Form NPORT-P SUNAMERICA SERIES TRUST For: Mar 31

  
    NPORT-P
    false
    
      
      
        
          0000892538
          XXXXXXXX
        
      
      
      
      
        S000072727
        C000229208
        C000229210
        C000229209
      
      
      
    
  
  
    
      SUNAMERICA SERIES TRUST
      811-07238
      0000892538
      549300YDIAXUNCUXFM44
      21650 Oxnard Street, 10th Floor
      Woodland Hills
      
      91367
      800-445-7862
      SA Wellington Capital Appreciation Portfolio
      S000072727
      549300LRZCUIEMQ1V304
      2022-12-31
      2022-03-31
      N
    
    
      1963847354.03
      1510420.15
      1962336933.88
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      2918.21000000
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Albemarle Corp
        HDBLS2Q6GV1LSKQPBS54
        
        012653101
        
          
        
        102261.00000000
        NS
        USD
        22615020.15000000
        1.152453473180
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        salesforce.com Inc
        RCGZFPDMRW58VJ54VR07
        
        79466L302
        
          
        
        96812.00000000
        NS
        USD
        20555123.84000000
        1.047481881684
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Twitter Inc
        549300I8RX485XMK6836
        
        90184L102
        
          
        
        336642.00000000
        NS
        USD
        13024678.98000000
        0.663733060063
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chipotle Mexican Grill Inc
        N/A
        
        169656105
        
          
        
        1372.00000000
        NS
        USD
        2170545.16000000
        0.110610217976
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Okta Inc
        549300N8J06I8MRHU620
        
        679295105
        
          
        
        136207.00000000
        NS
        USD
        20561808.72000000
        1.047822540818
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Exact Sciences Corp
        549300VM3X1FYD4N9Z14
        
        30063P105
        
          
        
        424548.00000000
        NS
        USD
        29684396.16000000
        1.512706388362
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Uber Technologies Inc
        549300B2FTG34FILDR98
        
        90353T100
        
          
        
        576230.00000000
        NS
        USD
        20559886.40000000
        1.047724580067
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Spotify Technology SA
        549300B4X0JHWV0DTD60
        
        000000000
        
          
        
        242239.00000000
        NS
        USD
        36582933.78000000
        1.864253439273
        Long
        EC
        CORP
        LU
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Paycom Software Inc
        254900LSB0HNJUDC6Q18
        
        70432V102
        
          
        
        102062.00000000
        NS
        USD
        35352235.56000000
        1.801537490817
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ZoomInfo Technologies Inc
        N/A
        
        98980F104
        
          
        
        356346.00000000
        NS
        USD
        21288110.04000000
        1.084834600646
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Advanced Micro Devices Inc
        R2I72C950HOYXII45366
        
        007903107
        
          
        
        602849.00000000
        NS
        USD
        65915509.66000000
        3.359031189902
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Alphabet Inc
        5493006MHB84DD0ZWV18
        
        02079K305
        
          
        
        59357.00000000
        NS
        USD
        165092591.95000000
        8.413060422991
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ascendis Pharma A/S
        549300B66JN3W3J8GH73
        
        04351P101
        
          
        
        59573.00000000
        NS
        USD
        6991487.28000000
        0.356283732894
        Long
        EC
        CORP
        DK
        N
        
        1
        
          N
          N
          N
        
      
      
        Lennar Corp
        529900G61XVRLX5TJX09
        
        526057104
        
          
        
        254957.00000000
        NS
        USD
        20694859.69000000
        1.054602771455
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Block Inc
        549300OHIIUWSTIZME52
        
        852234103
        
          
        
        327522.00000000
        NS
        USD
        44411983.20000000
        2.263219044253
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Inspire Medical Systems Inc
        549300XQQCQ7HCJKTW25
        
        457730109
        
          
        
        121443.00000000
        NS
        USD
        31173203.67000000
        1.588575495461
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Workday Inc
        549300J0DYC0N31V7G13
        
        98138H101
        
          
        
        223392.00000000
        NS
        USD
        53493448.32000000
        2.726007312833
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Veeva Systems Inc
        549300YZEXPDB92M2F02
        
        922475108
        
          
        
        178897.00000000
        NS
        USD
        38008456.62000000
        1.936897581846
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        8135000.00000000
        PA
        USD
        8135000.00000000
        0.414556738934
        Long
        RA
        CORP
        US
        
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.30000000
          2022-04-01
          
            
              7641420.60700000
              USD
              8276448.79300000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        NVIDIA Corp
        549300S4KLFTLO7GSQ80
        
        67066G104
        
          
        
        215551.00000000
        NS
        USD
        58815245.86000000
        2.997204243804
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Johnson Controls International plc
        549300XQ6S1GYKGBL205
        
        000000000
        
          
        
        491756.00000000
        NS
        USD
        32244440.92000000
        1.643165368968
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Illumina Inc
        SQ95QG8SR5Q56LSNF682
        
        452327109
        
          
        
        120819.00000000
        NS
        USD
        42214158.60000000
        2.151218675609
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Walt Disney Co/The
        549300GZKULIZ0WOW665
        
        254687106
        
          
        
        201626.00000000
        NS
        USD
        27655022.16000000
        1.409290203049
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Universal Display Corp
        N/A
        
        91347P105
        
          
        
        95750.00000000
        NS
        USD
        15985462.50000000
        0.814613546940
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MongoDB Inc
        549300TPTG69WKWE1Z37
        
        60937P106
        
          
        
        60041.00000000
        NS
        USD
        26633587.19000000
        1.357238236215
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Airbnb Inc
        549300HMUDNO0RY56D37
        
        009066101
        
          
        
        352966.00000000
        NS
        USD
        60625440.16000000
        3.089451108690
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        RingCentral Inc
        549300C8EH0H1614VE84
        
        76680R206
        
          
        
        187156.00000000
        NS
        USD
        21936554.76000000
        1.117879115521
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Etsy Inc
        54930089Q7XT501AEA40
        
        29786A106
        
          
        
        160292.00000000
        NS
        USD
        19921089.76000000
        1.015171727956
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CoStar Group Inc
        N/A
        
        22160N109
        
          
        
        340194.00000000
        NS
        USD
        22660322.34000000
        1.154762056850
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Reata Pharmaceuticals Inc
        5299005F094GH9QDDD80
        
        75615P103
        
          
        
        34940.00000000
        NS
        USD
        1144634.40000000
        0.058330166458
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intuitive Surgical Inc
        54930052SRG011710797
        
        46120E602
        
          
        
        32920.00000000
        NS
        USD
        9931305.60000000
        0.506095840552
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mastercard Inc
        AR5L2ODV9HN37376R084
        
        57636Q104
        
          
        
        210929.00000000
        NS
        USD
        75381806.02000000
        3.841430323127
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Deutsche Bank Securities, Inc.
        9J6MBOOO7BECTDTUZW19
        
        000000000
        
          
        
        10540000.00000000
        PA
        USD
        10540000.00000000
        0.537114693100
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.26000000
          2022-04-01
          
            
              10571477.27000000
              USD
              10729857.76000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        SolarEdge Technologies Inc
        5493000K6Y58XXPDF853
        
        83417M104
        
          
        
        52363.00000000
        NS
        USD
        16880260.31000000
        0.860212128639
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Snap Inc
        549300JNC0L6VP8A2Q35
        
        83304A106
        
          
        
        1069017.00000000
        NS
        USD
        38473921.83000000
        1.960617525244
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tesla Inc
        54930043XZGB27CTOV49
        
        88160R101
        
          
        
        6749.00000000
        NS
        USD
        7272722.40000000
        0.370615375700
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Arista Networks Inc
        635400H1WKBLOQERUU95
        
        040413106
        
          
        
        423756.00000000
        NS
        USD
        58893608.88000000
        3.001197595743
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MAGIC LEAP CL A COMMON
        N/A
        
        000000000
        
          
        
        186.00000000
        NS
        USD
        2232.18000000
        0.000113751107
        Long
        EC
        CORP
        US
        Y
        
        3
        
          N
          N
          N
        
      
      
        Match Group Inc
        15OMOPB0A8K0EFUVD031
        
        57667L107
        
          
        
        341869.00000000
        NS
        USD
        37174835.06000000
        1.894416520332
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AvalonBay Communities Inc
        K9G90K85RBWD2LAGQX17
        
        053484101
        
          
        
        77985.00000000
        NS
        USD
        19369134.45000000
        0.987044279480
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Middleby Corp/The
        JDFO86U9VQRBKW5KYA35
        
        596278101
        
          
        
        127039.00000000
        NS
        USD
        20826773.66000000
        1.061325060973
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dexcom Inc
        549300YSK3QDSFR5EU59
        
        252131107
        
          
        
        60315.00000000
        NS
        USD
        30857154.00000000
        1.572469715432
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Meta Platforms Inc
        BQ4BKCS1HXDV9HN80Z93
        
        30303M102
        
          
        
        141331.00000000
        NS
        USD
        31426361.16000000
        1.601476312116
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Lululemon Athletica Inc
        549300D9GZ4BMLDW5T40
        
        550021109
        
          
        
        124778.00000000
        NS
        USD
        45572668.94000000
        2.322367181353
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        
        000000000
        
          
        
        7050000.00000000
        PA
        USD
        7050000.00000000
        0.359265520527
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.29000000
          2022-04-01
          
            
              7658670.79600000
              USD
              7169413.99800000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF SCOTLAND REPO ROYAL BANK OF SCOTLAND REPO
        549300WHU4EIHRP28H10
        
        000000000
        
          
        
        10525000.00000000
        PA
        USD
        10525000.00000000
        0.536350298375
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.28000000
          2022-04-01
          
            
              10724711.25000000
              USD
              10744981.61000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        Palo Alto Networks Inc
        549300QXR2YVZV231H43
        
        697435105
        
          
        
        66584.00000000
        NS
        USD
        41449205.84000000
        2.112236951991
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MKS Instruments Inc
        549300KEQATBHAGVF505
        
        55306N104
        
          
        
        134908.00000000
        NS
        USD
        20236200.00000000
        1.031229634963
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ABIOMED Inc
        5493001EZN4ZTB4Z5887
        
        003654100
        
          
        
        72761.00000000
        NS
        USD
        24101353.64000000
        1.228196505089
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DocuSign Inc
        549300Q7PVDWRZ39JG09
        
        256163106
        
          
        
        192652.00000000
        NS
        USD
        20636882.24000000
        1.051648260994
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        
        000000000
        
          
        
        10090000.00000000
        PA
        USD
        10090000.00000000
        0.514182851364
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.27000000
          2022-04-01
          
            
              10256167.81000000
              USD
              10284912.66000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        Ulta Beauty Inc
        529900CIV6HN8M28YM82
        
        90384S303
        
          
        
        120979.00000000
        NS
        USD
        48176257.38000000
        2.455045132577
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ironSource Ltd
        254900BWEN02WCAXQV35
        
        000000000
        
          
        
        1974651.00000000
        NS
        USD
        9478324.80000000
        0.483012098297
        Long
        EC
        CORP
        IL
        N
        
        1
        
          N
          N
          N
        
      
      
        Nanigans Inc
        N/A
        
        000000000
        
          
        
        126818.00000000
        NS
        USD
        0.00000000
        0.000000
        Long
        EP
        CORP
        US
        Y
        
        3
        
          N
          N
          N
        
      
      
        Peloton Interactive Inc
        5493002YS021166W0339
        
        70614W100
        
          
        
        730463.00000000
        NS
        USD
        19298832.46000000
        0.983461714795
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Copart Inc
        549300KVYX3JWMYEHU61
        
        217204106
        
          
        
        166011.00000000
        NS
        USD
        20829400.17000000
        1.061458906998
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Electronic Arts Inc
        549300O7A67PUEYKDL45
        
        285512109
        
          
        
        167210.00000000
        NS
        USD
        21153737.10000000
        1.077987002883
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Danaher Corp
        S4BKK9OTCEWQ3YHPFM11
        
        235851102
        
          
        
        85748.00000000
        NS
        USD
        25152460.84000000
        1.281760558329
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Roku Inc
        549300KR6ITU0YIR1T71
        
        77543R102
        
          
        
        174072.00000000
        NS
        USD
        21805999.44000000
        1.111226062329
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Five9 Inc
        254900MXP6EWY0SFFR59
        
        338307101
        
          
        
        189755.00000000
        NS
        USD
        20948952.00000000
        1.067551226209
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Thor Industries Inc
        254900XZO1228PDSG060
        
        885160101
        
          
        
        215742.00000000
        NS
        USD
        16978895.40000000
        0.865238538135
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        iShares Russell 1000 Growth ETF
        549300H1KWQVEKI25E14
        
        464287614
        
          
        
        87087.00000000
        NS
        USD
        24177963.81000000
        1.232100532409
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DraftKings Inc
        5493008P45UYYL683Z97
        
        26142R104
        
          
        
        1057811.00000000
        NS
        USD
        20595580.17000000
        1.049543522033
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        
        023135106
        
          
        
        50400.00000000
        NS
        USD
        164301480.00000000
        8.372745636252
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UiPath Inc
        5493000YP61KBELDHT53
        
        90364P105
        
          
        
        766140.00000000
        NS
        USD
        16540962.60000000
        0.842921636667
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        NANIGANS WARRANT 6.18.28
        N/A
        
        000000000
        
          
        
        299087.00000000
        NS
        USD
        0.00000000
        0.000000
        N/A
        DE
        
        US
        Y
        
        3
        
          
            
              N/A
              N/A
            
            Call
            Purchased
            
              
                NANIGANS INC PP
                NANIGANS INC PP
                
                  
                
              
            
            1.00000000
            1.00000000
            USD
            2028-06-18
            XXXX
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        Fair Isaac Corp
        RI6HET5SJUEY30V1PS26
        
        303250104
        
          
        
        23107.00000000
        NS
        USD
        10778491.22000000
        0.549268121794
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-28
      SUNAMERICA SERIES TRUST
      Shawn Parry
      Shawn Parry
      Assistant Treasurer
    
  
  XXXX

SunAmerica Series Trust SA Wellington Capital Appreciation Portfolio

PORTFOLIO OF INVESTMENTS - March 31, 2022 - (unaudited)

 

Security Description		Shares/ Principal Amount				Value (Note 1)
COMMON STOCKS - 94.9%
Applications Software - 1.5%
Five9, Inc.†			189,755			$	20,948,952
IronSource, Ltd., Class A†			1,974,651				9,478,325
Magic Leap, Inc., Class A†(1)(2)			186				2,232
							30,429,509
Athletic Equipment - 1.0%
Peloton Interactive, Inc., Class A†			730,463				19,298,832
Auto-Cars/Light Trucks - 0.4%
Tesla, Inc.†			6,749				7,272,722
Building Products-Air & Heating - 1.6%
Johnson Controls International PLC			491,756				32,244,441
Building-Mobile Home/Manufactured Housing - 0.9%
Thor Industries, Inc.			215,742				16,978,895
Building-Residential/Commercial - 1.0%
Lennar Corp., Class A			254,957				20,694,860
Chemicals-Specialty - 1.1%
Albemarle Corp.			102,261				22,615,020
Commercial Services - 1.1%
CoStar Group, Inc.†			340,194				22,660,322
Commercial Services-Finance - 2.2%
Block, Inc., Class A†			327,522				44,411,983
Communications Software - 1.1%
RingCentral, Inc., Class A†			187,156				21,936,555
Computer Software - 2.4%
MongoDB, Inc.†			60,041				26,633,587
ZoomInfo Technologies, Inc.†			356,346				21,288,110
							47,921,697
Data Processing/Management - 1.5%
DocuSign, Inc.†			192,652				20,636,882
Fair Isaac Corp.†			20,433				9,531,177
							30,168,059
Diagnostic Equipment - 1.3%
Danaher Corp.			85,748				25,152,461
Diagnostic Kits - 1.5%
Exact Sciences Corp.†			424,548				29,684,396
Distribution/Wholesale - 1.0%
Copart, Inc.†			166,011				20,829,400
Drug Delivery Systems - 1.6%
DexCom, Inc.†			60,315				30,857,154
E-Commerce/Products - 9.2%
Amazon.com, Inc.†			50,400				164,301,480
Etsy, Inc.†			160,292				19,921,090
							184,222,570
E-Commerce/Services - 5.9%
Airbnb, Inc., Class A†			352,966				60,625,440
Match Group, Inc.†			341,869				37,174,835
Uber Technologies, Inc.†			576,230				20,559,887
							118,360,162
Electronic Components-Semiconductors - 6.3%
Advanced Micro Devices, Inc.†			602,849				65,915,510
NVIDIA Corp.			215,551				58,815,246
							124,730,756
Energy-Alternate Sources - 0.9%
SolarEdge Technologies, Inc.†			52,363				16,880,260
Enterprise Software/Service - 8.2%
Paycom Software, Inc.†			102,062				35,352,235
salesforce.com, Inc.†			96,812				20,555,124
UiPath, Inc., Class A†			766,140				16,540,963
Veeva Systems, Inc., Class A†			178,897				38,008,457
Workday, Inc., Class A†			223,392				53,493,448
							163,950,227
Entertainment Software - 1.1%
Electronic Arts, Inc.			167,210				21,153,737
Finance-Credit Card - 3.8%
Mastercard, Inc., Class A			210,929				75,381,806
Internet Application Software - 1.0%
Okta, Inc.†			136,207				20,561,809
Internet Content-Entertainment - 7.1%
Meta Platforms, Inc., Class A†			141,331				31,426,361
Roku, Inc.†			174,072				21,805,999
Snap, Inc., Class A†			1,069,017				38,473,922
Spotify Technology SA†			242,239				36,582,934
Twitter, Inc.†			336,642				13,024,679
							141,313,895
Internet Gambling - 1.0%
DraftKings, Inc., Class A†			1,057,811				20,595,580
Internet Security - 2.1%
Palo Alto Networks, Inc.†			66,584				41,449,206
Lighting Products & Systems - 0.8%
Universal Display Corp.			95,750				15,985,463
Machinery-General Industrial - 1.0%
Middleby Corp.†			127,039				20,826,774
Medical Instruments - 0.5%
Intuitive Surgical, Inc.†			32,920				9,931,306
Medical Products - 2.8%
ABIOMED, Inc.†			72,761				24,101,353
Inspire Medical Systems, Inc.†			121,443				31,173,204
							55,274,557
Medical-Biomedical/Gene - 2.1%
Illumina, Inc.†			120,819				42,214,159
Medical-Drugs - 0.4%
Ascendis Pharma A/S ADR†			59,573				6,991,487
Reata Pharmaceuticals, Inc., Class A†			34,940				1,144,635
							8,136,122
Multimedia - 1.4%
Walt Disney Co.†			201,626				27,655,022
Networking Products - 3.0%
Arista Networks, Inc.†			423,756				58,893,609
Real Estate Investment Trusts - 1.0%
AvalonBay Communities, Inc.			77,985				19,369,134
Retail-Apparel/Shoe - 2.3%
Lululemon Athletica, Inc.†			124,778				45,572,669
Retail-Perfume & Cosmetics - 2.4%
Ulta Beauty, Inc.†			120,979				48,176,257
Retail-Restaurants - 0.1%
Chipotle Mexican Grill, Inc.†			1,372				2,170,545

