As filed with the SEC on March 3, 2011.
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04419
TRANSAMERICA SERIES TRUST
(Exact Name of Registrant as Specified in Charter)
570 Carillon Parkway, St. Petersburg, Florida 33716
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (727) 299-1800
Dennis P. Gallagher, Esq. P.O. Box 9012, Clearwater, Florida 33758-9771
(Name and Address of Agent for Service)
Date of fiscal year end: December 31
Date of reporting period: January 1, 2010 — December 31, 2010
Item 1: Report(s) to Shareholders. The Annual Report is attached.
Transamerica Series Trust Annual Report
570 Carillon Parkway
St. Petersburg, FL 33716
Distributor: Transamerica Capital, Inc.
Customer Service: 1-800-851-9777
The following pages contain the most recent annual reports for the investment options in which you are invested. In compliance with Securities and Exchange Commission regulations, we present these reports on an annual and semi-annual basis with the hope that they will foster greater understanding of the investment options’ holdings, performance, financial data, accounting policies and other issues. This streamlined version provides information only on the investment options in which you are invested.
If you have any questions about these reports, please do not hesitate to contact your financial professional. As always, we thank you for your trust and the opportunity to serve you.
Dear Fellow Shareholder,
On behalf of Transamerica Series Trust, we would like to thank you for your continued support and confidence in our products as we look forward to continuing to serve you and your financial adviser in the future. We value the trust you have placed in us.
This annual report is provided to you with the intent of presenting a comprehensive review of the investments of each of your funds. The Securities and Exchange Commission requires that annual and semi-annual reports be sent to all shareholders, and we believe this report to be an important part of the investment process. In addition to providing a comprehensive review, this report also provides a discussion of accounting policies as well as matters presented to shareholders that may have required their vote.
We believe it is important to recognize and understand current market conditions in order to provide a context for reading this report. During the past twelve months, markets have generally advanced, yet have exhibited periods of weakness in conjunction with investors’ concerns over the health of the economy and the labor market, and periods of strength in conjunction with investors’ optimism of recovery and improved economic data points. The equity markets exhibited weakness in February, advanced into late April, were weak during June, July and August, and ended the period at the highs of the year. The period ended with positive twelve month returns for both the broad equity and bond markets. The U.S. Dollar has risen and fallen versus the British Pound and Euro along with rising and falling levels of concern over foreign debt levels during the year. The U.S. Dollar ended the period modestly stronger versus the Euro and the British Pound, and weaker versus the Japanese Yen. Oil prices have remained volatile over the past year, hitting their lows in early summer and rebounding to end higher at the end of the period. The Federal Reserve has kept the federal funds rate to a range of 0%-0.25% in an effort to stimulate the economy. The unemployment rate has been sluggish to recede, beginning the period at 10.0% and ending the period at 9.4%. Anticipation of economic recovery has led to strong gains for particular equity and fixed-income sectors, including small-cap and mid-cap stocks, emerging market stocks, and high yield bonds. Money market securities have lagged on a relative basis. For the twelve months ended December 31, 2010, the Dow Jones Industrial Average returned 14.06%, the Standard & Poor’s 500 Index returned 15.06%, and the Barclays Capital U.S. Aggregate Bond Index returned 6.54%. Please keep in mind it is important to maintain a diversified portfolio as investment returns have historically been difficult to predict.
In addition to your active involvement in the investment process, we firmly believe that a financial adviser is a key resource to help you build a complete picture of your current and future financial needs. Financial advisers are familiar with the market’s history, including long-term returns and volatility of various asset classes. With your financial adviser, you can develop an investment program that incorporates factors such as your goals, your investment timeline, and your risk tolerance.
Please contact your financial adviser if you have any questions about the contents of this report, and thanks again for the confidence you have placed in us.
Sincerely,
| | | |
|
| John K. Carter | | Christopher A. Staples |
| Chairman of the Board, | | Vice President & Chief Investment Officer |
| President & Chief Executive Officer | | Transamerica Series Trust |
| Transamerica Series Trust | | |
The views expressed in this report reflect those of the portfolio managers only and may not necessarily represent the views of the Transamerica Series Trust. These views are subject to change based upon market conditions. These views should not be relied upon as investment advice and are not indicative of trading intent on behalf of the Transamerica Series Trust.
Transamerica AEGON High Yield Bond VP
(unaudited)
MARKET ENVIRONMENT
The high yield market historically performs well during the recovery years following a recession and the last 12 months were no exception. The Bank of America Merrill Lynch High Yield, Cash Pay index returned 15.24% for the 12 months ended December 31, 2010.
The new issuance market set back-to-back annual records in a testament to the strength and liquidity of the high yield market over the past 2 years. According to Barclays, US High Yield issuance in 2009 totaling $152 billion established a new mark which was surpassed by the $262 billion issued in 2010. We believe the capital markets will remain robust in the near term as investors continue to seek out high yield which offers attractive income relative to investment grade and government alternatives.
Investors will also continue to benefit from stability of cash flow in the coming quarters as a result of declining defaults. According to Moody’s, the current US trailing twelve month speculative grade default rate finished the year at 3.3%. Moody’s projects the base-case default rate will fall further to 2.1% by the end of 2011.
PERFORMANCE
For the year ended December 31, 2010, Transamerica AEGON High Yield Bond VP Initial Class returned 12.58%. By comparison its benchmark, the Bank of America Merrill Lynch U.S. High Yield, Cash Pay Index, returned 15.24%.
STRATEGY REVIEW
Transamerica AEGON High Yield Bond VP (“Fund”) underperformed the benchmark index for the fiscal year ended December 31, 2010. The underperformance is primarily attributable to financials, utilities and non-US domiciled issuers. Financials were a growing component of high yield due to downgrades resulting from the credit crisis. Despite increasing the portfolio’s exposure to the sector, we remained below-weight, which resulted in underperformance as the group outperformed on the year. Utilities underperformed the benchmark while we maintained an over-allocation to the group. Lastly, the portfolio underperformed due to below-benchmark exposure to emerging markets, which outperformed during the period. The underweight position is the result of a portfolio construction methodology that focuses primarily on US and developed country credit.
The portfolio outperformed in the industrial areas of technology, consumer cyclicals and capital goods. Overweight positions in the technology sector, the gaming component of cyclicals and the building materials constituent of capital goods, generated positive performance relative to the benchmark. The portfolio remains slightly overweight in cyclical sectors such as technology, basic industry (including building materials and forestry/paper) and capital goods (including aerospace/defense and packaging). The portfolio is underweight telecommunications and energy as we believe they offer less attractive risk/reward opportunities and such defensive sectors will lag as the economy improves.
Recent economic reports indicate a slow to moderate economic expansion with expectations of low inflation. However, the tepid growth rate has not been supportive enough to meaningfully reduce the unemployment rate. As a result, the Federal Reserve Board is countering with further quantitative easing (“QE2”) in an effort to increase liquidity. Debt issuers have benefited from the low yield, high liquidity environment and we believe corporate fundamentals will continue to improve in the coming quarters. We also believe further monetary policy moves will benefit economically sensitive asset classes including high yield as attractive yield producing alternatives diminish. The portfolio is positioned towards a view that we remain in a modest economic recovery and we believe the Fund will outperform in that environment.
Bradley J. Beman, CFA, CPA
Benjamin D. Miller, CFA
Kevin Bakker, CFA
Co-Portfolio Managers
AEGON USA Investment Management, LLC
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica AEGON High Yield Bond VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 12.58 | % | | | 6.95 | % | | | 6.91 | % | | | 06/01/1998 | |
BofA Merrill Lynch U.S. High Yield, Cash Pay* | | | 15.24 | % | | | 8.67 | % | | | 8.71 | % | | | | |
| |
| Service Class | | | 12.31 | % | | | 6.68 | % | | | 7.04 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Bank of America Merrill Lynch U.S. High Yield, Cash Pay (“BofA Merrill Lynch U.S. High Yield, Cash Pay’) is an unmanaged index used as a general measure of market performance. Calculation assumed dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica AEGON High Yield Bond VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica AEGON High Yield Bond VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,094.10 | | | $ | 3.69 | | | $ | 1,021.68 | | | $ | 3.57 | | | | 0.70 | % |
| Service Class | | | 1,000.00 | | | | 1,093.20 | | | | 5.01 | | | | 1,020.42 | | | | 4.84 | | | | 0.95 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Corporate Debt Securities | | | 93.2 | % |
| Securities Lending Collateral | | | 14.0 | |
| Repurchase Agreement | | | 3.1 | |
| Preferred Corporate Debt Securities | | | 1.1 | |
| Common Stock | | | 0.8 | |
| Preferred Stock | | | 0.4 | |
| Other Assets and Liabilities — Net | | | (12.6 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica AEGON High Yield Bond VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
PREFERRED CORPORATE DEBT SECURITIES - 1.1% | | | | | | | | |
Diversified Financial Services — 0.3% | | | | | | | | |
| JPMorgan Chase & Co. — Series 1 | | | | | | | | |
| 7.90%, 04/30/2018 * Ž | | $ | 630 | | | $ | 670 | |
Insurance - 0.8% | | | | | | | | |
| Lincoln National Corp. | | | | | | | | |
| 7.00%, 05/17/2066 * | | | 1,700 | | | | 1,657 | |
| | | | | | | | |
Total Preferred Corporate Debt Securities (cost $2,065) | | | | | | | 2,327 | |
| | | | | | | | |
| | | | | | | | | |
CORPORATE DEBT SECURITIES - 93.2% | | | | | | | | |
Aerospace & Defense - 2.9% | | | | | | | | |
| Alliant Techsystems, Inc. | | | | | | | | |
| 6.75%, 04/01/2016 | | | 1,255 | | | | 1,301 | |
| 6.88%, 09/15/2020 | | | 450 | | | | 463 | |
| BE Aerospace, Inc. | | | | | | | | |
| 6.88%, 10/01/2020 | | | 800 | | | | 826 | |
| 8.50%, 07/01/2018 ^ | | | 575 | | | | 630 | |
| Bombardier, Inc. | | | | | | | | |
| 7.50%, 03/15/2018 - 144A | | | 140 | | | | 150 | |
| 7.75%, 03/15/2020 - 144A | | | 400 | | | | 431 | |
| Hexcel Corp. | | | | | | | | |
| 6.75%, 02/01/2015 | | | 1,175 | | | | 1,199 | |
| Spirit Aerosystems, Inc. | | | | | | | | |
| 7.50%, 10/01/2017 | | | 735 | | | | 764 | |
| Triumph Group, Inc. | | | | | | | | |
| 8.63%, 07/15/2018 | | | 450 | | | | 492 | |
Airlines - 0.3% | | | | | | | | |
| U.S. Airways Pass-Through Trust — Series 2010-1 | | | | | | | | |
| 6.25%, 04/22/2023 | | | 600 | | | | 597 | |
Auto Components - 0.3% | | | | | | | | |
| Lear Corp. | | | | | | | | |
| 7.88%, 03/15/2018 ^ | | | 365 | | | | 391 | |
| 8.13%, 03/15/2020 ^ | | | 140 | | | | 152 | |
Automobiles - 0.1% | | | | | | | | |
| Motors Liquidation Co. | | | | | | | | |
| 7.13%, 07/15/2013 Џ | | | 130 | | | | 44 | |
| 7.20%, 01/15/2011 Џ | | | 500 | | | | 168 | |
| 8.10%, 06/15/2024 Џ | | | 175 | | | | 59 | |
