0001752724-24-118043.txt : 20240524 0001752724-24-118043.hdr.sgml : 20240524 20240524103014 ACCESSION NUMBER: 0001752724-24-118043 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240331 FILED AS OF DATE: 20240524 DATE AS OF CHANGE: 20240524 PERIOD START: 20241231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: TRANSAMERICA SERIES TRUST CENTRAL INDEX KEY: 0000778207 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04419 FILM NUMBER: 24981605 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: AEGON/TRANSAMERICA SERIES TRUST DATE OF NAME CHANGE: 20050511 FORMER COMPANY: FORMER CONFORMED NAME: AEGON/TRANSAMERICA SERIES FUND INC DATE OF NAME CHANGE: 20010501 FORMER COMPANY: FORMER CONFORMED NAME: WRL SERIES FUND INC DATE OF NAME CHANGE: 19920703 0000778207 S000021747 Transamerica Goldman Sachs Managed Risk-Growth ETF VP C000062367 Initial C000062368 Service NPORT-P 1 primary_doc.xml NPORT-P false 0000778207 XXXXXXXX S000021747 C000062368 C000062367 TRANSAMERICA SERIES TRUST 811-04419 0000778207 5493000QR1WGXIM5V222 1801 CALIFORNIA STREET SUITE 5200 DENVER 80202 720-493-4256 Transamerica Goldman Sachs Managed Risk - Growth ETF VP S000021747 5493000YC1ZDFM1N4L61 2024-12-31 2024-03-31 N 2113945344.56 138447962.65 1975497381.91 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 UST iShares MSCI EAFE ETF 549300O0XO3KDQV68404 iShares MSCI EAFE ETF 464287465 1437172.00000000 NS USD 114772555.92000000 5.809805518903 Long EC RF US N 1 N N N Vanguard FTSE Developed Markets ETF N/A Vanguard FTSE Developed Markets ETF 921943858 2147450.00000000 NS USD 107737566.50000000 5.453693205902 Long EC RF US N 1 N N N Vanguard Intermediate-Term Corporate Bond ETF VKDXEYNPEMWGHJ22MR31 Vanguard Intermediate-Term Corporate Bond ETF 92206C870 1382653.00000000 NS USD 111317393.03000000 5.634904609307 Long EC RF US N 1 N N Fixed Income Clearing Corp. 549300H47WTHXPU08X20 FIXED INC CLEARING CORP.REPO 000000000 6850168.38000000 PA USD 6850168.38000000 0.346756641781 Long RA CORP US N 2 Repurchase N 2.50000000 2024-04-01 6966800.00000000 USD 6987219.55000000 USD UST N N N iShares Core U.S. Aggregate Bond ETF 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 1433587.00000000 NS USD 140405510.78000000 7.107349878856 Long EC RF US N 1 N N N State Street Global Advisors 5493008BJIBKQ5KTIF74 State Street Navigator Securities Lending Government Money Market Portfolio 857509301 68734314.50000000 NS USD 68734314.50000000 3.479342221832 Long STIV RF US N 1 N N iShares MSCI EAFE Small-Cap ETF 549300MJV5OZGVS4LX86 iShares MSCI EAFE Small-Cap ETF 464288273 218567.00000000 NS USD 13841848.11000000 0.700676611204 Long EC RF US N 1 N N N SPDR S&P 500 ETF Trust 549300NZAMSJ8FXPQQ63 SPDR S&P 500 ETF Trust 78462F103 415578.00000000 NS USD 217376384.46000000 11.00362807111 Long EC RF US N 1 N N N iShares Russell 2000 ETF 549300O80OAR5VTWR172 iShares Russell 2000 ETF 464287655 293457.00000000 NS USD 61714007.10000000 3.123973115081 Long EC RF US N 1 N N Vanguard Total Bond Market ETF CIJB0QNLPT2SSWMJ5W92 Vanguard Total Bond Market ETF 921937835 1955328.00000000 NS USD 142015472.64000000 7.188846411058 Long EC RF US N 1 N N N iShares Core MSCI EAFE ETF 5493009FT582MI7Y3I36 iShares Core MSCI EAFE ETF 46432F842 1454874.00000000 NS USD 107980748.28000000 5.466003107308 Long EC RF US N 1 N N N iShares Core MSCI Emerging Markets ETF 5493007C24Z3ZDJ0VD06 iShares Core MSCI Emerging Markets ETF 46434G103 2686710.00000000 NS USD 138634236.00000000 7.017687660307 Long EC RF US N 1 N N N iShares Core S&P Mid-Cap ETF 549300ODQWH5PC0IUZ78 iShares Core S&P Mid-Cap ETF 464287507 1128367.00000000 NS USD 68537011.58000000 3.469354715810 Long EC RF US N 1 N N N iShares Core S&P 500 ETF 5493007M4YMN8XL48C14 iShares Core S&P 500 ETF 464287200 675830.00000000 NS USD 355304105.90000000 17.98555184904 Long EC RF US N 1 N N N Vanguard S&P 500 ETF 549300D8V8ZP5GRJOC71 Vanguard S&P 500 ETF 922908363 809861.00000000 NS USD 389300182.70000000 19.70643880700 Long EC RF US N 1 N N N 2024-04-26 TRANSAMERICA SERIES TRUST Vincent Toner Vincent Toner Treasurer XXXX NPORT-EX 2 NPORT_IBD0_99576585_0324.htm HTML

Transamerica Goldman Sachs Managed Risk – Growth ETF VP

 