---

Semiconductor Equipment - 1.0%
MKS Instruments, Inc.			134,908				20,236,200
Web Portals/ISP - 8.3%
Alphabet, Inc., Class A†			59,357				165,092,592
Total Common Stocks
(cost $1,970,889,288)							1,891,290,723
CONVERTIBLE PREFERRED SECURITIES — 0.0%
Advertising Services - 0.0%
Nanigans, Inc., Series B†(1)(2) (cost $1,384,662)			126,818				0
EXCHANGE-TRADED FUNDS - 1.2%
iShares Russell 1000 Growth ETF (cost $22,950,086)			87,087				24,177,964
WARRANTS - 0.0%
Advertising Services - 0.0%
Nanigans, Inc.†(1)(2) (cost $0)			299,087				0
Total Long-Term Investment Securities
(cost $1,995,224,036)							1,915,468,687
REPURCHASE AGREEMENTS - 2.3%
Bank of America Securities LLC Joint Repurchase Agreement(3)		$	10,090,000				10,090,000
Barclays Capital, Inc. Joint Repurchase Agreement(3)			8,135,000				8,135,000
BNP Paribas SA Joint Repurchase Agreement(3)			7,050,000				7,050,000
Deutsche Bank AG Joint Repurchase Agreement(3)			10,540,000				10,540,000
RBS Securities, Inc. Joint Repurchase Agreement(3)			10,525,000				10,525,000
Total Repurchase Agreements
(cost $46,340,000)							46,340,000
TOTAL INVESTMENTS
(cost $2,041,564,036)			98.4	%			1,961,808,687
Other assets less liabilities			1.6				32,424,800
NET ASSETS			100.0	%		$	1,994,233,487

 

†	Non-income producing security

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

(2)

Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2022, the Portfolio held the following restricted securities:

 

Description		Acquisition Date				Shares				Acquisition Cost				Value				Value Per Share				% of Net Assets
Common Stocks
Magic Leap, Inc., Class A			12/28/2015				186			$	2,157,962			$	2,232			$	12.00				0.00	%
Convertible Preferred Securities
Nanigans, Inc., Series B			03/16/2015				126,818				1,384,662				0				0.00				0.00
Warrants
Nanigans, Inc.			12/14/2021				299,087				0				0				0.00				0.00
														$	2,232								0.00	%

 

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

 

ADR	- American Depositary Receipt

ETF	- Exchange-Traded Fund

The following is a summary of the inputs used to value the Portfolio’s net assets as of March 31, 2022 (see Note 1):

 

		Level 1 - Unadjusted Quoted Prices				Level 2 - Other Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
ASSETS:
Investments at Value:*
Common Stocks:
Application Software		$	30,427,277			$	—			$	2,232			$	30,429,509
Other Industries			1,860,861,214				—				—				1,860,861,214
Convertible Preferred Securities			—				—				0				0
Exchange-Traded Funds			24,177,964				—				—				24,177,964
Warrants			—				—				0				0
Repurchase Agreements			—				46,340,000				—				46,340,000
Total Investments at Value		$	1,915,466,455			$	46,340,000			$	2,232			$	1,961,808,687

 

 

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

 

Level 3 investments in securities were not considered a significant portion of the Portfolio’s net assets.

See Notes to Portfolio of Investments

---

SunAmerica Series Trust SA Wellington Government and Quality Bond Portfolio

PORTFOLIO OF INVESTMENTS - March 31, 2022 - (unaudited)

 

Security Description		Principal Amount				Value (Note 1)
ASSET BACKED SECURITIES - 9.4%
Diversified Financial Services - 9.4%
Aaset Trust Series 2019-1, Class A 3.84% due 05/15/2039*		$	646,469			$	414,474
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2 1.94% due 08/15/2046*			4,010,000				3,697,716
Angel Oak Mtg. Trust VRS Series 2021-6, Class A1 1.46% due 09/25/2066*(1)(2)			6,141,010				5,808,988
Angel Oak Mtg. Trust I LLC VRS Series 2019-6, Class A1 2.62% due 11/25/2059*(1)(2)			265,289				265,006
Angel Oak Mtg. Trust I LLC VRS Series 2019-4, Class A1 2.99% due 07/26/2049*(1)(2)			170,149				169,856
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(1)(2)			130,662				130,552
Angel Oak Mtg. Trust I LLC VRS Series 2018-3, Class A1 3.65% due 09/25/2048*(1)(2)			316,819				315,849
Apidos CLO FRS Series 2021-35A, Class A 1.30% (3ML+1.05%) due 04/20/2034*(3)			3,600,000				3,552,829
ARI Fleet Lease Trust Series 2018-B, Class A2 3.22% due 08/16/2027*			9,709				9,712
BANK Series 2021-BN35, Class A5 2.29% due 06/15/2064(4)			7,380,000				6,752,493
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(1)			902,707				896,932
Benefit Street Partners, Ltd. FRS Series 2016-9A, Class AR 1.36% (3 ML+1.11%) due 07/20/2031*(3)			795,000				793,146
BFLD Trust FRS Series 2020-OBRK, Class A 2.45% (1 ML+2.05%) due 11/15/2028*(4)			2,140,000				2,118,560
BX Commercial Mtg. Trust FRS Series 2021-VOLT, Class A 1.10% (1 ML+0.70%) due 09/15/2036*(4)			4,455,000				4,340,431
BX Trust FRS Series 2021-LGCY, Class A 0.90% (1 ML+0.51%) due 10/15/2023*(4)			9,100,000				8,785,545
BX Trust FRS Series 2021-ARIA, Class B 1.69% (1 ML+1.30%) due 10/15/2036*(4)			3,975,000				3,893,943
BXHPP Trust FRS Series 2021-FILM, Class A 1.05% (1 ML+0.65%) due 08/15/2036*(4)			4,335,000				4,215,245
Castlelake Aircraft Structured Trust Series 2019-1A, Class A 3.97% due 04/15/2039*			835,847				757,079
CF Hippolyta LLC Series 2021-1A, Class A1 1.53% due 03/15/2061*			1,403,355				1,305,305
CFMT LLC Series 2021-AL1, Class B 1.39% due 09/22/2031*			6,868,811				6,719,318
Cloud Pass-Through Trust VRS Series 2019-1A, Class CLOU 3.55% due 12/05/2022*(1)			8,500				8,503
COLT Mtg, Loan Trust VRS Series 2021-5, Class A1 1.73% due 11/26/2066*(1)(2)			3,329,239				3,196,956
COLT Mtg. Loan Trust VRS Series 2021-4, Class A1 1.40% due 10/25/2066*(1)(2)			4,262,353				4,014,406
Columbia Cent CLO, Ltd. FRS Series 2018-27A, Class AR 1.44% (3 ML+1.19%) due 01/25/2035*(3)			1,765,000				1,746,879
COMM Mtg. Trust Series 2012-CR2, Class A4 3.15% due 08/15/2045(4)			960,184				958,616
Credit Acceptance Auto Loan Trust Series 2020-3A, Class A 1.24% due 10/15/2029*			5,205,000				5,120,190
CSMC Trust VRS Series 2021-NQM8, Class A1 1.84% due 10/25/2066*(1)(2)			1,856,926				1,773,366
FirstKey Homes Trust Series 2021-SFR1, Class A 1.54% due 08/17/2038*			4,875,643				4,523,690
FirstKey Homes Trust Series 2021-SFR3, Class A 2.14% due 12/17/2038*			3,515,000				3,285,106
Flagstar Mtg. Trust VRS Series 2021-9INV, Class A2 2.00% due 09/25/2041*(1)(2)			2,025,818				1,911,679
Flagstar Mtg. Trust VRS Series 2018-3INV, Class A3 4.00% due 05/25/2048*(1)(2)			1,032,299				1,033,297
Ford Credit Auto Lease Trust Series 2021-A, Class C 0.78% due 09/15/2025			1,585,000				1,543,811
Ford Credit Auto Owner Trust Series 2021-1, Class B 1.61% due 10/17/2033*			835,000				773,974
Ford Credit Auto Owner Trust Series 2021-1, Class C 1.91% due 10/17/2033*			725,000				675,528
Home Partners of America Trust Series 2021-2, Class B 2.30% due 12/17/2026*			3,679,914				3,382,112
Horizon Aircraft Finance, Ltd. Series 2019-2, Class A 3.43% due 11/15/2039*			734,160				676,795
Horizon Aircraft Finance, Ltd. Series 2019-1, Class A 3.72% due 07/15/2039*			416,485				371,498
LIFE Mtg. Trust FRS Series 2021-BMR, Class A 1.10% (1 ML+0.70%) due 03/15/2038*(4)			879,758				859,938
MACH 1, Ltd. Series 2019-1, Class A 3.47% due 10/15/2039*			393,374				365,112

---

Madison Park Funding, Ltd. FRS Series 2018-30A, Class A 0.99% (3 ML+0.75%) due 04/15/2029*(3)			7,933,654				7,870,708
Magnetite, Ltd. FRS Series 2012-7A, Class A1R2 1.04% (3 ML+0.80%) due 01/15/2028*(3)			5,258,736				5,221,310
MetLife Securitization Trust VRS Series 2017-1A, Class A 3.00% due 04/25/2055*(1)(2)			598,813				593,535
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(1)(2)			469,825				471,027
MMAF Equipment Finance LLC Series 2019-B, Class A5 2.29% due 11/12/2041*			2,960,000				2,862,718
New Economy Assets Phase 1 Sponsor LLC Series 2021-1, Class A1 1.91% due 10/20/2061*			3,985,000				3,720,695
OHA Credit Funding 3, Ltd. FRS Series 2019-3A, Class AR 1.39% (3 ML+1.14%) due 07/02/2035*(3)			4,550,000				4,507,753
Rockland Park CLO, Ltd. FRS Series 2021-1A, Class A 1.37% (3 ML+1.12%) due 04/20/2034*(3)			1,825,000				1,812,101
SCF Equipment Leasing LLC Series 2021-1A, Class A3 0.83% due 08/21/2028*			5,815,000				5,679,993
SFAVE Commercial Mtg. Securities Trust VRS Series 2015-5AVE, Class A2B 4.14% due 01/05/2043*(1)(4)			1,340,000				1,278,164
SoFi Consumer Loan Program Trust Series 2021-1, Class A 0.49% due 09/25/2030*			1,004,667				986,142
SoFi Consumer Loan Program Trust Series 2020-1, Class A 2.02% due 01/25/2029*			101,253				101,304
SREIT Trust FRS Series 2021-MFP, Class B 1.48% (1 ML+1.08%) due 11/15/2038*(4)			4,550,000				4,444,426
STARR II Series 2019-1, Class A 4.09% due 03/15/2044*			497,169				460,221
Starwood Mtg. Residential Trust VRS Series 2021-6, Class A1 1.92% due 11/25/2066*(1)(2)			2,938,227				2,770,259
Symphony CLO XVII, Ltd. FRS Series 2016-17A, Class AR 1.12% (3ML+0.88%) due 04/15/2028*(3)			798,049				795,992
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(1)(2)			955,916				949,047
Towd Point Mtg. Trust VRS Series 2018-1, Class A1 3.00% due 01/25/2058*(1)(2)			452,435				450,813
Treman Park, Ltd. FRS Series 2015-1A, Class ARR 1.32% (3 ML+1.07%) due 10/20/2028*(3)			2,944,933				2,937,871
Vantage Data Centers Issuer LLC Series 2019-1A, Class A2 3.19% due 07/15/2044*			769,592				763,248
Vantage Data Centers LLC Series 2020-1A, Class A2 1.65% due 09/15/2045*			3,280,000				3,056,312
Venture XIII CLO, Ltd. FRS Series 2021-43A, Class A1 1.48% (3 ML+1.24%) due 04/15/2034*(3)			2,905,000				2,887,157
Wells Fargo Mtg. Backed Securities Trust VRS Series 2021-INV1, Class A4 2.50% due 08/25/2051*(1)(2)			5,558,153				5,335,597
Total Asset Backed Securities (cost $157,354,088)							151,120,828
U.S. CORPORATE BONDS & NOTES - 13.0%
Banks-Fiduciary - 0.5%
National Securities Clearing Corp. Senior Notes 0.75% due 12/07/2025*			8,905,000				8,215,960
Banks-Super Regional - 0.5%
US Bancorp Senior Notes 2.68% due 01/27/2033			3,275,000				3,113,952
US Bancorp Sub. Notes 7.50% due 06/01/2026			400,000				465,516
Wells Fargo & Co. Senior Notes 2.57% due 02/11/2031			2,760,000				2,560,811
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026			1,780,000				1,757,664
							7,897,943
Brewery - 0.1%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048			1,725,000				1,854,018
Cable/Satellite TV - 0.3%
Comcast Corp. Company Guar. Notes 2.89% due 11/01/2051*			1,921,000				1,618,488
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025			2,535,000				2,621,142
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033			200,000				216,034
							4,455,664
Diversified Banking Institutions - 4.1%
Bank of America Corp. Senior Notes 1.73% due 07/22/2027			4,575,000				4,254,417
Bank of America Corp. Senior Notes 2.30% due 07/21/2032			5,285,000				4,704,433
Bank of America Corp. Senior Notes 3.00% due 12/20/2023			1,547,000				1,551,320
Bank of America Corp. Senior Notes 3.19% due 07/23/2030			5,015,000				4,853,205