Beverages - 1.7% | | | | | | | | |
| Constellation Brands, Inc. | | | | | | | | |
| 7.25%, 09/01/2016 - 05/15/2017 | | | 2,450 | | | | 2,594 | |
| Cott Beverages, Inc. | | | | | | | | |
| 8.13%, 09/01/2018 | | | 575 | | | | 620 | |
| 8.38%, 11/15/2017 | | | 385 | | | | 416 | |
Building Products - 0.7% | | | | | | | | |
| Associated Materials LLC | | | | | | | | |
| 9.13%, 11/01/2017 - 144A | | | 375 | | | | 392 | |
| Masco Corp. | | | | | | | | |
| 7.75%, 08/01/2029 ^ | | | 900 | | | | 882 | |
| USG Corp. | | | | | | | | |
| 8.38%, 10/15/2018 - 144A | | | 250 | | | | 245 | |
Chemicals - 2.4% | | | | | | | | |
| Huntsman International LLC | | | | | | | | |
| 5.50%, 06/30/2016 ^ | | | 1,010 | | | | 977 | |
| 8.63%, 03/15/2020 ^ | | | 350 | | | | 381 | |
| Lyondell Chemical Co. | | | | | | | | |
| 8.00%, 11/01/2017 - 144A | | | 427 | | | | 472 | |
| Nalco Co. | | | | | | | | |
| 6.63%, 01/15/2019 - 144A | | | 800 | | | | 818 | |
| Nova Chemicals Corp. | | | | | | | | |
| 3.57%, 11/15/2013 * ^ | | | 775 | | | | 761 | |
| 8.38%, 11/01/2016 | | | 1,590 | | | | 1,694 | |
Commercial Services & Supplies - 1.6% | | | | | | | | |
| Aramark Corp. | | | | | | | | |
| 8.50%, 02/01/2015 ^ | | | 400 | | | | 418 | |
| Ceridian Corp. | | | | | | | | |
| 12.25%, 11/15/2015 ^ Ώ | | | 2,150 | | | | 2,172 | |
| Koppers, Inc. | | | | | | | | |
| 7.88%, 12/01/2019 | | | 750 | | | | 804 | |
| World Color USA Corp. | | | | | | | | |
| 6.13%, 11/15/2013 Ə | | | 690 | | | | t | |
Computers & Peripherals - 1.1% | | | | | | | | |
| Seagate HDD Cayman | | | | | | | | |
| 6.88%, 05/01/2020 - 144A | | | 475 | | | | 454 | |
| 7.75%, 12/15/2018 - 144A | | | 850 | | | | 861 | |
| Seagate Technology HDD Holdings, Inc. | | | | | | | | |
| 6.80%, 10/01/2016 | | | 965 | | | | 969 | |
Construction Materials - 1.7% | | | | | | | | |
| AGY Holding Corp. | | | | | | | | |
| 11.00%, 11/15/2014 | | | 100 | | | | 90 | |
| Ply Gem Industries, Inc. | | | | | | | | |
| 11.75%, 06/15/2013 | | | 1,870 | | | | 2,001 | |
| 13.13%, 07/15/2014 ^ | | | 1,400 | | | | 1,488 | |
Consumer Finance - 1.9% | | | | | | | | |
| American General Finance Corp. | | | | | | | | |
| 5.85%, 06/01/2013 ^ | | | 1,925 | | | | 1,747 | |
| 6.90%, 12/15/2017 | | | 2,860 | | | | 2,309 | |
Containers & Packaging - 2.1% | | | | | | | | |
| Ball Corp. | | | | | | | | |
| 6.63%, 03/15/2018 | | | 500 | | | | 510 | |
| 6.75%, 09/15/2020 | | | 350 | | | | 368 | |
| Cascades, Inc. | | | | | | | | |
| 7.75%, 12/15/2017 | | | 75 | | | | 78 | |
| 7.88%, 01/15/2020 | | | 750 | | | | 784 | |
| CB Smurfit Stone | | | | | | | | |
| 8.00%, 03/15/2017 | | | 1,329 | | | | 56 | |
| Graphic Packaging International, Inc. | | | | | | | | |
| 7.88%, 10/01/2018 ^ | | | 900 | | | | 943 | |
| 9.50%, 06/15/2017 ^ | | | 200 | | | | 218 | |
| Jefferson Smurfit Corp. | | | | | | | | |
| 8.25%, 10/01/2012 | | | 725 | | | | 24 | |
| Owens-Brockway Glass Container, Inc. | | | | | | | | |
| 6.75%, 12/01/2014 | | | 250 | | | | 254 | |
| 7.38%, 05/15/2016 ^ | | | 585 | | | | 622 | |
| Sealed Air Corp. | | | | | | | | |
| 6.88%, 07/15/2033 - 144A | | | 650 | | | | 609 | |
Diversified Consumer Services - 1.7% | | | | | | | | |
| Ford Holdings LLC | | | | | | | | |
| 9.30%, 03/01/2030 | | | 1,625 | | | | 1,893 | |
| Service Corp., International | | | | | | | | |
| 6.75%, 04/01/2016 | | | 500 | | | | 509 | |
| 7.00%, 06/15/2017 | | | 1,160 | | | | 1,183 | |
Diversified Financial Services - 8.2% | | | | | | | | |
| Ally Financial, Inc. | | | | | | | | |
| 6.75%, 12/01/2014 | | | 1,550 | | | | 1,631 | |
| 8.00%, 03/15/2020 | | | 650 | | | | 710 | |
| 8.30%, 02/12/2015 | | | 600 | | | | 660 | |
The notes to the financial statements are an integral part of this report.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica AEGON High Yield Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Diversified Financial Services (continued) | | | | | | | | |
| CIT Group, Inc. | | | | | | | | |
| 7.00%, 05/01/2014 - 05/01/2017 ^ | | $ | 4,100 | | | $ | 4,123 | |
| 7.00%, 05/01/2015 | | | 400 | | | | 401 | |
| Ford Motor Credit Co., LLC | | | | | | | | |
| 6.63%, 08/15/2017 | | | 210 | | | | 221 | |
| 7.00%, 04/15/2015 | | | 1,425 | | | | 1,531 | |
| 9.88%, 08/10/2011 ^ | | | 1,500 | | | | 1,561 | |
| International Lease Finance Corp. | | | | | | | | |
| 8.25%, 12/15/2020 | | | 900 | | | | 927 | |
| Nuveen Investments, Inc. | | | | | | | | |
| 10.50%, 11/15/2015 | | | 2,610 | | | | 2,669 | |
| Reynolds Group Issuer, Inc. | | | | | | | | |
| 7.13%, 04/15/2019 - 144A | | | 575 | | | | 585 | |
| 9.00%, 04/15/2019 - 144A | | | 1,475 | | | | 1,528 | |
| Umbrella Acquisition, Inc. | | | | | | | | |
| 9.75%, 03/15/2015 - 144A ^ Ώ | | | 997 | | | | 1,048 | |
Diversified Telecommunication Services - 4.7% | | | | | | | | |
| Cincinnati Bell, Inc. | | | | | | | | |
| 8.38%, 10/15/2020 | | | 1,250 | | | | 1,200 | |
| Frontier Communications Corp. | | | | | | | | |
| 9.00%, 08/15/2031 | | | 2,000 | | | | 2,055 | |
| Intelsat Corp. | | | | | | | | |
| 9.25%, 06/15/2016 | | | 450 | | | | 486 | |
| Qwest Communications International, Inc. | | | | | | | | |
| 7.50%, 02/15/2014 | | | 650 | | | | 658 | |
| Sprint Capital Corp. | | | | | | | | |
| 8.75%, 03/15/2032 | | | 2,175 | | | | 2,197 | |
| Windstream Corp. | | | | | | | | |
| 8.63%, 08/01/2016 | | | 3,180 | | | | 3,347 | |
Electric Utilities - 3.8% | | | | | | | | |
| AES Red Oak LLC — Series B | | | | | | | | |
| 9.20%, 11/30/2029 | | | 755 | | | | 738 | |
| Dynegy Holdings, Inc. | | | | | | | | |
| 7.50%, 06/01/2015 ^ | | | 1,080 | | | | 815 | |
| 7.75%, 06/01/2019 | | | 3,535 | | | | 2,359 | |
| Elwood Energy LLC | | | | | | | | |
| 8.16%, 07/05/2026 | | | 1,212 | | | | 1,182 | |
| Intergen NV | | | | | | | | |
| 9.00%, 06/30/2017 - 144A | | | 2,075 | | | | 2,199 | |
| LSP Energy, LP | | | | | | | | |
| 8.16%, 07/15/2025 | | | 1,250 | | | | 864 | |
Energy Equipment & Services - 0.6% | | | | | | | | |
| Pride International, Inc. | | | | | | | | |
| 6.88%, 08/15/2020 | | | 775 | | | | 804 | |
| Trinidad Drilling, Ltd. | | | | | | | | |
| 7.88%, 01/15/2019 - 144A | | | 500 | | | | 505 | |
Food & Staples Retailing - 1.4% | | | | | | | | |
| Rite Aid Corp. | | | | | | | | |
| 7.50%, 03/01/2017 ^ | | | 1,500 | | | | 1,442 | |
| 10.38%, 07/15/2016 ^ | | | 75 | | | | 78 | |
| SUPERVALU, Inc. | | | | | | | | |
| 8.00%, 05/01/2016 ^ | | | 1,420 | | | | 1,360 | |
Food Products - 2.0% | | | | | | | | |
| Del Monte Corp. | | | | | | | | |
| 6.75%, 02/15/2015 | | | 605 | | | | 618 | |
| Dole Food Co., Inc. | | | | | | | | |
| 8.00%, 10/01/2016 - 144A | | | 1,580 | | | | 1,666 | |
| Pilgrim’s Pride Corp. | | | | | | | | |
| 7.88%, 12/15/2018 - 144A | | | 420 | | | | 418 | |
| Simmons Foods, Inc. | | | | | | | | |
| 10.50%, 11/01/2017 - 144A | | | 600 | | | | 641 | |
| Tyson Foods, Inc. | | | | | | | | |
| 7.35%, 04/01/2016 | | | 1,000 | | | | 1,097 | |
Gas Utilities - 0.1% | | | | | | | | |
| Star Gas Partners LP | | | | | | | | |
| 8.88%, 12/01/2017 - 144A | | | 175 | | | | 175 | |
Health Care Equipment & Supplies - 1.1% | | | | | | | | |
| Cooper Cos., Inc. | | | | | | | | |
| 7.13%, 02/15/2015 | | | 2,205 | | | | 2,271 | |
Health Care Providers & Services - 4.9% | | | | | | | | |
| Community Health Systems, Inc. | | | | | | | | |
| 8.88%, 07/15/2015 | | | 2,265 | | | | 2,378 | |
| DaVita, Inc. | | | | | | | | |
| 6.38%, 11/01/2018 | | | 100 | | | | 100 | |
| 6.63%, 11/01/2020 | | | 125 | | | | 124 | |
| HCA, Inc. | | | | | | | | |
| 9.25%, 11/15/2016 | | | 3,315 | | | | 3,537 | |
| Healthsouth Corp. | | | | | | | | |
| 7.75%, 09/15/2022 ^ | | | 1,120 | | | | 1,156 | |
| LifePoint Hospitals, Inc. | | | | | | | | |
| 6.63%, 10/01/2020 - 144A | | | 1,175 | | | | 1,166 | |
| U.S. Oncology, Inc. | | | | | | | | |
| 9.13%, 08/15/2017 | | | 1,650 | | | | 2,034 | |
Hotels, Restaurants & Leisure - 6.8% | | | | | | | | |
| Firekeepers Development Authority | | | | | | | | |
| 13.88%, 05/01/2015 - 144A | | | 1,300 | | | | 1,537 | |
| GWR Operating Partnership LLP | | | | | | | | |
| 10.88%, 04/01/2017 | | | 800 | | | | 844 | |
| Harrah’s Operating Co., Inc. | | | | | | | | |
| 10.00%, 12/15/2018 | | | 1,200 | | | | 1,095 | |
| 12.75%, 04/15/2018 - 144A | | | 1,810 | | | | 1,819 | |
| MGM Resorts International | | | | | | | | |
| 5.88%, 02/27/2014 | | | 200 | | | | 185 | |
| 7.50%, 06/01/2016 ^ | | | 1,010 | | | | 944 | |
| 10.38%, 05/15/2014 | | | 170 | | | | 191 | |
| 11.38%, 03/01/2018 ^ | | | 1,695 | | | | 1,838 | |
| Royal Caribbean Cruises, Ltd. | | | | | | | | |
| 6.88%, 12/01/2013 | | | 400 | | | | 424 | |
| 7.00%, 06/15/2013 | | | 1,125 | | | | 1,190 | |
| 7.25%, 06/15/2016 ^ | | | 200 | | | | 216 | |
| Seneca Gaming Corp. | | | | | | | | |
| 8.25%, 12/01/2018 - 144A | | | 600 | | | | 602 | |
| Sheraton Holding Corp. | | | | | | | | |
| 7.38%, 11/15/2015 | | | 674 | | | | 758 | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | | | | | | |
| 6.75%, 05/15/2018 | | | 655 | | | | 717 | |
| 7.15%, 12/01/2019 | | | 500 | | | | 553 | |
| WMG Acquisition Corp. | | | | | | | | |
| 9.50%, 06/15/2016 | | | 750 | | | | 804 | |
| Wynn Las Vegas LLC | | | | | | | | |
| 7.75%, 08/15/2020 | | | 935 | | | | 1,012 | |
Household Durables - 5.0% | | | | | | | | |
| Beazer Homes USA, Inc. | | | | | | | | |
| 9.13%, 05/15/2019 - 144A | | | 900 | | | | 855 | |
| 12.00%, 10/15/2017 | | | 1,000 | | | | 1,153 | |
| D.R. Horton, Inc. | | | | | | | | |
| 5.25%, 02/15/2015 ^ | | | 650 | | | | 644 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica AEGON High Yield Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Household Durables (continued) | | | | | | | | |
| Jarden Corp. | | | | | | | | |
| 7.50%, 05/01/2017 - 01/15/2020 | | $ | 1,595 | | | $ | 1,674 | |
| K. Hovnanian Enterprises, Inc. | | | | | | | | |
| 10.63%, 10/15/2016 ^ | | | 1,000 | | | | 1,025 | |
| KB Home | | | | | | | | |
| 9.10%, 09/15/2017 | | | 1,825 | | | | 1,934 | |
| Meritage Homes Corp. | | | | | | | | |
| 6.25%, 03/15/2015 | | | 830 | | | | 834 | |
| 7.15%, 04/15/2020 | | | 350 | | | | 348 | |
| Mohawk Industries, Inc. | | | | | | | | |
| 6.88%, 01/15/2016 ^ | | | 1,000 | | | | 1,073 | |
| Standard Pacific Corp. | | | | | | | | |
| 8.38%, 01/15/2021 - 144A | | | 825 | | | | 800 | |
| 8.38%, 05/15/2018 ^ | | | 225 | | | | 225 | |
Independent Power Producers & Energy Traders - 3.2% | | | | | | | | |
| Calpine Corp. | | | | | | | | |
| 7.50%, 02/15/2021 - 144A | | | 575 | | | | 566 | |
| 7.88%, 07/31/2020 - 144A | | | 1,100 | | | | 1,114 | |
| Edison Mission Energy | | | | | | | | |
| 7.00%, 05/15/2017 | | | 3,090 | | | | 2,448 | |
| 7.20%, 05/15/2019 | | | 1,000 | | | | 773 | |
| NRG Energy, Inc. | | | | | | | | |
| 7.38%, 02/01/2016 - 01/15/2017 | | | 1,570 | | | | 1,613 | |
| 8.25%, 09/01/2020 - 144A | | | 300 | | | | 308 | |
Insurance - 1.0% | | | | | | | | |
| Genworth Financial, Inc. | | | | | | | | |
| 6.15%, 11/15/2066 * | | | 650 | | | | 512 | |
| Liberty Mutual Group, Inc. | | | | | | | | |
| 10.75%, 06/15/2058 - 144A * | | | 1,275 | | | | 1,543 | |
IT Services - 2.0% | | | | | | | | |
| SunGard Data Systems, Inc. | | | | | | | | |
| 7.38%, 11/15/2018 - 144A | | | 850 | | | | 854 | |
| 7.63%, 11/15/2020 - 144A | | | 850 | | | | 861 | |
| Unisys Corp. | | | | | | | | |
| 12.50%, 01/15/2016 | | | 200 | | | | 222 | |
| 14.25%, 09/15/2015 - 144A | | | 2,000 | | | | 2,384 | |
Leisure Equipment & Products - 0.1% | | | | | | | | |
| Icon Health & Fitness | | | | | | | | |
| 11.88%, 10/15/2016 - 144A | | | 150 | | | | 152 | |
Machinery - 0.7% | | | | | | | | |
| ArvinMeritor, Inc. | | | | | | | | |
| 10.63%, 03/15/2018 | | | 125 | | | | 141 | |
| Case New Holland, Inc. | | | | | | | | |
| 7.88%, 12/01/2017 - 144A | | | 275 | | | | 300 | |
| Navistar International Corp. | | | | | | | | |
| 8.25%, 11/01/2021 ^ | | | 1,070 | | | | 1,150 | |
Media - 4.7% | | | | | | | | |
| Cablevision Systems Corp. | | | | | | | | |
| 7.75%, 04/15/2018 | | | 920 | | | | 964 | |
| 8.00%, 04/15/2020 ^ | | | 150 | | | | 161 | |
| CCO Holdings LLC | | | | | | | | |
| 7.25%, 10/30/2017 | | | 550 | | | | 558 | |
| 7.88%, 04/30/2018 ^ | | | 440 | | | | 455 | |
| Cengage Learning Acquisitions, Inc. | | | | | | | | |
| 13.25%, 07/15/2015 - 144A | | | 150 | | | | 158 | |
| Clear Channel Communications, Inc. | | | | | | | | |
| 10.75%, 08/01/2016 | | | 325 | | | | 291 | |
| Clear Channel Worldwide Holdings, Inc. | | | | | | | | |
| 9.25%, 12/15/2017 | | | 1,075 | | | | 1,176 | |
| CSC Holdings LLC | | | | | | | | |
| 8.50%, 06/15/2015 | | | 300 | | | | 326 | |
| 8.50%, 04/15/2014 ^ | | | 1,585 | | | | 1,741 | |
| DISH DBS Corp. | | | | | | | | |
