Transamerica Asset Allocation Short Horizon Subaccount
SCHEDULE OF INVESTMENTS
At September 30, 2019
(unaudited)
SECURITY VALUATION:
Valuation Inputs (D)
Level 1 - Unadjusted Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Value | |||||||||||||
ASSETS |
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Investments |
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Investment Companies |
$ | 6,155,455 | $ | | $ | | $ | 6,155,455 | ||||||||
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Total Investments |
$ | 6,155,455 | $ | | $ | | $ | 6,155,455 | ||||||||
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FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | Affiliated investment in Transamerica Variable Funds. The Funds transactions and earnings are as follows: |
Affiliated Investments |
Value December 31, 2018 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation) |
Value September 30, 2019 |
Shares as of September 30, 2019 |
Dividend Income |
Net Capital Gain Distributions |
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Transamerica Variable Government Money Market |
$ | 11,226 | $ | 1,015,270 | $ | (1,012,323 | ) | $ | 94 | $ | 1 | $ | 14,268 | 668 | $ | | $ | | ||||||||||||||||||
Transamerica Variable High Quality Bond |
936,455 | 72,635 | (54,634 | ) | 877 | 31,391 | 986,724 | 53,720 | | | ||||||||||||||||||||||||||
Transamerica Variable High Yield Bond |
570,905 | 42,727 | (34,679 | ) | 9,742 | 46,983 | 635,678 | 17,129 | | | ||||||||||||||||||||||||||
Transamerica Variable Inflation-Protected Securities |
904,566 | 71,781 | (53,365 | ) | (1,390 | ) | 59,705 | 981,297 | 34,502 | | | |||||||||||||||||||||||||
Transamerica Variable Intermediate Bond |
2,668,290 | 196,541 | (157,407 | ) | 23,219 | 182,934 | 2,913,577 | 58,204 | | | ||||||||||||||||||||||||||
Transamerica Variable International Equity |
98,883 | 18,824 | (6,146 | ) | 723 | 9,558 | 121,842 | 5,327 | | | ||||||||||||||||||||||||||
Transamerica Variable Large Growth |
160,815 | 12,818 | (10,292 | ) | 5,361 | 27,791 | 196,493 | 1,379 | | | ||||||||||||||||||||||||||
Transamerica Variable Large Value Opportunities |
163,261 | 12,818 | (10,121 | ) | 4,383 | 17,837 | 188,178 | 1,893 | | | ||||||||||||||||||||||||||
Transamerica Variable Small Cap Core |
100,869 | 17,675 | (6,396 | ) | 2,254 | 2,996 | 117,398 | 2,015 | | | ||||||||||||||||||||||||||
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Total |
$ | 5,615,270 | $ | 1,461,089 | $ | (1,345,363 | ) | $ | 45,263 | $ | 379,196 | $ | 6,155,455 | 174,837 | $ | | $ | | ||||||||||||||||||
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(C) | Percentage rounds to less than 0.1% or (0.1)%. | |
(D) | There were no transfers in or out of Level 3 during the period ended September 30, 2019. Please reference the Security Valuation section of the Notes to Schedules of Investments for more information regarding security valuation and pricing inputs. |
The notes are an integral part of this report. Transamerica Asset Allocation Variable Funds |
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Transamerica Asset Allocation Intermediate Horizon Subaccount
SCHEDULE OF INVESTMENTS
At September 30, 2019
(unaudited)
SECURITY VALUATION:
Valuation Inputs (C)
Level 1 - Unadjusted Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Value | |||||||||||||
ASSETS |
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Investments |
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Investment Companies |
$ | 16,178,321 | $ | | $ | | $ | 16,178,321 | ||||||||
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Total Investments |
$ | 16,178,321 | $ | | $ | | $ | 16,178,321 | ||||||||
