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Seasons Series Trust · N-CSR · For 3/31/12

Filed On 6/8/12, 1:21pm ET   ·   Accession Number 1104659-12-42536   ·   SEC File 811-07725

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  As Of                Filer                Filing    For/On/As Docs:Size              Issuer               Agent

 6/08/12  Seasons Series Trust              N-CSR       3/31/12    4:25M                                    Merrill Corp-MD/FA

Certified Annual Shareholder Report of a Management Investment Company   —   Form N-CSR
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-CSR       Certified Annual Shareholder Report of a            HTML  15.28M 
                          Management Investment Company                          
 4: EX-99.906CERT  Miscellaneous Exhibit                            HTML      9K 
 3: EX-99.CERT  Miscellaneous Exhibit                               HTML     20K 
 2: EX-99.CODEETH  Miscellaneous Exhibit                            HTML     24K 


N-CSR   —   Certified Annual Shareholder Report of a Management Investment Company


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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)

 

1 SunAmerica Center, Los Angeles, CA

 

90067-6022

(Address of principal executive offices)

 

(Zip code)

 

John T. Genoy
Senior Vice President
SunAmerica Asset Management Corp.
Harborside Financial Center,
3200 Plaza 5
Jersey City, NJ 07311

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(201) 324-6414

 

 

Date of fiscal year end:

March 31

 

 

Date of reporting period:

March 31, 2012

 

 



 

Item 1. Reports to Stockholders

 



SEASONS SERIES TRUST

ANNUAL REPORT
MARCH 31, 2012




Table of Contents

Shareholder Letter   1  
Expense Example   2  
Seasons Strategies  
Multi-Managed Growth Portfolio   8  
Multi-Managed Moderate Growth Portfolio   34  
Multi-Managed Income/Equity Portfolio   62  
Multi-Managed Income Portfolio   89  
Asset Allocation: Diversified Growth Portfolio   116  
Stock Portfolio   161  
Seasons Select  
Large Cap Growth Portfolio   166  
Large Cap Value Portfolio   174  
Mid Cap Growth Portfolio   184  
Mid Cap Value Portfolio   197  
Small Cap Portfolio   210  
International Equity Portfolio   224  
Diversified Fixed Income Portfolio   236  
Real Return Portfolio   269  
Cash Management Portfolio   273  
Seasons Focused  
Focus Growth Portfolio   278  
Focus Value Portfolio   281  
Seasons Managed Allocation  
Allocation Growth Portfolio   284  
Allocation Moderate Growth Portfolio   286  
Allocation Moderate Portfolio   288  
Allocation Balanced Portfolio   290  
Statements of Assets and Liabilities   292  
Statements of Operations   300  
Statements of Changes in Net Assets   304  
Notes to Financial Statements   311  
Financial Highlights   347  
Report of Independent Registered Public Accounting Firm   361  
Trustees and Officers Information   362  
Shareholders Tax Information   364  
Comparisons: Portfolios vs. Indexes   366  



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 SunAmerica Annuity and Life Assurance Company and First SunAmerica Life Insurance Company.

This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended March 31, 2012.

If you have any questions regarding your variable annuity, please contact your investment representative, or you may contact us directly at 1-800-445-SUN2.

Sincerely,

Jana Waring Greer
President and CEO,
SunAmerica Annuity and Life Assurance Company
President, SunAmerica Retirement Markets,
The United States Life Insurance Company in the City of New York

May 4, 2012

Note: All performance figures quoted are for the Seasons Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 591/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.

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

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

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

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

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

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

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


1



SEASONS SERIES TRUST
EXPENSE EXAMPLE  
March 31, 2012

  (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; 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, 2011 and held until March 31, 2012. 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 Corp., the Trust's investment adviser and manager. The fees and expenses associated with the Variable Contracts are not included in these Examples, and had such fees and expenses been included your costs would have been higher. Please see your Variable Contract prospectus for more details on the fees associated with the variable contract.

Actual Expenses

The "Actual'' section of the table provides information about your actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled "Expenses Paid During the Period Ended March 31, 2012'' to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Period ended March 31, 2012'' column and the "Expense Ratio as of March 31, 2012'' 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 Period Ended March 31, 2012'' would have been higher and the "Ending Account Value'' 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 the Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The "Expenses Paid During the Period Ended March 31, 2012'' column and the "Expense Ratio as of March 31, 2012'' 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 Period Ended March 31, 2012'' would have been higher and the "Ending Account Value'' 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.


2



SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  
March 31, 2012

  (unaudited)

    Actual   Hypothetical      
Portfolio   Beginning
Account
Value at
October 1,
2011
  Ending
Account
Value Using
Actual Return
at
March 31,
2012
  Expenses Paid
During the
Period Ended
March 31,
2012*
  Beginning
Account
Value at
October 1,
2011
  Ending Account
Value Using a
Hypothetical
5% Assumed
Return at
March 31,
2012
  Expenses Paid
During the
Period Ended
March 31,
2012*
  Expense
Ratio as of
March 31,
2012*
 
Multi-Managed Growth@  
Class 1   $ 1,000.00     $ 1,213.37     $ 7.25     $ 1,000.00     $ 1,018.45     $ 6.61       1.31 %  
Class 2   $ 1,000.00     $ 1,213.04     $ 8.08     $ 1,000.00     $ 1,017.70     $ 7.36       1.46 %  
Class 3   $ 1,000.00     $ 1,212.39     $ 8.63     $ 1,000.00     $ 1,017.20     $ 7.87       1.56 %  
Multi-Managed
Moderate Growth@
 
Class 1   $ 1,000.00     $ 1,176.58     $ 6.04     $ 1,000.00     $ 1,019.45     $ 5.60       1.11 %  
Class 2   $ 1,000.00     $ 1,175.47     $ 6.85     $ 1,000.00     $ 1,018.70     $ 6.36       1.26 %  
Class 3   $ 1,000.00     $ 1,175.54     $ 7.40     $ 1,000.00     $ 1,018.20     $ 6.86       1.36 %  
Multi-Managed Income/
Equity@
 
Class 1   $ 1,000.00     $ 1,109.26     $ 5.85     $ 1,000.00     $ 1,019.45     $ 5.60       1.11 %  
Class 2   $ 1,000.00     $ 1,107.37     $ 6.64     $ 1,000.00     $ 1,018.70     $ 6.36       1.26 %  
Class 3   $ 1,000.00     $ 1,107.21     $ 7.16     $ 1,000.00     $ 1,018.20     $ 6.86       1.36 %  
Multi-Managed Income@  
Class 1   $ 1,000.00     $ 1,070.68     $ 5.64     $ 1,000.00     $ 1,019.55     $ 5.50       1.09 %  
Class 2   $ 1,000.00     $ 1,069.66     $ 6.42     $ 1,000.00     $ 1,018.80     $ 6.26       1.24 %  
Class 3   $ 1,000.00     $ 1,069.67     $ 6.93     $ 1,000.00     $ 1,018.30     $ 6.76       1.34 %  
Asset Allocation:
Diversified Growth#@
 
Class 1   $ 1,000.00     $ 1,216.97     $ 5.54     $ 1,000.00     $ 1,020.00     $ 5.05       1.00 %  
Class 2   $ 1,000.00     $ 1,216.27     $ 6.37     $ 1,000.00     $ 1,019.25     $ 5.81       1.15 %  
Class 3   $ 1,000.00     $ 1,214.17     $ 6.92     $ 1,000.00     $ 1,018.75     $ 6.31       1.25 %  
Stock@  
Class 1   $ 1,000.00     $ 1,308.10     $ 5.54     $ 1,000.00     $ 1,020.20     $ 4.85       0.96 %  
Class 2   $ 1,000.00     $ 1,306.59     $ 6.40     $ 1,000.00     $ 1,019.45     $ 5.60       1.11 %  
Class 3   $ 1,000.00     $ 1,305.94     $ 6.98     $ 1,000.00     $ 1,018.95     $ 6.11       1.21 %  
Large Cap Growth@  
Class 1   $ 1,000.00     $ 1,262.07     $ 5.20     $ 1,000.00     $ 1,020.40     $ 4.65       0.92 %  
Class 2   $ 1,000.00     $ 1,261.48     $ 6.05     $ 1,000.00     $ 1,019.65     $ 5.40       1.07 %  
Class 3   $ 1,000.00     $ 1,260.99     $ 6.61     $ 1,000.00     $ 1,019.15     $ 5.91       1.17 %  
Large Cap Value@  
Class 1   $ 1,000.00     $ 1,271.70     $ 5.11     $ 1,000.00     $ 1,020.50     $ 4.55       0.90 %  
Class 2   $ 1,000.00     $ 1,269.88     $ 5.96     $ 1,000.00     $ 1,019.75     $ 5.30       1.05 %  
Class 3   $ 1,000.00     $ 1,270.49     $ 6.53     $ 1,000.00     $ 1,019.25     $ 5.81       1.15 %  
Mid Cap Growth@  
Class 1   $ 1,000.00     $ 1,267.56     $ 6.24     $ 1,000.00     $ 1,019.50     $ 5.55       1.10 %  
Class 2   $ 1,000.00     $ 1,265.75     $ 7.08     $ 1,000.00     $ 1,018.75     $ 6.31       1.25 %  
Class 3   $ 1,000.00     $ 1,264.94     $ 7.64     $ 1,000.00     $ 1,018.25     $ 6.81       1.35 %  
Mid Cap Value@  
Class 1   $ 1,000.00     $ 1,260.28     $ 5.65     $ 1,000.00     $ 1,020.00     $ 5.05       1.00 %  
Class 2   $ 1,000.00     $ 1,258.25     $ 6.55     $ 1,000.00     $ 1,019.20     $ 5.86       1.16 %  
Class 3   $ 1,000.00     $ 1,258.61     $ 7.11     $ 1,000.00     $ 1,018.70     $ 6.36       1.26 %  
Small Cap@  
Class 1   $ 1,000.00     $ 1,301.79     $ 6.16     $ 1,000.00     $ 1,019.65     $ 5.40       1.07 %  
Class 2   $ 1,000.00     $ 1,300.78     $ 7.07     $ 1,000.00     $ 1,018.85     $ 6.21       1.23 %  
Class 3   $ 1,000.00     $ 1,300.00     $ 7.65     $ 1,000.00     $ 1,018.35     $ 6.71       1.33 %  

 


3



SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  
March 31, 2012

  (unaudited)

    Actual   Hypothetical      
Portfolio   Beginning
Account
Value at
October 1,
2011
  Ending
Account
Value Using
Actual Return
at
March 31,
2012
  Expenses Paid
During the
Period Ended
March 31,
2012*
  Beginning
Account
Value at
October 1,
2011
  Ending Account
Value Using a
Hypothetical
5% Assumed
Return at
March 31,
2012
  Expenses Paid
During the
Period Ended
March 31,
2012*
  Expense
Ratio as of
March 31,
2012*
 
International Equity@  
Class 1   $ 1,000.00     $ 1,166.84     $ 6.12     $ 1,000.00     $ 1,019.35     $ 5.70       1.13 %  
Class 2   $ 1,000.00     $ 1,167.67     $ 7.04     $ 1,000.00     $ 1,018.50     $ 6.56       1.30 %  
Class 3   $ 1,000.00     $ 1,165.78     $ 7.58     $ 1,000.00     $ 1,018.00     $ 7.06       1.40 %  
Diversified Fixed Income  
Class 1   $ 1,000.00     $ 1,026.52     $ 3.80     $ 1,000.00     $ 1,021.25     $ 3.79       0.75 %  
Class 2   $ 1,000.00     $ 1,025.07     $ 4.56     $ 1,000.00     $ 1,020.50     $ 4.55       0.90 %  
Class 3   $ 1,000.00     $ 1,025.08     $ 5.06     $ 1,000.00     $ 1,020.00     $ 5.05       1.00 %  
Real Return  
Class 1+   $ 1,000.00     $ 1,008.86     $ 1.31     $ 1,000.00     $ 1,021.55     $ 3.49       0.69 %  
Class 3   $ 1,000.00     $ 1,021.93     $ 4.75     $ 1,000.00     $ 1,020.30     $ 4.75       0.94 %  
Cash Management  
Class 1   $ 1,000.00     $ 998.14     $ 3.00     $ 1,000.00     $ 1,022.00     $ 3.03       0.60 %  
Class 2   $ 1,000.00     $ 997.20     $ 3.74     $ 1,000.00     $ 1,021.25     $ 3.79       0.75 %  
Class 3   $ 1,000.00     $ 997.19     $ 4.24     $ 1,000.00     $ 1,020.75     $ 4.29       0.85 %  
Focus Growth@  
Class 1   $ 1,000.00     $ 1,207.78     $ 6.18     $ 1,000.00     $ 1,019.40     $ 5.65       1.12 %  
Class 2   $ 1,000.00     $ 1,206.68     $ 7.06     $ 1,000.00     $ 1,018.60     $ 6.46       1.28 %  
Class 3   $ 1,000.00     $ 1,206.28     $ 7.61     $ 1,000.00     $ 1,018.10     $ 6.96       1.38 %  
Focus Value@  
Class 1+   $ 1,000.00     $ 1,044.16     $ 2.29     $ 1,000.00     $ 1,019.05     $ 6.01       1.19 %  
Class 2   $ 1,000.00     $ 1,231.87     $ 7.53     $ 1,000.00     $ 1,018.25     $ 6.81       1.35 %  
Class 3   $ 1,000.00     $ 1,232.11     $ 8.09     $ 1,000.00     $ 1,017.75     $ 7.31       1.45 %  
Allocation Growth  
Class 3   $ 1,000.00     $ 1,209.43     $ 0.94     $ 1,000.00     $ 1,024.15     $ 0.86       0.17 %  
Allocation Moderate Growth  
Class 3   $ 1,000.00     $ 1,166.67     $ 0.70     $ 1,000.00     $ 1,024.35     $ 0.66       0.13 %  
Allocation Moderate  
Class 3   $ 1,000.00     $ 1,149.06     $ 0.75     $ 1,000.00     $ 1,024.30     $ 0.71       0.14 %  
Allocation Balanced  
Class 3   $ 1,000.00     $ 1,128.48     $ 0.80     $ 1,000.00     $ 1,024.25     $ 0.76       0.15 %  

 

*  Expenses are equal to the Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days divided by 366, except for the Real Return Portfolio Class 1 and the Focus Value Portfolio Class 1 "Actual Return" information which was multiplied by 69 days and divided by 366 days. These ratios do not reflect 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, the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Period Ended March 31, 2012" and "Expense Ratios" 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 Period Ended March 31, 2012" and the "Expense Ratios" would have been lower.