| 7.75%, 05/31/2015 | | | 2,050 | | | | 2,177 | |
| 7.88%, 09/01/2019 | | | 300 | | | | 314 | |
| Nexstar Broadcasting, Inc. | | | | | | | | |
| 8.88%, 04/15/2017 - 144A | | | 450 | | | | 478 | |
| Univision Communications, Inc. | | | | | | | | |
| 7.88%, 11/01/2020 - 144A ^ | | | 600 | | | | 630 | |
| 8.50%, 05/15/2021 - 144A ^ | | | 600 | | | | 608 | |
Metals & Mining - 1.2% | | | | | | | | |
| Atkore International, Inc. | | | | | | | | |
| 9.88%, 01/01/2018 - 144A | | | 325 | | | | 338 | |
| Steel Dynamics, Inc. | | | | | | | | |
| 7.38%, 11/01/2012 | | | 1,000 | | | | 1,055 | |
| U.S. Steel Corp. | | | | | | | | |
| 7.00%, 02/01/2018 | | | 775 | | | | 787 | |
| 7.38%, 04/01/2020 | | | 450 | | | | 461 | |
Multiline Retail - 2.4% | | | | | | | | |
| Bon-Ton Department Stores, Inc. | | | | | | | | |
| 10.25%, 03/15/2014 ^ | | | 2,025 | | | | 2,065 | |
| JC Penney Corp., Inc. | | | | | | | | |
| 7.13%, 11/15/2023 | | | 575 | | | | 594 | |
| 7.40%, 04/01/2037 ^ | | | 1,100 | | | | 1,045 | |
| Macy’s Retail Holdings, Inc. | | | | | | | | |
| 5.75%, 07/15/2014 | | | 1,300 | | | | 1,375 | |
Oil, Gas & Consumable Fuels - 9.5% | | | | | | | | |
| Berry Petroleum Co. | | | | | | | | |
| 6.75%, 11/01/2020 | | | 1,000 | | | | 1,005 | |
| Chesapeake Energy Corp. | | | | | | | | |
| 6.63%, 08/15/2020 | | | 1,110 | | | | 1,093 | |
| 7.25%, 12/15/2018 | | | 900 | | | | 932 | |
| 9.50%, 02/15/2015 | | | 600 | | | | 677 | |
| Connacher Oil and Gas, Ltd. | | | | | | | | |
| 10.25%, 12/15/2015 - 144A | | | 800 | | | | 804 | |
| Consol Energy, Inc. | | | | | | | | |
| 8.00%, 04/01/2017 - 144A | | | 225 | | | | 240 | |
| 8.25%, 04/01/2020 - 144A | | | 570 | | | | 616 | |
| Continental Resources, Inc. | | | | | | | | |
| 7.13%, 04/01/2021 - 144A | | | 400 | | | | 420 | |
| 8.25%, 10/01/2019 | | | 600 | | | | 666 | |
| El Paso Corp. | | | | | | | | |
| 7.25%, 06/01/2018 ^ | | | 1,450 | | | | 1,551 | |
| Energy Transfer Equity, LP | | | | | | | | |
| 7.50%, 10/15/2020 | | | 1,560 | | | | 1,606 | |
| Hilcorp Energy I, LP | | | | | | | | |
| 8.00%, 02/15/2020 - 144A | | | 270 | | | | 286 | |
| Kinder Morgan Finance Co. | | | | | | | | |
| 5.70%, 01/05/2016 | | | 1,000 | | | | 1,013 | |
| Kinder Morgan Finance Co., LLC | | | | | | | | |
| 6.00%, 01/15/2018 - 144A | | | 450 | | | | 442 | |
| Linn Energy LLC | | | | | | | | |
| 7.75%, 02/01/2021 - 144A | | | 900 | | | | 923 | |
| Linn Energy LLC Finance Corp. | | | | | | | | |
| 8.63%, 04/15/2020 - 144A | | | 720 | | | | 776 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica AEGON High Yield Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Oil, Gas & Consumable Fuels (continued) | | | | | | | | |
| Newfield Exploration Co. | | | | | | | | |
| 6.63%, 09/01/2014 | | $ | 890 | | | $ | 908 | |
| 6.88%, 02/01/2020 ^ | | | 175 | | | | 184 | |
| OPTI Canada, Inc. | | | | | | | | |
| 8.25%, 12/15/2014 | | | 1,950 | | | | 1,389 | |
| Pioneer Natural Resources Co. | | | | | | | | |
| 6.65%, 03/15/2017 | | | 800 | | | | 850 | |
| 6.88%, 05/01/2018 | | | 1,085 | | | | 1,153 | |
| Plains Exploration & Production Co. | | | | | | | | |
| 7.00%, 03/15/2017 ^ | | | 1,310 | | | | 1,346 | |
| Stallion Oilfield Holdings, Ltd. | | | | | | | | |
| 10.50%, 02/15/2015 - 144A | | | 655 | | | | 688 | |
| Tesoro Corp. | | | | | | | | |
| 6.63%, 11/01/2015 ^ | | | 625 | | | | 634 | |
Paper & Forest Products - 3.6% | | | | | | | | |
| Ainsworth Lumber Co., Ltd. | | | | | | | | |
| 11.00%, 07/29/2015 - 144A Ώ | | | 154 | | | | 136 | |
| Georgia-Pacific LLC | | | | | | | | |
| 7.13%, 01/15/2017 - 144A | | | 965 | | | | 1,028 | |
| 8.00%, 01/15/2024 | | | 495 | | | | 566 | |
| Smurfit Kappa Funding PLC | | | | | | | | |
| 7.75%, 04/01/2015 | | | 280 | | | | 287 | |
| Verso Paper Holdings LLC | | | | | | | | |
| 11.50%, 07/01/2014 ^ | | | 280 | | | | 307 | |
| Verso Paper Holdings LLC - Series B | | | | | | | | |
| 11.38%, 08/01/2016 ^ | | | 1,813 | | | | 1,818 | |
| Westvaco Corp. | | | | | | | | |
| 8.20%, 01/15/2030 | | | 1,275 | | | | 1,345 | |
| Weyerhaeuser Co. | | | | | | | | |
| 7.38%, 03/15/2032 | | | 2,050 | | | | 2,071 | |
Pharmaceuticals - 1.1% | | | | | | | | |
| Mylan, Inc. | | | | | | | | |
| 7.63%, 07/15/2017 - 144A | | | 468 | | | | 498 | |
| 7.88%, 07/15/2020 - 144A | | | 675 | | | | 727 | |
| Valeant Pharmaceuticals International, Inc. | | | | | | | | |
| 6.75%, 10/01/2017 - 144A | | | 200 | | | | 199 | |
| 6.88%, 12/01/2018 - 144A | | | 550 | | | | 546 | |
| 7.00%, 10/01/2020 - 144A | | | 300 | | | | 296 | |
Real Estate Investment Trusts - 0.9% | | | | | | | | |
| Host Hotels & Resorts, Inc. | | | | | | | | |
| 6.00%, 11/01/2020 - 144A | | | 520 | | | | 513 | |
| Host Hotels & Resorts, LP | | | | | | | | |
| 6.38%, 03/15/2015 | | | 400 | | | | 406 | |
| 7.13%, 11/01/2013 ^ | | | 246 | | | | 250 | |
| 9.00%, 05/15/2017 ^ | | | 340 | | | | 377 | |
| Host Hotels & Resorts, LP - Series Q | | | | | | | | |
| 6.75%, 06/01/2016 | | | 350 | | | | 357 | |
Road & Rail - 0.8% | | | | | | | | |
| Hertz Corp. | | | | | | | | |
| 7.50%, 10/15/2018 - 144A ^ | | | 670 | | | | 695 | |
| 8.88%, 01/01/2014 ^ | | | 900 | | | | 920 | |
Semiconductors & Semiconductor Equipment - 1.0% | | | | | | | | |
| Freescale Semiconductor, Inc. | | | | | | | | |
| 9.25%, 04/15/2018 - 144A | | | 550 | | | | 605 | |
| NXP BV | | | | | | | | |
| 9.75%, 08/01/2018 - 144A | | | 1,375 | | | | 1,547 | |
Software - 1.1% | | | | | | | | |
| First Data Corp. | | | | | | | | |
| 8.25%, 01/15/2021 - 144A | | | 396 | | | | 380 | |
| 9.88%, 09/24/2015 ^ | | | 89 | | | | 85 | |
| 11.25%, 03/31/2016 ^ | | | 1,605 | | | | 1,404 | |
| 12.63%, 01/15/2021 - 144A | | | 396 | | | | 378 | |
Specialty Retail - 0.3% | | | | | | | | |
| Brookstone Co., Inc. | | | | | | | | |
| 13.00%, 10/15/2014 - 144A | | | 225 | | | | 208 | |
| Claire’s Stores, Inc. | | | | | | | | |
| 9.63%, 06/01/2015 Ώ | | | 210 | | | | 204 | |
| 10.50%, 06/01/2017 | | | 150 | | | | 140 | |
Textiles, Apparel & Luxury Goods - 1.1% | | | | | | | | |
| Jones Group, Inc. | | | | | | | | |
| 6.13%, 11/15/2034 | | | 1,000 | | | | 800 | |
| Levi Strauss & Co. | | | | | | | | |
| 7.63%, 05/15/2020 ^ | | | 240 | | | | 248 | |
| 8.88%, 04/01/2016 | | | 840 | | | | 886 | |
| Phillips-Van Heusen Corp. | | | | | | | | |
| 7.38%, 05/15/2020 | | | 310 | | | | 329 | |
Wireless Telecommunication Services - 1.4% | | | | | | | | |
| Nextel Communications, Inc. - Series E | | | | | | | | |
| 6.88%, 10/31/2013 | | | 1,400 | | | | 1,403 | |
| Nextel Communications, Inc. - Series D | | | | | | | | |
| 7.38%, 08/01/2015 ^ | | | 575 | | | | 576 | |
| Sprint Nextel Corp. | | | | | | | | |
| 9.25%, 04/15/2022 | | | 917 | | | | 954 | |
| | | | | | | | |
Total Corporate Debt Securities (cost $190,538) | | | | | | | 198,231 | |
| | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
| |
PREFERRED STOCK - 0.4% | | | | | | | | |
Diversified Financial Services - 0.4% | | | | | | | | |
| Ally Financial, Inc. 7.00% 144A | | | 882 | | | | 794 | |
Total Preferred Stock (cost $382) | | | | | | | | |
| | | | | | | | | |
COMMON STOCK - 0.8% | | | | | | | | |
Containers & Packaging - 0.8% | | | | | | | | |
| Smurfit-Stone Container Corp. ‡ | | | 65,241 | | | | 1,670 | |
Total Common Stock (cost $1,456) | | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 14.0% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 29,798,080 | | | | 29,798 | |
Total Securities Lending Collateral (cost $29,798) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 3.1% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $6,640 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $6,773. | | $ | 6,640 | | | | 6,640 | |
Total Repurchase Agreement (cost $6,640) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $230,879) # | | | | | | | 239,460 | |
| Other Assets and Liabilities - Net | | | | | | | (26,730 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 212,730 | |
| | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica AEGON High Yield Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| * | | Floating or variable rate note. Rate is listed as of 12/31/2010. |
| |
| Ž | | The security has a perpetual maturity. The date shown is the next call date. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $29,189. |
| |
| Џ | | In default. |
| |
| Ώ | | Payment in-kind. Securities pay interest or dividends in the form of additional bonds or preferred stock. |
| |
| Ə | | Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. This security had a market value of less than $1, or less than 0.01% of the fund’s net assets. |
| |
| t | | Value and/or principal is less than $1. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| ‡ | | Non-income producing security. |
| |
| # | | Aggregate cost for federal income tax purposes is $230,879. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $10,470 and $1,889, respectively. Net unrealized appreciation for tax purposes is $8,581. |
DEFINITION:
| | |
| 144A | | 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2010, these securities aggregated $44,015, or 20.69%, of the fund’s net assets. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Common Stock | | $ | 1,670 | | | $ | — | | | $ | — | | | $ | 1,670 | |
| Corporate Debt Securities | | | — | | | | 198,231 | | | | ♦ | | | | 198,231 | |
| Preferred Corporate Debt Securities | | | — | | | | 2,327 | | | | — | | | | 2,327 | |
| Preferred Stock | | | 794 | | | | — | | | | — | | | | 794 | |
| Repurchase Agreement | | | — | | | | 6,640 | | | | — | | | | 6,640 | |
| Securities Lending Collateral | | | 29,798 | | | | — | | | | — | | | | 29,798 | |
| |
Total | | $ | 32,262 | | | $ | 207,198 | | | $ | — | | | $ | 239,460 | |
| |
Level 3 Rollforward — Investment Securities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning | | | | | | | | | | | | | | | | | | Net Transfers | | Ending |
| | | Balance at | | Net | | Accrued | | Total Realized | | Change in Unrealized | | In/(Out) of | | Balance at |
| Securities | | 12/31/2009 | | Purchases/(Sales) | | Discounts/(Premiums) | | Gain/(Loss) | | Appreciation/(Depreciation) | | Level 3 | | 12/31/2010 |
| |
| Corporate Debt Securities | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | ♦ | | | $ | ♦ | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica AEGON High Yield Bond VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $224,239)
(including securities loaned of $29,189) | | $ | 232,820 | |
| Repurchase agreement, at value (cost: $6,640) | | | 6,640 | |
| Receivables: | | | | |
| Investment securities sold | | | 363 | |
| Shares sold | | | 501 | |
| Interest | | | 3,869 | |
| Securities lending income (net) | | | 12 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 244,207 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 1,440 | |
| Shares redeemed | | | 85 | |
| Management and advisory fees | | | 115 | |
| Distribution and service fees | | | 10 | |
| Administration fees | | | 3 | |
| Printing and shareholder reports fees | | | 10 | |
| Audit and tax fees | | | 5 | |
| Other | | | 11 | |
| Collateral for securities on loan | | | 29,798 | |
| | | | |
| | | | 31,477 | |
| | | | |
Net assets | | $ | 212,730 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 277 | |
| Additional paid-in capital | | | 233,002 | |
| Undistributed (accumulated) net investment income (loss) | | | 14,035 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (43,165 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 8,581 | |
| | | | |
Net assets | | $ | 212,730 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 164,509 | |
| Service Class | | | 48,221 | |
Shares outstanding: | | | | |
| Initial Class | | | 21,458 | |
| Service Class | | | 6,216 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 7.67 | |
| Service Class | | | 7.76 | |
STATEMENT OF OPERATIONS
For the period ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income | | $ | 86 | |
| Interest income | | | 15,478 | |
| Securities lending income (net) | | | 97 | |
| | | | |
| | | | 15,661 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,219 | |
| Printing and shareholder reports | | | 58 | |
| Custody | | | 44 | |
| Administration | | | 38 | |
| Legal | | | 10 | |
| Audit and tax | | | 10 | |
| Trustees | | | 7 | |
| Transfer agent | | | 2 | |
| Distribution and service: | | | | |
| Service Class | | | 86 | |
| Other | | | 4 | |
| | | | |
| Total expenses | | | 1,478 | |
| | | | |
Net investment income | | | 14,183 | |
| | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 9,811 | |
| Foreign currency transactions | | | (66 | ) |
| | | | |
| | | | 9,745 | |
| | | | |
| | | | | |