---

Bank of America Corp. Senior Notes 3.59% due 07/21/2028			2,245,000				2,252,434
Bank of America Corp. Senior Notes 3.97% due 02/07/2030			2,645,000				2,687,982
Goldman Sachs Group, Inc. Senior Notes 1.43% due 03/09/2027			7,705,000				7,117,114
Goldman Sachs Group, Inc. Senior Notes 2.38% due 07/21/2032			3,380,000				2,994,120
Goldman Sachs Group, Inc. Senior Notes 2.62% due 04/22/2032			1,995,000				1,813,439
Goldman Sachs Group, Inc. Senior Notes 3.27% due 09/29/2025			2,075,000				2,077,377
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029			2,565,000				2,588,140
JPMorgan Chase & Co. Senior Notes 1.95% due 02/04/2032			2,895,000				2,536,395
JPMorgan Chase & Co. Senior Notes 2.58% due 04/22/2032			7,900,000				7,238,655
JPMorgan Chase & Co. Senior Notes 4.45% due 12/05/2029			4,520,000				4,720,368
Morgan Stanley Senior Notes 1.93% due 04/28/2032			1,505,000				1,301,023
Morgan Stanley Senior Notes 2.51% due 10/20/2032			3,110,000				2,803,396
Morgan Stanley Senior Notes 3.63% due 01/20/2027			4,975,000				5,024,953
Morgan Stanley Senior Notes 3.88% due 04/29/2024			6,125,000				6,251,902
							66,770,673
Electric-Distribution - 0.2%
Mid-Atlantic Interstate Transmission LLC Senior Notes 4.10% due 05/15/2028*			3,646,000				3,684,931
Electric-Integrated - 0.8%
Consolidated Edison Co. of New York, Inc. Senior Notes 3.20% due 12/01/2051			2,135,000				1,886,549
Georgia Power Co. Senior Notes 3.70% due 01/30/2050			1,905,000				1,767,530
Georgia Power Co. Senior Notes 4.30% due 03/15/2042			455,000				460,487
Georgia Power Co. Senior Notes 4.75% due 09/01/2040			625,000				659,612
San Diego Gas & Electric Co. 1st Mtg. Notes 4.10% due 06/15/2049			1,052,000				1,088,032
SCE Recovery Funding LLC Senior Sec. Notes 0.86% due 11/15/2031			1,438,477				1,296,951
SCE Recovery Funding LLC Senior Sec. Notes 1.94% due 05/15/2038			630,000				548,622
SCE Recovery Funding LLC Senior Sec. Notes 2.51% due 11/15/2043			365,000				314,346
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.45% due 02/01/2041			1,195,000				1,397,969
South Carolina Electric & Gas Co. 1st Mtg. Bonds 6.05% due 01/15/2038			2,400,000				2,913,496
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025			430,000				437,526
							12,771,120
Enterprise Software/Service - 0.2%
Oracle Corp. Senior Notes 3.60% due 04/01/2050			1,805,000				1,497,122
Oracle Corp. Senior Notes 3.85% due 04/01/2060			910,000				746,372
							2,243,494
Gas-Distribution - 0.6%
Boston Gas Co. Senior Notes 3.00% due 08/01/2029*			995,000				945,355
Boston Gas Co. Senior Notes 3.15% due 08/01/2027*			1,655,000				1,602,546
Brooklyn Union Gas Co. Senior Notes 3.41% due 03/10/2026*			1,170,000				1,159,156
KeySpan Gas East Corp. Notes 2.74% due 08/15/2026*			3,525,000				3,399,443
Southern California Gas Co. Senior Notes 2.95% due 04/15/2027			3,070,000				3,032,412
							10,138,912
Insurance-Life/Health - 1.8%
Athene Global Funding Sec. Notes 2.50% due 03/24/2028*			8,470,000				7,814,450
Brighthouse Financial Global Funding Senior Sec. Notes 1.00% due 04/12/2024*			600,000				575,053
Brighthouse Financial Global Funding Sec. Notes 1.55% due 05/24/2026*			4,000,000				3,700,942
CNO Global Funding Sec. Notes 2.65% due 01/06/2029*			5,795,000				5,362,065
Equitable Financial Life Global Funding Senior Sec. Notes 1.40% due 08/27/2027*			3,405,000				3,063,544

---

Equitable Financial Life Global Funding Sec. Notes 1.80% due 03/08/2028*			5,985,000				5,392,775
Jackson National Life Global Funding Sec. Notes 1.75% due 01/12/2025*			3,830,000				3,671,491
							29,580,320
Insurance-Multi-line - 0.3%
Metropolitan Life Global Funding I Sec. Notes 2.40% due 01/11/2032*			4,420,000				4,052,669
Metropolitan Life Global Funding I Sec. Notes 3.45% due 12/18/2026*			1,330,000				1,337,268
							5,389,937
Insurance-Mutual - 0.3%
New York Life Global Funding Sec. Notes 2.90% due 01/17/2024*			4,655,000				4,665,986
Northwestern Mutual Life Insurance Co. Sub. Notes 3.63% due 09/30/2059*			294,000				266,084
							4,932,070
Investment Management/Advisor Services - 0.5%
BlackRock, Inc. Senior Notes 2.10% due 02/25/2032			6,580,000				5,964,288
Blackstone Holdings Finance Co., LLC Company Guar. Notes 2.55% due 03/30/2032*			1,770,000				1,615,989
							7,580,277
Medical Labs & Testing Services - 0.3%
Roche Holdings, Inc. Company Guar. Notes 2.38% due 01/28/2027*			5,080,000				4,935,383
Medical-Drugs - 0.1%
Bristol-Myers Squibb Co. Senior Notes 3.55% due 03/15/2042			1,280,000				1,265,698
Bristol-Myers Squibb Co. Senior Notes 3.70% due 03/15/2052			645,000				652,164
							1,917,862
Medical-HMO - 0.2%
UnitedHealth Group, Inc. Senior Notes 2.00% due 05/15/2030			1,155,000				1,064,701
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025			1,165,000				1,200,741
							2,265,442
Medical-Hospitals - 1.6%
Bon Secours Mercy Health, Inc. Sec. Notes 2.10% due 06/01/2031			840,000				749,592
Children’s Hospital Notes 2.93% due 07/15/2050			1,890,000				1,547,256
CommonSpirit Health Senior Sec. Notes 3.82% due 10/01/2049			6,100,000				5,987,409
Dignity Health Sec. Notes 3.81% due 11/01/2024			1,242,000				1,254,664
Kaiser Foundation Hospitals Notes 2.81% due 06/01/2041			3,915,000				3,422,130
Mercy Health Sec. Notes 3.56% due 08/01/2027			2,700,000				2,691,171
Mercy Health Senior Sec. Notes 4.30% due 07/01/2028			2,645,000				2,747,458
Piedmont Healthcare, Inc. Sec. Notes 2.04% due 01/01/2032			6,525,000				5,732,111
Sutter Health Notes 2.29% due 08/15/2030			950,000				861,858
							24,993,649
Multimedia - 0.0%
NBCUniversal Media LLC Company Guar. Notes 4.45% due 01/15/2043			505,000				543,204
Oil Companies-Integrated - 0.1%
Exxon Mobil Corp. Senior Notes 2.61% due 10/15/2030			845,000				814,574
Real Estate Investment Trusts - 0.3%
SBA Tower Trust Mtg. Notes 1.63% due 05/15/2051*			1,555,000				1,463,183
SBA Tower Trust Mtg. Notes 1.88% due 07/15/2050*			810,000				765,006
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2050*			1,030,000				1,013,942
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*			1,495,000				1,495,295
							4,737,426
Schools - 0.1%
Stanford University Notes 6.88% due 02/01/2024			1,970,000				2,117,136
Special Purpose Entity - 0.0%
Postal Square LP Government Guar. Notes 8.95% due 06/15/2022			230,800				233,534
Telephone-Integrated - 0.1%
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034			2,000,000				2,128,227
Total U.S. Corporate Bonds & Notes (cost $222,524,356)							210,201,756
FOREIGN CORPORATE BONDS & NOTES - 7.4%
Banks-Commercial - 2.7%
Banque Federative du Credit Mutuel SA Senior Notes 1.60% due 10/04/2026*			11,525,000				10,619,223

---

Cooperatieve Rabobank UA Senior Notes 1.11% due 02/24/2027*			4,015,000				3,675,970
Danske Bank A/S Senior Notes 1.55% due 09/10/2027*			10,225,000				9,323,578
Danske Bank A/S Senior Notes 3.88% due 09/12/2023*			1,350,000				1,363,253
DNB Bank ASA Senior Notes 1.54% due 05/25/2027*			3,860,000				3,553,880
NBK SPC, Ltd. Company Guar. Notes 1.63% due 09/15/2027*			6,250,000				5,709,500
NBK SPC, Ltd. Company Guar. Notes 2.75% due 05/30/2022*			7,345,000				7,347,644
Standard Chartered PLC Senior Notes 0.99% due 01/12/2025*			3,310,000				3,161,987
							44,755,035
Building Societies - 0.1%
Nationwide Building Society Senior Notes 3.62% due 04/26/2023*			1,180,000				1,180,239
Diversified Banking Institutions - 3.8%
Bank of Nova Scotia Senior Notes 2.70% due 08/03/2026			6,570,000				6,459,137
BNP Paribas SA Senior Notes 2.16% due 09/15/2029*			2,955,000				2,634,051
BNP Paribas SA Senior Notes 2.82% due 11/19/2025*			1,905,000				1,861,738
BNP Paribas SA Senior Notes 2.95% due 05/23/2022*			390,000				390,861
BNP Paribas SA Senior Notes 3.38% due 01/09/2025*			2,025,000				2,016,796
Credit Agricole SA Senior Notes 3.75% due 04/24/2023*			1,175,000				1,190,661
Credit Suisse Group AG FRS Senior Notes 2.04% (3 ML+1.24%) due 06/12/2024*			3,725,000				3,747,362
Credit Suisse Group AG Senior Bonds 3.87% due 01/12/2029*			2,655,000				2,595,179
HSBC Holdings PLC Senior Notes 1.59% due 05/24/2027			4,815,000				4,400,418
HSBC Holdings PLC Senior Notes 2.21% due 08/17/2029			3,795,000				3,419,996
HSBC Holdings PLC Senior Notes 2.80% due 05/24/2032			5,475,000				4,988,469
HSBC Holdings PLC Senior Notes 3.60% due 05/25/2023			7,310,000				7,394,312
HSBC Holdings PLC Senior Notes 4.95% due 03/31/2030			670,000				715,649
Macquarie Group, Ltd. Senior Notes 1.94% due 04/14/2028*			8,960,000				8,052,526
UBS Group AG Senior Notes 1.49% due 08/10/2027*			4,760,000				4,326,477
UBS Group AG Senior Notes 2.75% due 02/11/2033*			7,815,000				7,102,425
							61,296,057
Oil Companies-Integrated - 0.1%
Shell International Finance BV Company Guar. Notes 3.25% due 05/11/2025			1,000,000				1,011,071
Statoil ASA Company Guar. Notes 2.45% due 01/17/2023			211,000				211,719
							1,222,790
Pipelines - 0.3%
EIG Pearl Holdings SARL Senior Sec. Notes 3.55% due 08/31/2036*			5,105,000				4,862,941
Telecom Services - 0.4%
NBN Co., Ltd. Senior Notes 2.50% due 01/08/2032*			6,485,000				5,821,820
NBN Co., Ltd. Senior Notes 2.63% due 05/05/2031*			350,000				317,942
							6,139,762
Total Foreign Corporate Bonds & Notes (cost $127,159,252)							119,456,824
FOREIGN GOVERNMENT OBLIGATIONS - 0.3%
Sovereign - 0.3%
Kingdom of Saudi Arabia Senior Notes 2.88% due 03/04/2023*			2,110,000				2,124,770
State of Qatar Senior Notes 3.88% due 04/23/2023*			3,335,000				3,393,296
Total Foreign Government Obligations (cost $5,412,241)							5,518,066
MUNICIPAL BONDS & NOTES - 1.4%
Bay Area Toll Authority Revenue Bonds Series S-1 7.04% due 04/01/2050			70,000				107,590
California Health Facilities Financing Authority Revenue Bonds 4.35% due 06/01/2041			2,045,000				2,081,310
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040			145,000				186,399
City of San Antonio, Texas Electric & Gas Systems Revenue Bonds 2.91% due 02/01/2048			515,000				437,880

---

Foothill-Eastern Transportation Corridor Agency Revenue Bonds Series A 3.92% due 01/15/2053			2,670,000				2,611,116
Golden State Tobacco Securitization Corp. Revenue Bonds 2.75% due 06/01/2034			100,000				90,859
Golden State Tobacco Securitization Corp. Revenue Bonds 3.29% due 06/01/2042			200,000				180,847
Golden State Tobacco Securitization Corp. Revenue Bonds 3.00% due 06/01/2046			505,000				500,139
Illinois Municipal Electric Agency Revenue Bonds 6.83% due 02/01/2035			1,910,000				2,321,634
Kansas Development Finance Authority Revenue Bonds Series C 5.37% due 05/01/2026			685,000				720,463
Kansas Development Finance Authority Revenue Bonds Series K 2.77% due 05/01/2051			1,555,000				1,292,431
Metropolitan Transportation Authority Revenue Bonds 6.20% due 11/15/2026			100,000				107,357
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057			1,435,000				1,915,144
Oregon School Boards Association General Obligation Bonds 4.76% due 06/30/2028			2,534,152				2,641,205
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028			2,845,000				3,360,623
Sales Tax Securitization Corp. Revenue Bonds Series A 4.79% due 01/01/2048			1,515,000				1,702,791
State of Wisconsin Revenue Bonds Series A 5.70% due 05/01/2026			1,905,000				2,042,093
Utility Debt Securitization Authority Revenue Bonds Series T 3.44% due 12/15/2025			1,016,000				1,022,562
Total Municipal Bonds & Notes (cost $23,521,585)							23,322,443
U.S. GOVERNMENT AGENCIES - 32.9%
Federal Home Loan Mtg. Corp. - 4.2%
2.00% due 11/01/2041			4,052,209				3,805,017
2.00% due 03/01/2051			7,012,687				6,526,897
2.50% due 10/01/2031			2,573,065				2,549,118
2.50% due 01/01/2051			4,427,945				4,240,073
2.50% due 12/01/2051			4,253,532				4,069,111
3.00% due 11/01/2046			15,496,016				15,419,983
3.00% due 12/01/2046			4,236,202				4,217,162
4.00% due 09/01/2026			115,469				118,928
4.00% due 12/01/2040			1,696,008				1,776,980
6.00% due 12/01/2039			99,808				107,191
7.50% due 05/01/2027			320				341
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs.
Series K1522, Class A2 2.36% due 10/25/2036(4)			3,890,000				3,491,887
Series K142, Class A2 2.40% due 05/25/2032(4)			4,000,000				3,816,666
Federal Home Loan Mtg. Corp. REMIC
Series 4146, Class AB 1.13% due 12/15/2027(2)			1,426,675				1,381,570
Series 4142, Class PT 1.25% due 12/15/2027(2)			1,059,762				1,029,077
Series 4122, Class AB 1.50% due 10/15/2042(2)			283,842				265,623
Series 4166, Class PB 1.75% due 03/15/2041(2)			282,372				279,411
Series 4000, Class GA 2.00% due 07/15/2031(2)			233,112				230,160
Series 4654, Class KA 3.00% due 06/15/2045(2)			3,066,379				3,047,809
Series 4758, Class CA 3.00% due 07/15/2047(2)			1,939,949				1,936,320
Federal Home Loan Mtg. Corp. SCRT
Series 2021-1, Class MTU 2.50% due 09/25/2060(2)			8,224,031				7,918,377
Series 2019-3, Class MA 3.50% due 10/25/2058(2)			1,200,129				1,207,296
							67,434,997
Federal National Mtg. Assoc. - 7.6%
1.50% due 11/01/2041			5,691,922				5,161,502
2.00% due 09/01/2031			164,959				160,861
2.00% due 11/01/2031			232,278				226,505
2.00% due 12/01/2031			787,606				768,018
2.00% due 04/01/2041			1,711,723				1,607,163
2.00% due 05/01/2041			1,945,492				1,827,192
2.00% due 07/01/2041			4,054,102				3,806,535
2.00% due 10/01/2041			3,477,198				3,264,658
2.00% due 09/01/2051			8,727,494				8,150,407
2.47% due 05/01/2025			3,075,378				3,045,566
2.50% due 03/01/2030			2,413,327				2,389,269
2.50% due 07/01/2050			4,101,299				3,923,479
2.50% due 08/01/2051			12,584,651				12,097,109
2.50% due 11/01/2051			8,398,174				8,084,628
2.50% due 12/01/2051			4,211,107				4,028,526
2.68% due 05/01/2025			5,794,855				5,765,235
2.99% due 10/01/2025			1,993,750				2,004,179
3.00% due 05/01/2027			243,280				245,879
3.00% due 06/01/2027			115,028				116,228
3.00% due 08/01/2027			64,210				64,895
3.00% due 10/01/2046			5,212,507				5,183,535
3.00% due 07/01/2050			3,690,798				3,641,457
3.00% due 10/01/2051			17,673,117				17,407,843
3.01% due 12/01/2024			3,458,091				3,477,542
3.07% due 02/01/2025			700,000				704,232
3.12% due 05/01/2033			2,547,067				2,582,839
4.00% due 09/01/2026			1,518,238				1,565,359
4.00% due 01/01/2046			2,165,872				2,254,396
4.00% due 02/01/2046			2,374,963				2,476,119
4.50% due 11/01/2026			179,469				184,188
4.50% due 01/01/2027			151,486				156,309
4.50% due 05/01/2039			13,804				14,694
4.50% due 06/01/2039			47,728				49,576