+  Commencement of operations on January 23, 2012.

 


4



SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  
March 31, 2012

  (unaudited)

@  Through expense offset arrangements resulting from broker commission recapture, a portion of the Portfolio's expenses have been reduced. Had the expense reductions been taken into account, the Expense Example would have been as follows:

    Actual   Hypothetical      
Portfolio   Beginning
Account
Value at
October 1,
2011
  Ending
Account
Value Using
Actual Return
at
March 31,
2012
  Expenses Paid
During the
Period Ended
March 31,
2012*
  Beginning
Account
Value at
October 1,
2011
  Ending Account
Value Using a
Hypothetical
5% Assumed
Return at
March 31,
2012
  Expenses Paid
During the
Period Ended
March 31,
2012*
  Expense
Ratio as of
March 31,
2012*
 
Multi-Managed Growth  
Class 1   $ 1,000.00     $ 1,213.37     $ 7.25     $ 1,000.00     $ 1,018.45     $ 6.61       1.31 %  
Class 2   $ 1,000.00     $ 1,213.04     $ 8.08     $ 1,000.00     $ 1,017.70     $ 7.36       1.46 %  
Class 3   $ 1,000.00     $ 1,212.39     $ 8.63     $ 1,000.00     $ 1,017.20     $ 7.87       1.56 %  
Multi-Managed
Moderate Growth
 
Class 1   $ 1,000.00     $ 1,176.58     $ 6.04     $ 1,000.00     $ 1,019.45     $ 5.60       1.11 %  
Class 2   $ 1,000.00     $ 1,175.47     $ 6.85     $ 1,000.00     $ 1,018.70     $ 6.36       1.26 %  
Class 3   $ 1,000.00     $ 1,175.54     $ 7.40     $ 1,000.00     $ 1,018.20     $ 6.86       1.36 %  
Multi-Managed Income/
Equity
 
Class 1   $ 1,000.00     $ 1,109.26     $ 5.85     $ 1,000.00     $ 1,019.45     $ 5.60       1.11 %  
Class 2   $ 1,000.00     $ 1,107.37     $ 6.64     $ 1,000.00     $ 1,018.70     $ 6.36       1.26 %  
Class 3   $ 1,000.00     $ 1,107.21     $ 7.16     $ 1,000.00     $ 1,018.20     $ 6.86       1.36 %  
Multi-Managed Income  
Class 1   $ 1,000.00     $ 1,070.68     $ 5.64     $ 1,000.00     $ 1,019.55     $ 5.50       1.09 %  
Class 2   $ 1,000.00     $ 1,069.66     $ 6.42     $ 1,000.00     $ 1,018.80     $ 6.26       1.24 %  
Class 3   $ 1,000.00     $ 1,069.67     $ 6.93     $ 1,000.00     $ 1,018.30     $ 6.76       1.34 %  
Asset Allocation:
Diversified Growth#
 
Class 1   $ 1,000.00     $ 1,216.97     $ 5.49     $ 1,000.00     $ 1,020.05     $ 5.00       0.99 %  
Class 2   $ 1,000.00     $ 1,216.27     $ 6.32     $ 1,000.00     $ 1,019.30     $ 5.76       1.14 %  
Class 3   $ 1,000.00     $ 1,214.17     $ 6.86     $ 1,000.00     $ 1,018.80     $ 6.26       1.24 %  
Stock  
Class 1   $ 1,000.00     $ 1,308.10     $ 5.54     $ 1,000.00     $ 1,020.20     $ 4.85       0.96 %  
Class 2   $ 1,000.00     $ 1,306.59     $ 6.40     $ 1,000.00     $ 1,019.45     $ 5.60       1.11 %  
Class 3   $ 1,000.00     $ 1,305.94     $ 6.98     $ 1,000.00     $ 1,018.95     $ 6.11       1.21 %  
Large Cap Growth  
Class 1   $ 1,000.00     $ 1,262.07     $ 5.20     $ 1,000.00     $ 1,020.40     $ 4.65       0.92 %  
Class 2   $ 1,000.00     $ 1,261.48     $ 6.05     $ 1,000.00     $ 1,019.65     $ 5.40       1.07 %  
Class 3   $ 1,000.00     $ 1,260.99     $ 6.61     $ 1,000.00     $ 1,019.15     $ 5.91       1.17 %  
Large Cap Value  
Class 1   $ 1,000.00     $ 1,271.70     $ 5.11     $ 1,000.00     $ 1,020.50     $ 4.55       0.90 %  
Class 2   $ 1,000.00     $ 1,269.88     $ 5.96     $ 1,000.00     $ 1,019.75     $ 5.30       1.05 %  
Class 3   $ 1,000.00     $ 1,270.49     $ 6.53     $ 1,000.00     $ 1,019.25     $ 5.81       1.15 %  
Mid Cap Growth  
Class 1   $ 1,000.00     $ 1,267.56     $ 6.24     $ 1,000.00     $ 1,019.50     $ 5.55       1.10 %  
Class 2   $ 1,000.00     $ 1,265.75     $ 7.08     $ 1,000.00     $ 1,018.75     $ 6.31       1.25 %  
Class 3   $ 1,000.00     $ 1,264.94     $ 7.64     $ 1,000.00     $ 1,018.25     $ 6.81       1.35 %  
Mid Cap Value  
Class 1   $ 1,000.00     $ 1,260.28     $ 5.65     $ 1,000.00     $ 1,020.00     $ 5.05       1.00 %  
Class 2   $ 1,000.00     $ 1,258.25     $ 6.49     $ 1,000.00     $ 1,019.25     $ 5.81       1.15 %  
Class 3   $ 1,000.00     $ 1,258.61     $ 7.06     $ 1,000.00     $ 1,018.75     $ 6.31       1.25 %  
Small Cap  
Class 1   $ 1,000.00     $ 1,301.79     $ 6.16     $ 1,000.00     $ 1,019.65     $ 5.40       1.07 %  
Class 2   $ 1,000.00     $ 1,300.78     $ 7.07     $ 1,000.00     $ 1,018.85     $ 6.21       1.23 %  
Class 3   $ 1,000.00     $ 1,300.00     $ 7.65     $ 1,000.00     $ 1,018.35     $ 6.71       1.33 %  


5



SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  
March 31, 2012

  (unaudited)

    Actual   Hypothetical      
Portfolio   Beginning
Account
Value at
October 1,
2011
  Ending
Account
Value Using
Actual Return
at
March 31,
2012
  Expenses Paid
During the
Period Ended
March 31,
2012*
  Beginning
Account
Value at
October 1,
2011
  Ending Account
Value Using a
Hypothetical
5% Assumed
Return at
March 31,
2012
  Expenses Paid
During the
Period Ended
March 31,
2012*
  Expense
Ratio as of
March 31,
2012*
 
International Equity  
Class 1   $ 1,000.00     $ 1,166.84     $ 6.12     $ 1,000.00     $ 1,019.35     $ 5.70       1.13 %  
Class 2   $ 1,000.00     $ 1,167.67     $ 6.99     $ 1,000.00     $ 1,018.55     $ 6.51       1.29 %  
Class 3   $ 1,000.00     $ 1,165.78     $ 7.53     $ 1,000.00     $ 1,018.05     $ 7.01       1.39 %  
Focus Growth  
Class 1   $ 1,000.00     $ 1,207.78     $ 6.13     $ 1,000.00     $ 1,019.45     $ 5.60       1.11 %  
Class 2   $ 1,000.00     $ 1,206.68     $ 7.01     $ 1,000.00     $ 1,018.65     $ 6.41       1.27 %  
Class 3   $ 1,000.00     $ 1,206.28     $ 7.56     $ 1,000.00     $ 1,018.15     $ 6.91       1.37 %  
Focus Value  
Class 1+   $ 1,000.00     $ 1,044.16     $ 2.29     $ 1,000.00     $ 1,019.05     $ 6.01       1.19 %  
Class 2   $ 1,000.00     $ 1,231.87     $ 7.48     $ 1,000.00     $ 1,018.30     $ 6.76       1.34 %  
Class 3   $ 1,000.00     $ 1,232.11     $ 8.04     $ 1,000.00     $ 1,017.80     $ 7.26       1.44 %  

 


6



(This page has been left blank intentionally)




Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — March 31, 2012 (unaudited)

Industry Allocation*  
Federal National Mtg. Assoc.     5.9 %  
Repurchase Agreements     5.4    
Computers     5.4    
E-Commerce/Products     4.1    
Medical-Biomedical/Gene     4.1    
Pharmacy Services     3.7    
United States Treasury Notes     3.7    
Diversified Financial Services     2.8    
Government National Mtg. Assoc.     2.5    
Retail-Apparel/Shoe     2.3    
Multimedia     2.3    
Transport-Services     2.2    
Federal Home Loan Mtg. Corp.     1.9    
Wireless Equipment     1.9    
Diversified Banking Institutions     1.9    
Industrial Automated/Robotic     1.7    
Oil Companies-Exploration & Production     1.7    
Enterprise Software/Service     1.6    
Banks-Commercial     1.5    
Metal-Diversified     1.4    
Applications Software     1.4    
Computers-Memory Devices     1.4    
Metal Processors & Fabrication     1.4    
Electronic Components-Semiconductors     1.2    
Auto-Cars/Light Trucks     1.2    
Electronic Components-Misc.     1.1    
United States Treasury Bonds     1.1    
Casino Hotels     1.1    
Commercial Paper     1.1    
Retail-Jewelry     1.0    
Banks-Super Regional     0.9    
Medical-Drugs     0.9    
Auto/Truck Parts & Equipment-Original     0.9    
Insurance-Life/Health     0.9    
Vitamins & Nutrition Products     0.9    
Commercial Services-Finance     0.9    
Chemicals-Diversified     0.9    
Oil-Field Services     0.8    
Oil Companies-Integrated     0.8    
Diversified Manufacturing Operations     0.8    
Medical Products     0.7    
Telephone-Integrated     0.7    
Steel-Producers     0.6    
Commercial Services     0.6    
Therapeutics     0.6    
Athletic Footwear     0.6    
Building & Construction-Misc.     0.6    
Investment Management/Advisor Services     0.6    
Real Estate Investment Trusts     0.6    
Electric-Integrated     0.6    
Rental Auto/Equipment     0.6    
Aerospace/Defense     0.6    
Computer Services     0.5    
Advanced Materials     0.5    
Auto-Truck Trailers     0.5    
Footwear & Related Apparel     0.5    
Aerospace/Defense-Equipment     0.5    
E-Commerce/Services     0.5    
Electronic Connectors     0.5    
Cable/Satellite TV     0.5    
Brewery     0.4 %  
Retail-Vitamins & Nutrition Supplements     0.4    
Medical Instruments     0.4    
Consumer Products-Misc.     0.4    
Sovereign     0.4    
Beverages-Wine/Spirits     0.4    
Computer Aided Design     0.4    
Medical-Hospitals     0.4    
Entertainment Software     0.4    
Machinery-General Industrial     0.4    
Apparel Manufacturers     0.4    
Home Furnishings     0.4    
Patient Monitoring Equipment     0.4    
Computer Data Security     0.4    
Cosmetics & Toiletries     0.3    
Web Portals/ISP     0.3    
Agricultural Chemicals     0.3    
Beverages-Non-alcoholic     0.3    
Transactional Software     0.3    
Food-Retail     0.3    
Medical-HMO     0.3    
Networking Products     0.3    
Municipal Bonds     0.3    
Oil Field Machinery & Equipment     0.3    
Transport-Rail     0.2    
Semiconductor Components-Integrated Circuits     0.2    
Internet Telephone     0.2    
E-Marketing/Info     0.2    
Retail-Drug Store     0.2    
Tobacco     0.2    
Advertising Agencies     0.2    
Food-Misc.     0.2    
Insurance-Multi-line     0.2    
Insurance-Mutual     0.2    
Telecom Services     0.2    
Pipelines     0.2    
Retail-Sporting Goods     0.2    
Instruments-Controls     0.2    
Insurance-Property/Casualty     0.2    
Television     0.2    
Retail-Building Products     0.2    
Finance-Investment Banker/Broker     0.1    
Hotels/Motels     0.1    
Auto-Heavy Duty Trucks     0.1    
Electric Products-Misc.     0.1    
Software Tools     0.1    
Cellular Telecom     0.1    
Engineering/R&D Services     0.1    
Metal-Copper     0.1    
Airlines     0.1    
Retail-Discount     0.1    
Electronic Forms     0.1    
Paper & Related Products     0.1    
Oil & Gas Drilling     0.1    
Human Resources     0.1    
Special Purpose Entities     0.1    
Metal-Iron     0.1    
Retail-Regional Department Stores     0.1    
Machinery-Construction & Mining     0.1    
Containers-Metal/Glass     0.1    

