Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS
At March 31, 2024
(unaudited)
Principal | Value | |||||||
ASSET-BACKED SECURITIES - 4.2% | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. |
||||||||
Series 2021-FL2, Class A, |
||||||||
1-Month Term SOFR + 1.21%, |
$ 239,936 | $ 239,115 | ||||||
Series 2022-FL1, Class A, |
||||||||
1-Month SOFR Average + 1.45%, |
400,000 | 396,875 | ||||||
Avis Budget Rental Car Funding AESOP LLC |
||||||||
Series 2023-3A, Class A, |
||||||||
5.44%, 02/22/2028 (B) |
600,000 | 603,680 | ||||||
Series 2023-5A, Class A, |
||||||||
5.78%, 04/20/2028 (B) |
300,000 | 304,357 | ||||||
Bear Stearns Asset-Backed Securities Trust |
||||||||
Series 2005-SD1, Class 2M2, |
||||||||
1-Month Term SOFR + 1.31%, |
21,414 | 21,971 | ||||||
Birch Grove CLO Ltd. |
||||||||
Series 19A, Class AR, |
||||||||
3-Month Term SOFR + 1.39%, |
494,251 | 495,038 | ||||||
BMW Canada Auto Trust |
||||||||
Series 2023-1A, Class A1, |
||||||||
5.43%, 01/20/2026 (B) |
CAD 144,651 | 106,723 | ||||||
Citizens Auto Receivables Trust |
||||||||
Series 2023-1, Class A4, |
||||||||
5.78%, 10/15/2030 (B) |
$ 600,000 | 608,880 | ||||||
DLLMT LLC |
||||||||
Series 2023-1A, Class A2, |
||||||||
5.78%, 11/20/2025 (B) |
176,978 | 176,924 | ||||||
Exeter Automobile Receivables Trust |
||||||||
Series 2023-3A, Class A2, |
||||||||
6.11%, 09/15/2025 |
245,018 | 245,133 | ||||||
Ford Credit Auto Owner Trust |
||||||||
Series 2023-A, Class A2B, |
||||||||
1-Month SOFR Average + 0.72%, |
330,532 | 330,847 | ||||||
FORT CRE Issuer LLC |
||||||||
Series 2022-FL3, Class A, |
||||||||
1-Month SOFR Average + 1.85%, |
346,435 | 341,819 | ||||||
Fremont Home Loan Trust |
||||||||
Series 2005-1, Class M5, |
||||||||
1-Month Term SOFR + 1.18%, |
171,269 | 163,520 | ||||||
GM Financial Automobile Leasing Trust |
||||||||
Series 2023-2, Class A2B, |
||||||||
1-Month SOFR Average + 0.82%, |
190,992 | 191,381 | ||||||
Kubota Credit Owner Trust |
||||||||
Series 2023-1A, Class A2, |
||||||||
5.40%, 02/17/2026 (B) |
446,074 | 445,680 | ||||||
LFT CRE Ltd. |
||||||||
Series 2021-FL1, Class A, |
||||||||
1-Month Term SOFR + 1.28%, |
349,989 | 345,585 |
Principal | Value | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
LoanCore Issuer Ltd. |
||||||||
Series 2022-CRE7, Class A, |
||||||||
1-Month SOFR Average + 1.55%, |
$ 499,930 | $ 497,118 | ||||||
Marble Point CLO X Ltd. |
||||||||
Series 2017-1A, Class AR, |
||||||||
3-Month Term SOFR + 1.30%, |
160,376 | 160,372 | ||||||
MASTR Asset-Backed Securities Trust |
||||||||
Series 2004-WMC3, Class M1, |
||||||||
1-Month Term SOFR + 0.94%, |
152,032 | 144,598 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
Series 2004-WMC5, Class M1, |
||||||||
1-Month Term SOFR + 1.04%, |
107,679 | 106,329 | ||||||
Romark CLO Ltd. |
||||||||
Series 2017-1A, Class A1R, |
||||||||
3-Month Term SOFR + 1.29%, |
291,024 | 291,098 | ||||||
Santander Drive Auto Receivables Trust |
||||||||
Series 2023-2, Class A2, |
||||||||
5.87%, 03/16/2026 |
83,779 | 83,815 | ||||||
SMB Private Education Loan Trust |
||||||||
Series 2016-B, Class A2B, |
||||||||
1-Month Term SOFR + 1.56%, |
74,063 | 74,156 | ||||||
STWD Ltd. |
||||||||
Series 2022-FL3, Class A, |
||||||||
1-Month SOFR Average + 1.35%, |
400,000 | 393,420 | ||||||
TRTX Issuer Ltd. |
||||||||
Series 2022-FL5, Class A, |
||||||||
1-Month SOFR Average + 1.65%, |
500,000 | 496,470 | ||||||
VMC Finance LLC |
||||||||
Series 2022-FL5, Class A, |
||||||||
1-Month SOFR Average + 1.90%, |
397,388 | 392,642 | ||||||
|
|
|||||||
Total Asset-Backed Securities |
|
7,657,546 | ||||||
|
|
|||||||
CORPORATE DEBT SECURITIES - 23.8% | ||||||||
Aerospace & Defense - 0.1% | ||||||||
Spirit AeroSystems, Inc. |
||||||||
3.85%, 06/15/2026 |
200,000 | 192,265 | ||||||
|
|
|||||||
Automobiles - 0.6% | ||||||||
Ford Motor Credit Co. LLC |
||||||||
3.82%, 11/02/2027 |
200,000 | 187,442 | ||||||
6.80%, 05/12/2028 |
200,000 | 207,888 | ||||||
General Motors Financial Co., Inc. |
||||||||
5.75%, 02/08/2031 |
200,000 | 202,275 |
Transamerica Series Trust |
Page 1 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Automobiles (continued) | ||||||||
Hyundai Capital America |
||||||||
3-Month SOFR + 1.15%, |
$ 400,000 | $ 402,248 | ||||||
Nissan Motor Acceptance Co. LLC |
||||||||
2.00%, 03/09/2026 (B) |
200,000 | 185,241 | ||||||
|
|
|||||||
1,185,094 | ||||||||
|
|
|||||||
Banks - 6.3% | ||||||||
Banco de Credito del Peru SA |
||||||||
4.65%, 09/17/2024 (B) |
PEN 1,300,000 | 344,248 | ||||||
Banco Santander SA |
||||||||
3.49%, 05/28/2030 |
$ 200,000 | 181,345 | ||||||
Bank Leumi Le-Israel BM |
||||||||
5.13%, 07/27/2027 (C) |
300,000 | 293,761 | ||||||
Bank of America Corp. |
||||||||
Fixed until 09/15/2026, |
300,000 | 304,150 | ||||||
CaixaBank SA |
||||||||
Fixed until 09/13/2026, |
200,000 | 204,387 | ||||||
Citigroup, Inc. |
||||||||
4.40%, 06/10/2025 |
300,000 | 295,890 | ||||||
Deutsche Bank AG |
||||||||
Fixed until 11/24/2025, |
200,000 | 188,636 | ||||||
Freedom Mortgage Corp. |
||||||||
12.00%, 10/01/2028 (B) |
100,000 | 109,002 | ||||||
Goldman Sachs Group, Inc. |
||||||||
3-Month Term SOFR + 2.01%, |
700,000 | 721,022 | ||||||
HSBC Holdings PLC |
||||||||
Fixed until 11/03/2027, |
300,000 | 319,253 | ||||||
ING Groep NV |
||||||||
Fixed until 09/11/2033, |
200,000 | 207,681 | ||||||
Intesa Sanpaolo SpA |
||||||||
6.63%, 06/20/2033 (B) |
200,000 | 207,671 | ||||||
JPMorgan Chase & Co. |
||||||||
Fixed until 06/01/2033, |
500,000 | 502,195 | ||||||
KBC Group NV |
||||||||
Fixed until 09/21/2033, |
200,000 | 209,966 | ||||||
Lloyds Banking Group PLC |
||||||||
4.38%, 03/22/2028 |
200,000 | 194,180 | ||||||
4.55%, 08/16/2028 |
1,000,000 | 974,936 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
||||||||
2.05%, 07/17/2030 |
500,000 | 419,600 | ||||||
Mizuho Financial Group, Inc. |
||||||||
Fixed until 09/13/2027, |
500,000 | 504,448 | ||||||
NatWest Group PLC |
||||||||
Fixed until 05/18/2028, |
400,000 | 391,694 | ||||||
Fixed until 09/30/2027, |
400,000 | 400,585 | ||||||
Santander Holdings USA, Inc. |
||||||||
3.45%, 06/02/2025 |
400,000 | 388,887 | ||||||
Santander UK Group Holdings PLC |
||||||||
Fixed until 03/15/2031, |
200,000 | 170,281 |
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Banks (continued) | ||||||||
Standard Chartered PLC |
||||||||
Fixed until 07/06/2026, |
$ 200,000 | $ 202,222 | ||||||
Fixed until 01/09/2028, |
300,000 | 308,631 | ||||||
Stichting AK Rabobank Certificaten |
||||||||
6.50% (E), 12/29/2049 (C) (F) |
EUR 420,200 | 479,870 | ||||||
Swedbank AB |
||||||||
6.14%, 09/12/2026 (B) |
$ 200,000 | 202,679 | ||||||
Synchrony Bank |
||||||||
5.40%, 08/22/2025 |
300,000 | 297,368 | ||||||
UBS Group AG |
||||||||
3.75%, 03/26/2025 |
900,000 | 883,421 | ||||||
4.13%, 09/24/2025 (B) |
200,000 | 195,920 | ||||||
Fixed until 08/05/2026, |
400,000 | 392,605 | ||||||
Fixed until 02/08/2029, |
200,000 | 200,395 | ||||||
UniCredit SpA |
||||||||
Fixed until 09/22/2025, |
350,000 | 333,407 | ||||||
US Bancorp |
||||||||
Fixed until 06/10/2033, |
100,000 | 102,009 | ||||||
Wells Fargo & Co. |
||||||||
Fixed until 06/17/2026, |
300,000 | 286,579 | ||||||
|
|
|||||||
11,418,924 | ||||||||
|
|
|||||||
Beverages - 0.1% | ||||||||
Bacardi Ltd. |
||||||||
4.70%, 05/15/2028 (B) |
150,000 | 146,259 | ||||||
5.15%, 05/15/2038 (B) |
100,000 | 95,220 | ||||||
|
|
|||||||
241,479 | ||||||||
|
|
|||||||
Biotechnology - 0.0% (G) | ||||||||
Illumina, Inc. |
||||||||
2.55%, 03/23/2031 (H) |
100,000 | 82,711 | ||||||
|
|
|||||||
Broadline Retail - 0.1% | ||||||||
Prosus NV |
||||||||
3.26%, 01/19/2027 (B) |
300,000 | 277,884 | ||||||
|
|
|||||||