Net decrease in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | (1,401 | ) |
| Translation of assets and liabilities denominated in foreign currencies | | | 22 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | (1,379 | ) |
| | | | |
Net realized and unrealized gain | | | 8,366 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 22,549 | |
| | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica AEGON High Yield Bond VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 14,183 | | | $ | 27,141 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | 9,745 | | | | (26,864 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | (1,379 | ) | | | 107,434 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 22,549 | | | | 107,711 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (22,084 | ) | | | (24,219 | ) |
| Service Class | | | (5,214 | ) | | | (1,472 | ) |
| | | | | | | |
Total distributions to shareholders | | | (27,298 | ) | | | (25,691 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 73,696 | | | | 76,156 | |
| Service Class | | | 45,577 | | | | 27,631 | |
| | | | | | | |
| | | | 119,273 | | | | 103,787 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 22,084 | | | | 24,219 | |
| Service Class | | | 5,214 | | | | 1,472 | |
| | | | | | | |
| | | | 27,298 | | | | 25,691 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (115,232 | ) | | | (235,460 | ) |
| Service Class | | | (27,774 | ) | | | (12,607 | ) |
| | | | | | | |
| | | | (143,006 | ) | | | (248,067 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | 3,565 | | | | (118,589 | ) |
| | | | | | | |
| | | | | | | | | |
Net decrease in net assets | | | (1,184 | ) | | | (36,569 | ) |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 213,914 | | | | 250,483 | |
| | | | | | | |
| End of year | | $ | 212,730 | | | $ | 213,914 | |
| | | | | | | |
Undistributed net investment income | | $ | 14,035 | | | $ | 27,148 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 9,244 | | | | 11,051 | |
| Service Class | | | 5,711 | | | | 3,916 | |
| | | | | | | |
| | | | 14,955 | | | | 14,967 | |
| | | | | | | |
| | | | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 3,072 | | | | 3,359 | |
| Service Class | | | 716 | | | | 202 | |
| | | | | | | |
| | | | 3,788 | | | | 3,561 | |
| | | | | | | |
| | | | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (14,441 | ) | | | (32,558 | ) |
| Service Class | | | (3,495 | ) | | | (1,780 | ) |
| | | | | | | |
| | | | (17,936 | ) | | | (34,338 | ) |
| | | | | | | |
| | | | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (2,125 | ) | | | (18,148 | ) |
| Service Class | | | 2,932 | | | | 2,338 | |
| | | | | | | |
| | | | 807 | | | | (15,810 | ) |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica AEGON High Yield Bond VP
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 7.95 | | | $ | 5.87 | | | $ | 8.74 | | | $ | 9.48 | | | $ | 9.62 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.59 | | | | 0.66 | | | | 0.67 | | | | 0.68 | | | | 0.69 | |
| Net realized and unrealized gain (loss) | | | 0.33 | | | | 2.04 | | | | (2.68 | ) | | | (0.52 | ) | | | 0.29 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.92 | | | | 2.70 | | | | (2.01 | ) | | | 0.16 | | | | 0.98 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (1.20 | ) | | | (0.62 | ) | | | (0.72 | ) | | | (0.90 | ) | | | (1.00 | ) |
| From net realized gains | | | — | | | | — | | | | (0.14 | ) | | | — | (B) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (1.20 | ) | | | (0.62 | ) | | | (0.86 | ) | | | (0.90 | ) | | | (1.12 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 7.67 | | | $ | 7.95 | | | $ | 5.87 | | | $ | 8.74 | | | $ | 9.48 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 12.58 | % | | | 47.05 | % | | | (25.20 | %) | | | 1.85 | % | | | 10.95 | % |
Net assets end of year (000’s) | | $ | 164,509 | | | $ | 187,509 | | | $ | 244,866 | | | $ | 308,893 | | | $ | 378,471 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.73 | % | | | 0.80 | % | | | 0.79 | % | | | 0.81 | % | | | 0.82 | % |
| Net investment income, to average net assets | | | 7.50 | % | | | 9.38 | % | | | 8.73 | % | | | 7.25 | % | | | 7.16 | % |
| Portfolio turnover rate | | | 140 | % | | | 85 | % | | | 59 | % | | | 70 | % | | | 96 | % |
For a share outstanding throughout each period
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 8.04 | | | $ | 5.94 | | | $ | 8.83 | | | $ | 9.56 | | | $ | 9.70 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.57 | | | | 0.64 | | | | 0.66 | | | | 0.66 | | | | 0.67 | |
| Net realized and unrealized gain (loss) | | | 0.34 | | | | 2.07 | | | | (2.72 | ) | | | (0.51 | ) | | | 0.29 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.91 | | | | 2.71 | | | | (2.06 | ) | | | 0.15 | | | | 0.96 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (1.19 | ) | | | (0.61 | ) | | | (0.69 | ) | | | (0.88 | ) | | | (0.98 | ) |
| From net realized gains | | | — | | | | — | | | | (0.14 | ) | | | — | (B) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (1.19 | ) | | | (0.61 | ) | | | (0.83 | ) | | | (0.88 | ) | | | (1.10 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 7.76 | | | $ | 8.04 | | | $ | 5.94 | | | $ | 8.83 | | | $ | 9.56 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 12.31 | % | | | 46.67 | % | | | (25.46 | %) | | | 1.73 | % | | | 10.62 | % |
Net assets end of year (000’s) | | $ | 48,221 | | | $ | 26,405 | | | $ | 5,617 | | | $ | 10,028 | | | $ | 10,083 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.98 | % | | | 1.05 | % | | | 1.04 | % | | | 1.06 | % | | | 1.07 | % |
| Net investment income, to average net assets | | | 7.20 | % | | | 8.75 | % | | | 8.26 | % | | | 7.01 | % | | | 6.91 | % |
| Portfolio turnover rate | | | 140 | % | | | 85 | % | | | 59 | % | | | 70 | % | | | 96 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Rounds to less than ($0.01) or $0.01. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica AEGON High Yield Bond VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica AEGON High Yield Bond VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Payment in-kind securities (“PIKs”): PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a “dirty price”) and require a pro-rata adjustment from interest receivable to the unrealized appreciation or depreciation on investments on the Statement of Assets and Liabilities.
The PIKs at December 31, 2010 are listed in the Schedule of Investments.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica AEGON High Yield Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica AEGON High Yield Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Corporate bonds: The fair value of corporate bonds 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 bonds 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.
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 as Level 3.
Short-term notes: Short-term notes are valued using amortized cost, which approximates fair value. To the extent the inputs are observable and timely, the values would be generally categorized in Level 2 of the fair value hierarchy.
Government securities: Government securities 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. Government securities generally are categorized in Level 2 of the fair value hierarchy.
U.S. government agency securities: U.S. government agency securities 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 securities. 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.
Restricted securities (equity and debt): Restricted securities for which quotations are not readily available are valued at fair value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees. 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 valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy.
Derivative instruments: 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, 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. A substantial 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.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by TAM’s Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica AEGON High Yield Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
AEGON USA Investment Management, LLC (“AUIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, AUIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, AUIM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $750 million | | | 0.64 | % |
| Over $750 million | | | 0.60 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.05% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica AEGON High Yield Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 258,907 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 248,048 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | 2 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (2 | ) |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
Capital Loss | | |
Carryforwards | | Available Through |
| $18,333 | | December 31, 2016 |
| $24,496 | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $1,155.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica AEGON High Yield Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 27,298 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 25,691 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 14,035 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (42,829 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (336 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 8,581 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica AEGON High Yield Bond VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica AEGON High Yield Bond VP:
We have audited the accompanying statement of assets and liabilities of Transamerica AEGON High Yield Bond VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica AEGON High Yield Bond VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica AEGON High Yield Bond VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 19
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
(unaudited)
MARKET ENVIRONMENT
Equities rose sharply in 2010, a remarkable finish to a year of great upheaval. After extending the 2009 rally early in the year, investors fled equities through the spring and summer, as the European debt crisis, uncertainties about regulatory reform and credit-tightening efforts in China fanned fears of a double-dip recession. But those fears eased in the final months, as renewed fiscal and monetary stimulus efforts and stronger global demand buoyed hopes for a more vibrant economic recovery.
PERFORMANCE
For the year ended December 31, 2010, Transamerica AllianceBernstein Dynamic Allocation VP Initial Class returned 9.29%. By comparison its primary, secondary, and former benchmarks, the Barclays Capital U.S. Aggregate Bond Index, Transamerica AllianceBernstein Dynamic Allocation VP Blended Benchmark, and the Bank of America Merrill Lynch All U.S. Convertible Securities Index, returned 6.54%, 9.09%, and 16.78% respectively.
Prior to August 16, 2010, this fund was named Transamerica Convertible Securities VP and managed by a different sub-adviser.
The blended benchmark is comprised of the Barclays Capital U.S. Aggregate Bond Index (65%) and the Morgan Stanley Capital International World Index (35%).
STRATEGY REVIEW
Since taking over the portfolio in mid-August, we increased the portfolio’s allocation to equity, ending the year above the weight in the underlying performance benchmark. The overweight was initially driven by very attractive equity valuations, while bonds were less attractive given the low level of yields following the market turmoil earlier in the year. As market risks began to subside over the summer, we increased the portfolio’s exposure to equities to take advantage of the opportunity. The portfolio benefited from the equity overweight during the stock market rally through the end of the year, while the underweight to bonds protected the portfolio against rising yields in the fourth quarter.
While the market has rallied and yields have risen, we continue to find equities attractive due to stimulative financial conditions and an improving economy. We believe the outlook for corporate profits for 2011 remains positive as the impact of the economic recovery spreads to more and more industries. Furthermore, balance sheets of companies outside the financial sector appear strong. In contrast, bonds yields remain low and are vulnerable to further improvement in the economy. Market risk continued to decline over the fourth quarter, with our forecast for market volatility approaching “normal” levels.