 


8



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — March 31, 2012 (unaudited) (continued)

Industry Allocation*  
Finance-Consumer Loans     0.1 %  
Retail-Auto Parts     0.1    
Banks-Money Center     0.1    
Broadcast Services/Program     0.1    
Office Automation & Equipment     0.1    
Coal     0.1    
Electric-Generation     0.1    
Real Estate Management/Services     0.1    
Finance-Auto Loans     0.1    
Independent Power Producers     0.1    
Cruise Lines     0.1    
Diversified Minerals     0.1    
Gas-Distribution     0.1    
Real Estate Operations & Development     0.1    
Chemicals-Specialty     0.1    
      105.5 %  

 

*  Calculated as a percentage of net assets

 


9



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012

Security Description   Shares   Value
(Note 3)
 
COMMON STOCK — 71.7%  
Advanced Materials — 0.5%  
Hexcel Corp.†     16,549     $ 397,342    
Advertising Agencies — 0.1%  
Interpublic Group of Cos., Inc.     6,097       69,567    
Aerospace/Defense — 0.5%  
Boeing Co.     812       60,388    
Spirit Aerosystems Holdings, Inc.,
Class A†
    11,200       273,952    
      334,340    
Aerospace/Defense-Equipment — 0.5%  
BE Aerospace, Inc.†     3,131       145,497    
Goodrich Corp.     818       102,610    
United Technologies Corp.     1,572       130,382    
      378,489    
Agricultural Chemicals — 0.3%  
CF Industries Holdings, Inc.     202       36,895    
Monsanto Co.     1,193       95,154    
Mosaic Co.     1,610       89,017    
Potash Corp. of Saskatchewan, Inc.     490       22,388    
      243,454    
Apparel Manufacturers — 0.4%  
Coach, Inc.     600       46,368    
Prada SpA†     38,100       248,013    
      294,381    
Applications Software — 1.4%  
Microsoft Corp.     32,854       1,059,542    
Athletic Footwear — 0.6%  
NIKE, Inc., Class B     4,185       453,821    
Auto-Cars/Light Trucks — 1.1%  
Ford Motor Co.     63,860       797,611    
Auto-Heavy Duty Trucks — 0.1%  
PACCAR, Inc.     1,844       86,355    
Auto-Truck Trailers — 0.5%  
Wabash National Corp.†     37,700       390,195    
Auto/Truck Parts & Equipment-Original — 0.9%  
Dana Holding Corp.     25,100       389,050    
Titan International, Inc.     12,185       288,175    
      677,225    
Banks-Commercial — 1.2%  
East West Bancorp, Inc.     14,646       338,176    
Regions Financial Corp.     4,640       30,578    
Standard Chartered PLC     19,934       497,397    
      866,151    
Banks-Fiduciary — 0.0%  
State Street Corp.     580       26,390    
Banks-Super Regional — 0.6%  
Capital One Financial Corp.     2,382       132,773    
Fifth Third Bancorp     3,177       44,637    
PNC Financial Services Group, Inc.     1,645       106,086    
SunTrust Banks, Inc.     1,997       48,267    
US Bancorp     2,015       63,835    
Wells Fargo & Co.     2,140       73,060    
      468,658    

 

Security Description   Shares   Value
(Note 3)
 

 

Beverages-Non-alcoholic — 0.3%  
Coca-Cola Co.     1,475     $ 109,165    
PepsiCo, Inc.     2,002       132,832    
      241,997    
Beverages-Wine/Spirits — 0.4%  
Pernod-Ricard SA     2,859       298,943    
Brewery — 0.4%  
Anheuser-Busch InBev NV     3,970       290,048    
Building & Construction-Misc. — 0.6%  
Dycom Industries, Inc.†     18,902       441,551    
Casino Hotels — 1.1%  
MGM Resorts International†     51,753       704,876    
Wynn Resorts, Ltd.     635       79,299    
      784,175    
Chemicals-Diversified — 0.8%  
Celanese Corp., Series A     2,003       92,499    
Dow Chemical Co.     2,458       85,145    
E.I. du Pont de Nemours & Co.     290       15,341    
LyondellBasell Industries NV, Class A     1,630       71,149    
Rockwood Holdings, Inc.†     6,100       318,115    
      582,249    
Commercial Services — 0.6%  
Iron Mountain, Inc.     16,005       460,944    
Commercial Services-Finance — 0.9%  
Cardtronics, Inc.†     10,373       272,291    
Mastercard, Inc., Class A     920       386,897    
      659,188    
Computer Aided Design — 0.4%  
Aspen Technology, Inc.†     15,370       315,546    
Computer Data Security — 0.4%  
Fortinet, Inc.†     9,600       265,440    
Computer Services — 0.5%  
International Business Machines Corp.     500       104,325    
LivePerson, Inc.†     17,391       291,647    
      395,972    
Computers — 5.4%  
Apple, Inc.†     6,609       3,961,897    
Dell, Inc.†     2,864       47,543    
Hewlett-Packard Co.     1,145       27,285    
      4,036,725    
Computers-Memory Devices — 1.4%  
EMC Corp.†     34,034       1,016,936    
Consumer Products-Misc. — 0.4%  
Jarden Corp.     7,930       319,024    
Cosmetics & Toiletries — 0.3%  
Colgate-Palmolive Co.     1,096       107,167    
Procter & Gamble Co.     2,174       146,114    
      253,281    
Cruise Lines — 0.1%  
Carnival Corp.     1,281       41,094    

 


10



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Shares   Value
(Note 3)
 
COMMON STOCK (continued)  
Diversified Banking Institutions — 0.7%  
Bank of America Corp.     3,488     $ 33,380    
Citigroup, Inc.     1,844       67,398    
Goldman Sachs Group, Inc.     1,775       220,757    
JPMorgan Chase & Co.     2,429       111,685    
Lloyds Banking Group PLC†     14,131       7,596    
Morgan Stanley     2,082       40,891    
      481,707    
Diversified Manufacturing Operations — 0.7%  
Crane Co.     6,400       310,400    
Dover Corp.     1,127       70,933    
Eaton Corp.     839       41,807    
General Electric Co.     3,564       71,530    
      494,670    
E-Commerce/Products — 4.1%  
Amazon.com, Inc.†     1,743       352,975    
eBay, Inc.†     66,765       2,462,961    
MercadoLibre, Inc.     2,268       221,788    
      3,037,724    
E-Commerce/Services — 0.5%  
IAC/InterActiveCorp.     7,500       368,175    
E-Marketing/Info — 0.2%  
ExactTarget, Inc.†     6,600       171,600    
Electric Products-Misc. — 0.1%  
Emerson Electric Co.     2,049       106,917    
Electric-Integrated — 0.3%  
Dominion Resources, Inc.     1,383       70,823    
NextEra Energy, Inc.     686       41,901    
PG&E Corp.     921       39,981    
Progress Energy, Inc.     886       47,055    
      199,760    
Electronic Components-Misc. — 1.1%  
TE Connectivity, Ltd.     15,880       583,590    
Zagg, Inc.†     21,966       233,499    
      817,089    
Electronic Components-Semiconductors — 1.2%  
Broadcom Corp., Class A†     1,589       62,448    
Intel Corp.     2,851       80,142    
Micron Technology, Inc.†     4,507       36,507    
ON Semiconductor Corp.†     35,000       315,350    
Skyworks Solutions, Inc.†     11,700       323,505    
Texas Instruments, Inc.     2,073       69,673    
      887,625    
Electronic Connectors — 0.5%  
Amphenol Corp., Class A     5,575       333,218    
Electronic Forms — 0.1%  
Adobe Systems, Inc.†     2,021       69,341    
Engineering/R&D Services — 0.1%  
Fluor Corp.     1,245       74,750    
Enterprise Software/Service — 1.6%  
Ariba, Inc.†     10,702       350,062    
Oracle Corp.     27,624       805,516    
      1,155,578    

 

Security Description   Shares   Value
(Note 3)
 
Entertainment Software — 0.4%  
Activision Blizzard, Inc.     327     $ 4,192    
Take-Two Interactive Software, Inc.†     19,600       301,546    
      305,738    
Food-Misc. — 0.1%  
Kellogg Co.     1,837       98,518    
Food-Retail — 0.3%  
Fresh Market, Inc.†     4,800       230,160    
Footwear & Related Apparel — 0.5%  
Crocs, Inc.†     12,900       269,868    
Steven Madden, Ltd.†     2,813       120,256    
      390,124    
Gold Mining — 0.0%  
Newmont Mining Corp.     408       20,918    
Home Furnishings — 0.4%  
Tempur-Pedic International, Inc.†     3,400       287,062    
Hotels/Motels — 0.1%  
Hyatt Hotels Corp., Class A†     712       30,416    
Marriott International, Inc., Class A     1,155       43,717    
Starwood Hotels & Resorts
Worldwide, Inc.
    626       35,313    
      109,446    
Human Resources — 0.1%  
Monster Worldwide, Inc.†     6,420       62,595    
Independent Power Producers — 0.0%  
GenOn Energy, Inc.†     68       141    
Industrial Automated/Robotic — 1.7%  
FANUC Corp.     7,000       1,241,513    
Instruments-Controls — 0.2%  
Honeywell International, Inc.     1,973       120,452    
Insurance-Life/Health — 0.8%  
Prudential Financial, Inc.     1,585       100,473    
Prudential PLC     44,034       526,483    
      626,956    
Insurance-Multi-line — 0.1%  
MetLife, Inc.     1,864       69,620    
Insurance-Property/Casualty — 0.1%  
Chubb Corp.     830       57,361    
Internet Telephone — 0.2%  
BroadSoft, Inc.†     4,700       179,775    
Investment Management/Advisor Services — 0.6%  
Affiliated Managers Group, Inc.†     2,554       285,563    
Franklin Resources, Inc.     185       22,946    
T. Rowe Price Group, Inc.     1,751       114,340    
      422,849    
Machinery-Construction & Mining — 0.1%  
Caterpillar, Inc.     519       55,284    
Machinery-General Industrial — 0.4%  
Chart Industries, Inc.†     4,100       300,653    
Medical Instruments — 0.4%  
St. Jude Medical, Inc.     1,200       53,172    
Volcano Corp.†     9,355       265,214    
      318,386    

 


11



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Shares   Value
(Note 3)
 