Capital Markets - 0.6% | ||||||||
Banco BTG Pactual SA |
||||||||
4.50%, 01/10/2025 (B) |
400,000 | 394,798 | ||||||
Brighthouse Holdings LLC |
||||||||
6.50% (E), 07/27/2037 (B) (F) |
200,000 | 182,000 | ||||||
Brookfield Finance, Inc. |
||||||||
3.90%, 01/25/2028 |
500,000 | 481,730 | ||||||
|
|
|||||||
1,058,528 | ||||||||
|
|
|||||||
Chemicals - 0.1% | ||||||||
Axalta Coating Systems LLC |
||||||||
3.38%, 02/15/2029 (B) |
200,000 | 178,979 | ||||||
|
|
|||||||
Commercial Services & Supplies - 0.2% | ||||||||
Ashtead Capital, Inc. |
||||||||
4.00%, 05/01/2028 (B) |
200,000 | 187,970 | ||||||
Quanta Services, Inc. |
||||||||
2.90%, 10/01/2030 |
300,000 | 262,501 | ||||||
|
|
|||||||
450,471 | ||||||||
|
|
Transamerica Series Trust |
Page 2 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Communications Equipment - 0.2% | ||||||||
Motorola Solutions, Inc. |
||||||||
2.30%, 11/15/2030 |
$ 400,000 | $ 335,722 | ||||||
|
|
|||||||
Consumer Finance - 0.2% | ||||||||
Capital One Financial Corp. |
||||||||
Fixed until 02/01/2034, |
200,000 | 203,722 | ||||||
Fixed until 06/08/2033, |
100,000 | 103,887 | ||||||
|
|
|||||||
307,609 | ||||||||
|
|
|||||||
Containers & Packaging - 0.3% | ||||||||
Berry Global, Inc. |
||||||||
4.88%, 07/15/2026 (B) |
500,000 | 490,072 | ||||||
|
|
|||||||
Distributors - 0.3% | ||||||||
Ferguson Finance PLC |
||||||||
3.25%, 06/02/2030 (B) |
600,000 | 537,355 | ||||||
|
|
|||||||
Diversified REITs - 0.3% | ||||||||
GLP Capital LP/GLP Financing II, Inc. |
||||||||
5.38%, 04/15/2026 |
100,000 | 99,137 | ||||||
Goodman US Finance Five LLC |
||||||||
4.63%, 05/04/2032 (B) |
400,000 | 366,798 | ||||||
|
|
|||||||
465,935 | ||||||||
|
|
|||||||
Electric Utilities - 4.6% | ||||||||
AES Corp. |
||||||||
5.45%, 06/01/2028 |
100,000 | 99,845 | ||||||
Alabama Power Co. |
||||||||
3.45%, 10/01/2049 |
300,000 | 221,878 | ||||||
4.15%, 08/15/2044 |
100,000 | 84,458 | ||||||
Arizona Public Service Co. |
||||||||
2.65%, 09/15/2050 |
100,000 | 59,932 | ||||||
Black Hills Corp. |
||||||||
1.04%, 08/23/2024 |
200,000 | 196,467 | ||||||
Consolidated Edison Co. of New York, Inc. |
||||||||
6.15%, 11/15/2052 |
200,000 | 220,025 | ||||||
Constellation Energy Generation LLC |
||||||||
5.80%, 03/01/2033 |
400,000 | 412,578 | ||||||
Duke Energy Progress LLC |
||||||||
4.00%, 04/01/2052 |
200,000 | 158,888 | ||||||
5.25%, 03/15/2033 |
200,000 | 202,378 | ||||||
Edison International |
||||||||
6.95%, 11/15/2029 |
100,000 | 107,130 | ||||||
ENEL Finance International NV |
||||||||
4.63%, 06/15/2027 (B) |
400,000 | 393,426 | ||||||
Entergy Mississippi LLC |
||||||||
2.85%, 06/01/2028 |
1,100,000 | 1,011,225 | ||||||
Eversource Energy |
||||||||
5.45%, 03/01/2028 |
100,000 | 101,256 | ||||||
FirstEnergy Pennsylvania Electric Co. |
||||||||
3.60%, 06/01/2029 (B) |
600,000 | 557,653 | ||||||
Georgia Power Co. |
||||||||
4.70%, 05/15/2032 |
400,000 | 390,507 | ||||||
Indianapolis Power & Light Co. |
||||||||
5.70%, 04/01/2054 (B) |
200,000 | 200,723 | ||||||
IPALCO Enterprises, Inc. |
||||||||
5.75%, 04/01/2034 (B) |
200,000 | 199,489 | ||||||
Liberty Utilities Finance GP 1 |
||||||||
2.05%, 09/15/2030 (B) |
400,000 | 324,183 | ||||||
National Rural Utilities Cooperative Finance Corp. |
||||||||
4.80%, 03/15/2028 |
100,000 | 99,964 | ||||||
NextEra Energy Capital Holdings, Inc. |
||||||||
5.05%, 02/28/2033 |
200,000 | 198,199 |
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Electric Utilities (continued) | ||||||||
Niagara Mohawk Power Corp. |
||||||||
4.12%, 11/28/2042 (B) |
$ 200,000 | $ 162,411 | ||||||
Pacific Gas & Electric Co. |
||||||||
3.50%, 06/15/2025 |
120,000 | 116,911 | ||||||
3.75%, 08/15/2042 |
100,000 | 74,375 | ||||||
6.75%, 01/15/2053 |
700,000 | 761,994 | ||||||
PacifiCorp |
||||||||
5.50%, 05/15/2054 |
200,000 | 192,432 | ||||||
San Diego Gas & Electric Co. |
||||||||
1.70%, 10/01/2030 |
300,000 | 246,820 | ||||||
Southern California Edison Co. |
||||||||
3.90%, 03/15/2043 |
100,000 | 80,463 | ||||||
4.00%, 04/01/2047 |
600,000 | 475,209 | ||||||
4.05%, 03/15/2042 |
100,000 | 82,972 | ||||||
4.65%, 10/01/2043 |
100,000 | 88,501 | ||||||
Southwestern Electric Power Co. |
||||||||
6.20%, 03/15/2040 |
600,000 | 634,629 | ||||||
WEC Energy Group, Inc. |
||||||||
5.60%, 09/12/2026 |
100,000 | 101,133 | ||||||
Xcel Energy, Inc. |
||||||||
4.60%, 06/01/2032 |
200,000 | 188,316 | ||||||
|
|
|||||||
8,446,370 | ||||||||
|
|
|||||||
Financial Services - 1.0% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
||||||||
4.45%, 04/03/2026 |
200,000 | 196,743 | ||||||
Aircastle Ltd. |
||||||||
2.85%, 01/26/2028 (B) |
100,000 | 89,823 | ||||||
Ally Financial, Inc. |
||||||||
Fixed until 01/03/2029, |
100,000 | 102,968 | ||||||
Antares Holdings LP |
||||||||
6.50%, 02/08/2029 (B) |
250,000 | 248,386 | ||||||
Aviation Capital Group LLC |
||||||||
5.50%, 12/15/2024 (B) |
300,000 | 298,857 | ||||||
Avolon Holdings Funding Ltd. |
||||||||
2.53%, 11/18/2027 (B) |
159,000 | 141,471 | ||||||
2.88%, 02/15/2025 (B) |
100,000 | 97,312 | ||||||
LeasePlan Corp. NV |
||||||||
2.88%, 10/24/2024 (B) |
400,000 | 393,506 | ||||||
PennyMac Financial Services, Inc. |
||||||||
5.38%, 10/15/2025 (B) |
200,000 | 197,707 | ||||||
|
|
|||||||
1,766,773 | ||||||||
|
|
|||||||
Gas Utilities - 0.4% | ||||||||
Brooklyn Union Gas Co. |
||||||||
4.63%, 08/05/2027 (B) |
300,000 | 291,342 | ||||||
Southern California Gas Co. |
||||||||
4.13%, 06/01/2048 |
500,000 | 408,424 | ||||||
|
|
|||||||
699,766 | ||||||||
|
|
|||||||
Ground Transportation - 0.4% | ||||||||
DAE Funding LLC |
||||||||
2.63%, 03/20/2025 (B) |
400,000 | 387,080 | ||||||
Fortress Transportation & Infrastructure Investors LLC |
||||||||
6.50%, 10/01/2025 (B) |
306,000 | 305,522 | ||||||
|
|
|||||||
692,602 | ||||||||
|
|
|||||||
Health Care Providers & Services - 1.4% | ||||||||
AHS Hospital Corp. |
||||||||
5.02%, 07/01/2045 |
400,000 | 389,252 | ||||||
Banner Health |
||||||||
1.90%, 01/01/2031 |
300,000 | 246,692 |
Transamerica Series Trust |
Page 3 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Health Care Providers & Services (continued) | ||||||||
Centene Corp. |
||||||||
2.50%, 03/01/2031 |
$ 200,000 | $ 164,594 | ||||||
2.63%, 08/01/2031 |
400,000 | 328,396 | ||||||
CHRISTUS Health |
||||||||
4.34%, 07/01/2028 |
300,000 | 294,094 | ||||||
Fresenius Medical Care US Finance III, Inc. |
||||||||
2.38%, 02/16/2031 (B) |
200,000 | 157,808 | ||||||
HCA, Inc. |
||||||||
4.13%, 06/15/2029 |
100,000 | 94,661 | ||||||
5.20%, 06/01/2028 |
200,000 | 200,612 | ||||||
Humana, Inc. |
||||||||
5.75%, 03/01/2028 |
300,000 | 306,683 | ||||||
Northwell Healthcare, Inc. |
||||||||
3.98%, 11/01/2046 |
400,000 | 322,829 | ||||||
|
|
|||||||
2,505,621 | ||||||||
|
|
|||||||
Health Care REITs - 0.1% | ||||||||
Omega Healthcare Investors, Inc. |
||||||||
3.25%, 04/15/2033 |
200,000 | 162,094 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure - 0.3% | ||||||||
Las Vegas Sands Corp. |
||||||||
2.90%, 06/25/2025 |
200,000 | 192,424 | ||||||
Marriott International, Inc. |
||||||||
2.85%, 04/15/2031 |
200,000 | 172,469 | ||||||
Wynn Macau Ltd. |
||||||||
5.63%, 08/26/2028 (B) |
200,000 | 189,691 | ||||||
|
|
|||||||
554,584 | ||||||||
|
|
|||||||
Independent Power & Renewable Electricity Producers - 0.1% | ||||||||
NRG Energy, Inc. |
||||||||
2.45%, 12/02/2027 (B) |
200,000 | 179,853 | ||||||
|
|
|||||||
Insurance - 0.6% | ||||||||
Assured Guaranty US Holdings, Inc. |
||||||||
6.13%, 09/15/2028 |
100,000 | 103,766 | ||||||
Athene Holding Ltd. |
||||||||
5.88%, 01/15/2034 |
100,000 | 100,278 | ||||||
Equitable Financial Life Global Funding |
||||||||
5.50%, 12/02/2025 (B) |
200,000 | 199,577 | ||||||
