0001752724-21-255556.txt : 20211124 0001752724-21-255556.hdr.sgml : 20211124 20211124105154 ACCESSION NUMBER: 0001752724-21-255556 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210930 FILED AS OF DATE: 20211124 PERIOD START: 20211231 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: 211442600 BUSINESS ADDRESS: STREET 1: 1801 CALIFORNIA STREET STREET 2: SUITE 5200 CITY: DENVER STATE: CO ZIP: 80202 BUSINESS PHONE: 720-482-8836 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 2021-12-31 2021-09-30 N 17190540.07 2920.12 17187619.95 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 549300BVI9CKZG7JTZ32 TRANSAMERICA PARTNERS VAR FDS PARTNERS HIGH YIELD BD (SUB) 893588806 24241.57900000 NS USD 992804.17000000 5.776274858811 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A TRANSAMERICA PARTNERS VAR FDS PARTNERS HIGH QUALITY BD (SUB) 893588707 68487.61400000 NS USD 1285896.05000000 7.481524805300 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 1613.53200000 NS USD 34526.04000000 0.200877376276 Long STIV RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300M1YQW7OWPQ4A79 TRANSAMERICA PARTNERS VAR FDS PARTNERS CORE DB SUBACCOUNT 893588400 73079.46600000 NS USD 3814448.50000000 22.19300002616 Long EC RF US N 1 N N N SMALL CAP GROWTH SUB KY42 N/A SMALL CAP GROWTH SUB KY42 000000000 65945.15700000 NS USD 900026.10000000 5.236478945998 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300UO5721R4CGEZ17 TRANSAMERICA PARTNERS VAR FDS PARTNERS INFLATION PROTECTED 893588889 60924.48200000 NS USD 1924506.91000000 11.19705296951 Long EC RF US N 1 N N N SMALL CAP VALUE SUB KY41 N/A SMALL CAP VALUE SUB KY41 000000000 51410.10600000 NS USD 820587.55000000 4.774294244270 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A TRANSAMERICA PARTNERS VAR FDS PARTNERS LARGE VALUE (SUBACCT) 893588848 21572.55900000 NS USD 2630344.28000000 15.30371446222 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300O5F0G34CWVCU30 TRANSAMERICA PARTNERS VAR FDS PARTNERS INTL EQUITY (SUBACCT) 893588871 74185.57800000 NS USD 2115913.64000000 12.31068435394 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A TRANSAMERICA PARTNERS VAR FDS PARTNERS LARGE GWOTH (SUBACCT) 893588509 9133.38200000 NS USD 2671486.83000000 15.54308762802 Long EC RF US N 1 N N N 2021-10-28 TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS Vincent Toner Vincent Toner Treasurer XXXX NPORT-EX 2 NPORT_DIHX_10927635_0921.htm HTML - [234977.DIHX]

Transamerica Asset Allocation – Intermediate Horizon Subaccount

 

SCHEDULE OF INVESTMENTS

At September 30, 2021

(unaudited)

 

     Shares      Value  
INVESTMENT COMPANIES - 100.0%  
International Equity Fund - 12.3%  

Transamerica Variable International Equity (A) (B)

      74,186        $  2,115,914  
     

 

 

  
Money Market Fund - 0.2%  

Transamerica Variable Government Money Market, 0.00% (A) (B) (C)

      1,622        34,706  
     

 

 

  
U.S. Equity Funds - 40.9%  

Transamerica Variable Large Growth (A) (B)

      9,133        2,671,487  

Transamerica Variable Large Value Opportunities (A) (B)

      21,573        2,630,344  

Transamerica Variable Small Cap Growth (A) (B)

      65,945        900,026  

Transamerica Variable Small Cap Value (A) (B)

      51,410        820,588  
     

 

 

  
        7,022,445  
     

 

 

  
     Shares      Value  
INVESTMENT COMPANIES (continued)  
U.S. Fixed Income Funds - 46.6%  

Transamerica Variable High Quality Bond (A) (B)

      68,488        $   1,285,896  

Transamerica Variable High Yield Bond (A) (B)