COMMON STOCK (continued)  
Medical Products — 0.7%  
Baxter International, Inc.     1,927     $ 115,196    
Sirona Dental Systems, Inc.†     7,100       365,934    
      481,130    
Medical-Biomedical/Gene — 4.0%  
Celgene Corp.†     28,863       2,237,460    
Cubist Pharmaceuticals, Inc.†     6,100       263,825    
Gilead Sciences, Inc.†     751       36,686    
Human Genome Sciences, Inc.†     2,044       16,843    
Vertex Pharmaceuticals, Inc.†     9,392       385,166    
      2,939,980    
Medical-Drugs — 0.9%  
Abbott Laboratories     1,450       88,871    
Johnson & Johnson     2,494       164,504    
Merck & Co., Inc.     2,257       86,669    
Pfizer, Inc.     6,558       148,604    
Viropharma, Inc.†     6,400       192,448    
      681,096    
Medical-HMO — 0.2%  
UnitedHealth Group, Inc.     2,113       124,540    
WellPoint, Inc.     299       22,066    
      146,606    
Medical-Hospitals — 0.3%  
Universal Health Services, Inc., Class B     5,400       226,314    
Metal Processors & Fabrication — 1.4%  
Precision Castparts Corp.     5,168       893,547    
Rexnord Corp.†     5,700       120,270    
      1,013,817    
Metal-Copper — 0.1%  
Freeport-McMoRan Copper &
Gold, Inc.
    2,101       79,922    
Metal-Diversified — 1.4%  
Ivanhoe Mines, Ltd.†     67,349       1,060,073    
Metal-Iron — 0.1%  
Cliffs Natural Resources, Inc.     800       55,408    
Multimedia — 2.0%  
News Corp., Class A     68,690       1,352,506    
Time Warner, Inc.     2,068       78,067    
Walt Disney Co.     1,837       80,424    
      1,510,997    
Networking Products — 0.3%  
Cisco Systems, Inc.     2,974       62,900    
NETGEAR, Inc.†     3,928       150,050    
      212,950    
Oil Companies-Exploration & Production — 1.4%  
Anadarko Petroleum Corp.     1,241       97,220    
Apache Corp.     664       66,692    
Cabot Oil & Gas Corp.     830       25,871    
Continental Resources, Inc.†     594       50,977    
Devon Energy Corp.     571       40,610    
EOG Resources, Inc.     379       42,107    
EQT Corp.     415       20,007    

 

Security Description   Shares   Value
(Note 3)
 
Oil Companies-Exploration & Production (continued)  
Gulfport Energy Corp.†     6,900     $ 200,928    
Noble Energy, Inc.     311       30,410    
Occidental Petroleum Corp.     1,184       112,752    
Range Resources Corp.     598       34,768    
Southwestern Energy Co.†     1,194       36,536    
Triangle Petroleum Corp.†     36,278       250,318    
      1,009,196    
Oil Companies-Integrated — 0.7%  
Chevron Corp.     1,279       137,160    
Exxon Mobil Corp.     2,028       175,888    
Hess Corp.     1,831       107,938    
Marathon Petroleum Corp.     900       39,024    
Suncor Energy, Inc.     2,041       66,741    
      526,751    
Oil Field Machinery & Equipment — 0.3%  
Dril-Quip, Inc.†     2,000       130,040    
National Oilwell Varco, Inc.     723       57,457    
      187,497    
Oil-Field Services — 0.8%  
Schlumberger, Ltd.     5,118       357,902    
Superior Energy Services, Inc.†     8,300       218,788    
Weatherford International, Ltd.†     2,024       30,542    
      607,232    
Patient Monitoring Equipment — 0.4%  
Insulet Corp.†     14,402       275,654    
Pharmacy Services — 3.6%  
Express Scripts Holding Co.†     17,528       949,667    
Medco Health Solutions, Inc.†     23,186       1,629,976    
SXC Health Solutions Corp.†     1,000       74,960    
      2,654,603    
Real Estate Investment Trusts — 0.1%  
Host Hotels & Resorts, Inc.     2,620       43,020    
Rental Auto/Equipment — 0.5%  
Hertz Global Holdings, Inc.†     3,730       56,099    
United Rentals, Inc.†     7,300       313,097    
      369,196    
Retail-Apparel/Shoe — 2.3%  
ANN, Inc.†     8,400       240,576    
Finish Line, Inc., Class A     6,405       135,914    
Limited Brands, Inc.     27,320       1,311,360    
PVH Corp.     311       27,782    
      1,715,632    
Retail-Building Products — 0.2%  
Home Depot, Inc.     2,276       114,506    
Retail-Discount — 0.1%  
Target Corp.     684       39,856    
Wal-Mart Stores, Inc.     339       20,747    
      60,603    
Retail-Drug Store — 0.1%  
CVS Caremark Corp.     1,984       88,883    
Retail-Jewelry — 1.0%  
Cie Financiere Richemont SA, Class A     12,231       766,893    

 


12



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Shares   Value
(Note 3)
 
COMMON STOCK (continued)  
Retail-Regional Department Stores — 0.1%  
Macy's, Inc.     956     $ 37,982    
Retail-Sporting Goods — 0.2%  
Dick's Sporting Goods, Inc.     2,575       123,806    
Retail-Vitamins & Nutrition Supplements — 0.4%  
GNC Holdings, Inc., Class A     9,300       324,477    
Semiconductor Components-Integrated Circuits — 0.2%  
QUALCOMM, Inc.     2,645       179,913    
Software Tools — 0.1%  
VMware, Inc., Class A†     863       96,975    
Steel-Producers — 0.6%  
Carpenter Technology Corp.     7,000       365,610    
Reliance Steel & Aluminum Co.     820       46,314    
United States Steel Corp.     1,800       52,866    
      464,790    
Telecom Equipment-Fiber Optics — 0.0%  
Corning, Inc.     2,016       28,385    
Telephone-Integrated — 0.3%  
AT&T, Inc.     2,067       64,552    
CenturyLink, Inc.     2,050       79,233    
Verizon Communications, Inc.     2,102       80,359    
      224,144    
Therapeutics — 0.6%  
BioMarin Pharmaceutical, Inc.†     7,800       267,150    
Questcor Pharmaceuticals, Inc.†     5,000       188,100    
      455,250    
Tobacco — 0.1%  
Altria Group, Inc.     2,106       65,012    
Transactional Software — 0.3%  
VeriFone Systems, Inc.†     4,608       239,017    
Transport-Rail — 0.2%  
Union Pacific Corp.     1,578       169,603    
Transport-Services — 2.2%  
C.H. Robinson Worldwide, Inc.     8,405       550,444    
United Parcel Service, Inc., Class B     13,470       1,087,298    
      1,637,742    
Vitamins & Nutrition Products — 0.9%  
Mead Johnson Nutrition Co.     8,060       664,789    
Web Portals/ISP — 0.3%  
Google, Inc., Class A†     393       252,007    
Wireless Equipment — 1.9%  
Aruba Networks, Inc.†     11,308       251,942    
Crown Castle International Corp.†     15,155       808,368    
SBA Communications Corp., Class A†     6,500       330,265    
      1,390,575    
Total Common Stock
(cost $40,502,739)
        53,224,765    
PREFERRED STOCK — 0.2%  
Banks-Money Center — 0.0%  
UBS Preferred Funding Trust IV FRS
Series D
0.94%
    14       223    

 

Security Description   Shares/
Principal
Amount(13)
  Value
(Note 3)
 
Banks-Super Regional — 0.0%  
US Bancorp FRS
Series A
3.50%
    21     $ 16,590    
Wachovia Capital Trust IX
6.38%
    650       16,406    
      32,996    
Diversified Banking Institutions — 0.1%  
Ally Financial, Inc.
7.00%*
    18       14,996    
Goldman Sachs Group, Inc.
6.13%
    1,000       25,300    
Goldman Sachs Group, Inc.
6.50%
    321       8,227    
HSBC Holdings PLC
Series 2
8.00%
    360       9,832    
      58,355    
Diversified Financial Services — 0.0%  
General Electric Capital Corp.
5.50%(2)
    536       13,818    
Electric-Integrated — 0.0%  
Southern California Edison Co. FRS
4.52%
    30       2,974    
Finance-Investment Banker/Broker — 0.0%  
JP Morgan Chase Capital XXIX
6.70%
    720       18,396    
Finance-Mortgage Loan/Banker — 0.0%  
Federal Home Loan Mtg. Corp. FRS
Series Z
8.38%
    300       417    
Special Purpose Entity — 0.1%  
Structured Repackaged Asset-Backed
Trust Securities FRS
3.00%
    1,600       35,856    
Telecom Services — 0.0%  
Qwest Corp.
7.00%
    225       5,715    
Total Preferred Stock
(cost $171,351)
        168,750    
ASSET BACKED SECURITIES — 2.6%  
Diversified Financial Services — 2.6%  
Ally Auto Receivables Trust
Series 2010-5, Class B
2.45% due 06/15/16*
  $ 50,000       51,521    
AmeriCredit Automobile Receivables Trust,
Series 2010-3, Class C
3.34% due 04/08/16
    30,000       31,013    
AmeriCredit Automobile Receivables Trust,
Series 2010-A, Class A3
3.51% due 07/06/17
    75,627       77,809    
AmeriCredit Automobile Receivables Trust,
Series 2010-2, Class C
4.52% due 10/08/15
    20,000       21,034    
AmeriCredit Automobile Receivables Trust,
Series 2010-1, Class C
5.19% due 08/17/15
    20,000       21,177    

 


13



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
ASSET BACKED SECURITIES (continued)  
Diversified Financial Services (continued)  
Avis Budget Rental Car Funding AESOP LLC,
Series 2009-2A, Class A
5.68% due 02/20/14*
  $ 100,000     $ 103,074    
Bear Stearns Adjustable Rate Mtg. Trust FRS
Series 2005-12, Class 12A1
2.66% due 02/25/36(6)
    84,831       57,745    
Bear Stearns Commercial Mtg. Securities, Inc.,
Series 2006-PW14, Class A4
5.20% due 12/11/38(7)
    50,000       56,211    
Bear Stearns Commercial Mtg. Securities, Inc. VRS
Series 2007-PW16, Class A4
5.90% due 06/11/40(7)
    40,000       45,570    
Cajun Global LLC
Series 2011-1A, Class A2
5.96% due 02/20/41*
    14,523       15,476    
Citigroup Mtg. Loan Trust, Inc. FRS
Series 2006-AR1, Class 3A1
2.52% due 03/25/36(6)
    58,578       39,684    
Commercial Mtg. Pass Through Certs. VRS
Series 2006-C7, Class A4
5.94% due 06/10/46(7)
    50,000       56,407    
Countrywide Alternative Loan Trust FRS
Series 2006-OC11, Class 2A2A
0.41% due 01/25/37(6)
    56,627       32,047    
Countrywide Home Loan Mtg. Pass Through Trust,
Series 2005-29, Class A1
5.75% due 12/25/35(6)
    35,210       30,771    
Countrywide Home Loan Mtg. Pass Through Trust,
Series 2006-14, Class A3
6.25% due 09/25/36(6)
    5,766       5,748    
Dominos Pizza Master Issuer LLC
Series 2012-1A, Class A2
5.22% due 01/25/42*
    20,000       20,483    
First Horizon Alternative Mtg. Securities FRS
Series 2005-AA3, Class 3A1
2.61% due 05/25/35(6)
    79,262       60,413    
GMAC Commercial Mtg. Securities, Inc. VRS
Series 2006-C1, Class A4
5.24% due 11/10/45(7)
    105,000       114,574    
GS Mtg. Securities Corp. II VRS
Series 2004-GG2, Class A6
5.40% due 08/10/38(7)
    150,000       161,833    
GS Mtg. Securities Corp. II FRS
Series 2007-EOP, Class L
5.46% due 03/06/20*(7)
    45,000       43,763    
GS Mtg. Securities Corp. II VRS
Series 2006-GG6, Class A4
5.55% due 04/10/38(7)
    30,000       33,243    
GSR Mtg. Loan Trust FRS
Series 2006-AR1, Class 2A1
2.69% due 01/25/36(6)
    41,247       32,655    
GSR Mtg. Loan Trust FRS
Series 2007-AR1, Class 2A1
2.73% due 03/25/37(6)
    16,831       11,360    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Diversified Financial Services (continued)  
GSR Mtg. Loan Trust FRS
Series 2005-AR2, Class 1A2
2.94% due 04/25/35(6)
  $ 24,066     $ 18,479    
GSR Mtg. Loan Trust
Series 2007-1F, Class 3A14
5.75% due 01/25/37(6)
    51,539       48,173    
Impac CMB Trust FRS
Series 2005-4, Class 1A1A
0.78% due 05/25/35(6)
    36,351       27,266    
LB-UBS Commercial Mtg. Trust VRS
Series2008-C1, Class A2
6.31% due 04/15/41(7)
    25,000       29,197    
Merrill Lynch Mtg. Investors, Inc. FRS
Series 2007-MLN1, Class A2A
0.35% due 03/25/37
    14,893       8,012    
Merrill Lynch Mtg. Investors Trust FRS
Series 2005-A1, Class 2A1
2.59% due 12/25/34(6)
    32,444       32,110    
Morgan Stanley ABS Capital I FRS
Series 2006-HE5, Class A2C
0.38% due 08/25/36
    80,641       42,044    
Morgan Stanley ABS Capital I FRS
Series 2007-NC1, Class A2C
0.38% due 11/25/36
    80,000       31,200    
Morgan Stanley Capital I,
Series 2005-HQ6, Class A4A
4.99% due 08/13/42(7)
    50,000       54,901    
Morgan Stanley Capital I VRS
Series 2007-T25, Class A3
5.51% due 11/12/49(7)
    50,000       56,655    
Morgan Stanley Mtg. Loan Trust,
Series 2007-12, Class 3A22
6.00% due 08/25/37(6)
    35,484       30,527    
MortgageIT Trust FRS
Series 2005-4, Class A1
0.52% due 10/25/35(6)
    92,470       67,773    
Option One Mtg. Loan Trust FRS
Series 2006-3, Class 2A2
0.34% due 02/25/37
    17,413       8,992    
Santander Drive Auto Receivables Trust,
Series 2011-1, Class C
3.11% due 05/16/16
    30,000       29,693    
Santander Drive Auto Receivables Trust,
Series 2010-2, Class C
3.89% due 07/17/17
    25,000       25,550    
Securitized Asset Backed Receivables LLC Trust FRS
Series 2007-BR3, Class A2A
0.31% due 04/25/37
    85,375       31,210    
Securitized Asset Backed Receivables LLC Trust FRS
Series 2007-BR5, Class A2A
0.37% due 05/25/37
    48,688       25,055    
Sequoia Mtg. Trust FRS
Series 2007-1, Class 2A1
2.64% due 02/20/47(6)
    67,901       52,700    
Volvo Financial Equipment LLC
Series 2012-1A, Class B
1.51% due 08/15/17*
    5,000       5,009    