Fairfax Financial Holdings Ltd. |
||||||||
3.38%, 03/03/2031 |
100,000 | 86,997 | ||||||
GA Global Funding Trust |
||||||||
2.90%, 01/06/2032 (B) |
200,000 | 164,217 | ||||||
Liberty Mutual Group, Inc. |
||||||||
5.50%, 06/15/2052 (B) |
300,000 | 288,680 | ||||||
Reinsurance Group of America, Inc. |
||||||||
6.00%, 09/15/2033 |
100,000 | 103,718 | ||||||
Willis North America, Inc. |
||||||||
5.35%, 05/15/2033 |
100,000 | 99,494 | ||||||
|
|
|||||||
1,146,727 | ||||||||
|
|
|||||||
Media - 0.3% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||
4.20%, 03/15/2028 |
100,000 | 94,233 | ||||||
Comcast Corp. |
||||||||
2.94%, 11/01/2056 |
672,000 | 424,692 | ||||||
Cox Communications, Inc. |
||||||||
2.95%, 10/01/2050 (B) |
200,000 | 123,456 | ||||||
|
|
|||||||
642,381 | ||||||||
|
|
|||||||
Metals & Mining - 0.1% | ||||||||
Glencore Funding LLC |
||||||||
5.70%, 05/08/2033 (B) |
100,000 | 101,742 | ||||||
|
|
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Office REITs - 0.1% | ||||||||
Alexandria Real Estate Equities, Inc. |
||||||||
4.50%, 07/30/2029 |
$ 200,000 | $ 193,248 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels - 1.5% | ||||||||
Aker BP ASA |
||||||||
3.75%, 01/15/2030 (B) |
200,000 | 182,863 | ||||||
Boardwalk Pipelines LP |
||||||||
3.40%, 02/15/2031 |
400,000 | 354,895 | ||||||
Cheniere Energy Partners LP |
||||||||
5.95%, 06/30/2033 |
200,000 | 204,849 | ||||||
Enbridge, Inc. |
||||||||
5.70%, 03/08/2033 |
200,000 | 204,760 | ||||||
Energy Transfer LP |
||||||||
4.75%, 01/15/2026 |
40,000 | 39,590 | ||||||
5.80%, 06/15/2038 |
500,000 | 497,858 | ||||||
7.50%, 07/01/2038 |
100,000 | 115,038 | ||||||
Kinder Morgan, Inc. |
||||||||
7.75%, 01/15/2032 |
400,000 | 453,950 | ||||||
Midwest Connector Capital Co. LLC |
||||||||
3.90%, 04/01/2024 (B) |
300,000 | 300,000 | ||||||
MPLX LP |
||||||||
5.00%, 03/01/2033 |
100,000 | 97,115 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
||||||||
4.00%, 01/15/2032 |
200,000 | 179,961 | ||||||
Tennessee Gas Pipeline Co. LLC |
||||||||
7.00%, 10/15/2028 |
100,000 | 107,041 | ||||||
Woodside Finance Ltd. |
||||||||
3.65%, 03/05/2025 (B) |
20,000 | 19,621 | ||||||
|
|
|||||||
2,757,541 | ||||||||
|
|
|||||||
Passenger Airlines - 0.7% | ||||||||
American Airlines Pass-Through Trust |
||||||||
3.00%, 04/15/2030 |
268,895 | 244,960 | ||||||
3.25%, 04/15/2030 |
67,284 | 60,775 | ||||||
3.50%, 08/15/2033 |
78,300 | 68,117 | ||||||
British Airways Pass-Through Trust |
||||||||
3.35%, 12/15/2030 (B) |
117,554 | 108,225 | ||||||
3.80%, 03/20/2033 (B) |
124,108 | 116,772 | ||||||
Spirit Airlines Pass-Through Trust |
||||||||
4.10%, 10/01/2029 |
112,647 | 103,365 | ||||||
United Airlines Pass-Through Trust |
||||||||
2.88%, 04/07/2030 |
343,925 | 311,663 | ||||||
3.10%, 04/07/2030 |
343,925 | 306,237 | ||||||
|
|
|||||||
1,320,114 | ||||||||
|
|
|||||||
Pharmaceuticals - 0.5% | ||||||||
Bayer US Finance II LLC |
||||||||
4.63%, 06/25/2038 (B) |
1,000,000 | 837,079 | ||||||
|
|
|||||||
Residential REITs - 0.3% | ||||||||
Essex Portfolio LP |
||||||||
4.00%, 03/01/2029 |
500,000 | 476,562 | ||||||
|
|
|||||||
Retail REITs - 0.2% | ||||||||
NNN REIT, Inc. |
||||||||
4.80%, 10/15/2048 |
500,000 | 437,219 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment - 0.2% | ||||||||
Broadcom, Inc. |
||||||||
3.19%, 11/15/2036 (B) |
300,000 | 239,052 |
Transamerica Series Trust |
Page 4 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||
Micron Technology, Inc. |
||||||||
6.75%, 11/01/2029 |
$ 100,000 | $ 107,389 | ||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. |
||||||||
5.00%, 01/15/2033 |
100,000 | 97,830 | ||||||
|
|
|||||||
444,271 | ||||||||
|
|
|||||||
Software - 0.4% | ||||||||
Oracle Corp. |
||||||||
2.95%, 05/15/2025 |
290,000 | 282,351 | ||||||
4.90%, 02/06/2033 |
400,000 | 392,143 | ||||||
|
|
|||||||
674,494 | ||||||||
|
|
|||||||
Specialized REITs - 0.8% | ||||||||
American Tower Corp. |
||||||||
4.00%, 06/01/2025 |
300,000 | 294,809 | ||||||
4.05%, 03/15/2032 |
300,000 | 274,753 | ||||||
VICI Properties LP |
||||||||
4.75%, 02/15/2028 |
300,000 | 292,463 | ||||||
VICI Properties LP/VICI Note Co., Inc. |
||||||||
3.88%, 02/15/2029 (B) |
500,000 | 460,220 | ||||||
Weyerhaeuser Co. |
||||||||
4.75%, 05/15/2026 |
100,000 | 99,105 | ||||||
|
|
|||||||
1,421,350 | ||||||||
|
|
|||||||
Tobacco - 0.1% | ||||||||
Imperial Brands Finance PLC |
||||||||
3.50%, 07/26/2026 (B) |
200,000 | 190,803 | ||||||
|
|
|||||||
Wireless Telecommunication Services - 0.3% | ||||||||
T-Mobile USA, Inc. |
||||||||
2.25%, 11/15/2031 |
200,000 | 164,051 | ||||||
5.05%, 07/15/2033 |
200,000 | 197,839 | ||||||
Vodafone Group PLC |
||||||||
5.63%, 02/10/2053 |
100,000 | 99,536 | ||||||
|
|
|||||||
461,426 | ||||||||
|
|
|||||||
Total Corporate Debt Securities |
|
43,335,648 | ||||||
|
|
|||||||
FOREIGN GOVERNMENT OBLIGATIONS - 3.2% | ||||||||
Brazil - 1.0% | ||||||||
Brazil Letras do Tesouro Nacional |
||||||||
Series LTN, |
||||||||
Zero Coupon, 07/01/2024 |
BRL 9,600,000 | 1,868,623 | ||||||
|
|
|||||||
Canada - 0.5% | ||||||||
Province of Quebec |
||||||||
2.50%, 04/20/2026 |
$ 900,000 | 859,885 | ||||||
|
|
|||||||
Dominican Republic - 0.2% | ||||||||
Dominican Republic International Bonds |
||||||||
4.88%, 09/23/2032 (B) |
400,000 | 358,091 | ||||||
|
|
|||||||
Indonesia - 0.2% | ||||||||
Perusahaan Penerbit SBSN Indonesia III |
||||||||
4.40%, 06/06/2027 (B) |
400,000 | 392,902 | ||||||
|
|
|||||||
Italy - 0.1% | ||||||||
Cassa Depositi e Prestiti SpA |
||||||||
5.75%, 05/05/2026 (B) |
200,000 | 198,235 | ||||||
|
|
|||||||
Mexico - 0.4% | ||||||||
Mexico Government International Bonds |
||||||||
6.34%, 05/04/2053 |
200,000 | 197,441 |
Principal | Value | |||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | ||||||||
Mexico (continued) | ||||||||
Mexico Udibonos |
||||||||
Series S, |
||||||||
2.75%, 11/27/2031 |
MXN 5,922,156 | $ 305,079 | ||||||
3.00%, 12/03/2026 |
567,878 | 31,729 | ||||||
4.00%, 11/30/2028 |
2,109,261 | 121,029 | ||||||
|
|
|||||||
655,278 | ||||||||
|
|
|||||||
Panama - 0.1% | ||||||||
Panama Government International Bonds |
||||||||
6.88%, 01/31/2036 |
$ 200,000 | 197,500 | ||||||
|
|
|||||||
Poland - 0.1% | ||||||||
Republic of Poland Government International Bonds |
||||||||
4.63%, 03/18/2029 |
100,000 | 99,295 | ||||||
5.13%, 09/18/2034 |
100,000 | 99,556 | ||||||
|
|
|||||||
198,851 | ||||||||
|
|
|||||||
Republic of South Africa - 0.2% | ||||||||
Republic of South Africa Government International Bonds |
||||||||
4.85%, 09/30/2029 |
300,000 | 268,752 | ||||||
|
|
|||||||
Romania - 0.4% | ||||||||
Romania Government International Bonds |
||||||||
2.13%, 03/07/2028 (B) |
EUR 300,000 | 297,115 | ||||||
2.63%, 12/02/2040 (B) |
100,000 | 73,501 | ||||||
3.75%, 02/07/2034 (B) |
100,000 | 94,589 | ||||||
5.50%, 09/18/2028 (B) |
150,000 | 166,680 | ||||||
6.38%, 09/18/2033 (B) |
150,000 | 172,968 | ||||||
|
|
|||||||
804,853 | ||||||||
|
|
|||||||
Total Foreign Government Obligations |
|
5,802,970 | ||||||
|
|
|||||||
LOAN ASSIGNMENT - 0.1% | ||||||||
Capital Markets - 0.1% | ||||||||
Zephyrus Capital Aviation Partners LLC |
||||||||
Term Loan, |
||||||||
4.61% (I), 10/15/2038 (J) |
$ 213,320 | 190,409 | ||||||
|
|
|||||||
Total Loan Assignment |
|
190,409 | ||||||
|
|
|||||||
MORTGAGE-BACKED SECURITIES - 3.5% | ||||||||
Angel Oak Mortgage Trust |
||||||||
Series 2020-4, Class A1, |
||||||||
1.47% (A), 06/25/2065 (B) |
61,762 | 57,322 | ||||||
BAMLL Commercial Mortgage Securities Trust |
||||||||
Series 2019-RLJ, Class A, |
||||||||
1-Month Term SOFR + 1.10%, |
500,000 | 499,866 | ||||||
Banc of America Mortgage Trust |