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FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | Affiliated investment in Transamerica Variable Funds. The Funds transactions and earnings are as follows: |
Affiliated Investments |
Value December 31, 2018 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation) |
Value September 30, 2019 |
Shares as of September 30, 2019 |
Dividend Income |
Net Capital Gain Distributions |
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Transamerica Variable Government Money Market |
$ | 30,083 | $ | 2,159,035 | $ | (2,143,187 | ) | $ | 251 | $ | 1 | $ | 46,183 | 2,162 | $ | | $ | | ||||||||||||||||||
Transamerica Variable High Quality Bond |
1,236,008 | 41,284 | (79,108 | ) | 2,619 | 40,328 | 1,241,131 | 67,570 | | | ||||||||||||||||||||||||||
Transamerica Variable High Yield Bond |
896,114 | 30,963 | (60,262 | ) | 39,520 | 49,633 | 955,968 | 25,759 | | | ||||||||||||||||||||||||||
Transamerica Variable Inflation-Protected Securities |
1,849,575 | 60,894 | (120,855 | ) | 608 | 120,804 | 1,911,026 | 67,191 | | | ||||||||||||||||||||||||||
Transamerica Variable Intermediate Bond |
3,702,250 | 123,853 | (242,387 | ) | 47,427 | 242,293 | 3,873,436 | 77,379 | | | ||||||||||||||||||||||||||
Transamerica Variable International Equity |
1,631,723 | 61,927 | (109,821 | ) | 28,877 | 124,016 | 1,736,722 | 75,937 | | | ||||||||||||||||||||||||||
Transamerica Variable Large Growth |
2,137,162 | 73,537 | (157,044 | ) | 100,680 | 343,714 | 2,498,049 | 17,526 | | | ||||||||||||||||||||||||||
Transamerica Variable Large Value Opportunities |
2,252,637 | 73,538 | (155,428 | ) | 110,824 | 193,101 | 2,474,672 | 24,891 | | | ||||||||||||||||||||||||||
Transamerica Variable Small Cap Core |
1,304,871 | 163,291 | (89,498 | ) | 61,701 | 769 | 1,441,134 | 24,736 | | | ||||||||||||||||||||||||||
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Total |
$ | 15,040,423 | $ | 2,788,322 | $ | (3,157,590 | ) | $ | 392,507 | $ | 1,114,659 | $ | 16,178,321 | 383,151 | $ | | $ | | ||||||||||||||||||
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(C) | There were no transfers in or out of Level 3 during the period ended September 30, 2019. Please reference the Security Valuation section of the Notes to Schedules of Investments for more information regarding security valuation and pricing inputs. |
The notes are an integral part of this report. Transamerica Asset Allocation Variable Funds |
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Transamerica Asset Allocation
Intermediate/Long Horizon Subaccount
SCHEDULE OF INVESTMENTS
At September 30, 2019
(unaudited)
SECURITY VALUATION:
Valuation Inputs (D)
Level 1 - Unadjusted Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Value | |||||||||||||
ASSETS |
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Investments |
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Investment Companies |
$ | 29,880,025 | $ | | $ | | $ | 29,880,025 | ||||||||
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Total Investments |
$ | 29,880,025 | $ | | $ | | $ | 29,880,025 | ||||||||
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FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | Affiliated investment in Transamerica Variable Funds. The Funds transactions and earnings are as follows: |
Affiliated Investments |
Value December 31, 2018 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation) |
Value September 30, 2019 |
Shares as of September 30, 2019 |
Dividend Income |
Net Capital Gain Distributions |
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Transamerica Variable Government Money Market |