 


14



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
ASSET BACKED SECURITIES (continued)  
Diversified Financial Services (continued)  
Wells Fargo Mtg. Backed Securities Trust FRS
Series 2004-BB, Class A2
2.62% due 01/25/35(6)
  $ 87,830     $ 77,289    
Wells Fargo Mtg. Backed Securities Trust FRS
Series 2005-AR2, Class 2A2
2.62% due 03/25/35(6)
    67,975       64,055    
Wells Fargo Mtg. Backed Securities Trust FRS
Series 2006-AR14, Class 2A1
2.63% due 10/25/36(6)
    38,076       28,302    
Total Asset Backed Securities
(cost $1,882,682)
        1,917,803    
U.S. CORPORATE BONDS & NOTES — 7.8%  
Advertising Agencies — 0.1%  
Interpublic Group of Cos., Inc.
Senior Notes
4.00% due 03/15/22
    3,000       2,938    
Interpublic Group of Cos., Inc.
Senior Notes
6.25% due 11/15/14
    61,000       66,490    
Interpublic Group of Cos., Inc.
Senior Notes
10.00% due 07/15/17
    10,000       11,450    
      80,878    
Advertising Services — 0.0%  
Visant Corp. Company Guar. Notes
10.00% due 10/01/17
    3,000       2,801    
Aerospace/Defense — 0.1%  
Esterline Technologies Corp.
Company Guar. Notes
7.00% due 08/01/20
    10,000       11,050    
Lockheed Martin Corp.
Senior Notes
4.25% due 11/15/19
    9,000       9,749    
Lockheed Martin Corp.
Senior Notes
6.15% due 09/01/36
    6,000       7,193    
Raytheon Co.
Senior Notes
4.70% due 12/15/41
    5,000       5,168    
      33,160    
Aerospace/Defense-Equipment — 0.0%  
BE Aerospace, Inc.
Senior Notes
6.88% due 10/01/20
    10,000       10,950    
Agricultural Operations — 0.0%  
Archer-Daniels-Midland Co.
Senior Bonds
5.77% due 03/01/41
    5,000       6,023    
Airlines — 0.1%  
Atlas Air, Inc.
Pass Through Certs.
Series 1991-1, Class A-1
7.20% due 01/02/19
    1,904       1,904    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Airlines (continued)  
Atlas Air, Inc.
Pass Through Certs.
Series 1991-1, Class B
7.63% due 01/02/15
  $ 14,648     $ 12,597    
Continental Airlines, Inc.
Pass Through Certs.
Series 1998-1, Class A
6.65% due 03/15/19
    7,868       8,232    
Continental Airlines, Inc.
Pass Through Certs.
Series 2007-1, Class B
6.90% due 04/19/22
    19,272       19,580    
Continental Airlines, Inc.
Pass Through Certs.
Series 2009-2, Class A
7.25% due 11/10/19
    23,171       25,952    
Delta Air Lines, Inc.
Senior Sec. Notes
9.50% due 09/15/14*
    2,000       2,130    
US Airways Pass Through Trust
Series 2010-1, Class A
6.25% due 04/22/23
    4,839       4,911    
      75,306    
Auto-Cars/Light Trucks — 0.1%  
Ford Motor Co.
Senior Notes
7.45% due 07/16/31
    30,000       36,675    
Auto-Heavy Duty Trucks — 0.0%  
Navistar International Corp.
Company Guar. Notes
8.25% due 11/01/21
    19,000       20,710    
Auto/Truck Parts & Equipment-Original — 0.0%  
Cooper-Standard Automotive, Inc.
Company Guar. Notes
8.50% due 05/01/18
    5,000       5,375    
Banks-Commercial — 0.2%  
Associated Banc-Corp.
Senior Notes
5.13% due 03/28/16
    13,000       13,729    
Branch Banking & Trust Co. FRS
Sub. Notes
0.79% due 05/23/17
    7,000       6,521    
CIT Group, Inc.
Company Guar. Notes
7.00% due 05/04/15*
    20,000       20,024    
HSBC USA, Inc.
Senior Notes
2.38% due 02/13/15
    100,000       100,686    
KeyBank NA
Sub. Notes
7.41% due 10/15/27
    4,000       4,475    
Regions Bank
Sub. Notes
7.50% due 05/15/18
    5,000       5,662    
Wachovia Bank NA
Sub. Notes
5.60% due 03/15/16
    6,000       6,678    

 


15



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Banks-Commercial (continued)  
Zions Bancorporation
Senior Notes
4.50% due 03/27/17
  $ 7,000     $ 6,956    
Zions Bancorporation
Senior Notes
7.75% due 09/23/14
    8,000       8,760    
      173,491    
Banks-Fiduciary — 0.0%  
Bank of New York Mellon Corp.
Senior Notes
1.20% due 02/20/15
    7,000       7,008    
State Street Capital Trust IV FRS
Ltd. Guar. Notes
1.47% due 06/15/37
    21,000       15,435    
      22,443    
Banks-Money Center — 0.0%  
Chase Capital III FRS
Ltd. Guar. Notes
1.04% due 03/01/27
    10,000       7,635    
Comerica Bank
Sub. Notes
5.20% due 08/22/17
    7,000       7,708    
      15,343    
Banks-Mortgage — 0.0%  
Provident Funding Associates LP/PFG Finance Corp.
Senior Sec. Notes
10.25% due 04/15/17*
    10,000       9,725    
Banks-Super Regional — 0.3%  
Capital One Capital VI
Ltd. Guar. Notes
8.88% due 05/15/40
    5,000       5,034    
Capital One Financial Corp. FRS
Senior Notes
1.72% due 07/15/14
    5,000       4,951    
Capital One Financial Corp.
Senior Notes
2.15% due 03/23/15
    9,000       9,014    
Capital One Financial Corp.
Sub. Notes
6.15% due 09/01/16
    15,000       16,487    
Huntington Bancshares, Inc.
Sub. Notes
7.00% due 12/15/20
    6,000       6,770    
JPMorgan Chase Bank NA
Sub. Notes
5.88% due 06/13/16
    5,000       5,530    
PNC Preferred Funding Trust II FRS
Jr. Sub. Bonds
1.70% due 05/25/12*(1)
    11,000       8,451    
SunTrust Banks, Inc.
Senior Notes
3.60% due 04/15/16
    35,000       36,165    
SunTrust Banks, Inc.
Sub. Notes
6.00% due 02/15/26
    1,000       980    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Banks-Super Regional (continued)  
Wachovia Corp.
Senior Notes
5.75% due 02/01/18
  $ 42,000     $ 48,831    
Wells Fargo & Co.
Senior Notes
1.25% due 02/13/15
    45,000       44,816    
Wells Fargo & Co.
Senior Notes
2.63% due 12/15/16
    25,000       25,561    
Wells Fargo & Co. FRS
Jr. Sub. Bonds
7.98% due 03/15/18(1)
    5,000       5,444    
      218,034    
Beverages-Wine/Spirits — 0.0%  
Constellation Brands, Inc.
Company Guar. Notes
7.25% due 05/15/17
    15,000       16,987    
Brewery — 0.0%  
Anheuser-Busch InBev Worldwide, Inc.
Company Guar. Bonds
8.20% due 01/15/39
    15,000       22,754    
Broadcast Services/Program — 0.1%  
Liberty Media LLC
Senior Notes
8.25% due 02/01/30
    15,000       15,150    
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc.
Sec. Notes
8.88% due 04/15/17
    3,000       3,217    
Turner Broadcasting, Inc.
Company Guar. Notes
8.38% due 07/01/13
    30,000       32,637    
      51,004    
Building & Construction Products-Misc. — 0.0%  
Building Materials Corp. of America
Senior Notes
6.75% due 05/01/21*
    5,000       5,306    
Building Products-Wood — 0.0%  
Masco Corp.
Senior Notes
6.13% due 10/03/16
    15,000       15,856    
Masco Corp.
Bonds
6.50% due 08/15/32
    5,000       4,708    
      20,564    
Building-Residential/Commercial — 0.0%  
Standard Pacific Corp.
Company Guar. Notes
8.38% due 05/15/18
    5,000       5,319    
Cable/Satellite TV — 0.5%  
AT&T Broadband
Company Guar. Notes
8.38% due 03/15/13
    55,000       58,973    
CCO Holdings LLC/CCO Holdings Capital Corp.
Company Guar. Notes
6.50% due 04/30/21
    15,000       15,525    

 


16



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Cable/Satellite TV (continued)  
CCO Holdings LLC/CCO Holdings Capital Corp.
Company Guar. Notes
6.63% due 01/31/22
  $ 20,000     $ 20,750    
Comcast Corp.
Company Guar. Notes
5.65% due 06/15/35
    5,000       5,462    
COX Communications, Inc.
Senior Notes
5.45% due 12/15/14
    30,000       33,350    
COX Communications, Inc.
Senior Notes
8.38% due 03/01/39*
    10,000       14,080    
CSC Holdings LLC
Senior Notes
7.63% due 07/15/18
    30,000       33,450    
CSC Holdings LLC
Senior Notes
7.88% due 02/15/18
    5,000       5,587    
DIRECTV Holdings LLC/DIRECTV
Financing Co., Inc.
Company Guar. Notes
2.40% due 03/15/17*
    9,000       8,920    
DIRECTV Holdings LLC/DIRECTV
Financing Co., Inc.
Company Guar. Notes
3.50% due 03/01/16
    25,000       26,256    
DIRECTV Holdings LLC/DIRECTV
Financing Co., Inc.
Company Guar. Notes
3.80% due 03/15/22*
    50,000       49,314    
DIRECTV Holdings LLC/DIRECTV
Financing Co., Inc.
Company Guar. Notes
5.15% due 03/15/42*
    4,000       3,897    
DIRECTV Holdings LLC/DIRECTV
Financing Co., Inc.
Company Guar. Notes
5.20% due 03/15/20
    10,000       10,997    
DISH DBS Corp.
Company Guar. Notes
6.75% due 06/01/21
    6,000       6,465    
TCI Communications, Inc.
Senior Notes
7.13% due 02/15/28
    5,000       6,171    
Time Warner Cable, Inc.
Company Guar. Notes
5.85% due 05/01/17
    5,000       5,835    
Time Warner Cable, Inc.
Company Guar. Notes
5.88% due 11/15/40
    25,000       26,937    
      331,969    
Casino Hotels — 0.0%  
CityCenter Holdings LLC/CityCenter Finance Corp.
Sec. Notes
11.50% due 01/15/17(8)
    5,580       6,180    
Downstream Development Authority
of the Quapaw Tribe of Oklahoma
Senior Sec. Notes
10.50% due 07/01/19*
    5,000       5,156    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Casino Hotels (continued)  
Harrah's Operating Co., Inc.
Senior Sec. Notes
11.25% due 06/01/17
  $ 5,000     $ 5,450    
Station Casinos LLC
Company Guar. Notes
3.65% due 06/18/18*(2)
    5,000       3,437    
Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp.
1st. Mtg. Notes
7.75% due 08/15/20
    5,000       5,494    
      25,717    
Cellular Telecom — 0.1%  
Cellco Partnership/Verizon Wireless Capital LLC
Senior Notes
5.55% due 02/01/14
    55,000       59,484    
Cricket Communications, Inc.
Senior Sec. Notes
7.75% due 05/15/16
    20,000       21,100    
Nextel Communications, Inc.
Company Guar. Notes
7.38% due 08/01/15
    10,000       9,650    
Sprint Nextel Corp.
Company Guar. Notes
9.00% due 11/15/18*
    5,000       5,488    
      95,722    
Chemicals-Diversified — 0.1%  
Dow Chemical Co.
Senior Notes
4.25% due 11/15/20
    50,000       52,319    
Chemicals-Specialty — 0.1%  
Cytec Industries, Inc.
Senior Notes
4.60% due 07/01/13
    12,000       12,399    
Eastman Chemical Co.
Senior Notes
7.25% due 01/15/24
    11,000       13,294    
Lubrizol Corp.
Company Guar. Notes
6.50% due 10/01/34
    5,000       6,312    
      32,005    
Coal — 0.1%  
Consol Energy, Inc.
Company Guar. Notes
8.25% due 04/01/20
    5,000       5,225    
Patriot Coal Corp.
Company Guar. Notes
8.25% due 04/30/18
    9,000       6,862    
Peabody Energy Corp.
Company Guar. Notes
6.50% due 09/15/20
    25,000       25,000    
Peabody Energy Corp.
Company Guar. Notes
7.38% due 11/01/16
    10,000       10,975    
      48,062    