||||||||
Series 2004-D, Class 2A2, |
||||||||
4.79% (A), 05/25/2034 |
2,938 | 2,790 | ||||||
Bear Stearns Alt-A Trust |
||||||||
Series 2005-7, Class 22A1, |
||||||||
4.87% (A), 09/25/2035 |
120,655 | 70,863 | ||||||
BIG Commercial Mortgage Trust |
||||||||
Series 2022-BIG, Class A, |
||||||||
1-Month Term SOFR + 1.34%, |
383,431 | 378,770 | ||||||
ChaseFlex Trust |
||||||||
Series 2007-2, Class A1, |
||||||||
1-Month Term SOFR + 0.67%, |
140,361 | 127,989 |
Transamerica Series Trust |
Page 5 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Principal | Value | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
COMM Mortgage Trust |
||||||||
Series 2018-HOME, Class A, |
||||||||
3.82% (A), 04/10/2033 (B) |
$ 400,000 | $ 371,570 | ||||||
DBGS Mortgage Trust |
||||||||
Series 2019-1735, Class A, |
||||||||
3.84%, 04/10/2037 (B) |
200,000 | 175,970 | ||||||
DROP Mortgage Trust |
||||||||
Series 2021-FILE, Class A, |
||||||||
1-Month Term SOFR + 1.26%, |
200,000 | 192,324 | ||||||
HarborView Mortgage Loan Trust |
||||||||
Series 2005-4, Class 3A1, |
||||||||
4.24% (A), 07/19/2035 |
35,897 | 26,256 | ||||||
HERA Commercial Mortgage Ltd. |
||||||||
Series 2021-FL1, Class A, |
||||||||
1-Month Term SOFR + 1.16%, |
296,884 | 291,992 | ||||||
Independence Plaza Trust |
||||||||
Series 2018-INDP, Class A, |
||||||||
3.76%, 07/10/2035 (B) |
600,000 | 574,608 | ||||||
La Hipotecaria El Salvadorian Mortgage Trust |
||||||||
Series 2016-1A, Class A, |
||||||||
3.36%, 01/15/2046 (B) (J) |
339,222 | 313,266 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
Series 2003-B, Class A1, |
||||||||
1-Month Term SOFR + 0.79%, |
46,933 | 44,802 | ||||||
Mill City Mortgage Loan Trust |
||||||||
Series 2019-GS2, Class A1, |
||||||||
2.75% (A), 08/25/2059 (B) |
131,143 | 124,024 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
||||||||
Series 2015-C25, Class A4, |
||||||||
3.37%, 10/15/2048 |
900,000 | 875,859 | ||||||
MortgageIT Trust |
||||||||
Series 2005-2, Class 1A1, |
||||||||
1-Month Term SOFR + 0.63%, |
5,491 | 5,328 | ||||||
Natixis Commercial Mortgage Securities Trust |
||||||||
Series 2019-10K, Class A, |
||||||||
3.62%, 05/15/2039 (B) |
700,000 | 640,547 | ||||||
New Residential Mortgage Loan Trust |
||||||||
Series 2019-RPL3, Class A1, |
||||||||
2.75% (A), 07/25/2059 (B) |
281,065 | 263,847 | ||||||
Series 2020-RPL1, Class A1, |
||||||||
2.75% (A), 11/25/2059 (B) |
128,018 | 119,176 | ||||||
NYO Commercial Mortgage Trust |
||||||||
Series 2021-1290, Class A, |
||||||||
1-Month Term SOFR + 1.21%, |
500,000 | 483,758 |
Principal | Value | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Towd Point Mortgage Funding - Granite4 PLC |
||||||||
Series 2019-GR4A, Class A1, |
||||||||
SONIA + 1.14%, |
GBP 313,614 | $ 395,905 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
||||||||
Series 2006-AR9, Class 2A, |
||||||||
12-MTA + 1.05%, |
$ 317,134 | 252,632 | ||||||
|
|
|||||||
Total Mortgage-Backed Securities |
|
6,289,464 | ||||||
|
|
|||||||
MUNICIPAL GOVERNMENT OBLIGATIONS - 0.4% | ||||||||
California - 0.2% | ||||||||
State of California, General Obligation Unlimited, |
||||||||
7.35%, 11/01/2039 |
300,000 | 354,524 | ||||||
|
|
|||||||
Illinois - 0.1% | ||||||||
Sales Tax Securitization Corp., Revenue Bonds, |
||||||||
Series B, |
||||||||
3.24%, 01/01/2042 |
400,000 | 323,228 | ||||||
|
|
|||||||
Texas - 0.1% | ||||||||
Texas Natural Gas Securitization Finance Corp., Revenue Bonds, |
||||||||
5.10%, 04/01/2035 |
100,000 | 100,875 | ||||||
|
|
|||||||
Total Municipal Government Obligations |
|
778,627 | ||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS - 17.7% | ||||||||
Federal Home Loan Mortgage Corp. |
||||||||
4.50%, 08/01/2048 - 08/01/2053 |
1,194,586 | 1,142,916 | ||||||
5.00%, 06/01/2053 |
1,140,947 | 1,114,023 | ||||||
5.50%, 07/01/2053 |
993,744 | 989,648 | ||||||
6.00%, 01/01/2053 |
1,195,569 | 1,208,468 | ||||||
6.50%, 02/01/2054 |
300,000 | 306,617 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
||||||||
3.09% (A), 04/25/2028 |
1,000,000 | 938,620 | ||||||
Federal Home Loan Mortgage Corp. REMICS |
||||||||
1-Month SOFR Average + 0.46%, |
212,912 | 211,571 | ||||||
1-Month SOFR Average + 0.51%, |
118,163 | 116,451 | ||||||
Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS |
||||||||
0.00% (A), 01/15/2038 |
212,912 | 11,562 | ||||||
Federal Home Loan Mortgage Corp., Interest Only STRIPS |
||||||||
(1.00) * 1-Month SOFR Average + 5.78%, |
321,321 | 27,460 | ||||||
Federal National Mortgage Association |
||||||||
3.50%, 06/01/2045 |
48,146 | 43,988 | ||||||
4.00%, 09/01/2048 |
43,740 | 41,306 | ||||||
4.50%, 08/01/2053 |
979,218 | 933,311 | ||||||
5.00%, 04/01/2053 - 05/01/2053 |
3,788,438 | 3,700,355 | ||||||
5.50%, 04/01/2053 - 07/01/2053 |
1,675,024 | 1,669,910 | ||||||
6.00%, 07/01/2053 |
97,671 | 98,619 |
Transamerica Series Trust |
Page 6 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Principal | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||
Federal National Mortgage Association REMICS |
||||||||
1-Month SOFR Average + 0.66%, |
$ 37,001 | $ 36,960 | ||||||
Federal National Mortgage Association REMICS, Interest Only STRIPS |
||||||||
3.00%, 03/25/2028 |
96,026 | 3,721 | ||||||
Government National Mortgage Association |
||||||||
4.50%, 11/20/2052 |
282,186 | 271,342 | ||||||
Government National Mortgage Association REMICS |
||||||||
1-Month Term SOFR + 0.91%, |
972,585 | 969,957 | ||||||
Government National Mortgage Association, TBA |
||||||||
3.00%, 04/20/2054 (K) |
2,900,000 | 2,560,168 | ||||||
4.00%, 04/20/2054 (K) |
700,000 | 655,656 | ||||||
Northstar Education Finance, Inc. |
||||||||
Series 2012-1, Class A, |
||||||||
1-Month SOFR Average + 0.81%, |
1,228 | 1,227 | ||||||
PHEAA Student Loan Trust |
||||||||
Series 2016-2A, Class A, |
||||||||
1-Month SOFR Average + 1.06%, |
110,041 | 109,742 | ||||||
Tagua Leasing LLC |
||||||||
1.58%, 11/16/2024 |
13,728 | 13,532 | ||||||
Tennessee Valley Authority |
||||||||
3.88%, 03/15/2028 |
600,000 | 589,812 | ||||||
Uniform Mortgage-Backed Security, TBA |
||||||||
2.50%, 04/01/2054 (K) |
200,000 | 165,508 | ||||||
3.00%, 04/01/2054 (K) |
3,600,000 | 3,100,515 | ||||||
3.50%, 04/01/2054 (K) |
1,000,000 | 895,899 | ||||||
4.00%, 04/01/2054 (K) |
5,700,000 | 5,283,695 | ||||||
4.50%, 04/01/2054 (K) |
400,000 | 381,250 | ||||||
5.00%, 04/01/2054 (K) |
500,000 | 488,238 | ||||||
5.50%, 04/01/2054 (K) |
3,100,000 | 3,086,770 | ||||||
6.00%, 04/01/2054 (K) |
1,000,000 | 1,009,655 | ||||||
|
|
|||||||
Total U.S. Government Agency Obligations |
|
32,178,472 | ||||||
|
|
|||||||
U.S. GOVERNMENT OBLIGATIONS - 41.5% | ||||||||
U.S. Treasury - 37.6% | ||||||||
U.S. Treasury Bonds |
||||||||
1.13%, 05/15/2040 |
50,000 | 31,297 | ||||||
1.13%, 08/15/2040 (L) |
520,000 | 322,461 | ||||||
1.75%, 08/15/2041 |
12,400,000 | 8,382,594 | ||||||
1.88%, 02/15/2041 (L) |
4,800,000 | 3,351,937 | ||||||
2.00%, 11/15/2041 |
4,100,000 | 2,881,371 | ||||||
2.25%, 05/15/2041 |
700,000 | 518,055 | ||||||
3.00%, 02/15/2048 (L) |
930,000 | 728,669 | ||||||
3.13%, 11/15/2041 (L) |
2,750,000 | 2,313,975 | ||||||
3.25%, 05/15/2042 |
1,400,000 | 1,191,969 | ||||||
3.38%, 08/15/2042 |
1,300,000 | 1,124,601 | ||||||
3.63%, 08/15/2043 |
1,200,000 | 1,069,031 | ||||||
4.00%, 11/15/2042 |
3,500,000 | 3,301,894 | ||||||
4.38%, 05/15/2041 - 08/15/2043 (L) |
15,760,000 | 15,619,709 | ||||||
4.50%, 02/15/2044 (H) |
100,000 | 100,687 | ||||||
4.75%, 02/15/2041 |
950,000 | 995,719 | ||||||
4.75%, 11/15/2043 (L) |
780,000 | 810,347 | ||||||
U.S. Treasury Notes |
||||||||
1.25%, 04/30/2028 - 09/30/2028 |
1,900,000 | 1,676,289 | ||||||
2.88%, 08/15/2028 |
