DeltaShares® S&P EM 100 & Managed Risk ETF
SCHEDULE OF INVESTMENTS
At March 31, 2022
(unaudited)
Shares | Value | |||||||
COMMON STOCKS - 15.5% | ||||||||
Brazil - 1.1% | ||||||||
Ambev SA, ADR | 1,646 | $ 5,317 | ||||||
Banco Bradesco SA, ADR | 1,810 | 8,398 | ||||||
Itau Unibanco Holding SA, ADR | 1,809 | 10,329 | ||||||
Petroleo Brasileiro SA, ADR | 1,552 | 22,267 | ||||||
Vale SA, ADR | 1,495 | 29,885 | ||||||
|
| |||||||
76,196 | ||||||||
|
| |||||||
China - 5.6% | ||||||||
Agricultural Bank of China Ltd., H Shares | 11,476 | 4,411 | ||||||
Alibaba Group Holding Ltd., ADR (A) | 529 | 57,555 | ||||||
ANTA Sports Products Ltd. | 424 | 5,328 | ||||||
Baidu, Inc., ADR (A) | 106 | 14,024 | ||||||
Bank of China Ltd., H Shares | 28,721 | 11,552 | ||||||
Bank of Communications Co. Ltd., H Shares | 7,973 | 5,722 | ||||||
BeiGene Ltd., ADR (A) | 20 | 3,772 | ||||||
BYD Co. Ltd., H Shares | 299 | 8,568 | ||||||
China Construction Bank Corp., H Shares | 38,594 | 29,027 | ||||||
China Life Insurance Co. Ltd., H Shares | 2,778 | 4,271 | ||||||
China Merchants Bank Co. Ltd., H Shares | 1,405 | 11,042 | ||||||
China Petroleum & Chemical Corp., H Shares | 9,525 | 4,780 | ||||||
Country Garden Services Holdings Co. Ltd. | 716 | 3,072 | ||||||
Industrial & Commercial Bank of China Ltd., H Shares | 24,626 | 15,125 | ||||||
JD.com, Inc., ADR (A) | 335 | 19,386 | ||||||
Kuaishou Technology (A) (B) | 560 | 5,306 | ||||||
LI Ning Co. Ltd. | 869 | 7,501 | ||||||
Meituan, Class B (A) (B) | 1,508 | 29,962 | ||||||
NetEase, Inc., ADR | 139 | 12,467 | ||||||
NIO, Inc., ADR (A) | 500 | 10,525 | ||||||
PetroChina Co. Ltd., H Shares | 7,877 | 4,084 | ||||||
Pinduoduo, Inc., ADR (A) | 164 | 6,578 | ||||||
Ping An Insurance Group Co. of China Ltd., H Shares | 2,224 | 15,804 | ||||||
Shenzhou International Group Holdings Ltd. | 297 | 3,974 | ||||||
Sunny Optical Technology Group Co. Ltd. | 266 | 4,283 | ||||||
Tencent Holdings Ltd. | 1,086 | 51,891 | ||||||
Trip.Com Group Ltd., ADR (A) | 183 | 4,231 | ||||||
Wuxi Biologics Cayman, Inc. (A) (B) | 1,212 | 10,067 | ||||||
Xiaomi Corp., Class B (A) (B) | 5,020 | 8,936 | ||||||
XPeng, Inc., ADR (A) | 119 | 3,283 | ||||||
Yum China Holdings, Inc. | 160 | 6,646 | ||||||
ZTO Express Cayman, Inc., ADR | 165 | 4,125 | ||||||
|
| |||||||
387,298 | ||||||||
|
| |||||||
Hong Kong - 0.3% | ||||||||
China Mengniu Dairy Co. Ltd. | 1,018 | 5,486 | ||||||
China Overseas Land & Investment Ltd. | 1,389 | 4,159 | ||||||
China Resources Beer Holdings Co. Ltd. | 581 | 3,565 | ||||||
China Resources Land Ltd. | 1,065 | 4,964 | ||||||
Geely Automobile Holdings Ltd. | 1,908 | 3,011 | ||||||
|
| |||||||
21,185 | ||||||||
|
| |||||||
Hungary - 0.0% (C) | ||||||||
OTP Bank Nyrt (A) | 83 | 3,054 | ||||||
|
| |||||||
India - 1.5% | ||||||||
ICICI Bank Ltd., ADR | 959 | 18,163 | ||||||
Infosys Ltd., ADR | 1,366 | 34,000 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
India (continued) | ||||||||
Reliance Industries Ltd., GDR (B) | 644 | $ 44,436 | ||||||
Tata Motors Ltd., ADR (A) | 131 | 3,661 | ||||||
Wipro Ltd., ADR | 553 | 4,264 | ||||||
|
| |||||||
104,524 | ||||||||
|
| |||||||
Indonesia - 0.4% | ||||||||
Bank Central Asia Tbk PT | 20,710 | 11,499 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 24,080 | 7,813 | ||||||