 


17



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Computer Services — 0.0%  
Affiliated Computer Services, Inc.
Senior Notes
5.20% due 06/01/15
  $ 6,000     $ 6,491    
Compucom Systems, Inc.
Senior Sub. Notes
12.50% due 10/01/15*
    5,000       5,250    
International Business Machines Corp.
Senior Notes
6.22% due 08/01/27
    10,000       12,740    
      24,481    
Computers — 0.0%  
Hewlett-Packard Co.
Senior Notes
2.60% due 09/15/17
    12,000       11,993    
Containers-Metal/Glass — 0.1%  
Ball Corp.
Company Guar. Notes
6.75% due 09/15/20
    15,000       16,425    
Ball Corp.
Company Guar. Notes
7.13% due 09/01/16
    5,000       5,450    
Crown Americas LLC/Crown Americas Capital Corp. II
Company Guar. Notes
7.63% due 05/15/17
    5,000       5,381    
Crown Americas LLC/Crown Americas Capital Corp. III
Company Guar. Notes
6.25% due 02/01/21
    5,000       5,375    
Owens-Brockway Glass Container, Inc.
Company Guar. Notes
7.38% due 05/15/16
    20,000       22,500    
      55,131    
Cosmetics & Toiletries — 0.0%  
Revlon Consumer Products Corp.
Sec. Notes
9.75% due 11/15/15
    5,000       5,375    
Data Processing/Management — 0.0%  
Audatex North America, Inc.
Company Guar. Notes
6.75% due 06/15/18*
    5,000       5,250    
Diversified Banking Institutions — 1.0%  
BAC Capital Trust XIII FRS
Ltd. Guar. Notes
4.00% due 05/10/12(1)
    27,000       19,252    
BAC Capital Trust XV FRS
Ltd. Guar. Notes
1.29% due 06/01/56
    5,000       3,506    
Bank of America Corp.
Senior Notes
3.88% due 03/22/17
    15,000       15,083    
Bank of America Corp.
Senior Notes
5.70% due 01/24/22
    5,000       5,293    
Bank of America Corp.
Senior Notes
5.75% due 12/01/17
    5,000       5,362    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Diversified Banking Institutions (continued)  
Bank of America Corp.
Senior Notes
5.88% due 01/05/21
  $ 15,000     $ 15,868    
Bank of America Corp.
Senior Notes
6.00% due 09/01/17
    75,000       81,687    
Bank of America Corp.
Senior Notes
7.38% due 05/15/14
    20,000       21,711    
Citigroup, Inc.
Senior Notes
4.45% due 01/10/17
    25,000       26,188    
Citigroup, Inc.
Sub. Notes
4.88% due 05/07/15
    6,000       6,221    
Citigroup, Inc.
Sub. Notes
6.13% due 08/25/36
    9,000       8,650    
Citigroup, Inc.
Senior Notes
6.50% due 08/19/13
    5,000       5,290    
Citigroup, Inc.
Notes
8.50% due 05/22/19
    70,000       86,301    
Goldman Sachs Group, Inc.
Senior Notes
3.70% due 08/01/15
    30,000       30,529    
Goldman Sachs Group, Inc.
Sub. Notes
5.63% due 01/15/17
    25,000       26,259    
Goldman Sachs Group, Inc.
Sub. Notes
5.95% due 01/15/27
    50,000       50,016    
Goldman Sachs Group, Inc.
Senior Notes
6.15% due 04/01/18
    14,000       15,101    
JPMorgan Chase & Co. FRS
Sub. Notes
1.53% due 09/01/15
    14,000       13,871    
JPMorgan Chase & Co.
Notes
1.88% due 03/20/15
    10,000       10,026    
JPMorgan Chase & Co.
Senior Notes
4.25% due 10/15/20
    10,000       10,239    
JPMorgan Chase & Co.
Senior Notes
4.35% due 08/15/21
    10,000       10,217    
JPMorgan Chase & Co.
Sub. Notes
5.13% due 09/15/14
    45,000       48,221    
JPMorgan Chase & Co.
Sub. Notes
6.13% due 06/27/17
    11,000       12,554    
JPMorgan Chase & Co. FRS
Jr. Sub Notes
7.90% due 04/30/18(1)
    5,000       5,478    
JPMorgan Chase Capital XXII
Ltd. Guar. Notes
6.45% due 01/15/87
    50,000       50,000    

 


18



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Diversified Banking Institutions (continued)  
JPMorgan Chase Capital XXIII FRS
Ltd. Guar. Bonds
1.50% due 05/15/77
  $ 3,000     $ 2,225    
Morgan Stanley
Senior Notes
5.55% due 04/27/17
    8,000       8,186    
Morgan Stanley
Senior Notes
5.75% due 01/25/21
    100,000       98,178    
NationsBank Corp.
Sub. Notes
7.25% due 10/15/25
    2,000       2,097    
NB Capital Trust IV
Ltd. Guar. Notes
8.25% due 04/15/27
    15,000       15,300    
      708,909    
Diversified Financial Services — 0.2%  
Associates Corp. of North America
Senior Notes
6.95% due 11/01/18
    10,000       11,319    
General Electric Capital Corp.
Sub. Notes
5.30% due 02/11/21
    35,000       37,906    
General Electric Capital Corp.
Senior Notes
5.63% due 05/01/18
    25,000       28,977    
General Electric Capital Corp.
Senior Notes
5.88% due 01/14/38
    18,000       19,786    
General Electric Capital Corp.
Senior Notes
6.75% due 03/15/32
    14,000       16,727    
      114,715    
Diversified Manufacturing Operations — 0.1%  
3M Co.
Senior Notes
1.38% due 09/29/16
    4,000       4,026    
General Electric Co.
Senior Notes
5.25% due 12/06/17
    6,000       6,939    
Harsco Corp.
Senior Notes
2.70% due 10/15/15
    13,000       13,309    
Textron, Inc.
Senior Notes
4.63% due 09/21/16
    13,000       13,725    
      37,999    
E-Commerce/Services — 0.0%  
NetFlix, Inc.
Company Guar. Notes
8.50% due 11/15/17
    5,000       5,450    
Electric-Distribution — 0.0%  
Oglethorpe Power Corp.
1st. Mtg. Notes
5.38% due 11/01/40
    6,000       6,742    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Electric-Generation — 0.1%  
AES Corp.
Senior Notes
8.00% due 10/15/17
  $ 10,000     $ 11,263    
AES Corp.
Senior Notes
8.00% due 06/01/20
    25,000       28,687    
Allegheny Energy Supply Co. LLC
Senior Notes
6.75% due 10/15/39*
    4,000       4,349    
      44,299    
Electric-Integrated — 0.3%  
Arizona Public Service Co.
Senior Notes
4.50% due 04/01/42
    4,000       3,920    
CenterPoint Energy Houston Electric LLC
General Refunding Mtg.
7.00% due 03/01/14
    15,000       16,643    
Cleco Power LLC
Senior Notes
6.00% due 12/01/40
    5,000       5,479    
CMS Energy Corp.
Senior Notes
2.75% due 05/15/14
    8,000       8,003    
Commonwealth Edison Co.
1st Mtg. Bonds
5.80% due 03/15/18
    25,000       29,880    
Dominion Resources, Inc.
Senior Notes
5.25% due 08/01/33
    12,000       13,348    
DPL, Inc.
Senior Notes
7.25% due 10/15/21*
    10,000       11,100    
Edison International
Senior Notes
3.75% due 09/15/17
    21,000       22,032    
Entergy Corp.
Senior Notes
3.63% due 09/15/15
    24,000       24,404    
Entergy Corp.
Senior Notes
4.70% due 01/15/17
    7,000       7,291    
Entergy Louisiana LLC
1st. Mtg. Notes
1.88% due 12/15/14
    6,000       6,106    
Exelon Corp.
Senior Notes
5.63% due 06/15/35
    5,000       5,395    
Georgia Power Co.
Senior Notes
3.00% due 04/15/16
    3,000       3,173    
Great Plains Energy, Inc.
Senior Notes
5.29% due 06/15/22(2)
    8,000       8,536    
John Sevier Combined Cycle Generation LLC
Sec. Notes
4.63% due 01/15/42
    4,000       4,122    
Mirant Mid Atlantic LLC
Pass Through Certs., Series B
9.13% due 06/30/17
    4,471       4,560    

 


19



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Electric-Integrated (continued)  
Pacific Gas & Electric Co.
Senior Notes
6.05% due 03/01/34
  $ 5,000     $ 6,078    
Progress Energy, Inc.
Senior Notes
7.00% due 10/30/31
    15,000       19,061    
Puget Sound Energy, Inc.
Senior Sec. Notes
4.43% due 11/15/41
    4,000       3,994    
SCANA Corp.
Senior Notes
4.13% due 02/01/22
    3,000       3,001    
Westar Energy, Inc.
1st. Mtg. Notes
4.13% due 03/01/42
    2,000       1,914    
      208,040    
Electronic Components-Misc. — 0.0%  
Jabil Circuit, Inc.
Senior Notes
5.63% due 12/15/20
    5,000       5,250    
Electronic Components-Semiconductors — 0.0%  
National Semiconductor Corp.
Senior Notes
6.60% due 06/15/17
    7,000       8,635    
Electronics-Military — 0.0%  
L-3 Communications Corp.
Company Guar. Notes
4.75% due 07/15/20
    12,000       12,391    
Engineering/R&D Services — 0.0%  
URS Corp.
Senior Notes
3.85% due 04/01/17*
    8,000       7,974    
Finance-Auto Loans — 0.1%  
Ford Motor Credit Co. LLC
Senior Notes
5.00% due 05/15/18
    10,000       10,359    
Ford Motor Credit Co. LLC
Senior Notes
5.88% due 08/02/21
    14,000       15,100    
General Motors Financial Co., Inc.
Company Guar. Notes
6.75% due 06/01/18
    5,000       5,340    
Hyundai Capital America
Company Guar. Notes
4.00% due 06/08/17*
    12,000       12,330    
      43,129    
Finance-Commercial — 0.0%  
Textron Financial Corp.
Senior Notes
5.40% due 04/28/13
    12,000       12,445    
Finance-Consumer Loans — 0.1%  
SLM Corp.
Senior Notes
5.63% due 08/01/33
    20,000       17,075    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Finance-Consumer Loans (continued)  
SLM Corp.
Notes
6.00% due 01/25/17
  $ 5,000     $ 5,150    
SLM Corp.
Senior Notes
6.25% due 01/25/16
    25,000       26,000    
SLM Corp.
Senior Notes
8.45% due 06/15/18
    5,000       5,575    
      53,800    
Finance-Credit Card — 0.0%  
Capital One Capital III Ltd.
Guar. Bonds
7.69% due 08/15/36
    3,000       3,019    
Finance-Investment Banker/Broker — 0.1%  
Bear Stearns Cos. LLC
Sub. Notes
5.55% due 01/22/17
    10,000       11,041    
Lazard Group LLC
Senior Notes
6.85% due 06/15/17
    60,000       65,963    
Lehman Brothers Holdings Capital Trust VII FRS
Ltd. Guar. Notes
5.86% due 05/31/12†(1)(9)
    6,000       1    
Lehman Brothers Holdings, Inc.
Senior Notes
5.50% due 04/04/16†(9)
    7,000       2,047    
Lehman Brothers Holdings, Inc.
Sub. Notes
6.75% due 12/28/17†(9)
    7,000       1    
Lehman Brothers Holdings, Inc.
Sub. Notes
7.50% due 05/11/38†(9)
    10,000       1    
Merrill Lynch & Co., Inc.
Sub. Notes
6.05% due 05/16/16
    9,000       9,476    
Merrill Lynch & Co., Inc.
Sub. Notes
7.75% due 05/14/38
    3,000       3,274    
Scottrade Financial Services, Inc.
Senior Notes
6.13% due 07/11/21*
    6,000       5,878    
      97,682    
Finance-Leasing Companies — 0.0%  
Boeing Capital Corp.
Senior Notes
2.13% due 08/15/16
    8,000       8,264    
Boeing Capital Corp.
Senior Notes
2.90% due 08/15/18
    4,000       4,192    
      12,456    
Finance-Other Services — 0.0%  
National Rural Utilities Cooperative Finance Corp.
Bonds
1.00% due 02/02/15
    4,000       4,005    
SquareTwo Financial Corp.
Sec. Notes
11.63% due 04/01/17
    5,000       4,950    
      8,955    

