0001752724-20-106931.txt : 20200528 0001752724-20-106931.hdr.sgml : 20200528 20200528112744 ACCESSION NUMBER: 0001752724-20-106931 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20200331 FILED AS OF DATE: 20200528 PERIOD START: 20201231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS CENTRAL INDEX KEY: 0001018953 IRS NUMBER: 000000000 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-07717 FILM NUMBER: 20918572 BUSINESS ADDRESS: STREET 1: 1801 CALIFORNIA STREET STREET 2: SUITE 5200 CITY: DENVER STATE: CO ZIP: 80202 BUSINESS PHONE: 720-493-4256 MAIL ADDRESS: STREET 1: 1801 CALIFORNIA STREET STREET 2: SUITE 5200 CITY: DENVER STATE: CO ZIP: 80202 FORMER COMPANY: FORMER CONFORMED NAME: DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS DATE OF NAME CHANGE: 19960716 0001018953 S000008661 Transamerica Asset Allocation-Intermediate Horizon Subaccount C000023624 Transamerica Asset Allocation-Intermediate Horizon Subaccount NPORT-P 1 primary_doc.xml NPORT-P false 0001018953 XXXXXXXX S000008661 C000023624 TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS 811-07717 0001018953 549300WHLWC6UNM0DM52 1801 CALIFORNIA STREET SUITE 5200 DENVER 80202 720-493-4256 Transamerica Asset Allocation-Intermediate Horizon Subaccount S000008661 549300OIR1OT18CPWY21 2020-12-31 2020-03-31 N 13928631.01 2551.65 13926079.36 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 0.00000000 N TRANSAMERICA PARTNERS VAR FDS PARTNERS INFLATION PROTECTED 549300UO5721R4CGEZ17 TRANSAMERICA PARTNERS VAR FDS PARTNERS INFLATION PROTECTED 893588889 56890.93700000 NS USD 1622045.95000000 11.64754205450 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS LARGE VALUE (SUBACCT) N/A TRANSAMERICA PARTNERS VAR FDS PARTNERS LARGE VALUE (SUBACCT) 893588848 24511.40700000 NS USD 1910470.54000000 13.71865325920 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS CORE DB SUBACCOUNT 549300M1YQW7OWPQ4A79 TRANSAMERICA PARTNERS VAR FDS PARTNERS CORE DB SUBACCOUNT 893588400 67041.29700000 NS USD 3376930.47000000 24.24896758594 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS SMALL CORE SUBACCOUNT N/A TRANSAMERICA PARTNERS VAR FDS PARTNERS SMALL CORE SUBACCOUNT 893588855 31873.86900000 NS USD 1273071.01000000 9.141632595148 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS HIGH YIELD BD (SUB) 549300BVI9CKZG7JTZ32 TRANSAMERICA PARTNERS VAR FDS PARTNERS HIGH YIELD BD (SUB) 893588806 25484.48800000 NS USD 821775.35000000 5.900981380017 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS INTL EQUITY (SUBACCT) 549300O5F0G34CWVCU30 TRANSAMERICA PARTNERS VAR FDS PARTNERS INTL EQUITY (SUBACCT) 893588871 91212.21500000 NS USD 1660636.95000000 11.92465522471 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS MONEY MARKET (SUB) N/A TRANSAMERICA PARTNERS VAR FDS PARTNERS MONEY MARKET (SUB) 893588863 1705.68400000 NS USD 36491.40000000 0.262036421426 Long STIV RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS HIGH QUALITY BD (SUB) N/A TRANSAMERICA PARTNERS VAR FDS PARTNERS HIGH QUALITY BD (SUB) 893588707 62490.07900000 NS USD 1108692.73000000 7.961269653428 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS LARGE GWOTH (SUBACCT) N/A TRANSAMERICA PARTNERS VAR FDS PARTNERS LARGE GWOTH (SUBACCT) 893588509 15034.40900000 NS USD 2118516.61000000 15.21258464234 Long EC RF US N 1 N N N 2020-04-29 TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS Vincent Toner Vincent Toner Treasurer XXXX NPORT-EX 2 NPORT_6267531028868144.htm HTML

Transamerica Asset Allocation – Short Horizon Subaccount

 

SCHEDULE OF INVESTMENTS

At March 31, 2020

(unaudited)

 

     Shares      Value  
INVESTMENT COMPANIES - 100.1%              
International Equity Fund - 2.0%              

Transamerica Variable International Equity (A) (B)

      6,237        $  113,550  
     

 