900,000 | 850,324 |
Principal | Value | |||||||
U.S. GOVERNMENT OBLIGATIONS (continued) | ||||||||
U.S. Treasury (continued) | ||||||||
U.S. Treasury Notes (continued) |
||||||||
3.50%, 04/30/2028 |
$ 1,600,000 | $ 1,552,875 | ||||||
3.63%, 03/31/2030 |
200,000 | 193,727 | ||||||
3.75%, 05/31/2030 - 06/30/2030 |
800,000 | 779,399 | ||||||
4.00%, 06/30/2028 - 02/15/2034 |
3,100,000 | 3,055,437 | ||||||
4.13%, 07/31/2028 - 08/31/2030 |
1,000,000 | 994,297 | ||||||
4.25%, 02/28/2029 |
8,000,000 | 8,015,000 | ||||||
4.38%, 11/30/2030 |
800,000 | 807,219 | ||||||
4.50%, 11/15/2033 |
4,200,000 | 4,297,125 | ||||||
4.63%, 09/30/2028 - 09/30/2030 |
2,000,000 | 2,032,984 | ||||||
4.88%, 10/31/2028 - 10/31/2030 |
1,300,000 | 1,337,926 | ||||||
|
|
|||||||
68,336,918 | ||||||||
|
|
|||||||
U.S. Treasury Inflation-Protected Securities - 3.9% | ||||||||
U.S. Treasury Inflation-Protected Indexed Notes |
||||||||
0.13%, 01/15/2032 |
1,334,196 | 1,167,119 | ||||||
0.63%, 07/15/2032 |
1,591,140 | 1,444,883 | ||||||
1.13%, 01/15/2033 |
1,903,774 | 1,788,048 | ||||||
1.75%, 01/15/2034 |
2,707,128 | 2,676,630 | ||||||
|
|
|||||||
7,076,680 | ||||||||
|
|
|||||||
Total U.S. Government Obligations |
|
75,413,598 | ||||||
|
|
|||||||
SHORT-TERM U.S. GOVERNMENT OBLIGATIONS - 0.2% | ||||||||
U.S. Treasury Bills |
||||||||
5.36% (M), 04/11/2024 - 05/16/2024 |
264,000 | 262,290 | ||||||
5.37% (M), 06/06/2024 |
42,000 | 41,598 | ||||||
|
|
|||||||
Total Short-Term U.S. Government Obligations |
|
303,888 | ||||||
|
|
|||||||
Shares | Value | |||||||
OTHER INVESTMENT COMPANY - 0.1% | ||||||||
Securities Lending Collateral - 0.1% | ||||||||
State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 5.29% (M) |
185,873 | 185,873 | ||||||
|
|
|||||||
Total Other Investment Company |
|
185,873 | ||||||
|
|
|||||||
Principal | Value | |||||||
REPURCHASE AGREEMENTS - 30.9% | ||||||||
BNP Paribas SA, 5.43% (M), dated 03/28/2024, to be repurchased at $52,931,916 on 04/01/2024. Collateralized by a U.S. Government Obligation, 1.88%, due 07/31/2026, and with a value of $54,009,659. |
$ 52,900,000 | 52,900,000 |
Transamerica Series Trust |
Page 7 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Principal | Value | |||||||
REPURCHASE AGREEMENTS (continued) | ||||||||
Deutsche Bank Securities, Inc., 5.42% (M), dated 04/01/2024, to be repurchased at $100,015 on 04/02/2024. Collateralized by a U.S. Government Obligation, 2.00%, due 11/15/2041, and with a value of $101,947. |
$ 100,000 | $ 100,000 | ||||||
Fixed Income Clearing Corp., 2.50% (M), dated 03/28/2024, to be repurchased at $3,168,673 on 04/01/2024. Collateralized by a U.S. Government Obligation, 4.25%, due 12/31/2025, and with a value of $3,231,243. |
3,167,793 | 3,167,793 | ||||||
|
|
|||||||
Total Repurchase Agreements |
|
56,167,793 | ||||||
|
|
|||||||
Total Investments Excluding Options Purchased |
|
228,304,288 | ||||||
Total Options Purchased -
0.3% |
|
517,650 | ||||||
|
|
|||||||
Total Investments Before Securities Sold Short |
|
228,821,938 | ||||||
|
|
|||||||
Principal | Value | |||||||
TBA SHORT COMMITMENTS - (1.7)% | ||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS - (1.7)% | ||||||||
Uniform Mortgage-Backed Security, TBA |
||||||||
4.50%, 04/01/2054 (K) |
$ (1,100,000 | ) | $ (1,048,437 | ) | ||||
5.50%, 04/01/2054 (K) |
(1,950,000 | ) | (1,941,678 | ) | ||||
|
|
|||||||
Total U.S. Government Agency Obligations |
|
(2,990,115 | ) | |||||
|
|
|||||||
Total TBA Short Commitments |
|
(2,990,115 | ) | |||||
|
|
|||||||
Net Other Assets (Liabilities), Net of Securities Sold Short - (24.2)% |
(43,956,979 | ) | ||||||
|
|
|||||||
Net Assets - 100.0% |
$ 181,874,844 | |||||||
|
|
Transamerica Series Trust |
Page 8 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Face Value | Value Including Accrued Interest |
|||||||
REVERSE REPURCHASE AGREEMENTS - (20.1)% (N) | ||||||||
Barclays Capital, Inc., 5.00% (M), dated 03/28/2024, to be repurchased at $(6,938,353) on 04/01/2024. Collateralized by a U.S. Government Obligation, 4.25%, due 02/28/2029, and with a value of $(6,936,009). |
$ | (6,934,500) | $ | (6,938,353) | ||||
Barclays Capital, Inc., 5.25% (M), dated 04/01/2024, to be repurchased at $(1,105,661) on 04/02/2024. Collateralized by a U.S. Government Obligation, 4.25%, due 02/28/2029, and with a value of $(1,105,741). |
(1,105,500 | ) | (1,105,500 | ) | ||||
BofA Securities, Inc., 5.45% (M), dated 03/25/2024, to be repurchased at $(819,868) on 04/01/2024. Collateralized by a U.S. Government Obligation, 4.75%, due 11/15/2043, and with a value of $(824,637). |
(819,000 | ) | (819,868 | ) | ||||
BofA Securities, Inc., 5.50% (M), dated 03/28/2024, to be repurchased at $(1,675,790) on 04/04/2024. Collateralized by a U.S. Government Obligation, 1.88%, due 02/15/2041, and with a value of $(1,682,499). |
(1,674,000 | ) | (1,675,023 | ) | ||||
Deutsche Bank Securities, Inc., 5.40% (M), dated 03/25/2024, to be repurchased at $(2,273,976) on 04/02/2024. Collateralized by a U.S. Government Obligation, 4.00%, due 02/15/2034, and with a value of $(2,275,869). |
(2,271,250 | ) | (2,273,635 | ) | ||||
Deutsche Bank Securities, Inc., 5.42% (M), dated 03/07/2024 - 03/08/2024, to be repurchased at $(8,553,645) on 04/18/2024. Collateralized by a U.S. Government Obligation, 1.75%, due 08/15/2041, and with a value of $(8,414,861). |
(8,500,625 | ) | (8,531,888 | ) | ||||
JPMorgan Securities LLC, 4.70% (M), dated 03/28/2024, to be repurchased at $(1,107,453) on 04/01/2024. Collateralized by a U.S. Government Obligation, 4.25%, due 02/28/2029, and with a value of $(1,106,300). |
(1,106,875 | ) | (1,107,453 | ) | ||||
Wood Gundy, Inc., 5.42% (M), dated 03/06/2024, to be repurchased at $(14,279,347) on 04/09/2024. Collateralized by U.S. Government Obligations, 4.38% - 4.50%, due 11/15/2033 - 08/15/2043, and with a total value of $(14,219,447). |
(14,206,625 | ) | (14,262,236 | ) | ||||
|
|
|
|
|||||
Total Reverse Repurchase Agreements |
$ | (36,618,375 | ) | $ | (36,713,956 | ) | ||
|
|
|
|
EXCHANGE-TRADED OPTIONS PURCHASED:
Description |
Exercise Price |
Expiration Date |
Notional Amount |
Number of Contracts |
Premiums Paid |
Value | ||||||||||||||||||||||||||||||||||
Put - S&P 500® Index |
USD | 4,050.00 | 12/20/2024 | USD | 78,815,250 | 150 | $ | 1,211,296 | $ | 517,650 |
Transamerica Series Trust |
Page 9 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
OVER-THE-COUNTER INTEREST RATE SWAPTIONS WRITTEN:
Description |
Counterparty | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount/ Number of Contracts |
Premiums (Received) |
Value | |||||||||||||||||||||||||||||||||||||
Call - 10-Year |
MSC | 1-Year USD-SOFR | Receive | 3.62 | % | 04/01/2024 | USD | 1,000,000 | $ | (3,700 | ) | $ | (20 | ) | |||||||||||||||||||||||||||||||
Call - 10-Year |
GSB | 1-Year USD-SOFR | Receive | 3.68 | 04/15/2024 | USD | 200,000 | (681 | ) | (375 | ) | ||||||||||||||||||||||||||||||||||
Call - 10-Year |
GSB | 1-Year USD-SOFR | Receive | 3.69 | 04/18/2024 | USD | 100,000 | (395 | ) | (239 | ) | ||||||||||||||||||||||||||||||||||
Put - 10-Year |
MSC | 1-Year USD-SOFR | Pay | 4.03 | 04/01/2024 | USD | 1,000,000 | (3,650 | ) | (42 | ) | ||||||||||||||||||||||||||||||||||
Put - 10-Year |
GSB | 1-Year USD-SOFR | Pay | 4.08 | 04/15/2024 | USD | 200,000 | (681 | ) | (145 | ) | ||||||||||||||||||||||||||||||||||
Put - 10-Year |
GSB | 1-Year USD-SOFR | Pay | 4.09 | 04/18/2024 | USD | 100,000 | (395 | ) | (90 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
||||||||||||||||||||||||||||||||||||||||||
Total |
$ | (9,502 | ) | $ | (911 | ) | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
||||||||||||||||||||||||||||||||||||||||||