Telkom Indonesia Persero Tbk PT | 17,752 | 5,661 | ||||||
|
| |||||||
24,973 | ||||||||
|
| |||||||
Kuwait - 0.2% | ||||||||
Kuwait Finance House KSCP | 1,828 | 6,444 | ||||||
National Bank of Kuwait SAKP | 2,820 | 10,202 | ||||||
|
| |||||||
16,646 | ||||||||
|
| |||||||
Malaysia - 0.2% | ||||||||
Malayan Banking Bhd. | 2,572 | 5,469 | ||||||
Public Bank Bhd. | 5,652 | 6,277 | ||||||
|
| |||||||
11,746 | ||||||||
|
| |||||||
Mexico - 0.5% | ||||||||
America Movil SAB de CV, Series L | 8,433 | 8,931 | ||||||
Fomento Economico Mexicano SAB de CV | 686 | 5,688 | ||||||
Grupo Financiero Banorte SAB de CV, Class O | 915 | 6,862 | ||||||
Grupo Mexico SAB de CV, Series B | 1,163 | 6,940 | ||||||
Wal-Mart de Mexico SAB de CV | 1,890 | 7,764 | ||||||
|
| |||||||
36,185 | ||||||||
|
| |||||||
Qatar - 0.1% | ||||||||
Qatar National Bank QPSC | 1,655 | 10,484 | ||||||
|
| |||||||
Republic of Korea - 2.4% | ||||||||
Celltrion, Inc. | 38 | 5,377 | ||||||
Hana Financial Group, Inc. | 112 | 4,491 | ||||||
Hyundai Mobis Co. Ltd. | 25 | 4,435 | ||||||
Kakao Corp. | 117 | 10,280 | ||||||
KB Financial Group, Inc. | 146 | 7,384 | ||||||
LG Chem Ltd. | 18 | 7,901 | ||||||
LG Electronics, Inc. | 40 | 3,977 | ||||||
LG Energy Solution (A) | 13 | 4,741 | ||||||
NAVER Corp. | 55 | 15,451 | ||||||
POSCO Holdings, Inc. | 28 | 6,769 | ||||||
Samsung Biologics Co. Ltd. (A) (B) | 7 | 4,776 | ||||||
Samsung Electronics Co. Ltd. | 951 | 54,610 | ||||||
Samsung SDI Co. Ltd. | 21 | 10,326 | ||||||
Shinhan Financial Group Co. Ltd. | 193 | 6,608 | ||||||
SK Hynix, Inc. | 201 | 19,568 | ||||||
SK Innovation Co. Ltd. (A) | 19 | 3,370 | ||||||
|
| |||||||
170,064 | ||||||||
|
| |||||||
Republic of South Africa - 0.9% | ||||||||
Capitec Bank Holdings Ltd. | 36 | 5,769 | ||||||
FirstRand Ltd. | 2,094 | 11,102 | ||||||
Gold Fields Ltd. | 331 | 5,166 | ||||||
Impala Platinum Holdings Ltd. | 317 | 4,882 | ||||||
MTN Group Ltd. | 640 | 8,322 | ||||||
Naspers Ltd., N Shares | 81 | 9,224 | ||||||
Sasol Ltd. (A) | 216 | 5,247 | ||||||
Sibanye Stillwater Ltd. | 996 | 4,076 | ||||||
Standard Bank Group Ltd. | 510 | 6,357 | ||||||
|
| |||||||
60,145 | ||||||||
|
|
Transamerica ETF Trust | Page 1 |
DeltaShares® S&P EM 100 & Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2022
(unaudited)
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Russian Federation - 0.0% | ||||||||
Gazprom PJSC, ADR (D) (E) (F) (G) (H) | 36,453 | $ 0 | ||||||
Lukoil PJSC, ADR (D) (E) (F) (G) (H) | 1,811 | 0 | ||||||
MMC Norilsk Nickel PJSC, ADR (D) (E) (F) (G) (H) | 3,631 | 0 | ||||||
Novatek PJSC, GDR (D) (E) (F) (G) (H) | 489 | 0 | ||||||
Rosneft Oil Co. PJSC, GDR (D) (E) (F) (G) (H) | 13,440 | 0 | ||||||
Sberbank of Russia PJSC, ADR (D) (E) (F) (G) (H) | 16,294 | 0 | ||||||
Tatneft PJSC, ADR (D) (E) (F) (G) (H) | 1,579 | 0 | ||||||
Yandex NV, Class A (A) (D) (E) (F) (G) (H) | 2,439 | 0 | ||||||
|
| |||||||
0 | ||||||||
|
| |||||||
Saudi Arabia - 1.0% | ||||||||
Al Rajhi Bank | 457 | 19,564 | ||||||
Riyad Bank | 504 | 5,045 | ||||||
Saudi Arabian Oil Co. (B) | 747 | 8,582 | ||||||
Saudi Basic Industries Corp. | 336 | 11,733 | ||||||
Saudi National Bank | 819 | 15,478 | ||||||
Saudi Telecom Co. | 224 | 6,437 | ||||||
|
| |||||||
66,839 | ||||||||
|
| |||||||
Taiwan - 0.9% | ||||||||