---

4.50% due 08/01/2039			4,370				4,654
4.50% due 11/01/2040			183,520				190,500
4.50% due 12/01/2040			121,443				129,305
4.50% due 07/01/2041			195,981				208,478
4.50% due 06/01/2043			140,727				148,093
4.50% due 10/01/2043			194,835				202,408
5.50% due 03/01/2038			181,712				200,276
5.50% due 06/01/2038			17,890				19,692
5.50% due 08/01/2038			18,493				20,383
5.50% due 09/01/2039			8,160				8,979
5.50% due 06/01/2040			3,211				3,418
6.50% due 02/01/2038			30,333				33,501
6.50% due 10/01/2039			31,130				34,288
Federal National Mtg. Assoc. REMIC FRS Series 2017-M13, Class FA 0.53% (1 ML+0.40%) due 10/25/2024(4)			212,339				212,521
Federal National Mtg. Assoc. REMIC
Series 2013-9, Class PT 1.25% due 02/25/2028(2)			918,905				888,227
Series 2012-103, Class HB 1.50% due 09/25/2027(2)			3,010,583				2,931,986
Series 2014-95, Class ZC 3.00% due 01/25/2045(2)			1,298,546				1,275,493
Series 2017-51, Class AP 3.00% due 10/25/2045(2)			8,066,809				8,020,212
Series 2019-6, Class GJ 3.00% due 02/25/2049(2)			473,017				472,002
Series 2018-77, Class PA 3.50% due 02/25/2048(2)			1,511,642				1,514,506
							122,954,845
Government National Mtg. Assoc. - 5.2%
2.00% due April 30 TBA			16,900,000				16,075,950
2.50% due April 30 TBA			14,625,000				14,199,961
2.50% due May 30 TBA			14,625,000				14,168,540
3.00% due April 30 TBA			11,250,000				11,128,985
3.00% due May 30 TBA			11,250,000				11,099,981
4.00% due 02/15/2041			220,574				232,172
4.00% due 09/15/2041			340,062				360,277
4.00% due 08/15/2042			114,087				121,990
4.00% due April 30 TBA			7,000,000				7,142,734
4.50% due 05/15/2040			232,970				251,057
4.50% due 06/15/2040			170,251				182,562
4.50% due 07/15/2040			303,830				327,003
4.50% due 05/15/2042			105,714				113,183
4.50% due April 30 TBA			3,025,000				3,129,457
5.00% due 07/15/2033			405,343				438,081
5.00% due 10/15/2033			27,237				29,641
5.00% due 11/15/2033			3,379				3,655
5.00% due 12/15/2033			7,404				8,039
5.00% due 01/15/2034			64,015				69,034
5.00% due 02/15/2034			27,001				29,166
5.00% due 03/15/2034			1,134				1,223
5.00% due 05/15/2034			4,854				5,309
5.00% due 06/15/2035			2,654				2,918
5.00% due 09/15/2035			36,198				39,404
5.00% due 11/15/2035			11,423				12,380
5.00% due 12/15/2035			9,342				10,189
5.00% due 02/15/2036			6,133				6,626
5.00% due 09/15/2036			1,032				1,115
5.00% due 07/15/2038			27,664				29,893
5.00% due 08/15/2038			10,181				11,231
5.00% due 11/15/2038			31,247				34,267
5.00% due 12/15/2038			119,848				132,205
5.00% due 06/15/2039			135,832				149,120
5.00% due 08/15/2039			29,386				32,263
5.00% due 04/15/2041			92,063				101,563
5.50% due 10/15/2032			685				732
5.50% due 02/15/2033			50,536				53,986
5.50% due 05/15/2033			23,747				26,160
5.50% due 06/15/2033			30,291				33,250
5.50% due 07/15/2033			5,112				5,468
5.50% due 08/15/2033			171				182
5.50% due 09/15/2033			1,693				1,851
5.50% due 11/15/2033			37,095				39,741
5.50% due 01/15/2034			6,660				7,413
5.50% due 02/15/2034			13,899				15,357
5.50% due 03/15/2034			210,669				227,839
5.50% due 04/15/2034			11,465				12,655
5.50% due 05/15/2034			20,982				22,593
5.50% due 07/15/2034			3,834				4,098
5.50% due 08/15/2034			6,565				7,017
5.50% due 09/15/2034			121,272				129,529
5.50% due 10/15/2034			32,584				34,790
5.50% due 04/15/2036			19,900				21,280
6.00% due 06/15/2028			6,170				6,585
6.00% due 08/15/2028			16,896				18,071
6.00% due 09/15/2028			21,353				22,793
6.00% due 12/15/2028			18,501				19,808
6.00% due 04/15/2029			917				979
6.00% due 01/15/2032			1,858				1,988
6.00% due 02/15/2032			191				204
6.00% due 07/15/2032			2,905				3,101
6.00% due 09/15/2032			5,212				5,566
6.00% due 10/15/2032			99,536				107,135
6.00% due 11/15/2032			6,489				6,930
6.00% due 01/15/2033			1,208				1,290
6.00% due 02/15/2033			4,634				5,080
6.00% due 03/15/2033			8,184				8,751
6.00% due 04/15/2033			24,042				25,678
6.00% due 05/15/2033			23,807				25,410
6.00% due 12/15/2033			10,465				11,737
6.00% due 08/15/2034			2,321				2,524
6.00% due 09/15/2034			44,824				47,922
6.00% due 10/15/2034			12,275				13,117
6.00% due 05/15/2036			9,088				10,013
6.00% due 06/15/2036			127,303				140,889
6.00% due 07/15/2036			1,152,620				1,278,811
6.00% due 08/15/2036			39,778				44,188
6.00% due 12/15/2036			54,436				60,347
6.00% due 02/15/2037			29,829				33,061
6.00% due 08/15/2037			19,801				21,756
6.00% due 01/15/2038			110,805				122,524
6.00% due 03/15/2038			58,063				64,048
6.00% due 07/15/2038			35,914				40,269
6.00% due 08/15/2038			86,926				95,935
6.00% due 09/15/2038			128,759				141,809
6.00% due 10/15/2038			243,092				268,785
6.00% due 11/15/2038			45,352				50,615
6.00% due 12/15/2038			75,095				83,370
6.00% due 01/15/2039			75,241				81,928
6.00% due 02/15/2039			54,485				59,446
6.00% due 04/15/2039			66,565				71,118
6.00% due 12/15/2039			51,392				57,511
6.00% due 03/15/2040			174,150				186,276
6.00% due 04/15/2040			20,359				22,846
6.00% due 06/15/2041			66,313				74,017
6.50% due 06/15/2023			14				14
6.50% due 07/15/2023			1,015				1,085
6.50% due 08/15/2023			251				269
6.50% due 10/15/2023			457				489

---

6.50% due 11/15/2023			2,347				2,510
6.50% due 12/15/2023			8,036				8,587
6.50% due 02/15/2027			399				426
6.50% due 12/15/2027			909				1,002
6.50% due 01/15/2028			8,347				8,920
6.50% due 02/15/2028			3,627				3,995
6.50% due 03/15/2028			7,856				8,422
6.50% due 04/15/2028			5,322				5,767
6.50% due 05/15/2028			19,995				21,367
6.50% due 06/15/2028			26,377				28,296
6.50% due 07/15/2028			19,448				20,858
6.50% due 08/15/2028			11,257				12,045
6.50% due 09/15/2028			16,031				17,154
6.50% due 10/15/2028			15,557				16,645
6.50% due 11/15/2028			22,442				24,061
6.50% due 12/15/2028			17,201				18,489
6.50% due 02/15/2029			2,188				2,363
6.50% due 03/15/2029			9,888				10,577
6.50% due 04/15/2029			2,274				2,431
6.50% due 05/15/2029			40,222				42,982
6.50% due 06/15/2029			4,147				4,432
6.50% due 03/15/2031			1,028				1,098
6.50% due 04/15/2031			179				194
6.50% due 05/15/2031			18,248				19,542
6.50% due 06/15/2031			6,544				6,993
6.50% due 07/15/2031			25,281				27,017
6.50% due 08/15/2031			7,182				7,676
6.50% due 09/15/2031			42,455				45,369
6.50% due 10/15/2031			14,202				15,338
6.50% due 11/15/2031			9,523				10,177
6.50% due 01/15/2032			77,053				82,343
6.50% due 02/15/2032			29,499				31,524
6.50% due 04/15/2032			10,012				11,054
6.50% due 05/15/2032			914				977
7.00% due 11/15/2031			5,904				6,303
7.00% due 03/15/2032			7,541				8,239
7.00% due 01/15/2033			9,219				10,103
7.00% due 05/15/2033			26,280				28,730
7.00% due 07/15/2033			15,161				16,485
7.00% due 11/15/2033			24,426				26,766
8.00% due 10/15/2029			287				288
8.00% due 12/15/2029			255				256
8.00% due 01/15/2030			3,777				3,845
8.00% due 03/15/2030			88				89
8.00% due 04/15/2030			11,971				12,042
8.00% due 08/15/2030			655				658
8.00% due 09/15/2030			13,786				13,996
8.00% due 11/15/2030			1,311				1,367
8.00% due 02/15/2031			28,428				30,160
8.00% due 03/15/2031			6,888				6,915
Government National Mtg. Assoc., REMIC
Series 2005-74, Class HA 7.50% due 09/16/2035(2)			5,382				5,607
Series 2005-74, Class HB 7.50% due 09/16/2035(2)			83,757				89,545
Series 2005-74, Class HC 7.50% due 09/16/2035(2)			49,649				53,961
							84,507,189
Uniform Mtg. Backed Securities - 15.9%
2.00% due April 15 TBA			2,550,000				2,476,887
2.00% due April 30 TBA			69,615,000				64,651,489
2.00% due June 30 TBA			34,285,000				31,710,871
2.50% due April 15 TBA			8,475,000				8,377,008
2.50% due April 30 TBA			31,961,000				30,532,743
2.50% due May 30 TBA			31,900,000				30,402,487
3.00% due April 30 TBA			19,165,000				18,767,194
3.50% due April 30 TBA			44,075,000				44,186,048
4.00% due April 30 TBA			15,525,000				15,859,758
4.00% due May 30 TBA			1,100,000				1,119,468
4.50% due May 30 TBA			8,850,000				9,146,829
							257,230,782
Total U.S. Government Agencies (cost $540,382,450)							532,127,813
U.S. GOVERNMENT TREASURIES - 35.1%
United States Treasury Bonds - 11.0%
1.63% due 11/15/2050			1,290,000				1,059,211
1.75% due 08/15/2041			23,975,000				20,802,059
1.88% due 02/15/2041			45,000				40,124
1.88% due 11/15/2051			26,185,000				22,952,789
2.00% due 11/15/2041			32,345,000				29,302,548
2.00% due 08/15/2051			16,030,000				14,454,551
2.25% due 08/15/2049(5)			2,805,000				2,668,804
2.25% due 02/15/2052			13,925,000				13,348,418
2.38% due 02/15/2042			2,435,000				2,351,297
2.50% due 02/15/2045			7,555,000				7,377,930
2.50% due 05/15/2046			915,000				898,273
2.75% due 08/15/2047			1,585,000				1,643,571
2.75% due 11/15/2047			7,783,000				8,079,423
2.88% due 05/15/2043			21,645,000				22,439,777
2.88% due 08/15/2045			6,205,000				6,483,013
2.88% due 05/15/2049			8,265,000				8,892,946
3.38% due 05/15/2044			1,600,000				1,799,375
3.63% due 02/15/2044			11,585,000				13,493,810
							178,087,919
United States Treasury Notes - 24.1%
0.25% due 09/30/2023			16,215,000				15,772,888
0.25% due 03/15/2024			5,200,000				4,998,500
0.25% due 06/30/2025			33,840,000				31,469,878
0.25% due 07/31/2025			6,000,000				5,568,750
0.25% due 08/31/2025			16,550,000				15,330,730
0.25% due 09/30/2025			9,070,000				8,387,978
0.38% due 04/15/2024			10,800,000				10,381,078
0.38% due 11/30/2025			21,835,000				20,209,316
0.38% due 12/31/2025			13,800,000				12,758,531
0.38% due 01/31/2026			8,125,000				7,496,265
0.50% due 11/30/2023			13,315,000				12,949,358
0.50% due 02/28/2026			10,500,000				9,718,652
0.75% due 12/31/2023			4,450,000				4,337,012
0.75% due 03/31/2026			12,620,000				11,782,446
0.75% due 04/30/2026			7,225,000				6,737,595
0.88% due 01/31/2024			23,975,000				23,380,308
0.88% due 06/30/2026			12,320,000				11,521,125
0.88% due 09/30/2026			18,655,000				17,387,043
1.00% due 12/15/2024			7,200,000				6,926,062
1.13% due 10/31/2026			12,000,000				11,302,031
1.25% due 11/30/2026			12,290,000				11,643,815
1.25% due 12/31/2026			58,955,000				55,779,260
1.38% due 11/15/2031			6,100,000				5,599,609
1.50% due 01/31/2027			13,095,000				12,532,324
1.50% due 11/30/2028			4,895,000				4,615,832
1.63% due 10/31/2026			1,370,000				1,320,552
1.63% due 05/15/2031			665,000				626,451
1.88% due 02/28/2027			6,980,000				6,803,319
1.88% due 02/15/2032			9,885,000				9,494,234
2.88% due 10/31/2023			32,065,000				32,423,226
							389,254,168
Total U.S. Government Treasuries (cost $591,723,640)							567,342,087

---

Total Long-Term Investment Securities (cost $1,668,077,612)							1,609,089,817
REPURCHASE AGREEMENTS - 22.7%
Bank of America Securities LLC Joint Repurchase Agreement(6)			79,815,000				79,815,000
Barclays Capital, Inc. Joint Repurchase Agreement(6)			64,375,000				64,375,000
BNP Paribas SA Joint Repurchase Agreement(6)			55,790,000				55,790,000
Deutsche Bank AG Joint Repurchase Agreement(6)			83,270,000				83,270,000
RBS Securities, Inc. Joint Repurchase Agreement(6)			83,255,000				83,255,000
Total Repurchase Agreements (cost $366,505,000)							366,505,000
TOTAL INVESTMENTS (cost $2,034,582,612)			122.2	%			1,975,594,817
Liabilities in excess of other assets			(22.2	)			(359,347,545	)
NET ASSETS			100.0	%		$	1,616,247,272

 

*

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $310,057,031 representing 19.2% of net assets.

