of Regulation S-X as set forth in the registrants audit committee minutes.
(2) No services included in (b)-(d) above in connection with fees billed to the registrant or the investment adviser or Adviser Affiliates were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrants principal accountant for non-audit services rendered to the registrant, its investment adviser, and Adviser Affiliates that provide ongoing services to the registrant for 2022 and 2023 were $412,084 and $674,727 respectively.
(h) Non-audit services rendered to the registrants investment adviser and any Adviser Affiliates that provide ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X were considered by the registrants audit committee as to whether they were compatible with maintaining the principal accountants independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Included in Item 1 to the Form.
(b) Not applicable.
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 registrants Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.
Item 11. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrants management, including the President and Treasurer, of the effectiveness of the design and operation of the registrants 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 registrants management, including the President and Treasurer, concluded that the registrants disclosure controls and procedures are effective.
(b) There was no change in the registrants 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(3) Not applicable.
(4) Not applicable.
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: June 8, 2023
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: June 8, 2023
By: | /s/ Gregory R. Kingston | |
Gregory R. Kingston | ||
Treasurer |
Date: June 8, 2023
Exhibit 99.406.Code of Ethics
SUNAMERICA SERIES TRUST
SEASONS SERIES TRUST
(collectively, the Funds)
CODE OF ETHICS FOR PRINCIPAL EXECUTIVE
AND PRINCIPAL ACCOUNTING OFFICERS
I. | Introduction |
The Boards of Directors/Trustees of the Funds (the Boards) have adopted this Code of Ethics (this Code) pursuant to Section 406 of the Sarbanes-Oxley Act applicable to the Funds Principal Executive Officer and Principal Accounting Officer (the Covered Officers each of whom is set forth in Exhibit A) for the purpose of deterring wrongdoing and promoting:
| Honest and ethical conduct, including the ethical handling of conflicts of interest between personal and professional relationships; |
| Full, fair, accurate, timely and understandable disclosure; |
| Compliance with applicable laws and governmental rules and regulations; |
| The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and |
| Accountability for adherence to the Code. |
Each Covered Officer must comply with applicable law. Each Covered Officer also has a responsibility to conduct himself or herself in an honest and ethical manner and to adhere to a high standard of business ethics. Each Covered Officer has leadership responsibilities that include promoting a culture of high ethical standards and a commitment to compliance, maintaining a work environment that encourages the internal reporting of compliance concerns and promptly addressing compliance concerns. Each Covered Officer should also be sensitive to situations that may give rise to conflicts of interest.
II. | Honest and Ethical Conduct |
a. | Honesty, Diligence and Professional Responsibility |
Covered Officers are expected to observe both the form and the spirit of the ethical principles contained in this Code. In particular, Covered Officers must perform their duties and responsibilities for the Funds:
| with honesty, diligence, and a commitment to professional and ethical responsibility; |
| carefully, thoroughly and in a timely manner; and |
| in conformity with applicable professional and technical standards. |
b. | Ethical Handling of Actual and Apparent Conflicts of Interest |
A conflict of interest occurs when a Covered Officers private interest improperly interferes with the interests of, or his or her service to, the Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her immediate family, receives improper personal benefits as a result of his or her position with the Funds.
Certain conflicts of interest arise out of the relationships between Covered Officers and the Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940, as amended (the Investment Company Act) and the Investment Advisers Act of 1940, as amended (the Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of their status as affiliated persons of the Funds. The compliance programs and procedures of the Funds and the Funds investment adviser, SunAmerica Asset Management, LLC. (SAAMCo), are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.
Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between, the Funds and SAAMCo, of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Funds or for SAAMCo, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Funds and SAAMCo. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Funds and SAAMCo and is consistent with the performance by the Covered Officers of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Boards that the Covered Officers may also be officers or employees of other investment companies advised by SAAMCo.
In particular, each Covered Officer must:
| Not use his or her personal influence or personal relationships to influence investment decisions or financial reporting by the Funds whereby the Covered Officer would benefit personally to the detriment of the Funds; |
| Not cause the Funds to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Funds; and |
2
| Report at least annually to the Funds Ethics Committee any material transaction or relationship that could reasonably be expected to give rise to a conflict of interest. |
There are certain potential conflict of interest situations that should be discussed with the Ethics Committee if material. Examples of these include:
| Service as a director on the board of any company; |
| The receipt of any non-nominal gifts; |
| The receipt of any entertainment from any company with which the Funds have current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety; |
| Any ownership interest in, or any consulting or employment relationship with, any of the Funds service providers, other than SAAMCo, the Funds principal underwriter or any affiliated person thereof; |
| A direct or indirect financial interest in commissions, transaction charges or spreads paid by the Funds for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officers employment, such as compensation or equity ownership. |
c. | Conduct in the Preparation of Financial Statements |
Covered Officers must not knowingly make any misrepresentations regarding the Funds financial statements or any facts used in the preparation of the Funds financial statements. This section is intended to prohibit:
| making, or permitting or directing another to make, materially false or misleading entries in the Funds financial statements or records; |
| failing to correct the Funds financial statements or records that are materially false or misleading; and |
| signing, or permitting or directing another to sign, a document containing materially false or misleading financial information. |
d. | Obligations to the Independent Auditor of the Funds |
In dealing with the Funds independent auditor, Covered Officers must be candid and not knowingly misrepresent facts or knowingly fail to disclose material facts, and must respond to specific inquiries and requests by the Funds independent auditor.