SCHEDULE OF INVESTMENTS

At March 31, 2024

(unaudited)

 

     Shares      Value  
EXCHANGE-TRADED FUNDS - 99.7%  
International Equity Funds - 24.4%  

iShares Core MSCI EAFE ETF

      1,444,249        $ 107,192,161  

iShares Core MSCI Emerging Markets ETF

      2,679,017        138,237,277  

iShares MSCI EAFE ETF

      1,437,172        114,772,556  

iShares MSCI EAFE Small-Cap ETF

      218,567        13,841,848  

Vanguard FTSE Developed Markets ETF

      2,131,719        106,948,342  
     

 

 

  
        480,992,184  
     

 

 

  
U.S. Equity Funds - 55.3%  

iShares Core S&P 500 ETF

      675,830        355,304,106  

iShares Core S&P Mid-Cap ETF

      1,118,577        67,942,367  

iShares Russell 2000 ETF (A)

      293,457        61,714,007  

SPDR S&P 500 ETF Trust

      415,578        217,376,384  

Vanguard S&P 500 ETF

      809,861        389,300,183  
     

 

 

  
        1,091,637,047  
     

 

 

  
U.S. Fixed Income Funds - 20.0%  

iShares Core U.S. Aggregate Bond ETF

      1,433,587        140,405,511  

Vanguard Intermediate-Term Corporate Bond ETF (A)

      1,377,745        110,922,250  

Vanguard Total Bond Market ETF

      1,955,328        142,015,473  
     

 

 

  
        393,343,234  
     

 

 

  

Total Exchange-Traded Funds
(Cost $1,683,988,639)

 

      1,965,972,465  
     

 

 

  
OTHER INVESTMENT COMPANY - 3.5%  
Securities Lending Collateral - 3.5%  

State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 5.29% (B)

      68,756,011        68,756,011  
     

 

 

  

Total Other Investment Company
(Cost $68,756,011)

 

      68,756,011  
     

 

 

  
     Principal      Value  
REPURCHASE AGREEMENT - 0.3%  

Fixed Income Clearing Corp., 2.50% (B), dated 03/28/2024, to be repurchased at $6,852,071 on 04/01/2024. Collateralized by a U.S. Government Obligation, 4.25%, due 12/31/2025, and with a value of $6,987,220.

      $ 6,850,168        6,850,168  
     

 

 

  

Total Repurchase Agreement
(Cost $6,850,168)

 

      6,850,168  
     

 

 

  

Total Investments
(Cost $1,759,594,818)

 

      2,041,578,644  

Net Other Assets (Liabilities) - (3.5)%

         (68,888,798 ) 
     

 

 

  

Net Assets - 100.0%

         $ 1,972,689,846  
     

 

 

  
 

 

Transamerica Series Trust

     Page 1      

Transamerica Goldman Sachs Managed Risk – Growth ETF VP

 

SCHEDULE OF INVESTMENTS (continued)

At March 31, 2024

(unaudited)

 

INVESTMENT VALUATION:

 

Valuation Inputs (C)

 

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

ASSETS

 

Investments

 

Exchange-Traded Funds

    $ 1,965,972,465      $ —       $ —       $ 1,965,972,465  

Other Investment Company

      68,756,011        —         —         68,756,011  

Repurchase Agreement

      —         6,850,168        —         6,850,168  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $  2,034,728,476      $  6,850,168      $  —       $  2,041,578,644  
  

 

 

     

 

 

     

 

 

     

 

 

  

FOOTNOTES TO SCHEDULE OF INVESTMENTS:

 

(A)      All or a portion of the securities are on loan. The total value of all securities on loan is $122,934,616, collateralized by cash collateral of $68,756,011 and non-cash collateral, such as U.S. government securities and irrevocable letters of credit, of $56,807,603. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers.
(B)      Rates disclosed reflect the yields at March 31, 2024.
(C)      There were no transfers in or out of Level 3 during the period ended March 31, 2024. Please reference the Investment Valuation section of the Notes to Schedule of Investments for more information regarding investment valuation and pricing inputs.

 

Transamerica Series Trust

     Page 2      

Transamerica Goldman Sachs Managed Risk – Growth ETF VP

 

NOTES TO SCHEDULE OF INVESTMENTS

At March 31, 2024

(unaudited)

 

INVESTMENT VALUATION

Transamerica Goldman Sachs Managed Risk – Growth ETF VP (the “Portfolio”) is a series of the Transamerica Series Trust.

Transamerica Asset Management, Inc. (“TAM”) has been designated as the Portfolio’s valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended, with responsibility for fair valuation subject to oversight by the Portfolio’s Board of Trustees. The net asset value of the Portfolio is computed as of 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 Portfolio’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 Portfolio’s investments at March 31, 2024, is disclosed within the Investment Valuation section of the 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: Descriptions of the valuation techniques applied to the Portfolio’s significant categories of assets and liabilities measured at fair value on a recurring basis are as follows:

Exchange-traded funds (“ETF”): ETFs are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the ETF is principally traded. ETFs are generally categorized in Level 1 of the fair value hierarchy.

Securities lending collateral: Securities lending collateral is invested in a money market fund which is valued at the actively traded NAV and no valuation adjustments are applied. Securities lending collateral is categorized in Level 1 of the fair value hierarchy.

Repurchase agreements: Repurchase agreements are valued at cost, which approximates fair value. To the extent the inputs are observable and timely, the values are generally categorized in Level 2 of the fair value hierarchy.

 

Transamerica Series Trust

     Page 3