0001752724-22-127360.txt : 20220527 0001752724-22-127360.hdr.sgml : 20220527 20220527130108 ACCESSION NUMBER: 0001752724-22-127360 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220331 FILED AS OF DATE: 20220527 PERIOD START: 20221231 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: 22975317 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 2022-12-31 2022-03-31 N 16119231.82 2727.34 16116504.48 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 Variable High Yield Bond 893588806 24286.96500000 NS USD 954849.32000000 5.924667605093 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable High Quality Bond 893588707 70759.60700000 NS USD 1284102.89000000 7.967626550741 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS PARTNERS MONEY MARKET (SUB) N/A Transamerica Variable Government Money Market 893588863 941.76400000 NS USD 20153.66000000 0.125049820977 Long STIV RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300M1YQW7OWPQ4A79 Transamerica Variable Intermediate Bond 893588400 74533.80000000 NS USD 3661629.45000000 22.71974952474 Long EC RF US N 1 N N N SMALL CAP GROWTH SUB KY42 N/A Transamerica Variable Small Cap Growth 000000000 60570.24400000 NS USD 717309.17000000 4.450773869049 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300UO5721R4CGEZ17 Transamerica Variable Inflation-Protected Securities 893588889 61042.96000000 NS USD 1906078.63000000 11.82687370183 Long EC RF US N 1 N N N SMALL CAP VALUE SUB KY41 N/A Transamerica Variable Small Cap Value 000000000 51216.17700000 NS USD 852093.78000000 5.287088034861 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable Large Value Opportunities 893588848 18590.00700000 NS USD 2465254.29000000 15.29645769688 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300O5F0G34CWVCU30 Transamerica Variable International Equity 893588871 73948.04200000 NS USD 2042186.10000000 12.67139597506 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable Large Growth 893588509 9247.60900000 NS USD 2215574.53000000 13.74723987294 Long EC RF US N 1 N N N 2022-04-29 TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS Vincent Toner Vincent Toner Treasurer XXXX NPORT-EX 2 NPORT_DIHX_41334276_0322.htm FOR VALIDATION PURPOSES ONLY - [142466.DIHX]

Transamerica Asset Allocation – Intermediate Horizon Subaccount

 

SCHEDULE OF INVESTMENTS

At March 31, 2022

(unaudited)

 

     Shares      Value  
INVESTMENT COMPANIES - 100.0%              
International Equity Fund - 12.7%              

Transamerica Variable International Equity (A) (B)

      73,948        $  2,042,186  
     

 

 

  
Money Market Fund - 0.2%              

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

      1,349        28,872  
     

 

 

  
U.S. Equity Funds - 38.7%              

Transamerica Variable Large Growth (A) (B)

      9,248        2,215,575  

Transamerica Variable Large Value Opportunities (A) (B)

      18,590        2,465,254  

Transamerica Variable Small Cap Growth (A) (B)

      60,570        717,309  

Transamerica Variable Small Cap Value (A) (B)

      51,216        852,094  
     

 

 

  
        6,250,232  
     

 

 

  
U.S. Fixed Income Funds - 48.4%              

Transamerica Variable High Quality Bond (A) (B)

      70,760        1,284,103  

Transamerica Variable High Yield Bond (A) (B)

      24,287        954,849  

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

      61,043        1,906,079  

Transamerica Variable Intermediate Bond (A) (B)

      74,534        3,661,629  
     

 

 

  
        7,806,660  
     

 

 

  

Total Investment Companies
(Cost $13,302,905)

         16,127,950  
     

 

 

  

Total Investments
(Cost $13,302,905)

         16,127,950  

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

         (2,416 ) 
     

 

 

  

Net Assets - 100.0%

         $  16,125,534  
     

 

 

  
 

 

Transamerica Asset Allocation Variable Funds

     Page    1         

Transamerica Asset Allocation – Intermediate Horizon Subaccount

 

SCHEDULE OF INVESTMENTS (continued)

At March 31, 2022

(unaudited)

 

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

    $ 16,127,950      $ —        $ —        $ 16,127,950  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $     16,127,950      $     —        $     —        $     16,127,950  
  

 

 

     

 

 

     

 

 

     

 

 

  

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,
2021		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)		     Value
March 31, 2022		     Shares as of
March 31, 2022		     Dividend
Income		     Net Capital
Gain
Distributions		  

Transamerica Variable Government Money Market

   $ 40,778     $ 1,311,877     $ (1,323,783 )    $ —       $ —       $ 28,872       1,349     $ —       $ —    

Transamerica Variable High Quality Bond

     1,367,117       20,269       (67,346 )      2,411       (38,348 )      1,284,103       70,760       —         —    

Transamerica Variable High Yield Bond

     1,036,237       15,202       (49,973 )      18,949       (65,566 )      954,849       24,287       —         —    

Transamerica Variable Inflation-Protected Securities

     2,031,294       29,897       (99,842 )      13,883       (69,153 )      1,906,079       61,043       —         —    

Transamerica Variable Intermediate Bond

     4,024,562       60,807       (193,769 )      28,397       (258,368 )      3,661,629       74,534       —         —    

Transamerica Variable International Equity

     2,276,497       30,404       (106,065 )      21,645       (180,295 )      2,042,186       73,948       —         —    

Transamerica Variable Large Growth

     2,574,891       201,626       (106,033 )      65,745       (520,654 )      2,215,575       9,248       —         —    

Transamerica Variable Large Value Opportunities

     2,768,561       36,104       (321,286 )      181,431       (199,556 )      2,465,254       18,590       —         —    

Transamerica Variable Small Cap Growth

     898,366       12,035       (37,470 )      6,163       (161,785 )      717,309       60,570       —         —    

Transamerica Variable Small Cap Value

     901,219       12,035       (43,989 )      17,468       (34,639 )      852,094       51,216       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $   17,919,522     $   1,730,256     $   (2,349,556 )    $   356,092     $   (1,528,364 )    $   16,127,950       445,545     $   —       $   —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(B)      Non-income producing securities.
(C)      Rate disclosed reflects the yield at March 31, 2022.
(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 March 31, 2022. 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    2         

Transamerica Asset Allocation – Intermediate Horizon Subaccount

 

NOTES TO SCHEDULE OF INVESTMENTS

At March 31, 2022

(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 March 31, 2022, 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

     Page    3