Premiums (Received) |
Value | ||||||||||||||||||||||||||||||||||||||||||||
TOTAL WRITTEN SWAPTIONS |
|
$ | (9,502 | ) | $ | (911 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
CENTRALLY CLEARED SWAP AGREEMENTS:
Credit Default Swap Agreements on Corporate and Sovereign Issues Sell Protection (O)
Reference Obligation |
Fixed Rate Receivable |
Payment Frequency |
Maturity Date |
Implied Credit Spread at March 31, 2024 (P) |
Notional Amount (Q) |
Value (R) | Premiums Paid (Received) |
Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||||||
AT&T, Inc. |
1.00 | % | Quarterly | 06/20/2028 | 0.59 | % | USD | 400,000 | $ | 6,244 | $ | (1,990 | ) | $ | 8,234 | ||||||||||||||||||||||||||||||
Verizon Communications, Inc. |
1.00 | Quarterly | 12/20/2028 | 0.57 | USD | 200,000 | 3,666 | (447 | ) | 4,113 | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||||||
Total |
$ | 9,910 | $ | (2,437 | ) | $ | 12,347 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
Credit Default Swap Agreements on Credit Indices Sell Protection (O)
Reference Obligation |
Fixed Rate Receivable |
Payment Frequency |
Maturity Date |
Notional Amount (Q) |
Value (R) | Premiums Paid (Received) |
Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||
MSCI Emerging Markets Index - Series 40 |
1.00 | % | Quarterly | 12/20/2028 | USD | 300,000 | $ | (7,022 | ) | $ | (13,402 | ) | $ | 6,380 |
Interest Rate Swap Agreements
Floating Rate Index |
Pay/Receive |
Fixed Rate |
Payment |
Maturity Date |
Notional Amount |
Value | Premiums Paid (Received) |
Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||
3-Month USD-SOFR |
Pay | 1.44 | % | Semi-Annually/Quarterly | 07/21/2031 | USD | 1,400,000 | $ | 250,153 | $ | (198 | ) | $ | 250,351 | |||||||||||||||||||||||||
3-Month USD-SOFR |
Pay | 1.49 | Semi-Annually/Quarterly | 06/23/2031 | USD | 1,200,000 | 195,146 | | 195,146 | ||||||||||||||||||||||||||||||
3-Month USD-SOFR |
Pay | 2.00 | Semi-Annually/Quarterly | 12/15/2051 | USD | 1,500,000 | 487,854 | (47,256 | ) | 535,110 | |||||||||||||||||||||||||||||
6-Month AUD-BBR-BBSW |
Receive | 4.75 | Semi-Annually | 12/20/2033 | AUD | 5,100,000 | 37,834 | (59,619 | ) | 97,453 | |||||||||||||||||||||||||||||
6-Month CAD-CDOR |
Receive | 1.22 | Semi-Annually | 03/03/2025 | CAD | 300,000 | (7,529 | ) | (6,735 | ) | (794 | ) | |||||||||||||||||||||||||||
6-Month CAD-CDOR |
Receive | 1.24 | Semi-Annually | 03/04/2025 | CAD | 1,200,000 | (30,054 | ) | (26,891 | ) | (3,163 | ) | |||||||||||||||||||||||||||
6-Month CAD-CDOR |
Pay | 3.50 | Semi-Annually | 06/01/2032 | CAD | 1,600,000 | (2,987 | ) | (12,116 | ) | 9,129 | ||||||||||||||||||||||||||||
6-Month CAD-CDOR |
Pay | 3.75 | Semi-Annually | 12/20/2033 | CAD | 300,000 | (3,981 | ) | (1,733 | ) | (2,248 | ) | |||||||||||||||||||||||||||
12-Month USD-SOFR |
Pay | 1.75 | Annually | 12/15/2051 | USD | 1,400,000 | 468,660 | (54,535 | ) | 523,195 | |||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 3.47 | Annually | 02/22/2030 | USD | 1,200,000 | (31,262 | ) | | (31,262 | ) | ||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 3.50 | Annually | 06/22/2030 | USD | 800,000 | (29,547 | ) | | (29,547 | ) | ||||||||||||||||||||||||||||
12-Month USD-SOFR |
Pay | 3.60 | Annually | 01/17/2034 | USD | 200,000 | 4,587 | | 4,587 | ||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Pay | 3.60 | Annually | 08/15/2033 | USD | 2,500,000 | 49,630 | | 49,630 |
Transamerica Series Trust |
Page 10 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
CENTRALLY CLEARED SWAP AGREEMENTS (continued):
Interest Rate Swap Agreements (continued)
Floating Rate Index |
Pay/Receive |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Value | Premiums Paid (Received) |
Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Pay | 3.61 | % | Annually | 08/15/2033 | USD | 3,500,000 | $ | 68,263 | $ | | $ | 68,263 | |||||||||||||||||||||||||||||
12-Month USD-SOFR |
Pay | 3.61 | Annually | 08/15/2033 | USD | 700,000 | 13,583 | | 13,583 | |||||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Pay | 3.62 | Annually | 08/15/2033 | USD | 800,000 | 14,924 | | 14,924 | |||||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 3.62 | Annually | 01/31/2034 | USD | 400,000 | (8,250 | ) | | (8,250 | ) | |||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Pay | 3.65 | Annually | 01/08/2034 | USD | 300,000 | 5,825 | | 5,825 | |||||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 3.71 | Annually | 03/05/2034 | USD | 300,000 | (3,485 | ) | | (3,485 | ) | |||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 3.75 | Annually | 07/12/2033 | USD | 100,000 | (1,870 | ) | | (1,870 | ) | |||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 3.76 | Annually | 08/23/2033 | USD | 500,000 | (8,096 | ) | | (8,096 | ) | |||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 3.94 | Annually | 02/22/2029 | USD | 1,000,000 | (3,878 | ) | | (3,878 | ) | |||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 3.95 | Annually | 09/13/2033 | USD | 100,000 | 68 | | 68 | |||||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 4.15 | Annually | 10/12/2033 | USD | 600,000 | 11,185 | | 11,185 | |||||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 4.17 | Annually | 09/27/2033 | USD | 500,000 | 9,649 | | 9,649 | |||||||||||||||||||||||||||||||||
12-Month USD-SOFR |
Receive | 4.22 | Annually | 10/20/2033 | USD | 300,000 | 7,448 | | 7,448 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
Total |
$ | 1,493,870 | $ | (209,083 | ) | $ | 1,702,953 | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
FUTURES CONTRACTS:
Long Futures Contracts
Description |
Number of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized |
Unrealized Depreciation | ||||||||||||||||||||||||
2-Year U.S. Treasury Notes |
62 | 06/28/2024 | $ | 12,691,675 | $ | 12,678,031 | $ | | $ | (13,644 | ) | |||||||||||||||||||
5-Year U.S. Treasury Notes |
20 | 06/28/2024 | 2,137,839 | 2,140,313 | 2,474 | | ||||||||||||||||||||||||
10-Year Canada Government Bonds |
16 | 06/19/2024 | 1,413,814 | 1,421,461 | 7,647 | | ||||||||||||||||||||||||
10-Year U.S. Treasury Notes |
21 | 06/18/2024 | 2,313,512 | 2,326,734 | 13,222 | | ||||||||||||||||||||||||
E-Mini Russell 2000® Index |
85 | 06/21/2024 | 8,943,523 | 9,120,075 | 176,552 | | ||||||||||||||||||||||||
MSCI EAFE Mini Index |
77 | 06/21/2024 | 8,974,762 | 9,074,835 | 100,073 | | ||||||||||||||||||||||||
S&P 500® E-Mini Index |
218 | 06/21/2024 | 56,779,336 | 57,862,650 | 1,083,314 | | ||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
Total |
$ | 1,383,282 | $ | (13,644 | ) | |||||||||||||||||||||||||
|
|
|
|
Short Futures Contracts
Description |
Number of Contracts |
Expiration Date |
Notional Amount |
Value | Unrealized Appreciation |
Unrealized Depreciation | ||||||||||||||||||||||||
10-Year Japan Government Bonds |
(5 | ) | 06/13/2024 | $ | (4,810,565 | ) | $ | (4,811,402 | ) | $ | | $ | (837 | ) | ||||||||||||||||
10-Year U.S. Treasury Ultra Notes |
(225 | ) | 06/18/2024 | (25,567,680 | ) | (25,787,109 | ) | | (219,429 | ) | ||||||||||||||||||||
30-Year U.S. Treasury Bonds |
(26 | ) | 06/18/2024 | (3,110,142 | ) | (3,131,375 | ) | | (21,233 | ) | ||||||||||||||||||||
U.S. Treasury Ultra Bonds |
(5 | ) | 06/18/2024 | (626,009 | ) | (645,000 | ) | | (18,991 | ) | ||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
Total |
$ | | $ | (260,490 | ) | |||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
Total Futures Contracts |
$ | 1,383,282 | $ | (274,134 | ) | |||||||||||||||||||||||||
|
|
|
|
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement Date | Currency Purchased |
