0001752724-22-269350.txt : 20221128 0001752724-22-269350.hdr.sgml : 20221128 20221128113153 ACCESSION NUMBER: 0001752724-22-269350 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220930 FILED AS OF DATE: 20221128 DATE AS OF CHANGE: 20221128 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: 221422550 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 2022-09-30 Y 12868350.69 2230.10 12866120.59 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 22628.48300000 NS USD 788032.39000000 6.124864013885 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable High Quality Bond 893588707 61007.95800000 NS USD 1078919.64000000 8.385741703980 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 592.78100000 NS USD 12706.38000000 0.098758440130 Long STIV RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300M1YQW7OWPQ4A79 Transamerica Variable Intermediate Bond 893588400 71241.16500000 NS USD 3146145.20000000 24.45294351154 Long EC RF US N 1 N N N SMALL CAP GROWTH SUB KY42 N/A Transamerica Variable Small Cap Growth 000000000 61541.89000000 NS USD 595510.10000000 4.628513278997 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300UO5721R4CGEZ17 Transamerica Variable Inflation-Protected Securities 893588889 55798.14700000 NS USD 1542271.94000000 11.98707822775 Long EC RF US N 1 N N N SMALL CAP VALUE SUB KY41 N/A Transamerica Variable Small Cap Value 000000000 44937.84000000 NS USD 601605.33000000 4.675887543503 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable Large Value Opportunities 893588848 16404.51500000 NS USD 1838746.00000000 14.29137856386 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS 549300O5F0G34CWVCU30 Transamerica Variable International Equity 893588871 71378.57700000 NS USD 1507972.37000000 11.72048994451 Long EC RF US N 1 N N N TRANSAMERICA PARTNERS VAR FDS N/A Transamerica Variable Large Growth 893588509 10692.19000000 NS USD 1756441.34000000 13.65167789088 Long EC RF US N 1 N N N 2022-10-31 TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS Vincent Toner Vincent Toner Treasurer XXXX NPORT-EX 2 NPORT_DIHX_59422896_0922.htm HTML

Transamerica Asset Allocation – Intermediate Horizon Subaccount

 

SCHEDULE OF INVESTMENTS

At September 30, 2022

(unaudited)

 

     Shares      Value  
INVESTMENT COMPANIES - 100.0%              
International Equity Fund - 11.7%              

Transamerica Variable International Equity (A) (B)

      71,379        $  1,507,972  
     

 

 

  
Money Market Fund - 0.2%              

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

      902        19,335  
     

 

 

  
U.S. Equity Funds - 37.2%              

Transamerica Variable Large Growth (A) (B)

      10,692        1,756,442  

Transamerica Variable Large Value Opportunities (A) (B)

      16,405        1,838,746  

Transamerica Variable Small Cap Growth (A) (B)

      61,542        595,510  

Transamerica Variable Small Cap Value (A) (B)

      44,938        601,605  
     

 

 

  
        4,792,303  
     

 

 

  
U.S. Fixed Income Funds - 50.9%              

Transamerica Variable High Quality Bond (A) (B)

      61,008        1,078,920  

Transamerica Variable High Yield Bond (A) (B)

      22,628          788,032  

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

      55,798        1,542,272  

Transamerica Variable Intermediate Bond (A) (B)

      71,241        3,146,145  
     

 

 

  
        6,555,369  
     

 

 

  

Total Investment Companies
(Cost $12,888,926)

         12,874,979  
     

 

 

  

Total Investments
(Cost $12,888,926)

         12,874,979  

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

         (2,230 ) 
     

 

 

  

Net Assets - 100.0%

         $  12,872,749  
     

 

 

  
 

 

Transamerica Asset Allocation Variable Funds

     Page    1         

Transamerica Asset Allocation – Intermediate Horizon Subaccount

 

SCHEDULE OF INVESTMENTS (continued)

At September 30, 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

    $ 12,874,979      $ —        $     —        $ 12,874,979  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $   12,874,979      $     —        $ —        $   12,874,979  
  

 

 

     

 

 

     

 

 

     

 

 

  

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
September 30,
2022		     Shares as of
September 30,
2022		     Dividend
Income		     Net Capital
Gain
Distributions		  

Transamerica Variable Government Money Market

   $ 40,778     $ 3,286,639     $ (3,308,138 )    $ 55     $ 1     $ 19,335       902     $ —       $ —    

Transamerica Variable High Quality Bond

     1,367,117       47,971       (269,435 )      4,018       (70,751 )      1,078,920       61,008       —         —    

Transamerica Variable High Yield Bond

     1,036,237       35,978       (133,240 )      43,569       (194,512 )      788,032       22,628       —         —    

Transamerica Variable Inflation-Protected Securities

     2,031,294       70,757       (296,472 )      29,511       (292,818 )      1,542,272       55,798       —         —    

Transamerica Variable Intermediate Bond

     4,024,562       174,131       (466,441 )      51,919       (638,026 )      3,146,145       71,241       —         —    

Transamerica Variable International Equity

     2,276,497       102,175       (253,118 )      39,157       (656,739 )      1,507,972       71,379       —         —    

Transamerica Variable Large Growth

     2,574,891       592,707       (263,419 )      150,044       (1,297,781 )      1,756,442       10,692       —         —    

Transamerica Variable Large Value Opportunities

     2,768,561       85,448       (641,777 )      323,751       (697,237 )      1,838,746       16,405       —         —    

Transamerica Variable Small Cap Growth

     898,366       68,391       (88,931 )      10,018       (292,334 )      595,510       61,542       —         —    

Transamerica Variable Small Cap Value

     901,219       28,483       (154,950 )      54,012       (227,159 )      601,605       44,938       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $   17,919,522     $   4,492,680     $   (5,875,921 )    $   706,054     $   (4,367,356 )    $   12,874,979             416,533     $     —       $     —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(B)      Non-income producing securities.
(C)      Rate disclosed reflects the yield at September 30, 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 September 30, 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 September 30, 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.

Pursuant to the requirements set forth in SEC Rule 2a-5, effective September 8, 2022, the Board has designated the Subaccount’s investment manager, Transamerica Asset Management, Inc. (“TAM”), to perform fair value determination on behalf of the Subaccount, subject to the oversight of the Board. TAM is subject to Board oversight and certain reporting and other requirements intended to provide the Board the information needed to oversee TAM’s fair value determinations. 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.

TAM 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 TAM’s own assumptions used in determining the fair value of the Subaccount’s 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, 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.

SUBSEQUENT EVENT

The Board has approved the liquidation of Short Horizon, Intermediate Horizon and Intermediate/Long Horizon Subaccounts effective on or about October 28, 2022.

 

Transamerica Asset Allocation Variable Funds

     Page    3