ASE Technology Holding Co. Ltd., ADR | 642 | 4,552 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 509 | 53,068 | ||||||
United Microelectronics Corp., ADR | 867 | 7,907 | ||||||
|
| |||||||
65,527 | ||||||||
|
| |||||||
Thailand - 0.1% | ||||||||
PTT PCL, NVDR | 3,199 | 3,704 | ||||||
|
| |||||||
United Arab Emirates - 0.3% | ||||||||
Emirates Telecommunications Group Co. PJSC | 1,299 | 13,071 | ||||||
First Abu Dhabi Bank PJSC | 1,650 | 10,602 | ||||||
|
| |||||||
23,673 | ||||||||
|
| |||||||
Total Common Stocks |
| 1,082,243 | ||||||
|
| |||||||
PREFERRED STOCKS - 0.3% | ||||||||
Republic of Korea - 0.3% | ||||||||
Hyundai Motor Co., | 14 | 1,000 | ||||||
LG Chem Ltd., | 3 | 676 | ||||||
Samsung Electronics Co. Ltd., | 307 | 15,957 | ||||||
|
| |||||||
Total Preferred Stocks |
| 17,633 | ||||||
|
| |||||||
Principal | Value | |||||||
U.S. GOVERNMENT OBLIGATION - 74.5% | ||||||||
U.S. Treasury - 74.5% | ||||||||
U.S. Treasury Note | $ 5,179,000 | 5,190,329 | ||||||
|
| |||||||
Total U.S. Government Obligation |
| 5,190,329 | ||||||
|
|
Principal | Value | |||||||
SHORT-TERM U.S. GOVERNMENT OBLIGATION - 8.6% | ||||||||
U.S. Treasury Bill | $ 597,000 | $ 596,260 | ||||||
|
| |||||||
Total Short-Term U.S. Government Obligation |
| 596,260 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENT COMPANY - 389.1% | ||||||||
Money Market Fund - 389.1% | ||||||||
State Street Institutional Treasury Money Market Fund, 0.09%(I) | 27,107,116 | 27,107,116 | ||||||
|
| |||||||
Total Short-Term Investment Company |
| 27,107,116 | ||||||
|
| |||||||
Total Investments |
| 33,993,581 | ||||||
Net Other Assets (Liabilities) - (388.0)% | (27,028,539 | ) | ||||||
|
| |||||||
Net Assets - 100.0% | $ 6,965,042 | |||||||
|
|
Transamerica ETF Trust | Page 2 |
DeltaShares® S&P EM 100 & Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2022
(unaudited)
FUTURES CONTRACTS:
Long Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||
MSCI Emerging Markets Index | 1 | 06/17/2022 | $ | 56,137 | $ | 56,275 | $ | 138 | $ | — |
INVESTMENTS BY INDUSTRY:
Industry | Percentage of Total Investments | Value | ||||||||
Money Market Fund | 79.7 | % | $ | 27,107,116 | ||||||
U.S. Government Obligation | 15.3 | 5,190,329 | ||||||||
Banks | 0.8 | 263,171 | ||||||||
Internet & Direct Marketing Retail | 0.4 | 122,705 | ||||||||
Interactive Media & Services | 0.3 | 96,952 | ||||||||
Oil, Gas & Consumable Fuels | 0.3 | 91,223 | ||||||||
Semiconductors & Semiconductor Equipment | 0.3 | 85,095 | ||||||||
Technology Hardware, Storage & Peripherals | 0.2 | 79,503 | ||||||||
Metals & Mining | 0.2 | 57,718 | ||||||||
IT Services | 0.1 | 38,264 | ||||||||
Automobiles | 0.1 | 30,048 | ||||||||
Chemicals | 0.1 | 25,557 | ||||||||
Diversified Telecommunication Services | 0.1 | 25,169 | ||||||||
Insurance | 0.1 | 20,075 | ||||||||
Wireless Telecommunication Services | 0.1 | 17,253 | ||||||||
Textiles, Apparel & Luxury Goods | 0.1 | 16,803 | ||||||||
Life Sciences Tools & Services | 0.0 | (C) | 14,843 | |||||||
Electronic Equipment, Instruments & Components | 0.0 | (C) | 14,609 | |||||||
Beverages | 0.0 | (C) | 14,570 | |||||||
Entertainment | 0.0 | (C) | 12,467 | |||||||
Real Estate Management & Development | 0.0 | (C) | 12,195 | |||||||
Diversified Financial Services | 0.0 | (C) | 11,102 | |||||||
Hotels, Restaurants & Leisure | 0.0 | (C) | 10,877 | |||||||