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

(2)	Collateralized Mortgage Obligation

(3)	Collateralized Loan Obligation

(4)	Commercial Mortgage Backed Security

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

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

 

REMIC  -		Real Estate Mortgage Investment Conduit

SCRT  -		Seasoned Credit Risk Transfer Trust

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

FRS  -		Floating Rate Security

VRS  -		Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at March 31, 2022 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML - 1 Month USD LIBOR

3 ML - 3 Month USD LIBOR

Futures Contracts

Number of Contracts		Type		Description		Expiration Month		Notational Basis*				Notational Value*				Unrealized Appreciation (Depreciation)
275		Long		U.S. Treasury 2 Year Notes		June 2022		$	59,123,773			$	58,278,516			$	(845,257	)
39		Long		U.S. Treasury 5 Year Notes		June 2022			4,604,455				4,472,812				(131,643	)
17		Long		U.S. Treasury 10 Year Notes		June 2022			2,145,812				2,088,875				(56,937	)
153		Long		U.S. Treasury Ultra 10 Year Notes		June 2022			21,433,594				20,726,719				(706,875	)
				Unrealized Appreciation (Depreciation)												$	(1,740,712	)

 

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

The following is a summary of the inputs used to value the Portfolio’s net assets as of March 31, 2022 (see Note 1):

 

		Level 1 - Unadjusted Quoted Prices				Level 2 - Other Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
ASSETS:
Investments at Value:*
Asset Backed Securities		$	—			$	151,120,828			$	—			$	151,120,828
U.S. Corporate Bonds & Notes			—				210,201,756				—				210,201,756
Foreign Corporate Bonds & Notes			—				119,456,824				—				119,456,824
Foreign Government Obligations			—				5,518,066				—				5,518,066
Municipal Bond & Notes			—				23,322,443				—				23,322,443
U.S. Government Agencies			—				532,127,813				—				532,127,813
U.S. Government Treasuries			—				567,342,087				—				567,342,087
Repurchase Agreements			—				366,505,000				—				366,505,000
Total Investments at Value		$	—			$	1,975,594,817			$	—			$	1,975,594,817
LIABILITIES:
Other Financial Instruments:+
Futures Contracts		$	1,740,712			$	—			$	—			$	1,740,712

 

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

+	Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

See Notes to Portfolio of Investments

---

SunAmerica Series Trust SA Wellington Strategic Multi-Asset Portfolio

PORTFOLIO OF INVESTMENTS - March 31, 2022 - (unaudited)

 

Security Description						Shares/ Principal Amount(1)				Value (Note 1)
COMMON STOCKS - 62.0%
Aerospace/Defense - 1.2%
General Dynamics Corp.							7,175			$	1,730,467
Agricultural Chemicals - 1.0%
Mosaic Co.							21,871				1,454,422
Applications Software - 1.5%
Microsoft Corp.							3,784				1,166,645
Roper Technologies, Inc.							2,370				1,119,185
											2,285,830
Audio/Video Products - 0.8%
Sony Group Corp.							11,100				1,145,642
Auto-Cars/Light Trucks - 0.5%
Ferrari NV							3,420				747,897
Banks-Commercial - 0.7%
China Merchants Bank Co., Ltd.							75,300				557,222
Commerzbank AG†							61,812				471,962
											1,029,184
Building Products-Air & Heating - 0.7%
Daikin Industries, Ltd.							5,500				1,001,412
Building-Residential/Commercial - 0.7%
Lennar Corp., Class A							13,137				1,066,330
Commercial Services-Finance - 1.6%
Block, Inc., Class A†							4,794				650,066
S&P Global, Inc.							4,089				1,677,226
											2,327,292
Computer Aided Design - 0.7%
Autodesk, Inc.†							4,821				1,033,381
Computer Data Security - 0.5%
Varonis Systems, Inc.†							15,856				753,794
Computers - 0.8%
Apple, Inc.							6,701				1,170,062
Consulting Services - 0.9%
Booz Allen Hamilton Holding Corp.							14,844				1,303,897
Cosmetics & Toiletries - 0.9%
Estee Lauder Cos., Inc., Class A							1,536				418,283
Proya Cosmetics Co., Ltd., Class A							29,558				875,883
											1,294,166
Data Processing/Management - 0.9%
Fidelity National Information Services, Inc.							13,492				1,354,867
Diagnostic Equipment - 0.3%
Danaher Corp.							1,529				448,502
Distribution/Wholesale - 1.3%
Copart, Inc.†							5,463				685,443
LKQ Corp.							26,439				1,200,595
											1,886,038
Diversified Banking Institutions - 2.6%
HSBC Holdings PLC							229,871				1,575,087
Mitsubishi UFJ Financial Group, Inc.							214,900				1,333,922
UniCredit SpA							86,850				937,716
											3,846,725
Diversified Manufacturing Operations - 1.0%
Siemens AG							11,198				1,551,619
Drug Delivery Systems - 0.3%
DexCom, Inc.†							760				388,816
E-Commerce/Products - 1.8%
Amazon.com, Inc.†							683				2,226,546
Chewy, Inc., Class A†							10,611				432,716
											2,659,262
E-Commerce/Services - 2.3%
Airbnb, Inc., Class A†							7,849				1,348,144
Match Group, Inc.†							8,774				954,085
Uber Technologies, Inc.†							29,651				1,057,948
											3,360,177
Electric-Generation - 1.0%
RWE AG							35,276				1,538,680
Electric-Integrated - 0.6%
Duke Energy Corp.							8,238				919,855
Electronic Components-Semiconductors - 1.3%
Marvell Technology, Inc.							6,780				486,194
Samsung Electronics Co., Ltd.							26,414				1,508,969
											1,995,163
Electronic Measurement Instruments - 1.0%
Agilent Technologies, Inc.							11,154				1,476,009
Enterprise Software/Service - 1.6%
Avalara, Inc.†							7,783				774,486
salesforce.com, Inc.†							7,288				1,547,388
											2,321,874
Entertainment Software - 0.4%
Electronic Arts, Inc.							4,395				556,011
Environmental Consulting & Engineering - 0.1%
Tetra Tech, Inc.							619				102,098
Finance-Credit Card - 1.6%
Visa, Inc., Class A							10,581				2,346,548
Finance-Investment Banker/Broker - 1.4%
Charles Schwab Corp.							17,537				1,478,545
XP, Inc., Class A†							19,223				578,612
											2,057,157
Finance-Leasing Companies - 0.4%
AerCap Holdings NV†							10,343				520,046
Finance-Other Services - 0.6%
London Stock Exchange Group PLC							8,409				878,536
Human Resources - 0.1%
Recruit Holdings Co., Ltd.							2,704				118,374
Industrial Automated/Robotic - 0.4%
Keyence Corp.							1,430				664,847
Insurance Brokers - 0.8%
Marsh & McLennan Cos., Inc.							6,704				1,142,496
Internet Application Software - 0.1%
Okta, Inc.†							800				120,768
Internet Content-Entertainment - 0.6%
Snap, Inc., Class A†							25,258				909,035
Internet Content-Information/News - 0.3%
Tencent Holdings, Ltd.							9,200				434,014
Machine Tools & Related Products - 0.8%
Techtronic Industries Co., Ltd.							76,000				1,224,344
Machinery-Farming - 1.0%
Deere & Co.							3,688				1,532,216
Machinery-General Industrial - 0.9%
Westinghouse Air Brake Technologies Corp.							13,784				1,325,607

---

Medical Labs & Testing Services - 0.7%
Lonza Group AG							1,404				1,017,175
Medical Products - 0.9%
Baxter International, Inc.							17,655				1,368,969
Medical-Biomedical/Gene - 0.7%
Illumina, Inc.†							1,233				430,810
Seagen, Inc.†							4,496				647,649
											1,078,459
Medical-Drugs - 1.8%
Ascendis Pharma A/S ADR†							4,117				483,171
AstraZeneca PLC							10,320				1,368,547
Eli Lilly & Co.							2,893				828,469
											2,680,187
Medical-HMO - 2.1%
Anthem, Inc.							3,598				1,767,410
UnitedHealth Group, Inc.							2,700				1,376,919
											3,144,329
Metal-Diversified - 1.3%
Anglo American PLC							36,974				1,906,988
Oil Companies-Exploration & Production - 1.2%
ConocoPhillips							17,393				1,739,300
Oil Refining & Marketing - 1.5%
Phillips 66							14,370				1,241,424
Reliance Industries, Ltd. GDR*							13,451				928,119
											2,169,543
Oil-Field Services - 1.1%
Schlumberger NV							37,895				1,565,442
Private Equity - 1.0%
Ares Management Corp., Class A							10,834				880,046
Intermediate Capital Group PLC							28,561				663,772
											1,543,818
Real Estate Investment Trusts - 2.9%
Alexandria Real Estate Equities, Inc.							8,964				1,804,005
Klepierre SA							42,891				1,140,390
Prologis, Inc.							8,594				1,387,759
											4,332,154
Rental Auto/Equipment - 0.6%
Localiza Rent a Car SA							71,200				913,731
Retail-Apparel/Shoe - 1.0%
Burlington Stores, Inc.†							5,634				1,026,346
Li Ning Co., Ltd.							53,000				454,262
											1,480,608
Retail-Jewelry - 0.8%
Cie Financiere Richemont SA							9,746				1,236,265
Retail-Restaurants - 0.7%
Chipotle Mexican Grill, Inc.†							631				998,261
Semiconductor Components-Integrated Circuits - 1.1%
Taiwan Semiconductor Manufacturing Co., Ltd.							79,000				1,633,280
Theaters - 0.1%
Live Nation Entertainment, Inc.†							1,729				203,400
Transport-Rail - 1.1%
Canadian Pacific Railway, Ltd.							19,075				1,574,338
Web Portals/ISP - 2.7%
Alphabet, Inc., Class C†							1,403				3,918,565
Wireless Equipment - 0.7%
Motorola Solutions, Inc.							4,309				1,043,640
Total Common Stocks         (cost $91,847,055)											91,571,912
EXCHANGE-TRADED FUNDS - 0.9%
iShares MSCI ACWI ETF							12,463				1,243,558
iShares MSCI Japan ETF							2,182				134,433
Total Exchange-Traded Funds         (cost $1,396,737)											1,377,991
U.S. CORPORATE BONDS & NOTES - 1.4%
Broadcast Services/Program - 0.1%
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024						$	120,000				121,322
Cable/Satellite TV - 0.1%
Comcast Corp. Company Guar. Notes zero coupon due 09/14/2026			EUR				100,000				105,184
Computer Services - 0.1%
International Business Machines Corp. Senior Notes 2.85% due 05/13/2022							100,000				100,205
Diversified Banking Institutions - 0.2%
Bank of America Corp. Senior Notes 1.49% due 05/19/2024							100,000				98,581
Bank of America Corp. Senior Notes 3.38% due 04/02/2026							130,000				129,973

---

Goldman Sachs Group, Inc. Senior Notes 0.63% due 11/17/2023							105,000				103,689
JPMorgan Chase & Co. Senior Notes 1.51% due 06/01/2024							70,000				69,126
Morgan Stanley Senior Notes 0.53% due 01/25/2024							130,000				127,924
											529,293
Electric-Integrated - 0.1%
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 0.65% due 03/01/2023							140,000				137,997
Finance-Investment Banker/Broker - 0.1%
Charles Schwab Corp. Senior Notes 0.75% due 03/18/2024							80,000				77,397
Finance-Other Services - 0.1%
Intercontinental Exchange, Inc. Senior Notes 0.70% due 06/15/2023							55,000				53,870
Nasdaq, Inc. Senior Notes 0.45% due 12/21/2022							45,000				44,492
											98,362
Food-Confectionery - 0.1%
Mondelez International, Inc. Senior Notes 0.25% due 03/17/2028			EUR				100,000				102,942
Insurance-Life/Health - 0.1%
Equitable Financial Life Global Funding Sec. Notes 0.50% due 04/06/2023*							160,000				157,160
Principal Life Global Funding II Sec. Notes 1.25% due 06/23/2025*							25,000				23,466
											180,626
Medical-Biomedical/Gene - 0.1%
Gilead Sciences, Inc. Senior Notes 0.75% due 09/29/2023							86,000				84,036
Medical-Drugs - 0.1%
AbbVie, Inc. Senior Notes 2.30% due 11/21/2022							80,000				80,256
Bristol-Myers Squibb Co. Senior Notes 0.54% due 11/13/2023							120,000				116,725
											196,981
Medical-HMO - 0.1%
Anthem, Inc. Senior Notes 0.45% due 03/15/2023							150,000				147,580
UnitedHealth Group, Inc. Senior Notes 1.25% due 01/15/2026							15,000				14,131
											161,711
Real Estate Investment Trusts - 0.0%
American Tower Corp. Senior Notes 1.30% due 09/15/2025							45,000				41,971
Retail-Restaurants - 0.0%
Starbucks Corp. Senior Notes 1.30% due 05/07/2022							30,000				30,005
Telephone-Integrated - 0.1%
AT&T, Inc. Senior Notes 1.65% due 02/01/2028							80,000				73,023
Verizon Communications, Inc. Senior Notes 2.10% due 03/22/2028							105,000				98,045
											171,068
Total U.S. Corporate Bonds & Notes         (cost $1,905,208)											2,139,100
FOREIGN CORPORATE BONDS & NOTES - 0.3%
Electric-Distribution - 0.0%
E.ON SE Senior Notes zero coupon due 12/18/2023			EUR				50,000				55,053
Finance-Auto Loans - 0.1%
FCA Bank SpA Senior Notes 1.25% due 06/21/2022			EUR				100,000				110,809
Finance-Leasing Companies - 0.1%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Company Guar. Notes 1.15% due 10/29/2023							180,000				172,403
Transport-Rail - 0.1%
Canadian Pacific Railway Co. Company Guar. Notes 1.35% due 12/02/2024							145,000				139,162
Total Foreign Corporate Bonds & Notes         (cost $506,789)											477,427
FOREIGN GOVERNMENT OBLIGATIONS - 21.2%
Sovereign - 21.2%
Commonwealth of Australia Senior Notes 0.25% due 11/21/2024			AUD				112,000				79,742
Commonwealth of Australia Senior Notes 0.25% due 11/21/2025			AUD				216,000				149,155
Commonwealth of Australia Senior Notes 2.75% due 11/21/2027			AUD				173,000				130,015
Commonwealth of Australia Senior Notes 2.75% due 05/21/2041			AUD				35,000				24,595
Commonwealth of Australia Senior Notes 3.00% due 03/21/2047			AUD				139,000				99,542
Commonwealth of Australia Senior Notes 3.25% due 04/21/2029			AUD				374,000				288,888
Federal Republic of Germany Bonds zero coupon due 10/18/2024			EUR				31,000				34,256

---

Federal Republic of Germany Bonds zero coupon due 10/09/2026			EUR				385,000				419,508
Federal Republic of Germany Bonds zero coupon due 08/15/2030			EUR				520,000				554,720
Federal Republic of Germany Bonds zero coupon due 08/15/2031			EUR				175,000				184,583
Federal Republic of Germany Bonds zero coupon due 05/15/2035			EUR				147,000				149,819
Federal Republic of Germany Bonds zero coupon due 05/15/2036			EUR				36,000				36,386
Federal Republic of Germany Bonds 1.25% due 08/15/2048			EUR				78,000				99,904
Federal Republic of Germany Bonds 1.50% due 09/04/2022			EUR				751,000				838,105
Federal Republic of Germany Bonds 4.75% due 07/04/2040			EUR				162,000				307,412
Government of Canada Bonds 0.25% due 08/01/2022			CAD				179,000				142,860
Government of Canada Bonds 0.25% due 04/01/2024			CAD				209,000				160,696
Government of Canada Bonds 0.50% due 12/01/2030			CAD				197,000				134,608
Government of Canada Bonds 1.50% due 06/01/2023			CAD				96,000				76,358
Government of Canada Bonds 1.50% due 06/01/2026			CAD				196,000				151,580
Government of Canada Bonds 2.00% due 12/01/2051			CAD				32,000				23,475
Government of Canada Bonds 2.25% due 06/01/2029			CAD				116,000				92,185
Government of Canada Bonds 2.75% due 12/01/2048			CAD				19,000				16,330
Government of Canada Bonds 3.50% due 12/01/2045			CAD				171,000				163,793
Government of Canada Bonds 4.00% due 06/01/2041			CAD				15,000				14,860
Government of France Bonds zero coupon due 03/25/2023			EUR				483,000				536,354
Government of France Bonds zero coupon due 02/25/2024			EUR				190,000				210,279
Government of France Bonds zero coupon due 03/25/2025			EUR				267,000				292,852
Government of France Bonds zero coupon due 02/25/2026			EUR				1,216,000				1,322,802
Government of France Bonds zero coupon due 11/25/2031			EUR				885,000				895,520
Government of France Bonds 0.50% due 06/25/2044*			EUR				175,000				163,503
Government of France Bonds 0.75% due 05/25/2028			EUR				229,000				255,072
Government of France Bonds 1.25% due 05/25/2036*			EUR				46,000				51,597
Government of France Bonds 1.50% due 05/25/2050*			EUR				198,000				225,736
Government of France Bonds 1.75% due 05/25/2066*			EUR				70,000				83,893
Government of France Bonds 2.00% due 05/25/2048*			EUR				35,000				44,311
Government of France Bonds 4.00% due 04/25/2055*			EUR				45,000				83,722
Government of France Bonds 4.50% due 04/25/2041			EUR				153,000				262,017
Government of Japan Bonds 0.10% due 12/20/2026			JPY				3,100,000				25,544
Government of Japan Bonds 0.10% due 03/20/2027			JPY				20,900,000				172,191
Government of Japan Bonds 0.10% due 03/20/2029			JPY				149,050,000				1,223,841
Government of Japan Bonds 0.10% due 12/20/2030			JPY				101,950,000				831,595
Government of Japan Bonds 0.20% due 06/20/2036			JPY				58,700,000				466,712
Government of Japan Bonds 0.30% due 12/20/2024			JPY				17,100,000				141,708
Government of Japan Bonds 0.40% due 12/20/2049			JPY				46,150,000				332,709
Government of Japan Bonds 0.40% due 03/20/2056			JPY				53,200,000				370,364
Government of Japan Bonds 0.60% due 03/20/2023			JPY				62,400,000				515,864
Government of Japan Bonds 0.60% due 06/20/2024			JPY				96,300,000				802,184
Government of Japan Bonds 0.80% due 09/20/2023			JPY				2,200,000				18,297
Government of Japan Bonds 0.80% due 09/20/2047			JPY				91,850,000				748,026
Government of Japan Bonds 1.70% due 06/20/2033			JPY				57,300,000				544,228