Seth Masters
Daniel Loewy
Co-Portfolio Managers
AllianceBernstein L.P.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | | | |
| | | 1 Year | | | 5 Years | | | Life of Class | | | Inception Date | |
| |
| Initial Class | | | 9.29 | % | | | 3.57 | % | | | 5.68 | % | | | 05/01/2002 | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.80 | % | | | 5.52 | % | | | | |
Transamerica AllianceBernstein Dynamic Allocation VP Blended Benchmark* | | | 9.09 | % | | | 5.25 | % | | | 5.99 | % | | | | |
BofA Merrill Lynch All U.S. Convertible Securities* | | | 16.78 | % | | | 5.71 | % | | | 6.60 | % | | | | |
| |
| Service Class | | | 9.15 | % | | | 3.38 | % | | | 6.42 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | Prior to August 16, 2010, the Bank of America Merrill Lynch All U.S. Convertible Securities Index (“BofA Merrill Lynch All U.S. Convertible Securities”) served as the primary benchmark for the fund, at which time, it was replaced with the Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”). Barclays Capital U.S. Aggregate Bond and BofA Merrill Lynch All U.S. Convertible Securities are unmanaged indices used as a general measure of market performance. Transamerica AllianceBernstein Dynamic Allocation VP Blended Benchmark (“Transamerica AllianceBernstein Dynamic Allocation VP Blended Benchmark”) consists of Barclays Capital U.S. Aggregate Bond 65% and Morgan Stanley Capital International World Index 35%. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica AllianceBernstein Dynamic Allocation VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,117.00 | | | $ | 7.15 | | | $ | 1,018.45 | | | $ | 6.82 | | | | 1.34 | % |
| Service Class | | | 1,000.00 | | | | 1,117.10 | | | | 7.84 | | | | 1,017.80 | | | | 7.48 | | | | 1.47 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 32.4 | % |
| U.S. Government Obligations | | | 23.8 | |
| U.S. Government Agency Obligations | | | 21.2 | |
| Repurchase Agreement | | | 13.7 | |
| Securities Lending Collateral | | | 12.8 | |
| Corporate Debt Securities | | | 9.0 | |
| Mortgage-Backed Securities | | | 1.3 | |
| Municipal Government Obligation | | | 0.1 | |
| Preferred Corporate Debt Security | | | 0.1 | % |
| Preferred Stocks | | | 0.1 | |
| Right | | | 0.0 | (A) |
| Warrant | | | 0.0 | (A) |
Other Assets and Liabilities — Net(B) | | | (14.5 | ) |
| |
Total | | | 100.0 | % |
| | | | |
| | |
| (A) | | Amount rounds to less than 0.1%. |
| |
| (B) | | The Other Assets and Liabilities — Net category may include, but is not limited to, Forward Currency contracts, Futures Contracts, Swap Agreements, Written Options and Swaptions, and Securities Sold Short. |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
U.S. GOVERNMENT OBLIGATIONS - 23.8% | | | | | | | | |
| U.S. Treasury Bond | | | | | | | | |
| 4.38%, 05/15/2040 | | $ | 1,940 | | | $ | 1,949 | |
| 5.38%, 02/15/2031 | | | 765 | | | | 893 | |
| U.S. Treasury Note | | | | | | | | |
| 0.63%, 07/31/2012 | | | 6,180 | | | | 6,197 | |
| 1.75%, 07/31/2015 | | | 7,945 | | | | 7,920 | |
| 2.13%, 12/31/2015 | | | 660 | | | | 664 | |
| 3.50%, 05/15/2020 | | | 4,235 | | | | 4,338 | |
| | | | | | | | |
Total U.S. Government Obligations (cost $22,498) | | | | | | | 21,961 | |
| | | | | | | | |
| | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS - 21.2% | | | | | | | | |
| Fannie Mae | | | | | | | | |
| 1.13%, 07/30/2012 ^ | | | 3,402 | | | | 3,431 | |
| 4.00%, 03/01/2024 | | | 375 | | | | 387 | |
| 4.50%, 04/01/2025 | | | 332 | | | | 349 | |
| 5.00%, 01/01/2013- 08/01/2040 | | | 1,000 | | | | 1,057 | |
| 5.38%, 06/12/2017 | | | 275 | | | | 317 | |
| 5.50%, 01/01/2024- 06/01/2038 | | | 2,323 | | | | 2,493 | |
| 6.00%, 03/01/2038- 07/01/2039 | | | 921 | | | | 1,002 | |
| 6.50%, 12/01/2037 | | | 447 | | | | 498 | |
| 6.63%, 11/15/2030 | | | 229 | | | | 289 | |
| Fannie Mae, TBA | | | | | | | | |
| 4.00% | | | 920 | | | | 915 | |
| 6.50% | | | 445 | | | | 495 | |
| Freddie Mac | | | | | | | | |
| 4.00%, 11/01/2025 | | | 375 | | | | 386 | |
| 4.50%, 05/01/2023- 09/01/2040 | | | 2,734 | | | | 2,810 | |
| 5.00%, 04/01/2040 | | | 1,718 | | | | 1,803 | |
| 6.00%, 11/01/2037 | | | 367 | | | | 398 | |
| Freddie Mac, TBA | | | | | | | | |
| 5.50% | | | 735 | | | | 783 | |
| Ginnie Mae | | | | | | | | |
| 4.50%, 06/15/2039 | | | 708 | | | | 736 | |
| 5.00%, 10/15/2039 | | | 643 | | | | 684 | |
| 5.50%, 04/15/2040 | | | 334 | | | | 361 | |
| 6.00%, 06/15/2037 | | | 340 | | | | 374 | |
| | | | | | | | |
Total U.S. Government Agency Obligations (cost $19,701) | | | | | | | 19,568 | |
| | | | | | | | |
| |
MORTGAGE-BACKED SECURITIES - 1.3% | | | | | | | | |
| Citigroup Commercial Mortgage Trust | | | | | | | | |
| Series 2004-C1, Class A4 | | | | | | | | |
| 5.38%, 04/15/2040 * | | | 185 | | | | 199 | |
| Credit Suisse First Boston Mortgage Securities Corp. | | | | | | | | |
| Series 2005-C1, Class A4 | | | | | | | | |
| 5.01%, 02/15/2038 * | | | 185 | | | | 197 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. | | | | | | | | |
| Series 2006-CB15, Class A4 | | | | | | | | |
| 5.81%, 06/12/2043 * | | | 180 | | | | 193 | |
| Series 2006-CB16, Class A4 | | | | | | | | |
| 5.55%, 05/12/2045 | | | 180 | | | | 192 | |
| Series 2006-CB17, Class A4 | | | | | | | | |
| 5.43%, 12/12/2043 | | | 185 | | | | 196 | |
| LB-UBS Commercial Mortgage Trust | | | | | | | | |
| Series 2006-C6, Class A4 | | | | | | | | |
| 5.37%, 09/15/2039 | | | 185 | | | | 198 | |
| | | | | | | | |
Total Mortgage-Backed Securities (cost $1,180) | | | | | | | 1,175 | |
| | | | | | | | |
| |
MUNICIPAL GOVERNMENT OBLIGATION - 0.1% | | | | | | | | |
| State of California | | | | | | | | |
| 7.60%, 11/01/2040 | | | 115 | | | | 120 | |
Total Municipal Government Obligation (cost $119) | | | | | | | | |
| | | | | | | | | |
PREFERRED CORPORATE DEBT SECURITY - 0.1% | | | | | | | | |
Commercial Banks - 0.1% | | | | | | | | |
| Mellon Capital IV | | | | | | | | |
| 6.24%, 06/20/2012 * Ž | | | 115 | | | | 105 | |
Total Preferred Corporate Debt Security (cost $103) | | | | | | | | |
| | | | | | | | | |
CORPORATE DEBT SECURITIES - 9.0% | | | | | | | | |
Aerospace & Defense - 0.2% | | | | | | | | |
| Boeing Co. | | | | | | | | |
| 6.00%, 03/15/2019 ^ | | | 80 | | | | 92 | |
| United Technologies Corp. | | | | | | | | |
| 4.88%, 05/01/2015 | | | 85 | | | | 94 | |
Beverages - 0.1% | | | | | | | | |
| Bottling Group LLC | | | | | | | | |
| 6.95%, 03/15/2014 ^ | | | 85 | | | | 98 | |
Biotechnology - 0.1% | | | | | | | | |
| Amgen, Inc. | | | | | | | | |
| 5.70%, 02/01/2019 ^ | | | 85 | | | | 97 | |
Capital Markets - 0.8% | | | | | | | | |
| BP Capital Markets PLC | | | | | | | | |
| 3.88%, 03/10/2015 | | | 95 | | | | 98 | |
| Credit Suisse USA, Inc. | | | | | | | | |
| 5.50%, 08/15/2013 ^ | | | 90 | | | | 99 | |
| Goldman Sachs Group, Inc. | | | | | | | | |
| 6.13%, 02/15/2033 ^ | | | 95 | | | | 101 | |
| 7.50%, 02/15/2019 ^ | | | 85 | | | | 99 | |
| Morgan Stanley | | | | | | | | |
| 5.50%, 07/24/2020 ^ | | | 100 | | | | 101 | |
| 6.63%, 04/01/2018 | | | 100 | | | | 107 | |
| UBS AG | | | | | | | | |
| 5.88%, 07/15/2016 ^ | | | 100 | | | | 108 | |
Chemicals - 0.1% | | | | | | | | |
| Dow Chemical Co. | | | | | | | | |
| 8.55%, 05/15/2019 | | | 80 | | | | 100 | |
| E.I. du Pont de Nemours & Co. | | | | | | | | |
| 5.88%, 01/15/2014 | | | 14 | | | | 16 | |
Commercial Banks - 0.9% | | | | | | | | |
| Barclays Bank PLC | | | | | | | | |
| 5.45%, 09/12/2012 ^ | | | 100 | | | | 107 | |
| Eksportfinans ASA | | | | | | | | |
| 5.50%, 05/25/2016 | | | 95 | | | | 107 | |
| European Investment Bank | | | | | | | | |
| 1.75%, 09/14/2012 | | | 95 | | | | 97 | |
| 4.88%, 02/15/2036 ^ | | | 90 | | | | 92 | |
| 5.13%, 05/30/2017 ^ | | | 85 | | | | 96 | |
| PNC Funding Corp. | | | | | | | | |
| 5.13%, 02/08/2020 ^ | | | 40 | | | | 42 | |
| Royal Bank of Scotland Group PLC | | | | | | | | |
| 5.00%, 10/01/2014 | | | 95 | | | | 91 | |
| Wachovia Corp. | | | | | | | | |
| 5.50%, 05/01/2013 ^ | | | 90 | | | | 98 | |
| Wells Fargo & Co. | | | | | | | | |
| 5.63%, 12/11/2017 | | | 85 | | | | 94 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Communications Equipment - 0.1% | | | | | | | | |
| Cisco Systems, Inc. | | | | | | | | |
| 5.25%, 02/22/2011 | | $ | 95 | | | $ | 96 | |
Computers & Peripherals - 0.1% | | | | | | | | |
| HP Enterprise Services LLC | | | | | | | | |
| 7.45%, 10/15/2029 | | | 75 | | | | 95 | |
Consumer Finance - 0.3% | | | | | | | | |
| American Express Co. | | | | | | | | |
| 8.13%, 05/20/2019 | | | 75 | | | | 93 | |
| Capital One Financial Corp. | | | | | | | | |
| 6.75%, 09/15/2017 | | | 85 | | | | 98 | |
| HSBC Finance Corp. | | | | | | | | |
| 7.00%, 05/15/2012 | | | 90 | | | | 97 | |
Diversified Financial Services - 1.7% | | | | | | | | |
| Bank of America Corp. | | | | | | | | |
| 4.88%, 01/15/2013 ^ | | | 95 | | | | 99 | |
| 5.38%, 09/11/2012 | | | 90 | | | | 95 | |
| 5.63%, 07/01/2020 | | | 95 | | | | 97 | |
| Bear Stearns Cos., LLC | | | | | | | | |
| 5.55%, 01/22/2017 ^ | | | 90 | | | | 96 | |
| 5.70%, 11/15/2014 | | | 175 | | | | 191 | |
| Citigroup, Inc. | | | | | | | | |
| 5.50%, 04/11/2013 ^ | | | 90 | | | | 96 | |
| 6.50%, 08/19/2013 | | | 90 | | | | 99 | |
| 8.50%, 05/22/2019 ^ | | | 80 | | | | 99 | |
| Diageo Capital PLC | | | | | | | | |
| 7.38%, 01/15/2014 | | | 85 | | | | 98 | |
| General Electric Capital Corp. | | | | | | | | |
| 4.38%, 11/21/2011 ^ | | | 95 | | | | 98 | |
| 4.80%, 05/01/2013 | | | 90 | | | | 96 | |
| 5.63%, 05/01/2018 ^ | | | 90 | | | | 98 | |
| John Deere Capital Corp. | | | | | | | | |
| 5.25%, 10/01/2012 ^ | | | 90 | | | | 97 | |
| JPMorgan Chase & Co. | | | | | | | | |
| 4.40%, 07/22/2020 ^ | | | 95 | | | | 94 | |
Diversified Telecommunication Services - 0.5% | | | | | | | | |
| AT&T, Inc. | | | | | | | | |
| 5.35%, 09/01/2040 - 144A | | | 95 | | | | 89 | |
| 5.80%, 02/15/2019 ^ | | | 85 | | | | 96 | |
| Deutsche Telekom International Finance BV | | | | | | | | |
| 5.88%, 08/20/2013 ^ | | | 100 | | | | 110 | |