 

  
Money Market Fund - 0.2%              

Transamerica Variable Government Money Market (A) (B)

      531        11,369  
     

 

 

  
U.S. Equity Funds - 7.8%              

Transamerica Variable Large Growth (A) (B)

      1,210        170,480  

Transamerica Variable Large Value Opportunities (A) (B)

      2,091        162,984  

Transamerica Variable Small Cap Core (A) (B)

      2,684        107,216  
     

 

 

  
        440,680  
     

 

 

  
     Shares      Value  
INVESTMENT COMPANIES (continued)              
U.S. Fixed Income Funds - 90.1%              

Transamerica Variable High Quality Bond (A) (B)

      50,657        $   898,752  

Transamerica Variable High Yield Bond (A) (B)

      16,812        542,129  

Transamerica Variable Inflation-Protected Securities (A) (B)

      32,513        926,988  

Transamerica Variable Intermediate Bond (A) (B)

      54,667        2,753,644  
     

 

 

  
        5,121,513  
     

 

 

  

Total Investment Companies
(Cost $5,375,158)

         5,687,112  
     

 

 

  

Total Investments
(Cost $5,375,158)

         5,687,112  

Net Other Assets (Liabilities) - (0.1)%

         (4,433 ) 
     

 

 

  

Net Assets - 100.0%

         $  5,682,679  
     

 

 

  
 

 

SECURITY VALUATION:

 

Valuation Inputs (C)

 

     Level 1 -
Unadjusted
Quoted
Prices		      Level 2 -
Other
Significant
Observable
Inputs		      Level 3 -
Significant
Unobservable
Inputs		      Value  

ASSETS

 

Investments

 

Investment Companies

    $ 5,687,112      $ —        $ —        $ 5,687,112  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $     5,687,112      $     —        $     —        $     5,687,112  
  

 

 

     

 

 

     

 

 

     

 

 

  

FOOTNOTES TO SCHEDULE OF INVESTMENTS:

 

(A)      Affiliated investment in Transamerica Variable Funds. The Fund’s transactions and earnings are as follows:

 

Affiliated Investments

   Value
December 31,
2019		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)		     Value
March 31,
2020		     Shares as of
March 31,
2020		     Dividend
Income		     Net Capital
Gain
Distributions		  

Transamerica Variable Government Money Market

   $ 17,503     $ 540,879     $ (547,018 )    $ 7     $ (2 )    $ 11,369       531     $ —       $ —    

Transamerica Variable High Quality Bond

     951,208       24,389       (42,873 )      1,070       (35,042 )      898,752       50,657       —         —    

Transamerica Variable High Yield Bond

     626,823       36,102       (26,155 )      5,844       (100,485 )      542,129       16,812       —         —    

Transamerica Variable Inflation-Protected Securities

     948,190       24,104       (42,973 )      (858 )      (1,475 )      926,988       32,513       —         —    

Transamerica Variable Intermediate Bond

     2,794,930       65,996       (128,314 )      23,032       (2,000 )      2,753,644       54,667       —         —    

Transamerica Variable International Equity

     128,203       23,114       (4,963 )      (260 )      (32,544 )      113,550       6,237       —         —    

Transamerica Variable Large Growth

     193,740       15,661       (22,557 )      11,986       (28,350 )      170,480       1,210       —         —    

Transamerica Variable Large Value Opportunities

     194,034       28,767       (7,677 )      2,906       (55,046 )      162,984       2,091       —         —    

Transamerica Variable Small Cap Core

     122,826       37,862       (4,773 )      381       (49,080 )      107,216       2,684       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 5,977,457     $     796,874     $     (827,303 )    $     44,108     $     (304,024 )    $     5,687,112           167,402     $     —       $     —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(B)      Non-income producing securities.
(C)      There were no transfers in or out of Level 3 during the period ended March 31, 2020. 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

     Page    1         

Transamerica Asset Allocation – Intermediate Horizon Subaccount

 

SCHEDULE OF INVESTMENTS

At March 31, 2020

(unaudited)

 

     Shares      Value  
INVESTMENT COMPANIES - 100.0%              
International Equity Fund - 11.9%              

Transamerica Variable International Equity (A) (B)

      91,212        $  1,660,637  
     

 

 

  
Money Market Fund - 0.2%              

Transamerica Variable Government Money Market (A) (B)

      1,636        35,005  
     

 

 

  
U.S. Equity Funds - 38.1%              

Transamerica Variable Large Growth (A) (B)