$ | 77,216 | $ | 4,374,854 | $ | (4,378,883 | ) | $ | 532 | $ | (5 | ) | $ | 73,714 | 3,450 | $ | | $ | | |||||||||||||||||
Transamerica Variable High Quality Bond |
558,931 | 32,542 | (33,625 | ) | 1,368 | 18,379 | 577,595 | 31,446 | | | ||||||||||||||||||||||||||
Transamerica Variable High Yield Bond |
1,063,052 | 65,082 | (67,269 | ) | 43,715 | 62,883 | 1,167,463 | 31,458 | | | ||||||||||||||||||||||||||
Transamerica Variable Inflation-Protected Securities |
2,481,394 | 143,182 | (153,072 | ) | 11,873 | 153,899 | 2,637,276 | 92,725 | | | ||||||||||||||||||||||||||
Transamerica Variable Intermediate Bond |
4,163,304 | 244,058 | (257,627 | ) | 62,338 | 270,131 | 4,482,204 | 89,540 | | | ||||||||||||||||||||||||||
Transamerica Variable International Equity |
4,431,603 | 292,871 | (277,880 | ) | 99,178 | 313,547 | 4,859,319 | 212,470 | | | ||||||||||||||||||||||||||
Transamerica Variable Large Growth |
5,570,817 | 317,277 | (820,109 | ) | 513,608 | 648,656 | 6,230,249 | 43,711 | | | ||||||||||||||||||||||||||
Transamerica Variable Large Value Opportunities |
5,490,459 | 317,277 | (354,052 | ) | 141,262 | 599,846 | 6,194,792 | 62,308 | | | ||||||||||||||||||||||||||
Transamerica Variable Small Cap Core |
3,182,857 | 523,385 | (207,587 | ) | 88,978 | 69,780 | 3,657,413 | 62,777 | | | ||||||||||||||||||||||||||
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Total |
$ | 27,019,633 | $ | 6,310,528 | $ | (6,550,104 | ) | $ | 962,852 | $ | 2,137,116 | $ | 29,880,025 | 629,885 | $ | | $ | | ||||||||||||||||||
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(C) | Percentage rounds to less than 0.1% or (0.1)%. | |
(D) | There were no transfers in or out of Level 3 during the period ended September 30, 2019. Please reference the Security Valuation section of the Notes to Schedules of Investments for more information regarding security valuation and pricing inputs. |
The notes are an integral part of this report. Transamerica Asset Allocation Variable Funds |
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NOTES TO FINANCIAL STATEMENTS
At September 30, 2019
(unaudited)
1. ORGANIZATION
Transamerica Asset Allocation Variable Funds (the Separate Account), is a non-diversified separate account of Transamerica Financial Life Insurance Company (TFLIC), and is registered as a management investment company under the Investment Company Act of 1940, as amended. The Separate Account applies investment company accounting and reporting guidance. The Separate Account is composed of three different subaccounts (each, a Subaccount and collectively, the Subaccounts) that are separate investment funds and are as follows. Each Subaccount invests substantially all of its investable assets among certain Transamerica Variable Funds (TVF). Certain TVF subaccounts invest substantially all of their investable assets in underlying series of Transamerica Funds (each a Fund and collectively, the Funds).
Subaccount |
Transamerica Asset Allocation Short Horizon Subaccount (Short Horizon) |
Transamerica Asset Allocation Intermediate Horizon Subaccount (Intermediate Horizon) |
Transamerica Asset Allocation Intermediate/Long Horizon Subaccount (Intermediate/Long Horizon) |
Transamerica Asset Management, Inc. (TAM) serves as investment manager for the Subaccounts pursuant to an investment management agreement. TAM provides continuous and regular investment management services to the Subaccounts. TAM supervises each Subaccounts investments, conducts its investment program and provides supervisory, compliance and administrative services to the Subaccounts.
TAM is responsible for all aspects of the day-to-day management of the Subaccounts.