 


20



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Financial Guarantee Insurance — 0.0%  
Assured Guaranty Municipal Holdings, Inc. FRS
Company Guar. Notes
6.40% due 12/15/66*
  $ 25,000     $ 18,000    
Food-Meat Products — 0.0%  
Smithfield Foods, Inc.
Senior Sec. Notes
10.00% due 07/15/14
    10,000       11,700    
Food-Misc. — 0.1%  
Cargill, Inc.
Senior Notes
4.31% due 05/14/21*
    43,000       45,624    
Kraft Foods, Inc.
Senior Notes
6.88% due 01/26/39
    5,000       6,269    
      51,893    
Funeral Services & Related Items — 0.0%  
Carriage Services, Inc.
Company Guar. Notes
7.88% due 01/15/15
    5,000       5,038    
Gas-Distribution — 0.1%  
Boston Gas Co.
Senior Notes
4.49% due 02/15/42*
    4,000       4,016    
CenterPoint Energy, Inc.
Senior Notes
6.50% due 05/01/18
    25,000       29,413    
Southern Union Co.
Senior Notes
7.60% due 02/01/24
    6,000       7,131    
      40,560    
Gold Mining — 0.0%  
Newmont Mining Corp.
Company Guar. Notes
3.50% due 03/15/22
    4,000       3,854    
Home Furnishings — 0.0%  
Norcraft Cos. LP/Norcraft Finance Corp.
Sec. Notes
10.50% due 12/15/15
    5,000       4,388    
Independent Power Producers — 0.1%  
Calpine Corp.
Senior Sec. Notes
7.50% due 02/15/21
    15,000       16,012    
Calpine Corp.
Senior Sec. Notes
7.88% due 07/31/20*
    5,000       5,438    
GenOn Energy, Inc.
Senior Notes
9.50% due 10/15/18
    5,000       4,600    
NRG Energy, Inc.
Company Guar. Notes
7.38% due 01/15/17
    10,000       10,400    
NRG Energy, Inc.
Company Guar. Notes
8.25% due 09/01/20
    5,000       4,925    
      41,375    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Insurance-Life/Health — 0.1%  
Jefferson-Pilot Corp.
Senior Notes
4.75% due 01/30/14
  $ 5,000     $ 5,215    
Nationwide Financial Services, Inc.
Senior Notes
5.90% due 07/01/12
    7,000       7,058    
Prudential Financial, Inc.
Senior Notes
4.75% due 09/17/15
    9,000       9,769    
Symetra Financial Corp.
Senior Notes
6.13% due 04/01/16*
    20,000       20,355    
      42,397    
Insurance-Multi-line — 0.1%  
Hartford Financial Services Group, Inc.
Senior Notes
6.30% due 03/15/18
    11,000       12,100    
Hartford Financial Services Group, Inc. FRS
Jr. Sub. Debentures
8.13% due 06/15/68
    10,000       10,675    
Nationwide Mutual Insurance Co.
Sub. Notes
9.38% due 08/05/39*
    25,000       31,663    
      54,438    
Insurance-Mutual — 0.2%  
Liberty Mutual Group, Inc.
Senior Notes
5.75% due 03/15/14*
    5,000       5,270    
Liberty Mutual Insurance Co.
Company Guar. Notes
7.70% due 10/15/97*
    70,000       64,197    
Massachusetts Mutual Life Insurance Co.
Sub. Notes
8.88% due 06/01/39*
    25,000       35,477    
New York Life Global Funding
Sec. Notes
1.30% due 01/12/15*
    15,000       15,079    
New York Life Global Funding
Sec. Notes
1.65% due 05/15/17*
    11,000       10,908    
      130,931    
Insurance-Property/Casualty — 0.1%  
ACE Capital Trust II
Ltd. Guar.Notes
9.70% due 04/01/30
    45,000       61,191    
Insurance-Reinsurance — 0.0%  
Berkshire Hathaway, Inc.
Senior Notes
1.90% due 01/31/17
    8,000       8,092    
Machinery-Farming — 0.0%  
Case New Holland, Inc.
Company Guar. Notes
7.88% due 12/01/17
    20,000       23,250    
CNH America LLC
Company Guar. Notes
7.25% due 01/15/16
    5,000       5,487    
      28,737    

 


21



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Medical Instruments — 0.0%  
Medtronic, Inc.
Senior Notes
4.50% due 03/15/42
  $ 4,000     $ 4,064    
Medical Products — 0.0%  
Baxter International, Inc.
Senior Bonds
1.85% due 01/15/17
    3,000       3,038    
Becton Dickinson and Co.
Senior Notes
7.00% due 08/01/27
    7,000       8,836    
Fresenius U.S. Finance II
Company Guar. Notes
9.00% due 07/15/15*
    5,000       5,763    
      17,637    
Medical-Biomedical/Gene — 0.1%  
Amgen, Inc.
Senior Notes
3.88% due 11/15/21
    55,000       56,317    
Medical-Drugs — 0.0%  
Johnson & Johnson
Notes
5.55% due 08/15/17
    10,000       12,182    
Valeant Pharmaceuticals International
Company Guar. Notes
6.75% due 08/15/21*
    5,000       4,863    
      17,045    
Medical-HMO — 0.1%  
Cigna Corp.
Senior Notes
4.00% due 02/15/22
    35,000       35,621    
Cigna Corp.
Senior Notes
6.15% due 11/15/36
    2,000       2,225    
Coventry Health Care, Inc.
Senior Notes
5.45% due 06/15/21
    6,000       6,568    
UnitedHealth Group, Inc.
Senior Notes
2.88% due 03/15/22
    35,000       34,248    
      78,662    
Medical-Hospitals — 0.1%  
HCA, Inc.
Senior Sec. Notes
6.50% due 02/15/20
    15,000       15,750    
HCA, Inc.
Senior Sec. Notes
8.50% due 04/15/19
    31,000       34,449    
Tenet Healthcare Corp.
Senior Sec. Notes
6.25% due 11/01/18*
    10,000       10,325    
Tenet Healthcare Corp.
Senior Sec. Notes
8.88% due 07/01/19
    20,000       22,400    
      82,924    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
MRI/Medical Diagnostic Imaging — 0.0%  
Radnet Management, Inc.
Company Guar. Notes
10.38% due 04/01/18
  $ 5,000     $ 4,975    
Multimedia — 0.3%  
Historic TW, Inc.
Company Guar. Notes
6.63% due 05/15/29
    60,000       71,021    
News America Holdings, Inc.
Company Guar. Notes
8.45% due 08/01/34
    5,000       6,165    
News America, Inc.
Company Guar. Notes
6.20% due 12/15/34
    35,000       38,816    
News America, Inc.
Company Guar. Notes
6.55% due 03/15/33
    7,000       7,683    
Time Warner Entertainment Co. LP
Company Guar. Notes
8.38% due 03/15/23
    30,000       39,905    
Time Warner Entertainment Co. LP
Company Guar. Notes
8.38% due 07/15/33
    7,000       9,351    
Viacom, Inc.
Senior Notes
6.88% due 04/30/36
    35,000       43,993    
      216,934    
Music — 0.0%  
WMG Acquisition Corp.
Senior Sec. Notes
9.50% due 06/15/16
    5,000       5,450    
Non-Hazardous Waste Disposal — 0.0%  
Republic Services, Inc.
Company Guar. Notes
3.80% due 05/15/18
    9,000       9,664    
Republic Services, Inc.
Company Guar. Notes
6.20% due 03/01/40
    2,000       2,385    
      12,049    
Office Automation & Equipment — 0.1%  
Xerox Corp.
Senior Notes
4.25% due 02/15/15
    30,000       31,864    
Xerox Corp.
Senior Notes
8.25% due 05/15/14
    15,000       16,938    
      48,802    
Oil & Gas Drilling — 0.0%  
Nabors Industries, Inc.
Company Guar. Notes
9.25% due 01/15/19
    10,000       12,837    
Oil Companies-Exploration & Production — 0.2%  
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.
Company Guar. Notes
9.63% due 10/15/18
    5,000       5,038    

 


22



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Oil Companies-Exploration & Production (continued)  
Anadarko Petroleum Corp.
Senior Notes
6.20% due 03/15/40
  $ 15,000     $ 16,997    
Anadarko Petroleum Corp.
Senior Notes
6.45% due 09/15/36
    25,000       28,940    
Carrizo Oil & Gas, Inc.
Company Guar. Notes
8.63% due 10/15/18
    5,000       5,262    
Chesapeake Energy Corp.
Company Guar. Notes
6.63% due 08/15/20
    5,000       5,088    
Chesapeake Energy Corp.
Company Guar. Notes
6.88% due 08/15/18
    10,000       10,300    
Chesapeake Energy Corp.
Company Guar. Notes
6.88% due 11/15/20
    5,000       5,163    
EV Energy Partners LP/EV Energy Finance Corp.
Company Guar. Notes
8.00% due 04/15/19
    5,000       5,125    
Linn Energy LLC/Linn Energy Finance Corp.
Company Guar. Notes
6.25% due 11/01/19*
    5,000       4,850    
Newfield Exploration Co.
Senior Sub. Notes
7.13% due 05/15/18
    15,000       15,787    
Pioneer Natural Resources Co.
Company Guar. Notes
5.88% due 07/15/16
    5,000       5,547    
Pioneer Natural Resources Co.
Senior Notes
6.65% due 03/15/17
    5,000       5,716    
QEP Resources, Inc.
Senior Notes
6.88% due 03/01/21
    5,000       5,525    
Range Resources Corp.
Company Guar. Notes
5.75% due 06/01/21
    5,000       5,250    
Range Resources Corp.
Company Guar. Notes
6.75% due 08/01/20
    5,000       5,425    
Range Resources Corp.
Company Guar. Notes
7.50% due 10/01/17
    5,000       5,263    
Southwestern Energy Co.
Company Guar. Notes
4.10% due 03/15/22*
    8,000       7,930    
Union Pacific Resources Group, Inc.
Senior Notes
7.15% due 05/15/28
    14,000       15,892    
      159,098    
Oil Companies-Integrated — 0.0%  
Phillips 66
Company Guar. Notes
2.95% due 05/01/17*
    7,000       7,115    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Oil-Field Services — 0.0%  
Exterran Holdings, Inc.
Company Guar. Notes
7.25% due 12/01/18
  $ 5,000     $ 4,800    
Oil States International, Inc.
Company Guar. Notes
6.50% due 06/01/19
    5,000       5,250    
      10,050    
Paper & Related Products — 0.1%  
Clearwater Paper Corp.
Company Guar. Notes
7.13% due 11/01/18
    10,000       10,600    
Georgia-Pacific LLC
Company Guar. Notes
5.40% due 11/01/20*
    11,000       12,279    
Georgia-Pacific LLC
Company Guar. Notes
8.25% due 05/01/16*
    11,000       12,132    
International Paper Co.
Senior Notes
6.00% due 11/15/41
    4,000       4,342    
Longview Fibre Paper & Packaging, Inc.
Senior Sec. Notes
8.00% due 06/01/16*
    8,000       8,150    
MeadWestvaco Corp.
Senior Notes
7.38% due 09/01/19
    15,000       17,467    
      64,970    
Pharmacy Services — 0.1%  
Aristotle Holding, Inc.
Company Guar. Notes
2.10% due 02/12/15*
    56,000       56,690    
Aristotle Holding, Inc.
Company Guar. Notes
2.75% due 11/21/14*
    13,000       13,357    
Aristotle Holding, Inc.
Company Guar. Notes
4.75% due 11/15/21*
    8,000       8,562    
Aristotle Holding, Inc.
Company Guar. Notes
6.13% due 11/15/41*
    5,000       5,578    
Express Scripts Holding Co.
Company Guar. Notes
3.13% due 05/15/16
    10,000       10,413    
      94,600    
Pipelines — 0.2%  
Copano Energy LLC/Copano Energy Finance Corp.
Company Guar. Notes
7.75% due 06/01/18
    5,000       5,238    
El Paso Corp.
Senior Notes
7.00% due 06/15/17
    20,000       22,271    
El Paso Pipeline Partners Operating Co. LLC
Company Guar. Notes
6.50% due 04/01/20
    8,000       8,940    
Energy Transfer Equity LP
Senior Sec. Notes
7.50% due 10/15/20
    18,000       19,980    