      15,034        2,118,517  

Transamerica Variable Large Value Opportunities (A) (B)

      24,511        1,910,470  

Transamerica Variable Small Cap Core (A) (B)

      31,874        1,273,071  
     

 

 

  
        5,302,058  
     

 

 

  
     Shares      Value  
INVESTMENT COMPANIES (continued)              
U.S. Fixed Income Funds - 49.8%              

Transamerica Variable High Quality Bond (A) (B)

      62,490        $   1,108,693  

Transamerica Variable High Yield Bond (A) (B)

      25,484        821,775  

Transamerica Variable Inflation-Protected Securities (A) (B)

      56,891        1,622,046  

Transamerica Variable Intermediate Bond (A) (B)

      67,041        3,376,930  
     

 

 

  
        6,929,444  
     

 

 

  

Total Investment Companies
(Cost $12,881,106)

         13,927,144  
     

 

 

  

Total Investments
(Cost $12,881,106)

         13,927,144  

Net Other Assets (Liabilities) - (0.0)% (C)

         (1,065 ) 
     

 

 

  

Net Assets - 100.0%

         $  13,926,079  
     

 

 

  
 

 

SECURITY VALUATION:

 

Valuation Inputs (D)

 

     Level 1 -
Unadjusted
Quoted
Prices		      Level 2 -
Other
Significant
Observable
Inputs		      Level 3 -
Significant
Unobservable
Inputs		      Value  

ASSETS

           

Investments

            

Investment Companies

    $     13,927,144      $     —        $     —        $     13,927,144  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 13,927,144      $ —        $ —        $ 13,927,144  
  

 

 

     

 

 

     

 

 

     

 

 

  

FOOTNOTES TO SCHEDULE OF INVESTMENTS:

 

(A)      Affiliated investment in Transamerica Variable Funds. The Fund’s transactions and earnings are as follows:

 

Affiliated Investments

   Value
December 31,
2019		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)		     Value
March 31,
2020		     Shares as of
March 31,
2020		     Dividend
Income		      Net Capital
Gain
Distributions		  

Transamerica Variable Government Money Market

   $ 42,092     $ 2,295,847     $ (2,302,949 )    $ 19     $ (4 )    $ 35,005       1,636     $ —        $     —    

Transamerica Variable High Quality Bond

     1,226,721       59,491       (134,089 )      2,403       (45,833 )      1,108,693       62,490       —          —    

Transamerica Variable High Yield Bond

     967,845       44,617       (38,911 )          24,609           (176,385 )      821,775       25,484       —          —    

Transamerica Variable Inflation-Protected Securities

         1,892,579           87,749           (351,363 )      (1,270 )      (5,649 )          1,622,046       56,891       —          —    

Transamerica Variable Intermediate Bond

     3,814,156       178,472       (649,186 )      123,911       (90,423 )      3,376,930       67,041       —          —    

Transamerica Variable International Equity

     1,877,217       381,722       (72,368 )      6,498       (532,432 )      1,660,637       91,212       —          —    

Transamerica Variable Large Growth

     2,705,467       105,968       (461,531 )      303,579       (534,966 )      2,118,517       15,034       —          —    

Transamerica Variable Large Value Opportunities

     2,617,221       105,968       (94,205 )      65,390       (783,904 )      1,910,470       24,511       —          —    

Transamerica Variable Small Cap Core

     1,546,890       397,374       (57,041 )      35,041       (649,193 )      1,273,071       31,874       —          —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total

   $     16,690,188     $     3,657,208     $     (4,161,643 )    $     560,180     $     (2,818,789 )    $     13,927,144       376,173     $     —        $     —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

 

(B)      Non-income producing securities.
(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 March 31, 2020. 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

     Page    1         

Transamerica Asset Allocation –

Intermediate/Long Horizon Subaccount

 

SCHEDULE OF INVESTMENTS

At March 31, 2020

(unaudited)

 

     Shares      Value  
INVESTMENT COMPANIES - 100.1%              
International Equity Fund - 17.1%              

Transamerica Variable International Equity (A) (B)

      239,022        $  4,351,698  
     

 

 

  
Money Market Fund - 0.3%              

Transamerica Variable Government Money Market (A) (B)

      3,237        69,243  
     

 

 

  
U.S. Equity Funds - 52.5%              

Transamerica Variable Large Growth (A) (B)

      38,288        5,395,277  

Transamerica Variable Large Value Opportunities (A) (B)