3
Covered Officers must not take any action, or direct any person to take any action, to fraudulently influence, coerce, manipulate or mislead the Funds independent auditor in the performance of an audit of the Funds financial statements for the purpose of rendering such financial statements materially misleading.
III. | Disclosure and Compliance |
| Each Covered Officer will familiarize himself or herself with the disclosure requirements generally applicable to the Funds; |
| Each Covered Officer will not knowingly misrepresent, or cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Boards and auditors, or to governmental regulators and self-regulatory organizations; |
| Each Covered Officer will, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Funds and SAAMCo with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents that the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and |
| It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. |
IV. | Reporting and Accountability |
Each Covered Officer must:
| Upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Boards that he or she has received, read and understands the Code; |
| Annually thereafter affirm to the Boards that he or she has complied with the requirements of the Code; |
| Not retaliate against any other Covered Officer or affiliated person of the Funds for reports of potential violations of this Code that are made in good faith; and |
| Notify the Ethics Committee promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code. |
The Ethics Committee is responsible for applying this Code to specific situations in which questions are presented to it and has the authority to interpret this Code in any particular situation. The Ethics Committee will also consider waivers sought by the Covered Officers.
4
The Funds will act according to the following procedures in investigating and enforcing this Code:
| The Ethics Committee will take all appropriate action to investigate any potential violations reported to it; |
| If, after such investigation, the Ethics Committee believes that no violation has occurred, the Ethics Committee is not required to take any further action; |
| If the Ethics Committee determines that a violation has occurred, it will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of SAAMCo or its board; or a recommendation to dismiss the Covered Officer; |
| The Ethics Committee will be responsible for granting waivers, as appropriate; |
| The Ethics Committee will inform the Boards of violations or waivers of this Code; and |
| Any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules. |
V. | Other Policies and Procedures |
This Code shall be the sole Code of Ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to investment companies thereunder. Insofar as other policies or procedures of the Funds, SAAMCo, the Funds principal underwriter or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Code of Ethics of the Funds, SAAMCo and the Funds principal underwriter, under Rule 17j-1 of the Investment Company Act, and SAAMCos more detailed policies and procedures set forth in the SAAMCo Compliance Procedures Manual are separate requirements applying to Covered Officers and others, and are not part of this Code.
VI. | Amendments |
Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Boards.
VII. | Confidentiality |
All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Funds, the Ethics Committee, SAAMCo and the Boards and their independent counsel.
5
VIII. | Internal Use |
The Code is intended solely for internal use by the Funds and does not constitute an admission, by or on behalf of the Funds, as to any fact, circumstance or legal conclusion.
Date: September 17, 2019
6
Exhibit A
John Genoy, Principal Executive Officer
Gregory R. Kingston, Principal Accounting Officer
7
Exhibit 99.CERT
CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT
I, John T. Genoy, certify that:
1. I have reviewed this report on Form N-CSR of Seasons Series Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: June 7, 2023
/s/ John T. Genoy |
John T. Genoy |
President |
CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT
I, Gregory R. Kingston, certify that:
1. I have reviewed this report on Form N-CSR of Seasons Series Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: June 7, 2023
/s/ Gregory R. Kingston |
Gregory R. Kingston |
Treasurer |
EXHIBIT 99.906.CERT
CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT
John T. Genoy, President, and Gregory R. Kingston, Treasurer of Seasons Series Trust (the registrant), each certify to the best of his knowledge that:
1. The attached Form N-CSR report of the registrant fully complies with the requirements of Sections 13(a) and 15(d) of the Securities Exchange Act of 1934; and
2. The information contained in such N-CSR report fairly represents, in all material respects, the financial conditions and results of operations of the registrant as of, and for, the periods presented in the report.
Dated: June 7, 2023
/s/ John T. Genoy |
John T. Genoy |
President |
/s/ Gregory R. Kingston |
Gregory R. Kingston |
Treasurer |
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