Biotechnology | 0.0 | (C) | 9,149 | |||||||
Food & Staples Retailing | 0.0 | (C) | 7,764 | |||||||
Food Products | 0.0 | (C) | 5,486 | |||||||
Electrical Equipment | 0.0 | (C) | 4,741 | |||||||
Auto Components | 0.0 | (C) | 4,435 | |||||||
Air Freight & Logistics | 0.0 | (C) | 4,125 | |||||||
Household Durables | 0.0 | (C) | 3,977 | |||||||
|
|
|
| |||||||
Investments | 98.2 | 33,397,321 | ||||||||
Short-Term Investments | 1.8 | 596,260 | ||||||||
|
|
|
| |||||||
Total Investments | 100.0 | % | $ | 33,993,581 | ||||||
|
|
|
|
INVESTMENT VALUATION:
Valuation Inputs (J)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs (K) | Value | |||||||||||||
ASSETS |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | $ | 425,024 | $ | 657,219 | $ | 0 | $ | 1,082,243 | ||||||||
Preferred Stocks | — | 17,633 | — | 17,633 | ||||||||||||
U.S. Government Obligation | — | 5,190,329 | — | 5,190,329 | ||||||||||||
Short-Term U.S. Government Obligation | — | 596,260 | — | 596,260 | ||||||||||||
Short-Term Investment Company | 27,107,116 | — | — | 27,107,116 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 27,532,140 | $ | 6,461,441 | $ | 0 | $ | 33,993,581 | ||||||||
|
|
|
|
|
|
|
|
Transamerica ETF Trust | Page 3 |
DeltaShares® S&P EM 100 & Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2022
(unaudited)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs (K) | Value | |||||||||||||
Other Financial Instruments |
| |||||||||||||||
Futures Contracts (L) | $ | 138 | $ | — | $ | — | $ | 138 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 138 | $ | — | $ | — | $ | 138 | ||||||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(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, 2022, the total value of 144A securities is $112,065, representing 1.6% of the Fund’s net assets. | |
(C) | Percentage rounds to less than 0.1% or (0.1)%. | |
(D) | Securities deemed worthless. | |
(E) | Securities are Level 3 of the fair value hierarchy. | |
(F) | Fair valued as determined in good faith in accordance with procedures established by the Board. At March 31, 2022, the total value of securities is $0, representing 0.00% of the Fund’s net assets. | |
(G) | Restricted securities. At March 31, 2022, the value of such securities held by the Fund are as follows: |
Investments | Description | Acquisition Date | Acquisition Cost | Value | Value as Percentage of Net Assets | |||||||||||||
Common Stocks | Gazprom PJSC, ADR | 03/25/2019-11/30/2020 | $ | 168,376 | $ | 0 | 0.0 | % | ||||||||||
Common Stocks | Lukoil PJSC, ADR | 05/13/2020-12/21/2020 | 118,042 | 0 | 0.0 | |||||||||||||
Common Stocks | MMC Norilsk Nickel PJSC, ADR | 04/02/2019-10/27/2020 | 86,248 | 0 | 0.0 | |||||||||||||
Common Stocks | Novatek PJSC, GDR | 05/13/2020-10/27/2020 | 69,162 | 0 | 0.0 | |||||||||||||
Common Stocks | Rosneft Oil Co. PJSC, GDR | 03/19/2021-06/14/2021 | 97,723 | 0 | 0.0 | |||||||||||||
Common Stocks | Sberbank of Russia PJSC, ADR | 05/13/2020-10/27/2020 | 180,621 | 0 | 0.0 | |||||||||||||
Common Stocks | Tatneft PJSC, ADR | 05/13/2020-02/21/2022 | 62,882 | 0 | 0.0 | |||||||||||||
Common Stocks | Yandex NV, Class A | 06/19/2020-02/18/2022 | 119,915 | 0 | 0.0 | |||||||||||||
|
|
|
|
|
| |||||||||||||
Total | $ | 902,969 | $ | 0 | 0.0 | % | ||||||||||||
|
|
|
|
|
|