---

Government of Japan Bonds 1.80% due 03/20/2043			JPY				5,400,000				53,650
Government of Japan Bonds 1.90% due 09/20/2042			JPY				9,800,000				98,677
Government of Japan Bonds 2.20% due 09/20/2028			JPY				17,300,000				161,407
Government of Japan Bonds 2.30% due 03/20/2039			JPY				44,600,000				468,512
Government of Japan Bonds 2.30% due 03/20/2040			JPY				127,100,000				1,340,511
Government of Malaysia Bonds 2.63% due 04/15/2031			MYR				122,000				25,990
Government of Malaysia Bonds 3.42% due 08/15/2022			MYR				75,000				17,945
Government of Malaysia Bonds 3.48% due 06/14/2024			MYR				462,000				111,221
Government of Malaysia Bonds 3.84% due 04/15/2033			MYR				70,000				16,172
Government of Malaysia Bonds 4.13% due 04/15/2032			MYR				180,000				42,780
Government of Malaysia Bonds 4.76% due 04/07/2037			MYR				173,000				43,254
Kingdom of Belgium Senior Notes zero coupon due 10/22/2027*			EUR				225,000				241,059
Kingdom of Belgium Senior Notes zero coupon due 10/22/2031*			EUR				48,000				48,520
Kingdom of Belgium Senior Notes 0.35% due 06/22/2032*			EUR				210,000				217,257
Kingdom of Belgium Senior Notes 1.40% due 06/22/2053*			EUR				90,000				95,977
Kingdom of Belgium Bonds 4.25% due 03/28/2041*			EUR				99,000				162,298
Kingdom of Denmark Bonds 0.50% due 11/15/2029			DKK				570,000				83,381
Kingdom of Denmark Bonds 4.50% due 11/15/2039			DKK				327,000				77,097
Kingdom of Norway Senior Notes 1.25% due 09/17/2031*			NOK				377,000				38,099
Kingdom of Norway Senior Notes 2.00% due 05/24/2023*			NOK				564,000				64,304
Kingdom of Norway Senior Notes 2.13% due 05/18/2032*			NOK				655,000				71,557
Kingdom of Spain Senior Notes zero coupon due 05/31/2024			EUR				265,000				291,743
Kingdom of Spain Senior Notes zero coupon due 01/31/2026			EUR				779,000				839,054
Kingdom of Spain Senior Notes zero coupon due 01/31/2028			EUR				215,000				225,072
Kingdom of Spain Bonds 0.35% due 07/30/2023			EUR				149,000				165,949
Kingdom of Spain Senior Notes 0.50% due 10/31/2031*			EUR				458,000				467,743
Kingdom of Spain Senior Notes 0.85% due 07/30/2037*			EUR				37,000				36,067
Kingdom of Spain Senior Notes 1.00% due 07/30/2042*			EUR				120,000				114,783
Kingdom of Spain Senior Notes 1.85% due 07/30/2035*			EUR				114,000				130,165
Kingdom of Spain Senior Notes 1.90% due 10/31/2052*			EUR				120,000				126,789
Kingdom of Spain Senior Notes 3.45% due 07/30/2066*			EUR				50,000				71,993
Kingdom of Spain Senior Notes 4.65% due 07/30/2025*			EUR				24,000				30,073
Kingdom of Spain Senior Notes 4.70% due 07/30/2041*			EUR				20,000				32,889
Kingdom of Sweden Bonds 0.13% due 05/12/2031*			SEK				750,000				72,396
Kingdom of the Netherlands Bonds zero coupon due 01/15/2024*			EUR				102,000				112,970
Kingdom of the Netherlands Bonds zero coupon due 01/15/2027*			EUR				191,000				206,704
Kingdom of the Netherlands Bonds zero coupon due 07/15/2031*			EUR				115,000				119,343
Kingdom of the Netherlands Bonds zero coupon due 01/15/2038*			EUR				207,000				198,803
Kingdom of the Netherlands Bonds zero coupon due 01/15/2052*			EUR				55,000				47,713
Republic of Austria Senior Notes zero coupon due 02/20/2031*			EUR				35,000				35,783
Republic of Austria Senior Notes zero coupon due 10/20/2040*			EUR				48,000				42,728
Republic of Austria Senior Notes 0.75% due 10/20/2026*			EUR				159,000				177,976
Republic of Austria Senior Notes 0.75% due 03/20/2051*			EUR				78,000				77,431

---

Republic of Austria Senior Notes 0.85% due 06/30/2120*			EUR				17,000				12,014
Republic of Austria Senior Notes 2.10% due 09/20/2117*			EUR				4,000				5,342
Republic of Austria Senior Notes 2.40% due 05/23/2034*			EUR				83,000				106,471
Republic of Finland Senior Notes 0.13% due 09/15/2031*			EUR				25,000				25,729
Republic of Finland Senior Notes 0.13% due 04/15/2052*			EUR				35,000				29,430
Republic of Finland Senior Notes 0.88% due 09/15/2025*			EUR				48,000				54,110
Republic of Finland Senior Bonds 1.13% due 04/15/2034*			EUR				33,000				37,034
Republic of Ireland Notes zero coupon due 10/18/2031			EUR				67,000				67,256
Republic of Ireland Bonds 1.00% due 05/15/2026			EUR				30,000				33,898
Republic of Ireland Bonds 1.10% due 05/15/2029			EUR				77,000				86,997
Republic of Ireland Bonds 1.50% due 05/15/2050			EUR				31,000				34,735
Republic of Ireland Bonds 1.70% due 05/15/2037			EUR				25,000				29,427
Republic of Italy Senior Notes zero coupon due 01/15/2024			EUR				425,000				467,683
Republic of Italy Senior Notes zero coupon due 04/01/2026			EUR				959,000				1,014,486
Republic of Italy Senior Notes 0.25% due 03/15/2028			EUR				193,000				198,307
Republic of Italy Senior Notes 0.60% due 08/01/2031*			EUR				71,000				69,501
Republic of Italy Bonds 0.95% due 03/15/2023			EUR				149,000				166,699
Republic of Italy Senior Notes 0.95% due 12/01/2031*			EUR				538,000				541,580
Republic of Italy Senior Notes 0.95% due 03/01/2037*			EUR				139,000				129,965
Republic of Italy Senior Bonds 1.35% due 04/01/2030			EUR				68,000				72,879
Republic of Italy Senior Notes 1.50% due 04/30/2045*			EUR				196,000				184,371
Republic of Italy Senior Notes 1.65% due 12/01/2030*			EUR				44,000				47,801
Republic of Italy Senior Notes 1.70% due 09/01/2051*			EUR				33,000				31,111
Republic of Italy Senior Notes 1.80% due 03/01/2041*			EUR				41,000				41,696
Republic of Italy Senior Notes 1.85% due 07/01/2025*			EUR				271,000				308,817
Republic of Italy Senior Notes 2.15% due 03/01/2072*			EUR				40,000				37,730
Republic of Italy Senior Notes 2.70% due 03/01/2047*			EUR				5,000				5,880
Republic of Italy Bonds 2.80% due 03/01/2067*			EUR				34,000				37,963
Republic of Italy Senior Bonds 3.00% due 08/01/2029			EUR				107,000				129,330
Republic of Italy Senior Notes 3.10% due 03/01/2040*			EUR				151,000				186,718
Republic of Italy Senior Bonds 5.00% due 09/01/2040*			EUR				35,000				54,504
Republic of Poland Bonds 1.25% due 10/25/2030			PLN				199,000				34,872
Republic of Poland Bonds 2.50% due 07/25/2027			PLN				375,000				77,146
Republic of Singapore Bonds 1.88% due 10/01/2051			SGD				20,000				12,507
Republic of Singapore Bonds 2.75% due 04/01/2042			SGD				29,000				21,878
Republic of Singapore Bonds 2.88% due 09/01/2030			SGD				35,000				26,849
Republic of Singapore Bonds 3.38% due 09/01/2033			SGD				41,000				33,049
Republic of Singapore Bonds 3.50% due 03/01/2027			SGD				74,000				57,653
State of Israel Bonds 1.50% due 11/30/2023			ILS				531,000				168,064
State of Israel Bonds 1.50% due 05/31/2037			ILS				238,000				65,043
United Kingdom Gilt Treasury Bonds 0.13% due 01/31/2023			GBP				324,000				422,047
United Kingdom Gilt Treasury Bonds 0.13% due 01/31/2024			GBP				218,000				279,755
United Kingdom Gilt Treasury Bonds 0.25% due 07/31/2031			GBP				894,000				1,038,088
United Kingdom Gilt Treasury Notes 0.38% due 10/22/2026			GBP				378,000				472,803

---

United Kingdom Gilt Treasury Bonds 0.50% due 10/22/2061			GBP				118,000				104,092
United Kingdom Gilt Treasury Bonds 0.88% due 10/22/2029			GBP				368,000				462,043
United Kingdom Gilt Treasury Bonds 1.00% due 04/22/2024			GBP				96,000				125,182
United Kingdom Gilt Treasury Bonds 1.13% due 01/31/2039			GBP				125,000				147,348
United Kingdom Gilt Treasury Bonds 1.25% due 07/31/2051			GBP				264,000				305,433
United Kingdom Gilt Treasury Bonds 1.75% due 09/07/2022			GBP				115,000				151,734
United Kingdom Gilt Treasury Bonds 2.50% due 07/22/2065			GBP				69,000				115,262
United Kingdom Gilt Treasury Bonds 3.50% due 01/22/2045			GBP				45,000				77,579
United Kingdom Gilt Treasury Bonds 4.25% due 12/07/2040			GBP				207,000				376,804
United Kingdom Gilt Treasury Bonds 4.25% due 12/07/2046			GBP				34,000				66,173
United Mexican States Bonds 5.75% due 03/05/2026			MXN				1,519,400				69,475
United Mexican States Bonds 7.75% due 05/29/2031			MXN				843,000				40,834
United Mexican States Bonds 8.00% due 11/07/2047			MXN				154,100				7,381
United Mexican States Senior Notes 8.50% due 11/18/2038			MXN				1,183,600				60,399
United Mexican States Bonds 10.00% due 12/05/2024			MXN				1,914,000				99,672
United Mexican States Bonds 10.00% due 11/20/2036			MXN				543,800				31,230
Total Foreign Government Obligations         (cost $35,349,830)											31,297,990
U.S. GOVERNMENT TREASURIES - 9.5%
United States Treasury Bonds - 2.7%
1.38% due 11/15/2040							682,000				558,734
1.75% due 08/15/2041							891,000				773,082
1.88% due 02/15/2051							552,000				482,569
2.00% due 02/15/2050							775,000				698,317
2.00% due 08/15/2051							366,000				330,029
2.88% due 05/15/2043							43,000				44,579
3.00% due 02/15/2048							323,500				352,691
3.75% due 08/15/2041							157,000				184,806
4.50% due 02/15/2036							173,000				218,872
5.00% due 05/15/2037							271,000				362,526
											4,006,205
United States Treasury Notes - 6.8%
0.13% due 11/30/2022							1,568,000				1,555,873
0.13% due 01/31/2023							517,000				510,941
0.13% due 08/31/2023							614,000				597,643
0.25% due 09/30/2025							1,408,000				1,302,125
0.38% due 01/31/2026							1,309,000				1,207,706
0.50% due 03/31/2025(2)							225,000				212,186
0.50% due 02/28/2026							495,000				458,165
0.75% due 04/30/2026							339,000				316,131
0.75% due 08/31/2026							841,000				780,553
1.25% due 08/15/2031							1,439,000				1,308,815
1.63% due 10/31/2026							167,000				160,972
2.13% due 06/30/2022							361,000				362,382
2.38% due 05/15/2029							141,000				140,752
2.50% due 05/15/2024							1,005,000				1,007,787
2.75% due 02/15/2028							48,000				48,799
											9,970,830
Total U.S. Government Treasuries         (cost $14,899,654)											13,977,035
OPTIONS - PURCHASED † - 0.0%
Over the Counter Call Options(4)							64,000				4,751
Over the Counter Put Options(4)							10,000				2,504
Total Options Purchased         (cost $5,718)											7,255
Total Long-Term Investment Securities         (cost $145,910,991)											140,848,710
SHORT-TERM INVESTMENT SECURITIES - 1.3%
Commercial Paper - 1.3%
AT&T, Inc. 0.06% due 04/11/2022							500,000				499,905
National Grid PLC 0.75% due 05/04/2022							300,000				299,728
Verizon Communications, Inc. 0.77% due 04/06/2022							600,000				599,944
VW Credit, Inc. 0.82% due 04/07/2022							500,000				499,944
Total Short-Term Investment Securities         (cost $1,899,578)											1,899,521
REPURCHASE AGREEMENTS - 2.1%
Bank of America Securities LLC Joint Repurchase Agreement(3)							660,000				660,000
Barclays Capital, Inc. Joint Repurchase Agreement(3)							535,000				535,000
BNP Paribas SA Joint Repurchase Agreement(3)							460,000				460,000
Deutsche Bank AG Joint Repurchase Agreement(3)							705,000				705,000
RBS Securities, Inc. Joint Repurchase Agreement(3)							690,000				690,000
Total Repurchase Agreements         (cost $3,050,000)											3,050,000
TOTAL INVESTMENTS         (cost $150,860,569)							98.7	%			145,798,231
Other assets less liabilities							1.3				1,963,271
NET ASSETS							100.0	%		$	147,761,502

 

 

†	Non-income producing security

*

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $6,750,694 representing 4.6% of net assets.

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

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

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

(4)	Options —Purchased

Over the Counter Purchased Call Options on Currency Contracts

 

Issue		Counterparty		Expiration Month		Strike Rate				Notional Amount (000’s)				Premiums Paid				Value at March 31, 2022				Unrealized Appreciation (Depreciation)
Call option to buy European Currency in exchange for Swiss Franc at the strike price of 1.05 CHF per 1.00 EUR		Bank of America N.A		September 2022		CHF	1.05			EUR	9			$	1,576			$	879			$	(697	)
Call option to buy New Zealand dollar in exchange for U.S. Dollar at the strike price of $0.72 USD per 1.00 NZD		Bank of America N.A		April 2022		USD	0.72			NZD	15				750				912				162
Call option to buy New Zealand dollar in exchange for U.S. Dollar at the strike price of $0.73 USD per 1.00 NZD		Bank of America N.A		May 2022		USD	0.73			NZD	10				398				740				342
Call option to buy New Zealand dollar in exchange for U.S. Dollar at the strike price of $0.73 USD per 1.00 NZD		Bank of America N.A		May 2022		USD	0.73			NZD	30				1,824				2,220				396
														$	4,548			$	4,751			$	203

Over the Counter Purchased Put Options on Currency Contracts

 

Issue

Counterparty

Expiration Month

Strike Rate

Notional Amount (000’s)

Premiums Paid

Value at March 31, 2022

Unrealized Appreciation (Depreciation)

Put options to sell USD in exchange for Canadian Dollar at the strike price of 1.23 CAD per $1.00 USD

Goldman Sachs International

May 2022

CAD

1.23

USD

10

$

1,170

$

2,504

$

1,334

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

GDR - Global Depositary Receipt

Currency Legend

 

AUD -		Australian Dollar
CAD -		Canadian Dollar
CHF -		Swiss Franc
DKK -		Danish Krone
EUR -		Euro Currency
GBP -		British Sterling Pound
ILS -		Israeli New Shekel
JPY -		Japanese Yen
MXN -		Mexican Peso

---

MYR -		Malaysian Ringgit
NOK -		Norwegian Krone
NZD -		New Zealand Dollar
PLN -		Poland Zloty
SEK -		Swedish Krona
SGD -		Singapore Dollar
USD -		United States Dollar

 

Over the Counter Written Call Options on Currency Contracts
Issue		Counterparty				Expiration Month				Strike Rate				Notional Amount (000’s)				Premiums Paid				Value at March 31, 2022				Unrealized Appreciation (Depreciation)
Call option to buy Australian Dollar in exchange for Japanese Yen at the strike price of 89.05 JPY per 1.00 AUD			Goldman Sachs International				April 2022				JPY 89.05				AUD 70			$	367			$	1,375			$	(1,008	)
Call option to buy Euro Currency in exchange for U.S. Dollar at the strike price of $1.12 USD per 1.00 EUR			Goldman Sachs International				April 2022				USD $ 1.12				EUR 94				477				118				359
Call option to buy Euro Currency in exchange for U.S. Dollar at the strike price of $1.11 USD per 1.00 EUR			Bank of America N.A.				April 2022				USD $ 1.11				EUR 47				245				163				82
Call option to buy Euro Currency in exchange for Japanese Yen at the strike price of 135.00 JPY per 1.00 EUR			Bank of America N.A.				April 2022				JPY 135.00				EUR 93				515				921				(406	)
Call option to buy U.S. Dollar in exchange for Mexican Peso at the strike price of 21.75 MXN per $1.00 USD			Bank of America N.A.				April 2022				MXN 21.75				$53				574				0				574
Call option to buy U.S. Dollar in exchange for Swedish Krona at the strike price of 10.00 SEK per $1.00 USD			Bank of America N.A.				April 2022				SEK 10.00				$157				1,171				5				1,166
Call option to buy U.S. Dollar in exchange for South African Rand at the strike price of 15.50 ZAR per $1.00 USD			Bank of America N.A.				April 2022				ZAR 15.50				$156				1,545				74				1,471
Call option to buy U.S. Dollar in exchange for Norwegian Krona at the strike price of 9.20 NOK per $1.00 USD			Bank of America N.A.				April 2022				NOK 9.20				$52				464				42				422
Call option to buy U.S. Dollar in exchange for South African Rand at the strike price of 15.75 ZAR per $1.00 USD			Bank of America N.A.				June 2022				ZAR 15.75				$103				1,546				940				606
Call option to buy U.S. Dollar in exchange for Canadian Dollar at the strike price of 1.27 CAD per $1.00 USD			Goldman Sachs International				April 2022				CAD 1.27				$155				612				278				334
Call option to buy U.S. Dollar in exchange for Norwegian Krona at the strike price of 8.90 NOK per $1.00 USD			Bank of America N.A.				April 2022				NOK 8.90				$103				800				788				12
																		$	8,316			$	4,704			$	3,612

