0001752724-22-127402.txt : 20220527 0001752724-22-127402.hdr.sgml : 20220527 20220527130139 ACCESSION NUMBER: 0001752724-22-127402 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: 22975360 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 S000008660 Transamerica Asset Allocation-Short Horizon Subaccount C000023623 Transamerica Asset Allocation-Short Horizon Subaccount NPORT-P 1 primary_doc.xml NPORT-P false 0001018953 XXXXXXXX S000008660 C000023623 TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS 811-07717 0001018953 549300WHLWC6UNM0DM52 1801 CALIFORNIA STREET SUITE 5200 DENVER 80202 720-493-4256 Transamerica Asset Allocation-Short Horizon Subaccount S000008660 54930075VROEOI5C3640 2022-12-31 2022-03-31 N 5106117.26 885.35 5105231.91 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 13938.38100000 NS USD 547991.63000000 10.73392236945 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable High Quality Bond 893588707 44959.71500000 NS USD 815901.93000000 15.98168201530 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 320.65700000 NS USD 6862.03000000 0.134411719603 Long STIV RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300M1YQW7OWPQ4A79 Transamerica Variable Intermediate Bond 893588400 47436.75600000 NS USD 2330430.26000000 45.64788242891 Long EC RF US N 1 N N N SMALL CAP GROWTH SUB KY42 N/A Transamerica Variable Small Cap Growth 000000000 3940.97300000 NS USD 46671.37000000 0.914187069711 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300UO5721R4CGEZ17 Transamerica Variable Inflation-Protected Securities 893588889 27585.79600000 NS USD 861372.00000000 16.87233832243 Long EC RF US N 1 N N N SMALL CAP VALUE SUB KY41 N/A Transamerica Variable Small Cap Value 000000000 3281.12800000 NS USD 54588.78000000 1.069271307598 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable Large Value Opportunities 893588848 1272.94800000 NS USD 168807.93000000 3.306567321052 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300O5F0G34CWVCU30 Transamerica Variable International Equity 893588871 3878.37200000 NS USD 107107.06000000 2.097986181395 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable Large Growth 893588509 694.47300000 NS USD 166384.27000000 3.259093277899 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_DIHW_69581991_0322.htm FOR VALIDATION PURPOSES ONLY - [142466.DIHW]

Transamerica Asset Allocation – Short Horizon Subaccount

 

SCHEDULE OF INVESTMENTS

At March 31, 2022

(unaudited)

 

     Shares      Value  
INVESTMENT COMPANIES - 100.0%              
International Equity Fund - 2.1%              

Transamerica Variable International Equity (A) (B)

      3,878        $  107,107  
     

 

 

  
Money Market Fund - 0.2%              

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

      394        8,433  
     

 

 

  
U.S. Equity Funds - 8.5%              

Transamerica Variable Large Growth (A) (B)

      694        166,384  

Transamerica Variable Large Value Opportunities (A) (B)

      1,273        168,808  

Transamerica Variable Small Cap Growth (A) (B)

      3,941        46,671  

Transamerica Variable Small Cap Value (A) (B)

      3,281        54,589  
     

 

 

  
        436,452  
     

 

 

  
U.S. Fixed Income Funds - 89.2%              

Transamerica Variable High Quality Bond (A) (B)

      44,960        815,902  

Transamerica Variable High Yield Bond (A) (B)

      13,938        547,992  

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

      27,586        861,372  

Transamerica Variable Intermediate Bond (A) (B)

      47,437        2,330,430  
     

 

 

  
        4,555,696  
     

 

 

  

Total Investment Companies
(Cost $4,728,735)

         5,107,688  
     

 

 

  

Total Investments
(Cost $4,728,735)

         5,107,688  

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

         (837 ) 
     

 

 

  

Net Assets - 100.0%

         $  5,106,851  
     

 

 

  
 

 

Transamerica Asset Allocation Variable Funds

     Page    1         

Transamerica Asset Allocation – Short 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

    $ 5,107,688      $ —        $ —        $ 5,107,688  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $     5,107,688      $     —        $     —        $     5,107,688  
  

 

 

     

 

 

     

 

 

     

 

 

  

FOOTNOTES TO SCHEDULE OF INVESTMENTS:

 

(A)      Non-income producing securities.
(B)      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

   $ 11,563     $ 642,016     $ (645,146 )    $ —       $ —       $ 8,433       394     $ —       $ —    

Transamerica Variable High Quality Bond

     919,229       8,559       (88,019 )      3,035       (26,902 )      815,902       44,960       —         —    

Transamerica Variable High Yield Bond

     630,162       5,035       (58,799 )      13,161       (41,567 )      547,992       13,938       —         —    

Transamerica Variable Inflation-Protected Securities

     971,883       8,459       (93,193 )      12,757       (38,534 )      861,372       27,586       —         —    

Transamerica Variable Intermediate Bond

     2,714,322       23,160       (253,352 )      30,969       (184,669 )      2,330,430       47,437       —         —    

Transamerica Variable International Equity

     126,345       1,007       (11,299 )      1,689       (10,635 )      107,107       3,878       —         —    

Transamerica Variable Large Growth

     173,707       38,265       (15,521 )      7,165       (37,232 )      166,384       694       —         —    

Transamerica Variable Large Value Opportunities

     200,127       1,510       (31,306 )      12,359       (13,882 )      168,808       1,273       —         —    

Transamerica Variable Small Cap Growth

     61,893       502       (5,010 )      807       (11,521 )      46,671       3,941       —         —    

Transamerica Variable Small Cap Value

     65,454       504       (10,276 )      4,177       (5,270 )      54,589       3,281       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $   5,874,685     $   729,017     $   (1,211,921 )    $   86,119     $   (370,212 )    $   5,107,688       147,382     $   —       $   —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(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 – Short Horizon Subaccount

 

NOTES TO SCHEDULE OF INVESTMENTS

At March 31, 2022

(unaudited)

 

INVESTMENT VALUATION

Transamerica Asset Allocation – Short 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