(H) | For the period ended March 31, 2022, the valuation technique changed for investments in Russian Federation Common Stocks with a total value of $0 from using market comparable and market transactions, to being worthless because of the Russian invasion of Ukraine, liquidity concerns and US sanctions. This was considered to be a more relevant measure of fair value as of March 31, 2022. | |
(I) | Rates disclosed reflect the yields at March 31, 2022. | |
(J) | The Fund recognizes transfers in and out of Level 3 as of March 31, 2022. Please reference the Investment Valuation section of the Notes to Schedules of Investments for more information regarding investment valuation and pricing inputs. | |
(K) | Level 3 securities were not considered significant to the Fund. | |
(L) | Derivative instruments are valued at unrealized appreciation (depreciation). |
PORTFOLIO ABBREVIATIONS:
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
NVDR | Non-Voting Depository Receipt |
Transamerica ETF Trust | Page 4 |
DeltaShares® S&P EM 100 & Managed Risk ETF
NOTES TO SCHEDULE OF INVESTMENTS
At March 31, 2022
(unaudited)
1. INVESTMENT VALUATION
DeltaShares® S&P EM 100 & Managed Risk ETF (the “Fund”) is a series of the Transamerica ETF Trust.
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the official close of the New York Stock Exchange (“NYSE”) each day the NYSE is open for business.
The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. Generally Accepted Accounting Principles in the United States of America establishes a hierarchy that prioritizes inputs to valuation methods. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels (“Levels”) of inputs of the fair value hierarchy are defined as follows:
Level 1 — Unadjusted quoted prices in active markets for identical securities.
Level 2 — Inputs, other than quoted prices included in Level 1, which are observable, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include the Fund’s own assumptions used in determining the fair value of 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 Fund’s investments at March 31, 2022, 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 Fund’s significant categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities: Securities are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Equities traded on inactive markets or valued by reference to similar instruments are generally categorized in Level 2 or Level 3 if inputs are unobservable.
Foreign equity securities: Securities in which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and are categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, ETFs and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
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 Fund 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.
Transamerica ETF Trust | Page 5 |
DeltaShares® S&P EM 100 & Managed Risk ETF
NOTES TO SCHEDULE OF INVESTMENTS (continued)
At March 31, 2022
(unaudited)
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.
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 Fund 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.
2. SUBSEQUENT EVENT
The Board has approved the liquidation of the Transamerica ETF Trust. These liquidations will be effective on or about April 12, 2022.
Transamerica ETF Trust | Page 6 |