 

Over the Counter Written Put Options on Currency Contracts
Issue		Counterparty				Expiration Month				Strike Rate				Notional Amount (000’s)				Premiums Paid				Value at March 31, 2022				Unrealized Appreciation (Depreciation)
Put option to sell Australian Dollar in exchange for U.S. Dollar at the strike price of $0.72 USD per 1.00 AUD			Bank of America N.A.				April 2022				$0.72				AUD 70			$	442			$	21			$	421
Put option to sell Australian Dollar in exchange for U.S. Dollar at the strike price of $0.72 USD per 1.00 AUD			Bank of America N.A.				April 2022				$0.72				AUD 140				667				61				606
Put option to sell Australian Dollar in exchange for Japanese Yen at the strike price of 85.45 JPY per 1.00 AUD			Bank of America N.A.				April 2022				JPY 85.45				AUD 70				271				36				235
Put option to sell Australian Dollar in exchange for U.S. Dollar at the strike price of $0.74 USD per 1.00 AUD			Goldman Sachs International				April 2022				$0.74				AUD 210				1,808				770				1,038
Put option to sell Canadian Dollar in exchange for Japanese Yen at the strike price of 88.60 JPY per 1.00 CAD			Bank of America N.A.				April 2022				JPY 88.60				CAD 135				544				0				544
Put option to sell Canadian Dollar in exchange for Japanese Yen at the strike price of 92.70 JPY per 1.00 CAD			Goldman Sachs International				April 2022				JPY 92.70				CAD 260				1,239				226				1,013
Put option to sell Euro Currency in exchange for U.S. Dollar at the strike price of $1.07 USD per 1.00 EUR			Goldman Sachs International				April 2022				$1.07				EUR 94				467				48				419
Put option to sell Euro Currency in exchange for U.S. Dollar at the strike price of $1.09 USD per 1.00 EUR			Bank of America N.A.				April 2022				$1.09				EUR 93				562				290				272
Put option to sell New Zealand Dollar in exchange for U.S. Dollar at the strike price of $0.68 USD per 1.00 NZD			Goldman Sachs International				April 2022				$0.68				NZD 155				741				34				707
Put option to sell New Zealand Dollar in exchange for U.S. Dollar at the strike price of $0.69 USD per 1.00 NZD			Goldman Sachs International				April 2022				$0.69				NZD 230				1,822				451				1,371
Put option to sell U.S. Dollar in exchange for Swedish Krona at the strike price of 9.35 SEK per $1.00 USD			Bank of America N.A.				April 2022				SEK 9.35				$157				1,112				846				266
Put option to sell U.S. Dollar in exchange for Mexican Peso at the strike price of 20.65 MXN per $1.00 USD			Bank of America N.A.				April 2022				MXN 20.65				$156				1,147				5,853				(4,706	)
Put option to sell U.S. Dollar in exchange for Norwegian Krona at the strike price of 8.80 NOK per $1.00 USD			Bank of America N.A.				April 2022				NOK 8.80				$103				602				1,062				(460	)
Put option to sell U.S. Dollar in exchange for Swiss Franc at the strike price of 0.93 CHF per $1.00 USD			Bank of America N.A.				April 2022				CHF 0.93				$102				537				1,028				(491	)
																		$	11,961			$	10,726			$	1,235

Futures Contracts

Number of Contracts		Type		Description		Expiration Month		Notional Basis*				Notional Value*				Unrealized Appreciation
4		Short		Euro-BUND		June 2022		$	733,178			$	702,070			$	31,108
8		Short		Long Gilt		June 2022			1,284,565				1,274,030				10,535
1		Short		U.S. Treasury Ultra 10 Year Notes		June 2022			139,527				135,469				4,058
																$	45,701
																Unrealized (Depreciation)
1		Long		Australian 10 Year Bonds		June 2022		$	98,756			$	94,842			$	(3,914	)
1		Long		Euro-BOBL		June 2022			143,560				142,551				(1,009	)
1		Long		Euro-BUXL		June 2022			220,940				205,984				(14,956	)
3		Long		Euro-Schatz		June 2022			370,783				367,502				(3,281	)
9		Long		U.S. Treasury 2 Year Notes		June 2022			1,932,978				1,907,297				(25,681	)
24		Long		U.S. Treasury 5 Year Notes		June 2022			2,762,055				2,752,500				(9,555	)
19		Long		U.S. Treasury 10 Year Notes		June 2022			2,398,180				2,334,625				(63,555	)
3		Long		U.S. Treasury Ultra Bonds		June 2022			549,591				531,375				(18,216	)
																$	(140,167	)
				Net Unrealized Appreciation (Depreciation)												$	(94,466	)

 

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

---

Forward Foreign Currency Contracts

Counterparty		Contract to Deliver						In Exchange For						Delivery Date				Unrealized Appreciation				Unrealized (Depreciation)
Australia and New Zealand Banking Group		CAD			30,000			USD			23,979				05/06/2022			$	—			$	(14	)
Banco Merrill Lynch De Investmentos SA		USD			107,645			BRL			510,000				04/04/2022				—				(526	)
Bank of America, N.A.		AUD			70,000			USD			51,732				04/06/2022				—				(650	)
		BRL			510,000			USD			103,914				04/04/2022				—				(3,205	)
		BRL			245,000			USD			51,010				05/03/2022				—				(38	)
		CAD			65,000			USD			52,053				04/06/2022				60				—
		CLP			24,600,000			USD			31,577				04/06/2022				321				—
		GBP			154,000			USD			202,699				04/06/2022				400				—
		KRW			187,760,000			USD			154,422				04/06/2022				—				(378	)
		KRW			61,800,000			USD			50,990				05/06/2022				154				—
		MXN			2,300,000			USD			112,909				04/06/2022				—				(2,687	)
		NOK			470,000			USD			52,430				04/06/2022				—				(955	)
		NZD			75,000			USD			50,988				04/06/2022				—				(990	)
		PLN			1,208,000			USD			284,934				04/06/2022				—				(2,519	)
		TWD			7,425,000			USD			262,909				04/06/2022				3,761				—
		TWD			1,460,000			USD			51,103				05/06/2022				80				—
		USD			50,878			AUD			70,000				04/06/2022				1,505				—
		USD			206,109			EUR			187,000				04/06/2022				771				—
		USD			51,989			GBP			39,000				04/06/2022				—				(758	)
		USD			51,347			JPY			6,200,000				04/06/2022				—				(417	)
		USD			156,556			KRW			192,710,000				04/06/2022				2,325				—
		USD			165,195			MXN			3,400,000				04/06/2022				5,687				—
		USD			259,802			TWD			7,425,000				04/06/2022				—				(653	)
		USD			114,523			ZAR			1,730,000				04/06/2022				3,839				—
		USD			21,009			CLP			16,500,000				05/06/2022				—				(158	)
		USD			20,336			ZAR			300,000				05/06/2022				111				—
		ZAR			1,110,000			USD			73,149				04/06/2022				—				(2,795	)
																			19,014				(16,203	)
Barclays Bank PLC		AUD			1,300,000			USD			939,969				04/06/2022				—				(32,841	)
		CHF			50,000			USD			53,527				04/06/2022				—				(586	)
		CHF			95,000			USD			102,163				05/06/2022				—				(759	)
		EUR			191,000			USD			210,746				04/06/2022				—				(559	)
		GBP			197,000			USD			260,687				04/06/2022				1,903				—
		ILS			793,000			USD			246,541				05/06/2022				—				(2,099	)
		NOK			1,421,000			USD			158,390				04/06/2022				—				(3,013	)
		NZD			150,000			USD			102,712				04/06/2022				—				(1,244	)
		NZD			35,000			USD			24,300				05/06/2022				55				—
		PLN			758,000			USD			176,173				05/06/2022				—				(3,679	)
		SGD			231,000			USD			169,737				05/06/2022				—				(677	)
		TRY			20,000			USD			1,353				04/06/2022				—				(7	)
		USD			153,534			AUD			205,000				04/06/2022				—				(129	)
		USD			43,372			CAD			55,000				04/06/2022				622				—
		USD			53,639			CHF			50,000				04/06/2022				474				—
		USD			488,205			EUR			435,000				04/06/2022				—				(6,960	)
		USD			197,163			GBP			149,000				04/06/2022				—				(1,433	)
		USD			246,296			ILS			793,000				04/06/2022				2,213				—

---

			USD				114,689			JPY			13,200,000				04/06/2022				—				(6,258	)
			USD				51,315			NOK			460,000				04/06/2022				934				—
			USD				78,477			NZD			115,000				04/06/2022				1,222				—
			USD				176,690			PLN			758,000				04/06/2022				3,682				—
			USD				169,753			SGD			231,000				04/06/2022				680				—
			USD				1,345			TRY			20,000				04/06/2022				15				—
			USD				133,890			CHF			125,000				05/06/2022				1,534				—
			USD				102,174			GBP			78,000				05/06/2022				270				—
																					13,604				(60,244	)
BNP Paribas SA			AUD				280,000			USD			206,293				04/06/2022				—				(3,235	)
			CAD				130,000			USD			101,420				04/06/2022				—				(2,566	)
			CHF				209,000			USD			225,050				04/06/2022				—				(1,142	)
			DKK				1,235,000			USD			185,672				04/06/2022				1,995				—
			EUR				94,000			USD			102,911				04/06/2022				—				(1,082	)
			JPY				1,073,365,000			USD			9,263,465				04/06/2022				446,319				—
			JPY				1,000,028,000			USD			8,086,393				05/06/2022				—				(132,899	)
			NOK				460,000			USD			52,294				04/06/2022				45				—
			NOK				440,000			USD			51,249				05/06/2022				1,290				—
			NZD				190,000			USD			129,598				04/06/2022				—				(2,080	)
			SEK				670,000			USD			70,656				04/06/2022				—				(604	)
			SEK				800,000			USD			84,418				05/06/2022				—				(717	)
			USD				259,164			CAD			330,000				04/06/2022				4,802				—
			USD				106,728			CHF			100,000				04/06/2022				1,497				—
			USD				258,630			EUR			235,000				04/06/2022				1,353				—
			USD				233,891			GBP			178,000				04/06/2022				—				(66	)
			USD				8,353,518			JPY			1,031,478,000				04/06/2022				119,547				—
			USD				30,867			MXN			650,000				04/06/2022				1,801				—
			USD				30,821			NOK			270,000				04/06/2022				—				(153	)
			USD				154,744			NZD			225,000				04/06/2022				1,189				—
			USD				110,387			SEK			1,060,000				04/06/2022				2,354				—
			USD				56,337			AUD			75,000				05/06/2022				—				(192	)
			USD				51,235			GBP			39,000				05/06/2022				—				(13	)
			USD				365,090			JPY			45,150,000				05/06/2022				6,000				—
			USD				70,700			SEK			670,000				05/06/2022				601				—
																					588,793				(144,749	)
Canadian Imperial Bank of Commerce			CAD				1,279,000			USD			1,005,076				04/06/2022				—				(17,991	)
			USD				21,217			CAD			27,000				04/06/2022				380				—
																					380				(17,991	)
Citibank N.A.			AUD				70,000			USD			51,621				04/06/2022				—				(761	)
			CAD				165,000			USD			130,258				04/06/2022				—				(1,725	)
			CHF				100,000			USD			107,358				04/06/2022				—				(868	)
			CHF				75,000			USD			81,339				05/06/2022				84				—
			EUR				286,000			USD			315,611				04/06/2022				—				(794	)
			GBP				79,000			USD			102,841				04/06/2022				—				(935	)
			JPY				12,200,000			USD			105,468				04/06/2022				5,251				—
			MXN				16,344,000			USD			807,643				04/06/2022				—				(13,794	)
			MXN				6,804,000			USD			339,191				05/06/2022				—				(973	)
			NOK				950,000			USD			105,687				04/06/2022				—				(2,218	)
			NZD				80,000			USD			54,380				04/06/2022				—				(1,063	)
			SGD				231,000			USD			170,616				04/06/2022				183				—
			USD				76,664			AUD			105,000				04/06/2022				1,910				—
			USD				27,510			CAD			35,000				04/06/2022				487				—

---

		USD			336,513			CHF			315,000				04/06/2022				4,399				—
		USD			158,158			GBP			119,000				04/06/2022				—				(1,837	)
		USD			128,275			JPY			15,600,000				04/06/2022				—				(129	)
		USD			651,183			MXN			13,194,000				04/06/2022				11,938				—
		USD			153,919			NZD			225,000				04/06/2022				2,015				—
		USD			77,947			PLN			340,000				04/06/2022				2,958				—
		USD			103,987			SEK			990,000				04/06/2022				1,309				—
		USD			52,542			AUD			70,000				05/06/2022				—				(140	)
		USD			423,739			MXN			8,500,000				05/06/2022				1,215				—
																			31,749				(25,237	)
Commonwealth Bank of Australia Sydney		JPY			6,213,000			USD			53,835				04/06/2022				2,799				—
		USD			38,094			AUD			53,000				04/06/2022				1,567				—
																			4,366				—
Credit Suisse International		NZD			75,000			USD			52,178				05/06/2022				225				—
		USD			51,599			JPY			6,100,000				04/06/2022				—				(1,491	)
																			225				(1,491	)
Deutsche Bank AG		EUR			47,000			USD			51,655				04/06/2022				—				(342	)
		USD			52,192			GBP			40,000				04/06/2022				353				—
		USD			102,797			JPY			12,200,000				04/06/2022				—				(2,580	)
		USD			51,799			NZD			75,000				05/06/2022				154				—
																			507				(2,922	)
Goldman Sachs International		AUD			35,000			USD			26,259				05/06/2022				58				—
		BRL			510,000			USD			107,645				04/04/2022				526				—
		BRL			510,000			USD			105,522				05/03/2022				—				(740	)
		KRW			254,860,000			USD			209,100				04/06/2022				—				(1,021	)
		KRW			62,360,000			USD			50,879				05/06/2022				—				(419	)
		NZD			75,000			USD			51,269				04/06/2022				—				(709	)
		TRY			380,000			USD			25,321				04/06/2022				—				(514	)
		TRY			760,000			USD			49,596				05/06/2022				—				(914	)
		TWD			10,350,000			USD			365,192				04/06/2022				3,954				—
		USD			106,347			BRL			510,000				04/04/2022				772				—
		USD			30,977			CLP			24,600,000				04/06/2022				279				—
		USD			51,513			GBP			39,000				04/06/2022				—				(281	)
		USD			204,834			KRW			249,910,000				04/06/2022				1,205				—
		USD			30,978			MXN			640,000				04/06/2022				1,188				—
		USD			364,213			TWD			10,350,000				04/06/2022				—				(2,975	)
		USD			25,790			ZAR			400,000				04/06/2022				1,577				—
		USD			520,112			EUR			467,000				05/06/2022				—				(2,994	)
		USD			119,505			GBP			91,000				05/06/2022				14				—
		USD			51,183			KRW			62,720,000				05/06/2022				410				—
		USD			1,390			TWD			40,000				05/06/2022				8				—
		ZAR			2,910,000			USD			190,518				04/06/2022				—				(8,577	)
																			9,991				(19,144	)
HSBC Bank PLC		GBP			25,000			USD			32,854				05/06/2022				20				—
		MYR			1,096,000			USD			260,791				04/06/2022				404				—
		MYR			1,096,000			USD			259,371				05/06/2022				—				(221	)
		USD			259,593			MYR			1,096,000				04/06/2022				794				—
																			1,218				(221	)
JPMorgan Chase Bank N.A		AUD			410,000			USD			300,846				04/06/2022				—				(5,963	)
		CAD			135,000			USD			107,569				04/06/2022				—				(417	)
		CHF			380,000			USD			411,577				04/06/2022				319				—
		EUR			257,000			USD			282,946				04/06/2022				—				(1,375	)