      63,259        4,930,561  

Transamerica Variable Small Cap Core (A) (B)

      76,260        3,045,876  
     

 

 

  
        13,371,714  
     

 

 

  
     Shares      Value  
INVESTMENT COMPANIES (continued)              
U.S. Fixed Income Funds - 30.2%              

Transamerica Variable High Quality Bond (A) (B)

      28,997        $   514,469  

Transamerica Variable High Yield Bond (A) (B)

      32,069        1,034,088  

Transamerica Variable Inflation-Protected Securities (A) (B)

      77,134        2,199,199  

Transamerica Variable Intermediate Bond (A) (B)

      78,432        3,950,682  
     

 

 

  
        7,698,438  
     

 

 

  

Total Investment Companies
(Cost $20,936,642)

         25,491,093  
     

 

 

  

Total Investments
(Cost $20,936,642)

         25,491,093  

Net Other Assets (Liabilities) - (0.1)%

         (22,475 ) 
     

 

 

  

Net Assets - 100.0%

         $  25,468,618  
     

 

 

  
 

 

SECURITY VALUATION:

 

Valuation Inputs (C)

 

     Level 1 -
Unadjusted
Quoted
Prices		      Level 2 -
Other
Significant
Observable
Inputs		      Level 3 -
Significant
Unobservable
Inputs		      Value  

ASSETS

            

Investments

            

Investment Companies

    $     25,491,093      $     —        $     —        $     25,491,093  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 25,491,093      $ —        $ —        $ 25,491,093  
  

 

 

     

 

 

     

 

 

     

 

 

  

FOOTNOTES TO SCHEDULE OF INVESTMENTS:

 

(A)       Affiliated investment in Transamerica Variable Funds. The Fund’s transactions and earnings are as follows:

 

Affiliated Investments

   Value
December 31,
2019		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss) 		    Net Change in
Unrealized
Appreciation
(Depreciation)		     Value
March 31,
2020		     Shares as of
March 31,
2020		     Dividend
Income		      Net Capital
Gain
Distributions		  

Transamerica Variable Government Money Market

   $ 67,123     $ 4,327,296     $ (4,325,205 )    $ 31     $ (2 )    $ 69,243       3,237     $ —        $ —    

Transamerica Variable High Quality Bond

     582,829       65,412           (115,262 )      5,004       (23,514 )      514,469       28,997       —          —    

Transamerica Variable High Yield Bond

         1,206,935           61,503       (49,033 )          32,040           (217,357 )          1,034,088           32,069       —          —    

Transamerica Variable Inflation-Protected Securities

     2,666,810       135,304       (598,477 )      25,254       (29,692 )      2,199,199       77,134       —          —    

Transamerica Variable Intermediate Bond

     4,506,463       230,633       (836,590 )      199,357       (149,181 )      3,950,682       78,432       —          —    

Transamerica Variable International Equity

     5,361,671       670,765       (201,719 )      71,944       (1,550,963 )      4,351,698       239,022       —          —    

Transamerica Variable Large Growth

     6,891,243       299,824       (1,161,086 )      900,274       (1,534,978 )      5,395,277       38,288       —          —    

Transamerica Variable Large Value Opportunities

     6,690,651       299,824       (251,634 )      139,202       (1,947,482 )      4,930,561       63,259       —          —    

Transamerica Variable Small Cap Core

     4,007,912       743,521       (146,875 )      50,060       (1,608,742 )      3,045,876       76,260       —          —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total

   $     31,981,637     $     6,834,082     $     (7,685,881 )    $     1,423,166     $     (7,061,911 )    $     25,491,093       636,698     $     —        $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

 

(B)      Non-income producing securities.
(C)      There were no transfers in or out of Level 3 during the period ended March 31, 2020. 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

     Page    1         

 

NOTES TO SCHEDULE OF INVESTMENTS

At March 31, 2020

(unaudited)

 

1. INVESTMENT VALUATION

All investments in securities are recorded at their estimated fair value. The value of each Subaccount’s investment in a corresponding Transamerica Variable Funds (“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.

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 Net Asset Value (“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 March 31, 2020, is disclosed within the Investment Valuation section of each Subaccount’s 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 Transamerica Funds (each, a “Fund” and collectively, the “Funds”). The summary of the inputs used for valuing each Fund’s assets carried at fair value is discussed in the Investment 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 investment 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 investment and no valuation adjustments are applied. These investment companies are categorized in Level 1 of the fair value hierarchy.

 

Transamerica Asset Allocation Variable Funds

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