| Telecom Italia Capital SA | | | | | | | | |
| 5.25%, 10/01/2015 | | | 95 | | | | 97 | |
| Verizon Communications, Inc. | | | | | | | | |
| 5.25%, 04/15/2013 ^ | | | 90 | | | | 98 | |
Electric Utilities - 0.6% | | | | | | | | |
| AEP Texas Central Co. | | | | | | | | |
| 6.65%, 02/15/2033 | | | 85 | | | | 91 | |
| Carolina Power & Light Co. | | | | | | | | |
| 6.50%, 07/15/2012 ^ | | | 90 | | | | 97 | |
| Consolidated Edison Co., of New York, Inc. | | | | | | | | |
| 5.30%, 03/01/2035 ^ | | | 90 | | | | 88 | |
| Duke Energy Ohio, Inc. | | | | | | | | |
| 5.70%, 09/15/2012 | | | 95 | | | | 102 | |
| FirstEnergy Solutions Corp. | | | | | | | | |
| 6.05%, 08/15/2021 | | | 95 | | | | 98 | |
| Pacific Gas & Electric Co. | | | | | | | | |
| 4.80%, 03/01/2014 | | | 90 | | | | 97 | |
Food & Staples Retailing - 0.3% | | | | | | | | |
| CVS Caremark Corp. | | | | | | | | |
| 4.75%, 05/18/2020 ^ | | | 90 | | | | 94 | |
| Wal-Mart Stores, Inc. | | | | | | | | |
| 2.88%, 04/01/2015 | | | 95 | | | | 98 | |
Food Products - 0.0% ∞ | | | | | | | | |
| Kraft Foods, Inc. | | | | | | | | |
| 6.25%, 06/01/2012 | | | 33 | | | | 35 | |
Health Care Providers & Services - 0.1% | | | | | | | | |
| WellPoint, Inc. | | | | | | | | |
| 7.00%, 02/15/2019 ^ | | | 80 | | | | 94 | |
Hotels, Restaurants & Leisure - 0.1% | | | | | | | | |
| McDonald’s Corp. | | | | | | | | |
| 5.00%, 02/01/2019 ^ | | | 85 | | | | 93 | |
Household Products - 0.1% | | | | | | | | |
| Procter & Gamble Co. | | | | | | | | |
| 4.70%, 02/15/2019 ^ | | | 85 | | | | 92 | |
Insurance - 0.4% | | | | | | | | |
| American International Group, Inc. | | | | | | | | |
| 5.05%, 10/01/2015 ^ | | | 100 | | | | 103 | |
| Berkshire Hathaway, Inc. | | | | | | | | |
| 3.20%, 02/11/2015 | | | 95 | | | | 98 | |
| MetLife, Inc. | | | | | | | | |
| 7.72%, 02/15/2019 ^ | | | 80 | | | | 98 | |
| Prudential Financial, Inc. | | | | | | | | |
| 5.38%, 06/21/2020 ^ | | | 90 | | | | 94 | |
IT Services - 0.1% | | | | | | | | |
| International Business Machines Corp. | | | | | | | | |
| 5.60%, 11/30/2039 ^ | | | 85 | | | | 93 | |
Machinery - 0.1% | | | | | | | | |
| Caterpillar, Inc. | | | | | | | | |
| 7.38%, 03/01/2097 | | | 55 | | | | 66 | |
Media - 0.7% | | | | | | | | |
| Comcast Cable Communications Holdings, Inc. | | | | | | | | |
| 9.46%, 11/15/2022 ^ | | | 70 | | | | 97 | |
| DIRECTV Holdings LLC | | | | | | | | |
| 4.75%, 10/01/2014 | | | 95 | | | | 100 | |
| News America, Inc. | | | | | | | | |
| 5.65%, 08/15/2020 ^ | | | 85 | | | | 95 | |
| Time Warner Entertainment Co., LP | | | | | | | | |
| 8.38%, 03/15/2023 ^ | | | 75 | | | | 94 | |
| Turner Broadcasting System, Inc. | | | | | | | | |
| 8.38%, 07/01/2013 | | | 85 | | | | 98 | |
| Walt Disney Co. | | | | | | | | |
| 5.50%, 03/15/2019 ^ | | | 85 | | | | 97 | |
Metals & Mining - 0.1% | | | | | | | | |
| Vale Overseas, Ltd. | | | | | | | | |
| 6.25%, 01/23/2017 | | | 95 | | | | 106 | |
Multiline Retail - 0.1% | | | | | | | | |
| Target Corp. | | | | | | | | |
| 7.00%, 01/15/2038 | | | 100 | | | | 123 | |
Multi-Utilities - 0.1% | | | | | | | | |
| Dominion Resources, Inc. | | | | | | | | |
| 7.50%, 06/30/2066 * ^ | | | 95 | | | | 99 | |
Oil, Gas & Consumable Fuels - 0.4% | | | | | | | | |
| Anadarko Petroleum Corp. | | | | | | | | |
| 5.95%, 09/15/2016 ^ | | | 95 | | | | 103 | |
| ConocoPhillips Holding Co. | | | | | | | | |
| 6.95%, 04/15/2029 | | | 75 | | | | 92 | |
| SeaRiver Maritime, Inc. | | | | | | | | |
| Zero Coupon, 09/01/2012 | | | 105 | | | | 101 | |
| Shell International Finance BV | | | | | | | | |
| 1.88%, 03/25/2013 | | | 95 | | | | 96 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Pharmaceuticals - 0.4% | | | | | | | | |
| Abbott Laboratories | | | | | | | | |
| 4.13%, 05/27/2020 ^ | | $ | 90 | | | $ | 92 | |
| Merck & Co., Inc. | | | | | | | | |
| 4.75%, 03/01/2015 ^ | | | 90 | | | | 98 | |
| Novartis Capital Corp. | | | | | | | | |
| 2.90%, 04/24/2015 ^ | | | 95 | | | | 98 | |
| Pfizer, Inc. | | | | | | | | |
| 5.35%, 03/15/2015 ^ | | | 85 | | | | 96 | |
Software - 0.1% | | | | | | | | |
| Oracle Corp. | | | | | | | | |
| 5.25%, 01/15/2016 | | | 85 | | | | 96 | |
Specialty Retail - 0.1% | | | | | | | | |
| Home Depot, Inc. | | | | | | | | |
| 5.40%, 03/01/2016 | | | 85 | | | | 95 | |
Tobacco - 0.1% | | | | | | | | |
| Altria Group, Inc. | | | | | | | | |
| 9.25%, 08/06/2019 ^ | | | 95 | | | | 124 | |
Wireless Telecommunication Services - 0.2% | | | | | | | | |
| Cellco Partnership / Verizon Wireless Capital LLC | | | | | | | | |
| 5.55%, 02/01/2014 ^ | | | 85 | | | | 94 | |
| Vodafone Group PLC | | | | | | | | |
| 5.50%, 06/15/2011 ^ | | | 95 | | | | 97 | |
| | | | | | | | |
Total Corporate Debt Securities (cost $8,461) | | | | | | | 8,278 | |
| | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 32.4% | | | | | | | | |
Aerospace & Defense - 0.4% | | | | | | | | |
| BAE Systems PLC | | | 3,333 | | | | 17 | |
| Boeing Co. ^ | | | 800 | | | | 52 | |
| Bombardier, Inc. - Class B | | | 1,700 | | | | 9 | |
| European Aeronautic Defence and Space Co., NV ‡ | | | 385 | | | | 9 | |
| Finmeccanica SpA | | | 446 | | | | 5 | |
| General Dynamics Corp. ^ | | | 400 | | | | 28 | |
| Goodrich Corp. ^ | | | 100 | | | | 9 | |
| Honeywell International, Inc. | | | 800 | | | | 43 | |
| L-3 Communications Holdings, Inc. ^ | | | 100 | | | | 7 | |
| Lockheed Martin Corp. ^ | | | 300 | | | | 21 | |
| Northrop Grumman Corp. ^ | | | 300 | | | | 19 | |
| Precision Castparts Corp. ^ | | | 200 | | | | 28 | |
| Raytheon Co. ^ | | | 400 | | | | 19 | |
| Rockwell Collins, Inc. ^ | | | 100 | | | | 6 | |
| Rolls-Royce Group PLC ‡ | | | 1,810 | | | | 18 | |
| Safran SA | | | 348 | | | | 12 | |
| Singapore Technologies Engineering, Ltd. | | | 2,000 | | | | 5 | |
| Thales SA | | | 281 | | | | 10 | |
| United Technologies Corp. ^ | | | 1,100 | | | | 86 | |
Air Freight & Logistics - 0.2% | | | | | | | | |
| CH Robinson Worldwide, Inc. ^ | | | 200 | | | | 16 | |
| Deutsche Post AG | | | 799 | | | | 14 | |
| Expeditors International of Washington, Inc. | | | 200 | | | | 11 | |
| FedEx Corp. ^ | | | 400 | | | | 37 | |
| TNT NV | | | 485 | | | | 13 | |
| United Parcel Service, Inc. - Class B ^ | | | 900 | | | | 65 | |
| Yamato Holdings Co., Ltd. | | | 400 | | | | 6 | |
Airlines - 0.1% | | | | | | | | |
| Air France-KLM ‡ | | | 315 | | | | 6 | |
| All Nippon Airways Co., Ltd. ‡ | | | 1,000 | | | | 4 | |
| Delta Air Lines, Inc. ‡ | | | 700 | | | | 9 | |
| Deutsche Lufthansa AG ‡ | | | 597 | | | | 12 | |
| Qantas Airways, Ltd. ‡ | | | 3,293 | | | | 9 | |
| Ryanair Holdings PLC ADR | | | 72 | | | | 2 | |
| Singapore Airlines, Ltd. | | | 1,000 | | | | 12 | |
| Southwest Airlines Co. | | | 700 | | | | 9 | |
| United Continental Holdings, Inc. ‡ ^ | | | 400 | | | | 10 | |
Auto Components - 0.2% | | | | | | | | |
| Aisin Seiki Co., Ltd. | | | 200 | | | | 7 | |
| Autoliv, Inc. ^ | | | 100 | | | | 8 | |
| BorgWarner, Inc. ‡ ^ | | | 200 | | | | 14 | |
| Bridgestone Corp. ^ | | | 700 | | | | 13 | |
| Cie Generale des Etablissements Michelin - Class B | | | 139 | | | | 10 | |
| Continental AG ‡ | | | 185 | | | | 15 | |
| Denso Corp. ^ | | | 600 | | | | 21 | |
| Johnson Controls, Inc. | | | 700 | | | | 27 | |
| Magna International, Inc. - Class A | | | 200 | | | | 10 | |
| NGK Spark Plug Co., Ltd. | | | 1,000 | | | | 15 | |
| Nok Corp. | | | 200 | | | | 4 | |
| Nokian Renkaat OYJ | | | 150 | | | | 6 | |
| Stanley Electric Co., Ltd. | | | 200 | | | | 4 | |
| Sumitomo Rubber Industries, Ltd. ^ | | | 200 | | | | 2 | |
| Toyoda Gosei Co., Ltd. | | | 100 | | | | 2 | |
| Toyota Boshoku Corp. ^ | | | 200 | | | | 4 | |
| Toyota Industries Corp. | | | 200 | | | | 6 | |
| TRW Automotive Holdings Corp. ‡ ^ | | | 200 | | | | 11 | |
Automobiles - 0.6% | | | | | | | | |
| Bayerische Motoren Werke AG | | | 313 | | | | 25 | |
| Daimler AG ‡ | | | 1,100 | | | | 74 | |
| Fiat SpA | | | 763 | | | | 16 | |
| Ford Motor Co. ‡ ^ | | | 3,400 | | | | 57 | |
| Fuji Heavy Industries, Ltd. | | | 1,000 | | | | 8 | |
| General Motors Co. ‡ ^ | | | 608 | | | | 22 | |
| Harley-Davidson, Inc. ^ | | | 300 | | | | 10 | |
| Honda Motor Co., Ltd. ^ | | | 2,000 | | | | 79 | |
| Isuzu Motors, Ltd. | | | 1,000 | | | | 5 | |
| Mazda Motor Corp. | | | 2,000 | | | | 6 | |
| Mitsubishi Motors Corp. ‡ ^ | | | 4,000 | | | | 6 | |
| Nissan Motor Co., Ltd. | | | 2,900 | | | | 27 | |
| Peugeot SA ‡ | | | 357 | | | | 14 | |
| Renault SA ‡ | | | 205 | | | | 12 | |
| Suzuki Motor Corp. ^ | | | 400 | | | | 10 | |
| Toyota Motor Corp. ^ | | | 3,400 | | | | 133 | |
| Volkswagen AG | | | 114 | | | | 16 | |
| Yamaha Motor Co., Ltd. ‡ | | | 200 | | | | 3 | |
Beverages - 0.7% | | | | | | | | |
| Anheuser-Busch InBev NV | | | 864 | | | | 49 | |
| Asahi Breweries, Ltd. ^ | | | 400 | | | | 8 | |
| Brown-Forman Corp. - Class B | | | 100 | | | | 7 | |
| Carlsberg AS - Class B | | | 143 | | | | 14 | |
| Coca-Cola Co. ^ | | | 2,500 | | | | 164 | |
| Coca-Cola Amatil, Ltd. | | | 694 | | | | 8 | |
| Coca-Cola Enterprises, Inc. | | | 300 | | | | 8 | |
| Coca-Cola Hellenic Bottling Co. SA | | | 231 | | | | 6 | |
| Constellation Brands, Inc. - Class A ‡ ^ | | | 400 | | | | 9 | |
| Diageo PLC | | | 3,424 | | | | 63 | |
| Dr. Pepper Snapple Group, Inc. | | | 200 | | | | 7 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Beverages (continued) | | | | | | | | |
| Foster’s Group, Ltd. | | | 1,823 | | | $ | 11 | |
| Hansen Natural Corp. ‡ | | | 200 | | | | 10 | |
| Heineken NV | | | 291 | | | | 14 | |
| Heineken Holding NV | | | 364 | | | | 16 | |
| Kirin Holdings Co., Ltd. | | | 1,000 | | | | 14 | |
| Molson Coors Brewing Co. - Class B ^ | | | 200 | | | | 10 | |
| PepsiCo, Inc. | | | 2,000 | | | | 131 | |
| Pernod-Ricard SA | | | 256 | | | | 24 | |
| SABMiller PLC | | | 896 | | | | 32 | |
Biotechnology - 0.2% | | | | | | | | |
| Alexion Pharmaceuticals, Inc. ‡ ^ | | | 104 | | | | 8 | |
| Amgen, Inc. ‡ ^ | | | 1,100 | | | | 60 | |
| Biogen Idec, Inc. ‡ ^ | | | 300 | | | | 20 | |