 


23



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Pipelines (continued)  
Energy Transfer Partners LP
Senior Notes
6.50% due 02/01/42
  $ 4,000     $ 4,215    
Genesis Energy LP/Genesis Energy Finance Corp.
Company Guar. Notes
7.88% due 12/15/18
    5,000       5,100    
Kinder Morgan Finance Co. LLC
Senior Sec. Notes
6.00% due 01/15/18*
    10,000       10,612    
MarkWest Energy Partners LP/
MarkWest Energy Finance Corp.
Company Guar. Notes
6.50% due 08/15/21
    5,000       5,312    
NGPL PipeCo LLC
Senior Notes
6.51% due 12/15/12*
    30,000       28,950    
Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
3.65% due 06/01/22
    7,000       6,872    
Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
5.15% due 06/01/42
    4,000       3,908    
      121,398    
Printing-Commercial — 0.0%  
Deluxe Corp.
Senior Notes
7.38% due 06/01/15
    15,000       15,413    
Real Estate Investment Trusts — 0.5%  
BioMed Realty LP
Company Guar. Notes
3.85% due 04/15/16
    5,000       5,165    
Brandywine Operating Partnership LP
Company Guar. Notes
4.95% due 04/15/18
    5,000       5,098    
Brandywine Operating Partnership LP
Company Guar. Notes
5.70% due 05/01/17
    11,000       11,653    
Brandywine Operating Partnership LP
Company Guar. Notes
5.75% due 04/01/12
    15,000       15,000    
Brandywine Operating Partnership LP
Company Guar. Notes
7.50% due 05/15/15
    25,000       27,803    
Duke Realty LP
Senior Notes
6.75% due 03/15/20
    15,000       17,542    
DuPont Fabros Technology LP
Company Guar. Notes
8.50% due 12/15/17
    10,000       11,000    
HCP, Inc.
Senior Notes
3.75% due 02/01/16
    25,000       25,780    
HCP, Inc.
Senior Notes
6.00% due 01/30/17
    35,000       38,896    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Real Estate Investment Trusts (continued)  
Health Care REIT, Inc.
Senior Notes
5.25% due 01/15/22
  $ 41,000     $ 42,886    
Host Hotels & Resorts LP
Company Guar. Notes
6.00% due 11/01/20
    10,000       10,600    
Host Hotels & Resorts LP
Company Guar. Notes
6.38% due 03/15/15
    10,000       10,175    
Host Hotels & Resorts LP
Company Guar. Notes
6.75% due 06/01/16
    10,000       10,300    
Kilroy Realty LP
Company Guar. Notes
4.80% due 07/15/18
    3,000       3,117    
Kimco Realty Corp.
Senior Notes
5.58% due 11/23/15
    35,000       37,650    
Sabra Health Care LP/Sabra Capital Corp.
Company Guar. Notes
8.13% due 11/01/18
    5,000       5,300    
United Dominion Realty Trust, Inc.
Senior Notes
6.05% due 06/01/13
    50,000       52,260    
Ventas Realty LP/Ventas Capital Corp.
Company Guar. Notes
4.75% due 06/01/21
    43,000       43,385    
      373,610    
Real Estate Management/Services — 0.1%  
AMB Property LP
Company Guar. Notes
6.13% due 12/01/16
    40,000       43,984    
Real Estate Operations & Development — 0.1%  
First Industrial LP
Senior Notes
5.75% due 01/15/16
    5,000       4,971    
Regency Centers LP
Company Guar. Notes
4.95% due 04/15/14
    30,000       31,368    
      36,339    
Recycling — 0.0%  
Aleris International, Inc.
Escrow Notes
9.00% due 12/15/14†(3)(4)
    10,000       1    
Rental Auto/Equipment — 0.1%  
ERAC USA Finance LLC
Company Guar. Notes
2.75% due 07/01/13*
    15,000       15,182    
ERAC USA Finance LLC
Company Guar. Notes
7.00% due 10/15/37*
    10,000       11,408    
RSC Equipment Rental, Inc./RSC Holdings III LLC
Senior Notes
8.25% due 02/01/21
    5,000       5,325    
      31,915    

 


24



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Retail-Apparel/Shoe — 0.0%  
Limited Brands, Inc.
Senior Notes
6.90% due 07/15/17
  $ 15,000     $ 16,687    
Phillips-Van Heusen Corp.
Senior Notes
7.38% due 05/15/20
    5,000       5,513    
      22,200    
Retail-Auto Parts — 0.1%  
AutoZone, Inc.
Senior Notes
4.00% due 11/15/20
    50,000       51,851    
Retail-Automobile — 0.0%  
AutoNation, Inc.
Company Guar. Notes
5.50% due 02/01/20
    6,000       6,090    
Retail-Discount — 0.0%  
HSN, Inc.
Company Guar. Notes
11.25% due 08/01/16
    5,000       5,425    
Wal-Mart Stores, Inc.
Senior Notes
5.25% due 09/01/35
    4,000       4,549    
      9,974    
Retail-Drug Store — 0.1%  
CVS Caremark Corp.
Senior Notes
3.25% due 05/18/15
    14,000       14,839    
CVS Caremark Corp.
Senior Notes
6.25% due 06/01/27
    7,000       8,362    
CVS Caremark Corp.
Pass Through Certs.
6.94% due 01/10/30
    31,747       36,533    
CVS Pass-Through Trust
Pass Through Certs.
5.77% due 01/31/33*
    4,864       5,160    
CVS Pass-Through Trust
Pass Through Certs.
5.93% due 01/10/34*
    8,967       9,577    
      74,471    
Retail-Mail Order — 0.0%  
QVC, Inc.
Senior Sec. Notes
7.50% due 10/01/19*
    15,000       16,462    
Retail-Office Supplies — 0.0%  
Office Depot, Inc.
Senior Sec. Notes
9.75% due 03/15/19*
    5,000       5,156    
Retail-Propane Distribution — 0.0%  
AmeriGas Partners LP/AmeriGas Finance Corp.
Senior Notes
6.50% due 05/20/21
    5,000       5,075    
Ferrellgas LP/Ferrellgas Finance Corp.
Senior Notes
6.50% due 05/01/21
    10,000       9,025    
      14,100    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Retail-Regional Department Stores — 0.0%  
Federated Retail Holdings, Inc.
Company Guar. Notes
5.90% due 12/01/16
  $ 10,000     $ 11,476    
Macy's Retail Holdings, Inc.
Company Guar. Notes
6.90% due 04/01/29
    5,000       5,831    
      17,307    
Retail-Restaurants — 0.0%  
Dave & Buster's, Inc.
Company Guar. Notes
11.00% due 06/01/18
    5,000       5,350    
McDonald's Corp.
Senior Notes
3.70% due 02/15/42
    8,000       7,396    
      12,746    
Retail-Toy Stores — 0.0%  
Toys R Us Property Co. II LLC
Senior Sec. Notes
8.50% due 12/01/17
    5,000       5,219    
Satellite Telecom — 0.0%  
Hughes Satellite Systems Corp.
Senior Sec. Notes
6.50% due 06/15/19
    5,000       5,225    
Savings & Loans/Thrifts — 0.0%  
First Niagara Financial Group
Sub. Notes
7.25% due 12/15/21
    12,000       12,845    
Schools — 0.0%  
Northwestern University
Bonds
4.20% due 12/01/47
    5,000       5,068    
University of Pennsylvania
Senior Notes
4.67% due 09/01/2112
    12,000       11,812    
      16,880    
Seismic Data Collection — 0.0%  
Geokinetics Holdings USA, Inc.
Senior Sec. Notes
9.75% due 12/15/14
    5,000       3,763    
Shipbuilding — 0.0%  
Huntington Ingalls Industries, Inc.
Company Guar. Notes
7.13% due 03/15/21
    10,000       10,713    
Special Purpose Entities — 0.0%  
FUEL Trust
Sec. Notes
3.98% due 06/15/16*
    8,000       8,116    
FUEL Trust
Sec. Notes
4.21% due 04/15/16*
    7,000       7,184    
Murray Street Investment Trust I VRS
Company Guar. Notes
4.65% due 03/09/17
    9,000       9,007    
      24,307    

 


25



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Steel-Producers — 0.0%  
Ryerson, Inc.
Senior Sec. Notes
12.00% due 11/01/15
  $ 5,000     $ 5,125    
Steel Dynamics, Inc.
Company Guar. Notes
7.75% due 04/15/16
    5,000       5,188    
      10,313    
Storage/Warehousing — 0.0%  
Mobile Mini, Inc.
Company Guar. Notes
7.88% due 12/01/20
    5,000       5,325    
Telecom Equipment-Fiber Optics — 0.0%  
Corning, Inc.
Senior Notes
4.70% due 03/15/37
    2,000       1,931    
Telecom Services — 0.2%  
BellSouth Telecommunications, Inc.
Senior Notes
6.38% due 06/01/28
    8,000       9,072    
Qwest Corp.
Senior Notes
7.50% due 10/01/14
    10,000       11,149    
SBA Tower Trust
Sec. Notes
4.25% due 04/15/40*
    35,000       36,493    
Verizon Global Funding Corp.
Senior Notes
7.75% due 12/01/30
    50,000       67,717    
      124,431    
Telecommunication Equipment — 0.0%  
Harris Corp.
Senior Notes
4.40% due 12/15/20
    5,000       5,195    
Telephone-Integrated — 0.3%  
AT&T, Inc.
Senior Notes
0.88% due 02/13/15
    15,000       14,911    
AT&T, Inc.
Senior Notes
3.00% due 02/15/22
    8,000       7,840    
AT&T, Inc.
Senior Notes
5.50% due 02/01/18
    20,000       23,563    
AT&T, Inc.
Senior Notes
6.30% due 01/15/38
    24,000       28,207    
BellSouth Corp.
Senior Notes
6.55% due 06/15/34
    4,000       4,566    
Century Telephone Enterprise
Senior Notes
6.88% due 01/15/28
    5,000       4,672    
Centurylink, Inc.
Senior Notes
5.15% due 06/15/17
    5,000       5,155    

 

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
Telephone-Integrated (continued)  
CenturyLink, Inc.
Senior Notes
5.80% due 03/15/22
  $ 25,000     $ 24,413    
CenturyLink, Inc.
Senior Notes
7.60% due 09/15/39
    10,000       9,459    
CenturyLink, Inc.
Senior Notes
7.65% due 03/15/42
    10,000       9,396    
Citizens Communications Co.
Senior Notes
9.00% due 08/15/31
    5,000       4,850    
Frontier Communications Corp.
Senior Notes
8.13% due 10/01/18
    10,000       10,575    
Frontier Communications Corp.
Senior Notes
8.25% due 04/15/17
    10,000       10,750    
Qwest Communications International, Inc.
Company Guar. Notes
7.13% due 04/01/18
    5,000       5,338    
Qwest Communications International, Inc.
Company Guar. Notes
8.00% due 10/01/15
    10,000       10,675    
SBC Communications
Senior Notes
6.45% due 06/15/34
    5,000       5,895    
Verizon Communications, Inc.
Senior Notes
6.40% due 02/15/38
    3,000       3,634    
Windstream Corp.
Company Guar. Notes
7.50% due 06/01/22
    5,000       5,225    
Windstream Corp.
Company Guar. Notes
7.88% due 11/01/17
    25,000       27,563    
      216,687    
Television — 0.1%  
CBS Corp.
Company Guar. Notes
3.38% due 03/01/22
    4,000       3,861    
CBS Corp.
Company Guar. Notes
8.20% due 05/15/14
    55,000       62,740    
      66,601    
Tobacco — 0.1%  
Altria Group, Inc.
Company Guar. Notes
9.25% due 08/06/19
    10,000       13,447    
Altria Group, Inc.
Company Guar. Notes
9.70% due 11/10/18
    45,000       61,147    
Lorillard Tobacco Co.
Company Guar. Notes
8.13% due 06/23/19
    16,000       19,866    
      94,460    

 


26



Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2012 (continued)

Security Description   Principal
Amount(13)
  Value
(Note 3)
 
U.S. CORPORATE BONDS & NOTES (continued)  
Transport-Rail — 0.0%  
Burlington Northern Santa Fe LLC
Senior Notes
4.40% due 03/15/42
  $ 11,000     $ 10,399    
Norfolk Southern Corp.
Senior Notes
6.00% due 05/23/11
    9,000       10,063