TAMs investment management services also include the provision of supervisory and administrative services to the Subaccounts. These services include performing certain administrative services for the Subaccounts and supervising and overseeing the administrative, clerical, recordkeeping and bookkeeping services provided to the Subaccounts by State Street Bank and Trust Company (State Street), to whom TAM has outsourced the provision of certain services as described below: to the extent agreed upon by TAM and the Subaccounts from time to time, monitoring and verifying the custodians daily calculation of the Net Asset Values (NAV); shareholder relations functions; compliance services; valuation services; assisting in due diligence and in the oversight and monitoring of certain activities of sub-advisers and certain aspects of Subaccount investments; assisting with Subaccount combinations and liquidations: oversight of the preparation and filing, and review, of all returns and reports, in connection with federal, state and local taxes; oversight and review of regulatory reporting; supervising and coordinating the Subaccounts custodian and dividend disbursing agent and monitoring their services to the Subaccounts; assisting the Subaccounts in preparing reports to shareholders; acting as liaison with the Subaccounts independent public accountants and providing, upon request, analyses, fiscal year summaries and other audit related services; assisting in the preparation of agendas and supporting documents for and minutes of meetings of trustees and committees of trustees; assisting in the preparation of regular communications with the trustees; and providing personnel and office space, telephones and other office equipment as necessary in order for TAM to perform supervisory and administrative services to the Subaccounts.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Subaccounts.
Security transactions: Security transactions are accounted for on the trade date. Security gains and losses are calculated on the specific identification basis. Net realized gain (loss) is from investments in units of investment companies.
3. SECURITY VALUATION
All investments in securities are recorded at their estimated fair value. The value of each Subaccounts investment in a corresponding TVF subaccount is valued at the TVF unit value per share at the official close of the New York Stock Exchange (NYSE) each day the NYSE is open for business.
The Subaccounts utilize various methods to measure the fair value of their investments on a recurring basis. Generally Accepted Accounting Principles in the United States of America establishes a hierarchy that prioritizes inputs to valuation methods. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels (Levels) of inputs of the fair value hierarchy are defined as follows:
Level 1 Unadjusted quoted prices in active markets for identical securities.
Level 2 Inputs, other than quoted prices included in Level 1, which are observable, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include the Subaccounts, own assumptions used in determining the fair value of investments.
Transamerica Asset Allocation Variable Funds |
Page 1 |
NOTES TO FINANCIAL STATEMENTS (continued)
At September 30, 2019
(unaudited)
3. SECURITY VALUATION (continued)
The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy that is assigned to the fair value measurement of a security is determined based on the lowest Level input that is significant to the fair value measurement in its entirety. Certain investments that are measured at fair value using NAV per share, or its equivalent, using the practical expedient have not been classified in the fair value Levels. The hierarchy classification of inputs used to value the Subaccounts investments at September 30, 2019, is disclosed within the Security Valuation section of each Subaccounts Schedule of Investments.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, but not limited to, the type of security, whether the security is new 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 generally greatest for instruments categorized in Level 3. Due to the inherent uncertainty of valuation, the determination of values may differ significantly from values that would have been realized had a ready market for investments existed, and the differences could be material.
Fair value measurements: Each Subaccount invests substantially all of its investable assets among certain TVF subaccounts and the TVF subaccounts invest all of their investable assets in the Funds. The summary of the inputs used for valuing each Funds assets carried at fair value is discussed in the Security Valuation section of the Funds Notes to Schedules of Investments. Descriptions of the valuation techniques applied to the Subaccounts significant categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Investment companies: Certain investment companies are valued at the NAV of the underlying Subaccounts as the practical expedient. These investment companies are not included within the fair value hierarchy. Certain other investment companies are valued at the actively traded NAV of the underlying subaccounts and no valuation adjustments are applied. These investment companies are categorized in Level 1 of the fair value hierarchy.
4. NEW ACCOUNTING PRONOUNCEMENT
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update No. 2018-13 (ASU 2018-13), Fair Value Measurement (Topic 820: Disclosure Framework), Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy and the valuation processes for Level 3 fair value measurements. ASU 2018-13 does not eliminate the requirement to disclose the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, or the reporting of changes in unrealized gains and losses for recurring Level 3 fair value measurements. ASU 2018-13 requires that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The amendment is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has evaluated and has early adopted the disclosure requirements and the impact is reflected within the Subaccounts financial statements.
Transamerica Asset Allocation Variable Funds |
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