Currency Sold |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||
BNP |
04/02/2024 | USD | 393,368 | GBP | 311,000 | $ | 835 | $ | | |||||||||||||
BNP |
04/30/2024 | INR | 19,226,979 | USD | 231,570 | | (1,224 | ) | ||||||||||||||
BNP |
06/20/2024 | USD | 165,849 | TWD | 5,133,351 | 3,953 | | |||||||||||||||
BNP |
07/22/2024 | PLN | 1,179,188 | USD | 291,003 | 3,798 | | |||||||||||||||
BOA |
04/30/2024 | IDR | 3,722,119,822 | USD | 237,729 | | (3,180 | ) | ||||||||||||||
CITI |
04/02/2024 | USD | 23,429 | AUD | 36,000 | | (31 | ) | ||||||||||||||
CITI |
04/02/2024 | USD | 634,438 | CAD | 861,582 | | (1,645 | ) | ||||||||||||||
CITI |
04/02/2024 | USD | 516,436 | CHF | 452,535 | 14,541 | | |||||||||||||||
CITI |
04/19/2024 | USD | 20,522 | CNH | 149,000 | | (7 | ) | ||||||||||||||
CITI |
04/26/2024 | USD | 129,633 | CNH | 932,831 | 1,071 | | |||||||||||||||
CITI |
04/30/2024 | USD | 26,951 | TWD | 852,619 | 215 | | |||||||||||||||
DUB |
04/30/2024 | USD | 195,888 | MXN | 3,329,000 | | (3,429 | ) | ||||||||||||||
GSB |
04/02/2024 | USD | 1,871,024 | EUR | 1,724,000 | 10,942 | | |||||||||||||||
GSB |
04/30/2024 | USD | 351,271 | PEN | 1,291,408 | 4,323 | | |||||||||||||||
GSB |
07/02/2024 | USD | 1,911,920 | BRL | 9,600,000 | 14,700 | | |||||||||||||||
HSBC |
04/19/2024 | USD | 159,807 | CNH | 1,148,169 | 1,617 | | |||||||||||||||
HSBC |
06/20/2024 | INR | 932,479 | USD | 11,139 | 14 | | |||||||||||||||
JPM |
05/03/2024 | BRL | 1,216,369 | USD | 246,129 | | (4,399 | ) | ||||||||||||||
JPM |
06/20/2024 | USD | 97,247 | TWD | 2,990,715 | 2,926 | |
Transamerica Series Trust |
Page 11 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS (continued):
Counterparty |
Settlement Date | Currency Purchased |
Currency Sold |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
SCB |
04/02/2024 | USD | 20,896 | CNH | 150,140 | $ | 222 | $ | | |||||||||||||||
SCB |
04/02/2024 | JPY | 153,303,765 | USD | 1,028,961 | | (15,944 | ) | ||||||||||||||||
SCB |
04/19/2024 | USD | 94,121 | CNH | 676,570 | 906 | | |||||||||||||||||
SCB |
04/26/2024 | USD | 200,748 | CNH | 1,444,663 | 1,646 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total |
$ | 61,709 | $ | (29,859 | ) | |||||||||||||||||||
|
|
|
|
INVESTMENT VALUATION:
Valuation Inputs (S)
Level 1 - Unadjusted Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Value | |||||||||||||
ASSETS |
||||||||||||||||
Investments |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 7,657,546 | $ | | $ | 7,657,546 | ||||||||
Corporate Debt Securities |
| 43,335,648 | | 43,335,648 | ||||||||||||
Foreign Government Obligations |
| 5,802,970 | | 5,802,970 | ||||||||||||
Loan Assignment |
| 190,409 | | 190,409 | ||||||||||||
Mortgage-Backed Securities |
| 6,289,464 | | 6,289,464 | ||||||||||||
Municipal Government Obligations |
| 778,627 | | 778,627 | ||||||||||||
U.S. Government Agency Obligations |
| 32,178,472 | | 32,178,472 | ||||||||||||
U.S. Government Obligations |
| 75,413,598 | | 75,413,598 | ||||||||||||
Short-Term U.S. Government Obligations |
| 303,888 | | 303,888 | ||||||||||||
Other Investment Company |
185,873 | | | 185,873 | ||||||||||||
Repurchase Agreements |
| 56,167,793 | | 56,167,793 | ||||||||||||
Exchange-Traded Options Purchased |
517,650 | | | 517,650 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 703,523 | $ | 228,118,415 | $ | | $ | 228,821,938 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments |
||||||||||||||||
Centrally Cleared Credit Default Swap Agreements |
$ | | $ | 9,910 | $ | | $ | 9,910 | ||||||||
Centrally Cleared Interest Rate Swap Agreements |
| 1,624,809 | | 1,624,809 | ||||||||||||
Futures Contracts (T) |
1,383,282 | | | 1,383,282 | ||||||||||||
Forward Foreign Currency Contracts (T) |
| 61,709 | | 61,709 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Other Financial Instruments |
$ | 1,383,282 | $ | 1,696,428 | $ | | $ | 3,079,710 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Securities Sold Short |
||||||||||||||||
U.S. Government Agency Obligations |
$ | | $ | (2,990,115 | ) | $ | | $ | (2,990,115 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Total Securities Sold Short |
$ | | $ | (2,990,115 | ) | $ | | $ | (2,990,115 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments |
| |||||||||||||||
Reverse Repurchase Agreements |
$ | | $ | (36,713,956 | ) | $ | | $ | (36,713,956 | ) | ||||||
Over-the-Counter Interest Rate Swaptions Written |
| (911 | ) | | (911 | ) | ||||||||||
Centrally Cleared Credit Default Swap Agreements |
| (7,022 | ) | | (7,022 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Agreements |
| (130,939 | ) | | (130,939 | ) | ||||||||||
Futures Contracts (T) |
(274,134 | ) | | | (274,134 | ) | ||||||||||
Forward Foreign Currency Contracts (T) |
| (29,859 | ) | | (29,859 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Other Financial Instruments |
$ | (274,134 | ) | $ | (36,882,687 | ) | $ | | $ | (37,156,821 | ) | |||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Floating or variable rate securities. The rates disclosed are as of March 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are indicated within the description. Variable rate securities with a floor or ceiling feature are disclosed at the inherent rate, where applicable. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions; these securities do not indicate a reference rate and spread in the description. | |
(B) | Securities are exempt from registration pursuant to Rule 144A of the Securities Act of 1933. Securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the total value of 144A securities is $27,622,454, representing 15.2% of the Portfolios net assets. | |
(C) | Securities are exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Securities may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2024, the total value of Regulation S securities is $773,631, representing 0.4% of the Portfolios net assets. |
Transamerica Series Trust |
Page 12 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
FOOTNOTES TO SCHEDULE OF INVESTMENTS (continued):
(D) | Restricted security. At March 31, 2024, the value of such security held by the Portfolio is as follows: |
Investments |
Description |
Acquisition Date |
Acquisition Cost |
Value | Value as Percentage of Net Assets |
|||||||||||||
Corporate Debt Securities |
Deutsche Bank AG |
11/17/2020 | $ | 200,000 | $ | 188,636 | 0.1 | % |
(E) | Step bonds. Coupon rates change in increments to maturity. The rates disclosed are as of March 31, 2024; the maturity dates disclosed are the ultimate maturity dates. | |
(F) | Perpetual maturity. The date displayed is the next call date. | |
(G) | Percentage rounds to less than 0.1% or (0.1)%. | |
(H) | All or a portion of the securities are on loan. The total value of all securities on loan is $182,054, collateralized by cash collateral of $185,873. 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. | |
(I) | Fixed rate loan commitment at March 31, 2024. | |
(J) | Fair valued as determined in good faith in accordance with procedures established by the Board. At March 31, 2024, the total value of securities is $503,675, representing 0.3% of the Portfolios net assets. | |
(K) | When-issued, delayed-delivery and/or forward commitment (including TBAs) securities. Securities to be settled and delivered after March 31, 2024. Securities may display a coupon rate of 0.00%, as the rate is to be determined at time of settlement. | |
(L) | Securities are subject to sale-buyback transactions. The average amount of sale-buybacks outstanding during the period ended March 31, 2024 was $0 at a weighted average interest rate of 0.00%. | |