| Celgene Corp. ‡ | | | 500 | | | | 30 | |
| Cephalon, Inc. ‡ ^ | | | 100 | | | | 6 | |
| CSL, Ltd. | | | 526 | | | | 20 | |
| Genzyme Corp. ‡ ^ | | | 300 | | | | 21 | |
| Gilead Sciences, Inc. ‡ | | | 1,100 | | | | 40 | |
| Grifols SA | | | 194 | | | | 3 | |
| Human Genome Sciences, Inc. ‡ ^ | | | 500 | | | | 12 | |
| Vertex Pharmaceuticals, Inc. ‡ ^ | | | 200 | | | | 7 | |
Building Products - 0.1% | | | | | | | | |
| Asahi Glass Co., Ltd. | | | 1,000 | | | | 12 | |
| ASSA Abloy AB | | | 458 | | | | 13 | |
| Cie de St-Gobain | | | 485 | | | | 24 | |
| Daikin Industries, Ltd. | | | 300 | | | | 11 | |
| JS Group Corp. | | | 300 | | | | 7 | |
| Masco Corp. ^ | | | 800 | | | | 10 | |
| Toto, Ltd. | | | 1,000 | | | | 7 | |
Capital Markets - 0.7% | | | | | | | | |
| Ameriprise Financial, Inc. ^ | | | 300 | | | | 17 | |
| Bank of New York Mellon Corp. | | | 1,500 | | | | 45 | |
| BlackRock, Inc. - Class A ^ | | | 100 | | | | 19 | |
| Charles Schwab Corp. ^ | | | 1,000 | | | | 17 | |
| Credit Suisse Group AG | | | 1,063 | | | | 43 | |
| Daiwa Securities Group, Inc. ^ | | | 2,000 | | | | 10 | |
| Deutsche Bank AG | | | 1,135 | | | | 59 | |
| Eaton Vance Corp. ^ | | | 300 | | | | 9 | |
| Franklin Resources, Inc. ^ | | | 200 | | | | 22 | |
| Goldman Sachs Group, Inc. | | | 600 | | | | 102 | |
| ICAP PLC | | | 1,375 | | | | 11 | |
| IGM Financial, Inc. ^ | | | 200 | | | | 9 | |
| Jefferies Group, Inc. ^ | | | 400 | | | | 11 | |
| Julius Baer Group, Ltd. | | | 426 | | | | 20 | |
| Legg Mason, Inc. ^ | | | 300 | | | | 11 | |
| Macquarie Group, Ltd. | | | 316 | | | | 12 | |
| Man Group PLC | | | 5,085 | | | | 23 | |
| Mediobanca SpA | | | 1,088 | | | | 10 | |
| Mizuho Securities Co., Ltd. | | | 1,000 | | | | 3 | |
| Morgan Stanley ^ | | | 1,400 | | | | 38 | |
| Nomura Holdings, Inc. ^ | | | 4,100 | | | | 26 | |
| Northern Trust Corp. | | | 200 | | | | 11 | |
| Ratos AB - Class B | | | 229 | | | | 8 | |
| SBI Holdings, Inc. | | | 24 | | | | 4 | |
| Schroders PLC | | | 404 | | | | 12 | |
| State Street Corp. ^ | | | 500 | | | | 23 | |
| T. Rowe Price Group, Inc. ^ | | | 300 | | | | 19 | |
| TD Ameritrade Holding Corp. ^ | | | 500 | | | | 9 | |
| UBS AG ‡ | | | 4,437 | | | | 74 | |
Chemicals - 0.9% | | | | | | | | |
| Agrium, Inc. | | | 200 | | | | 18 | |
| Air Liquide SA | | | 314 | | | | 40 | |
| Air Products & Chemicals, Inc. ^ | | | 200 | | | | 18 | |
| Airgas, Inc. ^ | | | 100 | | | | 6 | |
| Akzo Nobel NV | | | 239 | | | | 15 | |
| Asahi Kasei Corp. | | | 2,000 | | | | 13 | |
| BASF SE | | | 1,082 | | | | 86 | |
| Celanese Corp. - Class A | | | 300 | | | | 12 | |
| CF Industries Holdings, Inc. ^ | | | 100 | | | | 14 | |
| Daicel Chemical Industries, Ltd. | | | 1,000 | | | | 7 | |
| Dow Chemical Co. ^ | | | 1,300 | | | | 44 | |
| E.I. du Pont de Nemours & Co. ^ | | | 1,100 | | | | 55 | |
| Eastman Chemical Co. ^ | | | 100 | | | | 8 | |
| Ecolab, Inc. ^ | | | 200 | | | | 10 | |
| FMC Corp. ^ | | | 100 | | | | 8 | |
| Givaudan SA | | | 21 | | | | 23 | |
| Incitec Pivot, Ltd. | | | 2,463 | | | | 10 | |
| International Flavors & Fragrances, Inc. | | | 300 | | | | 17 | |
| Israel Chemicals, Ltd. | | | 419 | | | | 7 | |
| Israel Corp, Ltd. ‡ | | | 3 | | | | 4 | |
| Johnson Matthey PLC | | | 300 | | | | 10 | |
| JSR Corp. | | | 200 | | | | 4 | |
| K & S AG | | | 194 | | | | 15 | |
| Koninklijke DSM NV | | | 292 | | | | 17 | |
| Kuraray Co., Ltd. | | | 500 | | | | 7 | |
| Linde AG | | | 159 | | | | 24 | |
| Lubrizol Corp. ^ | | | 100 | | | | 11 | |
| Makhteshim-Agan Industries, Ltd. ‡ | | | 1,126 | | | | 6 | |
| Mitsubishi Chemical Holdings Corp. | | | 1,500 | | | | 10 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 1,000 | | | | 7 | |
| Mitsui Chemicals, Inc. | | | 1,000 | | | | 4 | |
| Monsanto Co. ^ | | | 600 | | | | 42 | |
| Mosaic Co. ^ | | | 200 | | | | 15 | |
| Nitto Denko Corp. | | | 200 | | | | 9 | |
| Novozymes A/S | | | 75 | | | | 10 | |
| Orica, Ltd. | | | 341 | | | | 9 | |
| Potash Corp., of Saskatchewan, Inc. | | | 400 | | | | 62 | |
| PPG Industries, Inc. ^ | | | 200 | | | | 17 | |
| Praxair, Inc. ^ | | | 400 | | | | 38 | |
| Shin-Etsu Chemical Co., Ltd. | | | 500 | | | | 27 | |
| Showa Denko KK ^ | | | 2,000 | | | | 4 | |
| Sigma-Aldrich Corp. ^ | | | 100 | | | | 7 | |
| Solvay SA - Class A | | | 56 | | | | 6 | |
| Sumitomo Chemical Co., Ltd. ^ | | | 2,000 | | | | 10 | |
| Syngenta AG | | | 90 | | | | 26 | |
| Taiyo Nippon Sanso Corp. | | | 1,000 | | | | 9 | |
| Teijin, Ltd. | | | 1,000 | | | | 4 | |
| Toray Industries, Inc. ^ | | | 2,000 | | | | 12 | |
| UBE Industries, Ltd. | | | 1,000 | | | | 3 | |
| Umicore | | | 174 | | | | 9 | |
| Wacker Chemie AG | | | 50 | | | | 9 | |
| Yara International ASA | | | 244 | | | | 14 | |
Commercial Banks - 2.7% | | | | | | | | |
| Alpha Bank A.E. ‡ | | | 479 | | | | 2 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
Commercial Banks (continued) | | | | | | | | |
| Aozora Bank, Ltd. ^ | | | 2,000 | | | $ | 4 | |
| Australia & New Zealand Banking Group, Ltd. | | | 3,093 | | | | 74 | |
| Banca Monte dei Paschi di Siena SpA ‡ ^ | | | 7,433 | | | | 8 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 4,518 | | | | 46 | |
| Banco Comercial Portugues SA | | | 2,661 | | | | 2 | |
| Banco Espirito Santo SA | | | 870 | | | | 3 | |
| Banco Popular Espanol SA ^ | | | 2,346 | | | | 12 | |
| Banco Santander SA | | | 10,169 | | | | 109 | |
| Bank Hapoalim Bm ‡ | | | 936 | | | | 5 | |
| Bank Leumi Le-Israel Bm | | | 1,113 | | | | 6 | |
| Bank of Cyprus Public Co., Ltd. | | | 951 | | | | 3 | |
| Bank of East Asia, Ltd. | | | 1,400 | | | | 6 | |
| Bank of Ireland ‡ | | | 3,209 | | | | 2 | |
| Bank of Montreal ^ | | | 600 | | | | 35 | |
| Bank of Nova Scotia | | | 1,200 | | | | 69 | |
| Bank of Yokohama, Ltd. | | | 2,000 | | | | 10 | |
| Barclays PLC | | | 13,477 | | | | 55 | |
| BB&T Corp. ^ | | | 700 | | | | 18 | |
| Bendigo and Adelaide Bank, Ltd. | | | 1,073 | | | | 11 | |
| BNP Paribas | | | 1,176 | | | | 75 | |
| BOC Hong Kong Holdings, Ltd. | | | 3,500 | | | | 12 | |
| Canadian Imperial Bank of Commerce ^ | | | 500 | | | | 39 | |
| Chiba Bank, Ltd. | | | 1,000 | | | | 6 | |
| Chugoku Bank, Ltd. | | | 1,000 | | | | 12 | |
| Chuo Mitsui Trust Holdings, Inc. | | | 1,000 | | | | 4 | |
| Comerica, Inc. ^ | | | 200 | | | | 8 | |
| Commerzbank AG ‡ ^ | | | 2,216 | | | | 16 | |
| Commonwealth Bank of Australia | | | 1,790 | | | | 94 | |
| Credit Agricole SA | | | 876 | | | | 11 | |
| DBS Group Holdings, Ltd. | | | 2,000 | | | | 22 | |
| Dexia SA ‡ | | | 866 | | | | 3 | |
| DnB NOR ASA | | | 1,269 | | | | 18 | |
| EFG Eurobank Ergasias SA ‡ | | | 582 | | | | 3 | |
| Erste Group Bank AG | | | 192 | | | | 9 | |
| Fifth Third Bancorp ^ | | | 800 | | | | 12 | |
| Fukuoka Financial Group, Inc. | | | 1,000 | | | | 4 | |
| Gunma Bank, Ltd. | | | 1,000 | | | | 5 | |
| Hachijuni Bank, Ltd. | | | 1,000 | | | | 6 | |
| Hang Seng Bank, Ltd. | | | 700 | | | | 11 | |
| Hiroshima Bank, Ltd. | | | 1,000 | | | | 4 | |
| Hokuhoku Financial Group, Inc. | | | 2,000 | | | | 4 | |
| HSBC Holdings PLC | | | 20,735 | | | | 211 | |
| Intesa Sanpaolo SpA | | | 9,518 | | | | 26 | |
| Israel Discount Bank, Ltd. - Class A ‡ | | | 954 | | | | 2 | |
| Iyo Bank, Ltd. | | | 1,000 | | | | 8 | |
| Joyo Bank, Ltd. | | | 1,000 | | | | 4 | |
| KBC Groep NV ‡ | | | 152 | | | | 5 | |
| KeyCorp ^ | | | 1,000 | | | | 9 | |
| Lloyds TSB Group PLC ‡ | | | 48,472 | | | | 50 | |
| M&T Bank Corp. ^ | | | 100 | | | | 9 | |
| Marshall & Ilsley Corp. | | | 900 | | | | 6 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 15,700 | | | | 86 | |
| Mizrahi Tefahot Bank, Ltd. | | | 475 | | | | 5 | |
| Mizuho Financial Group, Inc. ^ | | | 24,600 | | | | 46 | |
| Mizuho Trust & Banking Co., Ltd. ‡ ^ | | | 4,000 | | | | 4 | |
| National Australia Bank, Ltd. | | | 2,452 | | | | 59 | |
| National Bank of Canada | | | 200 | | | | 14 | |
| National Bank of Greece SA ‡ | | | 1,130 | | | | 9 | |
| Natixis ‡ | | | 1,559 | | | | 7 | |
| Nishi-Nippon City Bank, Ltd. | | | 1,000 | | | | 3 | |
| Nordea Bank AB | | | 3,759 | | | | 41 | |
| Oversea-Chinese Banking Corp. | | | 3,000 | | | | 23 | |
| PNC Financial Services Group, Inc. | | | 600 | | | | 36 | |
| Raiffeisen Bank International AG ^ | | | 79 | | | | 4 | |
| Regions Financial Corp. ^ | | | 1,100 | | | | 8 | |
| Resona Holdings, Inc. ^ | | | 600 | | | | 4 | |
| Royal Bank of Canada ^ | | | 1,700 | | | | 90 | |
| Royal Bank of Scotland Group PLC ‡ | | | 21,566 | | | | 13 | |
| Senshu Ikeda Holdings, Inc. ^ | | | 1,500 | | | | 2 | |
| Seven Bank, Ltd. ^ | | | 2 | | | | 4 | |
| Shizuoka Bank, Ltd. | | | 1,000 | | | | 9 | |
| Skandinaviska Enskilda Banken AB - Class A | | | 1,332 | | | | 11 | |
| Societe Generale | | | 698 | | | | 38 | |
| Standard Chartered PLC | | | 2,768 | | | | 74 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 1,600 | | | | 57 | |
| Sumitomo Trust & Banking Co., Ltd. ^ | | | 2,000 | | | | 13 | |
| SunTrust Banks, Inc. ^ | | | 500 | | | | 15 | |
| Svenska Handelsbanken AB - Class A | | | 581 | | | | 19 | |
| Swedbank AB - Class A ‡ | | | 666 | | | | 9 | |
| Toronto-Dominion Bank ^ | | | 1,100 | | | | 83 | |
| U.S. Bancorp ^ | | | 2,300 | | | | 62 | |
| UniCredit SpA | | | 14,563 | | | | 30 | |
| Unione di Banche Italiane SCpA | | | 992 | | | | 9 | |
| United Overseas Bank, Ltd. | | | 2,000 | | | | 28 | |
| Wells Fargo & Co. | | | 6,100 | | | | 190 | |
| Westpac Banking Corp. | | | 3,602 | | | | 82 | |
| Yamaguchi Financial Group, Inc. | | | 1,000 | | | | 10 | |
Commercial Services & Supplies - 0.2% | | | | | | | | |
| Aggreko PLC | | | 672 | | | | 15 | |
| Avery Dennison Corp. ^ | | | 200 | | | | 8 | |
| Brambles, Ltd. | | | 1,587 | | | | 12 | |
| Cintas Corp. ^ | | | 200 | | | | 6 | |
| DAI Nippon Printing Co., Ltd. | | | 1,000 | | | | 14 | |
| Edenred ‡ | | | 266 | | | | 6 | |
| Group 4 Securicor PLC | | | 5,088 | | | | 19 | |
| Iron Mountain, Inc. ^ | | | 300 | | | | 8 | |
| Pitney Bowes, Inc. ^ | | | 400 | | | | 10 | |