---

		GBP			115,000			USD			152,635				04/06/2022				1,568				—
		ILS			793,000			USD			243,749				04/06/2022				—				(4,761	)
		JPY			21,100,000			USD			181,287				04/06/2022				7,961				—
		MXN			630,000			USD			30,971				04/06/2022				—				(692	)
		NOK			1,880,000			USD			210,712				04/06/2022				—				(2,826	)
		NZD			385,000			USD			262,832				04/06/2022				—				(3,988	)
		SEK			3,310,000			USD			341,003				04/06/2022				—				(11,046	)
		TRY			380,000			USD			24,639				05/06/2022				—				(616	)
		USD			313,962			AUD			430,000				04/06/2022				7,813				—
		USD			162,226			CAD			205,000				04/06/2022				1,753				—
		USD			209,379			EUR			190,000				04/06/2022				820				—
		USD			131,733			GBP			100,000				04/06/2022				—				(370	)
		USD			158,966			JPY			18,900,000				04/06/2022				—				(3,712	)
		USD			60,095			MXN			1,240,000				04/06/2022				2,226				—
		USD			156,221			NOK			1,390,000				04/06/2022				1,661				—
		USD			153,746			NZD			225,000				04/06/2022				2,188				—
		USD			26,289			PLN			115,000				04/06/2022				1,076				—
		USD			213,909			SEK			2,080,000				04/06/2022				7,319				—
		USD			25,418			TRY			380,000				04/06/2022				417				—
		USD			360,051			ZAR			5,530,000				04/06/2022				18,298				—
		USD			53,717			CHF			50,000				05/06/2022				453				—
		USD			51,215			GBP			39,000				05/06/2022				7				—
		USD			50,847			NOK			440,000				05/06/2022				—				(888	)
		USD			136,764			ZAR			2,020,000				05/06/2022				910				—
		ZAR			3,640,000			USD			242,697				04/06/2022				—				(6,343	)
																			54,789				(42,997	)
Morgan Stanley & Co. International PLC		AUD			355,000			USD			259,717				04/06/2022				—				(5,935	)
		CAD			427,000			USD			339,195				04/06/2022				—				(2,361	)
		CAD			1,289,000			USD			1,029,219				05/06/2022				—				(1,700	)
		CHF			75,000			USD			80,585				04/06/2022				—				(584	)
		DKK			1,235,000			USD			182,210				05/06/2022				—				(1,634	)
		EUR			153,000			USD			169,247				04/06/2022				—				(18	)
		GBP			40,000			USD			52,679				04/06/2022				134				—
		GBP			39,000			USD			51,204				05/06/2022				—				(18	)
		JPY			24,400,000			USD			203,651				04/06/2022				3,217				—
		NOK			270,000			USD			31,214				04/06/2022				546				—
		NOK			1,581,000			USD			182,697				05/06/2022				3,186				—
		NZD			155,000			USD			105,549				04/06/2022				—				(1,872	)
		NZD			150,000			USD			103,652				05/06/2022				—				(254	)
		PLN			5,000			USD			1,175				04/06/2022				—				(15	)
		SEK			800,000			USD			84,296				04/06/2022				—				(791	)
		USD			50,946			AUD			70,000				04/06/2022				1,436				—
		USD			1,130,305			CAD			1,419,000				04/06/2022				4,749				—
		USD			182,033			DKK			1,235,000				04/06/2022				1,644				—
		USD			153,097			EUR			139,000				04/06/2022				680				—
		USD			78,086			GBP			59,000				04/06/2022				—				(582	)
		USD			260,523			JPY			30,500,000				04/06/2022				—				(9,981	)
		USD			20,639			MXN			430,000				04/06/2022				972				—
		USD			186,113			NOK			1,611,000				04/06/2022				—				(3,129	)
		USD			321,524			NZD			475,000				04/06/2022				7,669				—
		USD			16,859			SEK			160,000				04/06/2022				158				—
		USD			205,205			CAD			257,000				05/06/2022				339				—
		USD			31,201			NOK			270,000				05/06/2022				—				(544	)
																			24,730				(29,418	)

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Royal Bank of Canada			CAD				65,000				USD				51,594				04/06/2022				—				(399	)
			MXN				410,000				USD				20,470				05/06/2022				—				(28	)
			USD				51,485				CAD				65,000				04/06/2022				508				—
																							508				(427	)
Standard Chartered Bank			GBP				40,000				USD				53,537				04/06/2022				992				—
			USD				51,500				JPY				6,100,000				04/06/2022				—				(1,392	)
																							992				(1,392	)
State Street Bank & Trust Company			AUD				70,000				USD				52,443				05/06/2022				41				—
			CHF				45,000				USD				48,713				05/06/2022				—				(40	)
			EUR				121,000				USD				135,707				04/06/2022				1,844				—
			EUR				149,000				USD				165,054				05/06/2022				63				—
			GBP				82,000				USD				108,962				04/06/2022				1,244				—
			JPY				9,100,000				USD				78,431				04/06/2022				3,679				—
			MXN				2,360,000				USD				113,575				04/06/2022				—				(5,037	)
			NZD				155,000				USD				105,456				04/06/2022				—				(1,965	)
			USD				51,678				AUD				70,000				04/06/2022				704				—
			USD				26,940				CHF				25,000				04/06/2022				116				—
			USD				104,990				GBP				80,000				04/06/2022				100				—
			USD				51,514				JPY				6,100,000				04/06/2022				—				(1,405	)
			USD				99,669				MXN				2,080,000				04/06/2022				4,870				—
			USD				101,255				AUD				135,000				05/06/2022				—				(195	)
																							12,661				(8,642	)
Toronto Dominion Bank			AUD				1,552,000				USD				1,162,259				05/06/2022				437				—
			GBP				3,272,000				USD				4,378,882				04/06/2022				80,699				—
			GBP				3,176,000				USD				4,160,395				05/06/2022				—				(10,929	)
			JPY				16,156,000				USD				132,817				05/06/2022				30				—
			NOK				160,000				USD				18,066				04/06/2022				—				(107	)
			USD				1,161,827				AUD				1,552,000				04/06/2022				—				(441	)
			USD				101,864				CAD				130,000				04/06/2022				2,123				—
			USD				38,490				EUR				35,000				04/06/2022				231				—
			USD				4,160,878				GBP				3,176,000				04/06/2022				11,197				—
																							94,717				(11,477	)
UBS AG			AUD				70,000				USD				52,533				04/06/2022				151				—
			CHF				264,000				USD				283,025				05/06/2022				—				(2,989	)
			EUR				14,938,000				USD				16,711,439				04/06/2022				185,384				—
			EUR				14,799,000				USD				16,248,636				05/06/2022				—				(138,579	)
			USD				346,164				CHF				324,000				04/06/2022				4,489				—
			USD				16,306,432				EUR				14,866,000				04/06/2022				139,969				—
			USD				209,523				NOK				1,880,000				04/06/2022				4,015				—
			USD				52,052				SEK				490,000				04/06/2022				64				—
			USD				65,948				JPY				8,000,000				05/06/2022				—				(195	)
																							334,072				(141,763	)
Unrealized Appreciation/(Depreciation)																						$	1,192,316			$	(524,858	)

 

AUD -		Australian Dollar
BLR -		Brazilian Real
CAD -		Canadian Dollar
CHF -		Swiss Franc
CLP -		Chilean Peso
DKK -		Danish Krone
EUR -		Euro Currency
GBP -		British Sterling Pound
ILS -		Israeli New Shekel
JPY -		Japanese Yen
KRW -		South Korean Won
MXN -		Mexican Peso
MYR -		Malaysian Ringgit
NOK -		Norwegian Krone
NZD -		New Zealand Dollar
PLN -		Polish Zloty
SEK -		Swedish Krona
SGD -		Singapore Dollar
TRY -		Turkish Lira
USD -		United States Dollar
ZAR -		South African Rand

The following is a summary of the inputs used to value the Portfolio’s net assets as of March 31, 2022 (see Note 1):

 

		Level 1 - Unadjusted Quoted Prices				Level 2 - Other Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
ASSETS:
Investments at Value:*
Common Stocks		$	65,585,107			$	25,986,805	**		$	—			$	91,571,912
Exchange-Traded Funds			1,377,991				—				—				1,377,991
U.S. Corporate Bonds & Notes			—				2,139,100				—				2,139,100
Foreign Corporate Bonds & Notes			—				477,427				—				477,427
Foreign Government Obligations			—				31,297,990				—				31,297,990
U.S. Government Treasuries			—				13,977,035				—				13,977,035
Options-Purchased			—				7,255				—				7,255
Short Term Investments			—				1,899,521				—				1,899,521
Repurchase Agreements			—				3,050,000				—				3,050,000
Total Investments at Value		$	66,963,098			$	78,835,133			$	—			$	145,798,231
Other Financial Instruments:+
Over the Counter Written Call Options on Currency Contracts		$	—			$	5,026			$	—			$	5,026
Over the Counter Written Put Options on Currency Contracts			—				6,892				—				6,892
Futures Contracts			45,701				—				—				45,701
Forward Foreign Currency Contracts			—				1,192,316				—				1,192,316
Total Other Financial Instruments		$	45,701			$	1,204,234			$	—			$	1,249,935
LIABILITIES:
Other Financial Instruments:+
Over the Counter Written Call Options on Currency Contracts		$	—			$	1,414			$	—			$	1,414
Over the Counter Written Put Options on Currency Contracts			—				5,657				—				5,657
Futures Contracts			140,167				—				—				140,167
Forward Foreign Currency Contracts			—				524,858				—				524,858
Total Other Financial Instruments		$	140,167			$	531,929			$	—			$	672,096

 

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

**	Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 1).

+	Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

See Notes to Portfolio of Investments

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NOTES TO PORTFOLIO OF INVESTMENTS — March 31, 2022 — (unaudited)

Note 1. Security Valuation

In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

Level 1 – Unadjusted quoted prices in active markets for identical securities

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (the “Board”), etc.)

Level 3 – Significant unobservable inputs (includes inputs that reflect the Portfolios’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The summary of each Portfolio’s asset and liabilities classified in the fair value hierarchy as of March 31, 2022 is reported on a schedule at the end of each Portfolio’s Portfolio of Investments.

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are

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generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio’s shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.

Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

Senior floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.

Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange for which they are traded, and are generally categorized as Level 1. Option contracts traded in the over-the-counter (“OTC”) market are valued at the mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) in what is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or over-the-counter market, and are generally categorized as Level 1 or Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC procedures”) for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust’s fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

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Note 2. Repurchase Agreements

As of March 31, 2022, the following Portfolios held an undivided interest in a joint repurchase agreement with Bank of America Securities LLC:

 

Portfolio		Percentage Ownership				Principal Amount
SA Wellington Capital Appreciation			10.85	%		$	10,090,000
SA Wellington Government and Quality Bond			85.83				79,815,000
SA Wellington Strategic Multi-Asset			0.71				660,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Bank of America Securities LLC, dated March 31, 2022, bearing interest at a rate of 0.27% per annum, with a principal amount of $92,990,000, a repurchase price of $92,990,697, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:

 

Type of Collateral		Interest Rate				Maturity Date				Principal Amount				Value
U.S. Treasury Notes			2.50	%			03/31/2027			$	94,496,000			$	94,760,843

As of March 31, 2022, the following Portfolios held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:

 

Portfolio		Percentage Ownership				Principal Amount
SA Wellington Capital Appreciation			10.85	%		$	8,135,000
SA Wellington Government and Quality Bond			85.83				64,375,000
SA Wellington Strategic Multi-Asset			0.71				535,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Barclays Capital, Inc., dated March 31, 2022, bearing interest at a rate of 0.30% per annum, with a principal amount of $75,000,000, a repurchase price of $75,000,625, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:

 

Type of Collateral		Interest Rate				Maturity Date				Principal Amount				Value
U.S. Treasury Bonds			3.13	%			08/15/2044			$	70,426,000			$	76,278,641

As of March 31, 2022, the following Portfolios held an undivided interest in a joint repurchase agreement with BNP Paribas SA:

 

Portfolio		Percentage Ownership				Principal Amount
SA Wellington Capital Appreciation			10.85	%		$	7,050,000
SA Wellington Government and Quality Bond			85.83				55,790,000
SA Wellington Strategic Multi-Asset			0.71				460,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

BNP Paribas SA, dated March 31, 2022, bearing interest at a rate of 0.29% per annum, with a principal amount of $65,000,000, a repurchase price of $65,000,524, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:

 

Type of Collateral		Interest Rate				Maturity Date				Principal Amount				Value
U.S. Treasury Bonds			2.25	%			08/15/2046			$	70,584,700			$	66,075,557

As of March 31, 2022, the following Portfolios held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:

 

Portfolio		Percentage Ownership				Principal Amount
SA Wellington Capital Appreciation			10.87	%		$	10,540,000
SA Wellington Government and Quality Bond			85.85				83,270,000
SA Wellington Strategic Multi-Asset			0.73				705,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Deutsche Bank AG, dated March 31, 2022, bearing interest at a rate of 0.26% per annum, with a principal amount of $97,000,000, a repurchase price of $97,000,701, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:

 

Type of Collateral		Interest Rate				Maturity Date				Principal Amount				Value
U.S. Treasury Notes			2.63	%			02/15/2029			$	97,395,000			$	98,854,159

As of March 31, 2022, the following Portfolios held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:

 

Portfolio		Percentage Ownership				Principal Amount
SA Wellington Capital Appreciation			10.85	%		$	10,525,000
SA Wellington Government and Quality Bond			85.83				83,255,000
SA Wellington Strategic Multi-Asset			0.71				690,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

RBS Securities, Inc., dated March 31, 2022, bearing interest at a rate of 0.28% per annum, with a principal amount of $97,000,000, a repurchase price of $97,000,754, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:

 

Type of Collateral		Interest Rate				Maturity Date				Principal Amount				Value
U.S. Treasury Notes			2.25	%			08/15/2027			$	50,000,000			$	49,610,551
U.S. Treasury Notes			2.50	%			05/15/2024			$	48,810,000			$	49,386,206

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Note 3. Derivative Instruments

Forward Foreign Currency Contracts: During the period, the SA Wellington Strategic Multi-Asset Portfolio used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates to manage and/or gain exposure to certain foreign currencies and/or to attempt to enhance return.

A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by the Portfolio as unrealized appreciation or depreciation. On the settlement date, the Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks to the Portfolios of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio’s loss will generally consist of the net amount of contractual payments that a Portfolio has not yet received though the Portfolio’s maximum risk due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported in the Portfolio of Investments. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other Portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of the Portfolio’s Portfolio of Investments.

Futures: During the period, SA Wellington Government and Quality Bond and the SA Wellington Strategic Multi-Asset Portfolios used futures contracts to attempt to increase or decrease exposure to equity, bond and currency markets and to manage duration and yield curve positioning.

A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

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The primary risk to the Portfolios of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(ies). Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Portfolios will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, a Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Portfolios since futures contracts are generally exchange-traded.

Future contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.

Options: During the period, SA Wellington Strategic Multi-Asset Portfolio used option contracts to hedge against the decline in value of a currency. An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a Portfolio writes a call or a put option, it receives a premium which is equal to the current market value of the option written. If a Portfolio purchases a call or a put option, it pays a premium which reflects the current market value of the option. The option position is marked to market daily and its value fluctuates based upon the value of the underlying financial instrument, time to expiration, cost of borrowing funds, and volatility of the value of the underlying financial instrument. If an option which a Portfolio has written either expires on its stipulated expiration date, or if the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option which a Portfolio has written is exercised, the Portfolio realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are increased by the premium originally received. If a put option which a Portfolio has written is exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchased upon exercise of the option. Options may be traded on a national securities exchange or in the OTC market.

Risks to a Portfolio of entering into option contracts include counterparty risk, market risk and, with respect to OTC options, illiquidity risk. Counterparty risk arises from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio’s loss will consist of the net amount of contractual payments that the Portfolio has not yet received. Market risk is the risk that there will be an unfavorable change in the value of the underlying securities. There is also the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market. In addition, unlisted options are not traded on an exchange and may not be as actively traded as listed options, making the valuation of such securities more difficult. An unlisted option also entails a greater risk that the party on the other side of the option transaction may default, which would make it impossible to close out an unlisted option position in some cases, and profits related to the transaction lost thereby.

Option contracts outstanding at the end of the period, if any, are reported on a schedule at the end of Portfolio’s Portfolio of Investments.

Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by the Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio’s net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when a Portfolio’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline in a Portfolio’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio’s counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio’s financial statements.

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ADDITIONAL INFORMATION

Additional information is available in the Trust’s Annual and Semiannual reports, which may be obtained without charge from the EDGAR database on the Securities and Exchange Commission’s website at http://www.sec.gov.