(M) | Rates disclosed reflect the yields at March 31, 2024. | |
(N) | The average amount of reverse repurchase agreements outstanding during the period ended March 31, 2024 was $219,971 at a weighted average interest rate of 0.49%. | |
(O) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (a) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced obligation or (b) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation. | |
(P) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced entity or obligation. | |
(Q) | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | |
(R) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period ended. Increasing market values, in absolute terms when compared to the notional amount of the swap agreement, represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | |
(S) | 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. | |
(T) | Derivative instruments are valued at unrealized appreciation (depreciation). |
CURRENCY ABBREVIATIONS:
AUD |
Australian Dollar | |
BRL |
Brazilian Real | |
CAD |
Canadian Dollar | |
CHF |
Swiss Franc | |
CNH |
Chinese Yuan Renminbi (offshore) | |
EUR |
Euro | |
GBP |
British Pound | |
IDR |
Indonesian Rupiah | |
INR |
Indian Rupee | |
JPY |
Japanese Yen | |
MXN |
Mexican Peso | |
PEN |
Peruvian Sol | |
PLN |
Polish Zloty | |
TWD |
Taiwan New Dollar | |
USD |
United States Dollar |
COUNTERPARTY ABBREVIATIONS:
BNP |
BNP Paribas | |
BOA |
Bank of America, N.A. | |
CITI |
Citibank, N.A. | |
DUB |
Deutsche Bank AG | |
GSB |
Goldman Sachs Bank | |
HSBC |
HSBC Bank USA | |
JPM |
JPMorgan Chase Bank, N.A. | |
MSC |
Morgan Stanley & Co. | |
SCB |
Standard Chartered Bank |
Transamerica Series Trust |
Page 13 |
Transamerica PIMCO Tactical Conservative VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
PORTFOLIO ABBREVIATIONS:
BBR-BBSW |
Bank Bill Swap Reference Rate | |
CDOR |
Canadian Dollar Offered Rate | |
EAFE |
Europe, Australasia and Far East | |
MTA |
Month Treasury Average | |
REIT |
Real Estate Investment Trust | |
SOFR |
Secured Overnight Financing Rate | |
SONIA |
Sterling Overnight Interbank Average | |
STRIPS |
Separate Trading of Registered Interest and Principal of Securities | |
TBA |
To Be Announced |
Transamerica Series Trust |
Page 14 |
Transamerica PIMCO Tactical Conservative VP
NOTES TO SCHEDULE OF INVESTMENTS
At March 31, 2024
(unaudited)
INVESTMENT VALUATION
Transamerica PIMCO Tactical Conservative VP (the Portfolio) is a series of the Transamerica Series Trust.
Transamerica Asset Management, Inc. (TAM) has been designated as the Portfolios 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 Portfolios 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 TAMs own assumptions used in determining the fair value of the Portfolios investments and derivative instruments.
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 Portfolios 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 Portfolios significant categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Asset-backed securities: The fair value of asset-backed securities is estimated based on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized in Level 3.
Corporate debt securities: The fair value of corporate debt securities is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate debt securities are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3.
Foreign government obligations: Foreign government obligations are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued by principally using dealer quotations. Foreign government obligations generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.
Loan assignments: Loan assignments are normally valued using an income approach, which projects future cash flows and converts those future cash flows to a present value using a discount rate. The resulting present value reflects the likely fair value of the loan. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise are categorized in Level 3.
Transamerica Series Trust |
Page 15 |
Transamerica PIMCO Tactical Conservative VP
NOTES TO SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Mortgage-backed securities: The fair value of mortgage-backed securities is estimated based on models that consider issuer type, coupon, cash flows, mortgage prepayment projection tables and adjustable rate mortgage evaluations that incorporate index data, periodic life caps and the next coupon reset date. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they are categorized in Level 3.
Municipal government obligations: The fair value of municipal government obligations and variable rate notes is estimated based on models that consider, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the liquidity of the bond, state of issuance, benchmark yield curves, and bond or note insurance. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they are categorized in Level 3.
U.S. government agency obligations: U.S. government agency obligations are comprised of two main categories consisting of agency issued debt and mortgage pass-throughs. Generally, agency issued debt securities are valued in a manner similar to U.S. government obligations. Mortgage pass-throughs include to be announced (TBA) securities and mortgage pass-through certificates. Generally, TBA securities and mortgage pass-throughs are valued using dealer quotations. Depending on market activity levels and whether quotations or other observable data are used, these securities are typically categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized in Level 3.
U.S. government obligations: U.S. government obligations are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued by principally using dealer quotations. U.S. government obligations generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.
Short-term notes: The Portfolio normally values short-term government and U.S. government agency securities using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers and reference data. Certain securities are valued by principally using dealer quotations. Short-term government and U.S. government agency securities generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.
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.
Reverse repurchase agreements: Reverse 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.
Restricted securities: Restricted securities for which quotations are not readily available are valued at fair value. Restricted securities issued by publicly traded companies are generally valued at a discount to similar publicly traded securities. Restricted securities issued by nonpublic entities may be valued by reference to comparable public entities and/or fundamental data relating to the issuer. Depending on the relative significance of observable valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy.
Derivative instruments: Centrally cleared or listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. Over-the-counter (OTC) derivative contracts include forward, swap, swaption, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. The majority of OTC derivative products valued by the Portfolio using pricing models fall into this category and are categorized within Level 2 of the fair value hierarchy or Level 3 if inputs are unobservable.
SUBSEQUENT EVENT
Effective on or about May 1, 2024, the Portfolio will be renamed Transamerica BlackRock iShares Tactical Conservative VP. Also on the effective date, the Portfolios principal investment strategies, principal risks, portfolio managers and investment management and sub-advisory fee schedules will change.
Transamerica Series Trust |
Page 16 |