      24,242        992,804  

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

      60,924        1,924,507  

Transamerica Variable Intermediate Bond (A) (B)

      73,079        3,814,448  
     

 

 

  
        8,017,655  
     

 

 

  

Total Investment Companies
(Cost $12,977,701)

 

      17,190,720  
     

 

 

  

Total Investments
(Cost $12,977,701)

 

      17,190,720  

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

         (2,825 ) 
     

 

 

  

Net Assets - 100.0%

         $  17,187,895  
     

 

 

  
 

 

INVESTMENT VALUATION:

 

Valuation Inputs (E)

 

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

ASSETS

            

Investments

            

Investment Companies

    $ 17,190,720      $ —        $ —        $ 17,190,720  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $     17,190,720      $     —        $     —        $     17,190,720  
  

 

 

     

 

 

     

 

 

     

 

 

  

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,
2020		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)		     Value
September 30,
2021		     Shares as of
September 30,
2021		     Dividend
Income		     Net Capital
Gain
Distributions		  

Transamerica Variable Government Money Market

   $ 34,585     $ 3,393,995     $ (3,393,877 )    $ 3     $ —       $ 34,706       1,622     $ —       $ —    

Transamerica Variable High Quality Bond

     1,269,047       152,436       (132,574 )      7,631       (10,644 )      1,285,896       68,488       —         —    

Transamerica Variable High Yield Bond

     990,314       60,772       (102,170 )      40,846       3,042       992,804       24,242       —         —    

Transamerica Variable Inflation-Protected Securities

     1,892,237       190,558       (196,969 )      27,385       11,296       1,924,507       60,924       —         —    

Transamerica Variable Intermediate Bond

     3,802,283       478,553       (394,230 )      73,668       (145,826 )      3,814,448       73,079       —         —    

Transamerica Variable International Equity

     2,370,927       121,543       (560,359 )      126,693       57,110       2,115,914       74,186       —         —    

Transamerica Variable Large Growth

     2,573,235       144,334       (279,210 )      205,793       27,335       2,671,487       9,133       —         —    

Transamerica Variable Large Value Opportunities

     2,534,138       144,334       (468,427 )      290,447       129,852       2,630,344       21,573       —         —    

Transamerica Variable Small Cap Growth

     911,996       48,111       (158,527 )      38,676       59,770       900,026       65,945       —         —    

Transamerica Variable Small Cap Value

     912,531       48,111       (304,816 )      106,272       58,490       820,588       51,410       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 17,291,293     $   4,782,747     $   (5,991,159 )    $ 917,414     $ 190,425     $ 17,190,720       450,602     $     —       $     —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(B)      Non-income producing securities.
(C)      Rate disclosed reflects the yield at September 30, 2021.
(D)      Percentage rounds to less than 0.1% or (0.1)%.
(E)      There were no transfers in or out of Level 3 during the period ended September 30, 2021. Please reference the Investment Valuation section of the Notes to Schedule of Investments for more information regarding investment valuation and pricing inputs.

 

Transamerica Asset Allocation Variable Funds

     Page    1         

Transamerica Asset Allocation – Intermediate Horizon Subaccount

 

NOTES TO SCHEDULE OF INVESTMENTS

At September 30, 2021

(unaudited)

 

INVESTMENT VALUATION

Transamerica Asset Allocation – Intermediate Horizon Subaccount (the “Subaccount”) is a subaccount of the Transamerica Asset Allocation Variable Funds separate account of Transamerica Financial Life Insurance Company.

All investments in securities are recorded at their estimated fair value. The value of the 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 Subaccount utilizes various methods to measure the fair value of its 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 Subaccount’s, 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 Subaccount’s investments at September 30, 2021, is disclosed within the Investment Valuation section of the 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: The Subaccount invests substantially all of its investable assets among certain TVF subaccounts and the TVF subaccounts invest all of their investable assets in the Fund. The summary of the inputs used for valuing the Fund’s assets carried at fair value is discussed in the Investment Valuation section of the Fund’s Notes to Schedule of Investments. Descriptions of the valuation techniques applied to the Subaccount’s 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 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 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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