| Republic Services, Inc. - Class A ^ | | | 400 | | | | 12 | |
| Secom Co., Ltd. | | | 300 | | | | 14 | |
| Securitas AB - Class B | | | 592 | | | | 7 | |
| Stericycle, Inc. ‡ ^ | | | 100 | | | | 8 | |
| Toppan Printing Co., Ltd. | | | 1,000 | | | | 9 | |
| Waste Management, Inc. ^ | | | 400 | | | | 15 | |
Communications Equipment - 0.5% | | | | | | | | |
| Alcatel-Lucent ‡ | | | 3,560 | | | | 10 | |
| Cisco Systems, Inc. ‡ | | | 7,000 | | | | 142 | |
| F5 Networks, Inc. ‡ ^ | | | 100 | | | | 13 | |
| Harris Corp. ^ | | | 200 | | | | 9 | |
| Juniper Networks, Inc. ‡ ^ | | | 500 | | | | 18 | |
| Motorola, Inc. ‡ | | | 2,200 | | | | 20 | |
| Nokia OYJ | | | 4,720 | | | | 49 | |
| QUALCOMM, Inc. | | | 1,900 | | | | 94 | |
| Research In Motion, Ltd. ‡ | | | 600 | | | | 35 | |
| Telefonaktiebolaget LM Ericsson - Class B | | | 3,708 | | | | 43 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Computers & Peripherals - 0.7% | | | | | | | | |
| Apple, Inc. ‡ | | | 1,100 | | | $ | 354 | |
| Dell, Inc. ‡ ^ | | | 2,500 | | | | 34 | |
| EMC Corp. ‡ ^ | | | 2,400 | | | | 55 | |
| Fujitsu, Ltd. ^ | | | 2,000 | | | | 14 | |
| Hewlett-Packard Co. | | | 2,800 | | | | 118 | |
| NEC Corp. ^ | | | 3,000 | | | | 9 | |
| NetApp, Inc. ‡ ^ | | | 400 | | | | 22 | |
| SanDisk Corp. ‡ | | | 200 | | | | 10 | |
| Seagate Technology PLC ‡ ^ | | | 700 | | | | 11 | |
| Seiko Epson Corp. | | | 200 | | | | 4 | |
| Teradata Corp. ‡ ^ | | | 300 | | | | 12 | |
| Toshiba Corp. | | | 5,000 | | | | 27 | |
| Western Digital Corp. ‡ ^ | | | 300 | | | | 10 | |
Construction & Engineering - 0.2% | | | | | | | | |
| ACS Actividades Co. ^ | | | 455 | | | | 21 | |
| Bouygues SA | | | 218 | | | | 9 | |
| Fluor Corp. ^ | | | 200 | | | | 13 | |
| Foster Wheeler AG ‡ ^ | | | 200 | | | | 7 | |
| Hochtief AG | | | 86 | | | | 7 | |
| Jacobs Engineering Group, Inc. ‡ | | | 200 | | | | 9 | |
| Kajima Corp. | | | 1,000 | | | | 3 | |
| KBR, Inc. ^ | | | 400 | | | | 12 | |
| Leighton Holdings, Ltd. ^ | | | 287 | | | | 9 | |
| Obayashi Corp. | | | 1,000 | | | | 5 | |
| Quanta Services, Inc. ‡ ^ | | | 600 | | | | 12 | |
| Shimizu Corp. | | | 1,000 | | | | 4 | |
| Skanska AB - Class B | | | 377 | | | | 7 | |
| SNC-Lavalin Group, Inc. | | | 200 | | | | 12 | |
| Taisei Corp. | | | 2,000 | | | | 5 | |
| URS Corp. ‡ ^ | | | 200 | | | | 8 | |
| Vinci SA | | | 530 | | | | 30 | |
Construction Materials - 0.1% | | | | | | | | |
| Cimpor Cimentos de Portugal SGPS SA | | | 265 | | | | 2 | |
| CRH PLC | | | 913 | | | | 19 | |
| Fletcher Building, Ltd. ^ | | | 897 | | | | 5 | |
| HeidelbergCement AG | | | 250 | | | | 16 | |
| Holcim, Ltd. | | | 341 | | | | 26 | |
| Imerys SA | | | 13 | | | | 1 | |
| Lafarge SA | | | 189 | | | | 12 | |
| Martin Marietta Materials, Inc. ^ | | | 100 | | | | 9 | |
| Vulcan Materials Co. ^ | | | 200 | | | | 9 | |
Consumer Finance - 0.1% | | | | | | | | |
| American Express Co. | | | 1,300 | | | | 56 | |
| Capital One Financial Corp. ^ | | | 500 | | | | 21 | |
| Credit Saison Co., Ltd. | | | 300 | | | | 5 | |
| Discover Financial Services ^ | | | 500 | | | | 9 | |
| ORIX Corp. ^ | | | 130 | | | | 13 | |
| SLM Corp. ‡ | | | 700 | | | | 9 | |
Containers & Packaging - 0.0% ∞ | | | | | | | | |
| Amcor, Ltd. | | | 1,271 | | | | 9 | |
| Ball Corp. ^ | | | 100 | | | | 7 | |
| Crown Holdings, Inc. ‡ ^ | | | 300 | | | | 10 | |
| Owens-Illinois, Inc. ‡ | | | 200 | | | | 6 | |
| Sealed Air Corp. ^ | | | 200 | | | | 5 | |
| Toyo Seikan Kaisha, Ltd. ^ | | | 200 | | | | 4 | |
Distributors - 0.0% ∞ | | | | | | | | |
| Genuine Parts Co. | | | 200 | | | | 10 | |
| Jardine Cycle & Carriage, Ltd. | | | 180 | | | | 5 | |
| Li & Fung, Ltd. | | | 2,000 | | | | 12 | |
Diversified Consumer Services - 0.0% ∞ | | | | | | | | |
| Apollo Group, Inc. - Class A ‡ | | | 200 | | | | 8 | |
| Benesse Holdings, Inc. | | | 100 | | | | 5 | |
| H&R Block, Inc. ^ | | | 700 | | | | 8 | |
Diversified Financial Services - 1.0% | | | | | | | | |
| ASX, Ltd. | | | 236 | | | | 9 | |
| Bank of America Corp. | | | 12,100 | | | | 161 | |
| Cie Nationale a Portefeuille | | | 121 | | | | 6 | |
| CIT Group, Inc. ‡ | | | 200 | | | | 9 | |
| Citigroup, Inc. ‡ ^ | | | 35,418 | | | | 168 | |
| CME Group, Inc. - Class A | | | 100 | | | | 32 | |
| Criteria Caixacorp SA ^ | | | 3,938 | | | | 21 | |
| Deutsche Boerse AG | | | 184 | | | | 13 | |
| Eurazeo NPV | | | 152 | | | | 11 | |
| Exor SpA | | | 408 | | | | 13 | |
| Groupe Bruxelles Lambert SA | | | 76 | | | | 6 | |
| Hong Kong Exchanges & Clearing, Ltd. | | | 1,200 | | | | 27 | |
| Industrivarden AB - Class C | | | 565 | | | | 10 | |
| ING Groep NV ‡ | | | 4,546 | | | | 44 | |
| IntercontinentalExchange, Inc. ‡ | | | 100 | | | | 12 | |
| Invesco, Ltd. ^ | | | 400 | | | | 10 | |
| Investor AB - Class B | | | 430 | | | | 9 | |
| JPMorgan Chase & Co. | | | 4,900 | | | | 209 | |
| Kinnevik Investment AB | | | 309 | | | | 6 | |
| Leucadia National Corp. ^ | | | 400 | | | | 12 | |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 80 | | | | 3 | |
| Moody’s Corp. ^ | | | 300 | | | | 8 | |
| NASDAQ OMX Group ‡ ^ | | | 400 | | | | 9 | |
| NYSE Euronext ^ | | | 300 | | | | 9 | |
| Onex Corp. | | | 231 | | | | 7 | |
| Pargesa Holding SA (Bearer Shares) | | | 354 | | | | 30 | |
| Pohjola Bank PLC | | | 595 | | | | 7 | |
| SEI Investments Co.^ | | | 400 | | | | 10 | |
| Singapore Exchange, Ltd. ^ | | | 1,000 | | | | 7 | |
Diversified Telecommunication Services - 0.9% | | | | | | | | |
| AT&T, Inc. | | | 7,200 | | | | 211 | |
| BCE, Inc. ^ | | | 200 | | | | 7 | |
| Belgacom SA | | | 149 | | | | 5 | |
| Bezeq Israeli Telecommunication Corp., Ltd. | | | 1,633 | | | | 5 | |
| BT Group PLC - Class A | | | 7,323 | | | | 21 | |
| Cable & Wireless Worldwide PLC | | | 10,794 | | | | 11 | |
| CenturyLink, Inc. ^ | | | 300 | | | | 14 | |
| Deutsche Telekom AG | | | 3,363 | | | | 43 | |
| Elisa OYJ | | | 144 | | | | 3 | |
| France Telecom SA | | | 1,998 | | | | 42 | |
| Frontier Communications Corp. ^ | | | 700 | | | | 7 | |
| Hellenic Telecommunications Organization SA | | | 401 | | | | 3 | |
| Iliad SA ^ | | | 52 | | | | 6 | |
| Inmarsat PLC | | | 1,547 | | | | 16 | |
| Koninklijke KPN NV | | | 1,645 | | | | 24 | |
| Nippon Telegraph & Telephone Corp. | | | 600 | | | | 27 | |
| PCCW, Ltd. | | | 8,000 | | | | 4 | |
| Portugal Telecom SGPS SA | | | 666 | | | | 7 | |
| Qwest Communications International, Inc. | | | 1,500 | | | | 11 | |
| Singapore Telecommunications, Ltd. | | | 9,000 | | | | 22 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Diversified Telecommunication Services (continued) | | | | | | | | |
| Swisscom AG | | | 29 | | | $ | 13 | |
| Tele2 AB - Class B | | | 462 | | | | 10 | |
| Telecom Corp., of New Zealand, Ltd. | | | 2,027 | | | | 3 | |
| Telecom Italia SpA | | | 8,847 | | | | 11 | |
| Telecom Italia SpA - RSP | | | 10,811 | | | | 12 | |
| Telefonica SA | | | 4,888 | | | | 112 | |
| Telekom Austria AG | | | 473 | | | | 7 | |
| Telenor ASA | | | 1,087 | | | | 18 | |
| TeliaSonera AB | | | 2,876 | | | | 23 | |
| Telstra Corp., Ltd. | | | 4,114 | | | | 12 | |
| TELUS Corp. ‡ Ə | | | 400 | | | | 18 | |
| TELUS Corp. - Class A | | | 200 | | | | 9 | |
| Verizon Communications, Inc. ^ | | | 3,500 | | | | 124 | |
| Windstream Corp. ^ | | | 900 | | | | 13 | |
Electric Utilities - 0.7% | | | | | | | | |
| Allegheny Energy, Inc. ^ | | | 400 | | | | 10 | |
| American Electric Power Co., Inc. | | | 500 | | | | 18 | |
| Cheung Kong Infrastructure Holdings, Ltd. | | | 2,000 | | | | 9 | |
| Chubu Electric Power Co., Inc. ^ | | | 900 | | | | 22 | |
| Chugoku Electric Power Co., Inc. ^ | | | 300 | | | | 6 | |
| CLP Holdings, Ltd. | | | 2,000 | | | | 16 | |
| Consolidated Edison, Inc. ^ | | | 300 | | | | 15 | |
| Contact Energy, Ltd. ‡ | | | 327 | | | | 2 | |
| Duke Energy Corp. | | | 1,500 | | | | 27 | |
| E.ON AG | | | 2,223 | | | | 67 | |
| EDF SA | | | 244 | | | | 10 | |
| Edison International ^ | | | 300 | | | | 12 | |
| Enel SpA | | | 7,307 | | | | 37 | |
| Energias de Portugal SA | | | 2,247 | | | | 7 | |
| Entergy Corp. ^ | | | 200 | | | | 14 | |
| Exelon Corp. ^ | | | 700 | | | | 29 | |
| FirstEnergy Corp. ^ | | | 300 | | | | 11 | |
| Fortis, Inc. ^ | | | 300 | | | | 10 | |
| Fortum OYJ | | | 562 | | | | 17 | |
| Hokkaido Electric Power Co., Inc. | | | 200 | | | | 4 | |
| Hokuriku Electric Power Co. ^ | | | 200 | | | | 5 | |
| HongKong Electric Holdings, Ltd. | | | 1,500 | | | | 9 | |
| Iberdrola SA | | | 3,721 | | | | 29 | |
| Kansai Electric Power Co., Inc. | | | 1,000 | | | | 25 | |
| Kyushu Electric Power Co., Inc. | | | 400 | | | | 9 | |
| Nextera Energy, Inc. ^ | | | 400 | | | | 21 | |
| Northeast Utilities ^ | | | 300 | | | | 10 | |
| Pepco Holdings, Inc. ^ | | | 600 | | | | 11 | |
| Pinnacle West Capital Corp. | | | 200 | | | | 8 | |
| PPL Corp. ^ | | | 400 | | | | 11 | |
| Progress Energy, Inc. | | | 300 | | | | 13 | |
| Public Power Corp. SA | | | 109 | | | | 2 | |
| Scottish & Southern Energy PLC | | | 900 | | | | 17 | |
| Shikoku Electric Power Co., Inc. ^ | | | 200 | | | | 6 | |
| Southern Co. ^ | | | 1,000 | | | | 38 | |
| SP AusNet | | | 5,905 | | | | 5 | |
| Terna Rete Elettrica Nazionale SpA | | | 2,365 | | | | 10 | |
| Tohoku Electric Power Co., Inc. ^ | | | 500 | | | | 11 | |
| Tokyo Electric Power Co., Inc. | | | 1,700 | | | | 41 | |
| Verbund AG | | | 72 | | | | 3 | |
| Wisconsin Energy Corp. | | | 100 | | | | 6 | |
Electrical Equipment - 0.3% | | | | | | | | |
| ABB, Ltd. ‡ | | | 2,085 | | | | 47 | |
| Alstom SA | | | 194 | | | | 9 | |
| AMETEK, Inc. ^ | | | 300 | | | | 12 | |
| Bekaert SA | | | 46 | | | | 5 | |
| Cooper Industries PLC - Class A ^ | | | 200 | | | | 12 | |
| Emerson Electric Co. | | | 900 | | | | 51 | |
| First Solar, Inc. ‡ ^ | | | 100 | | | | 13 | |
| Furukawa Electric Co., Ltd. | | | 1,000 | | | | 4 | |
| GS Yuasa Corp. | | | 1,000 | | | | 7 | |
| Legrand SA | | | 271 | | | | 11 | |
| Mitsubishi Electric Corp. ^ | | | 2,000 | | | | 21 | |
| Renewable Energy Corp., ASA ‡ ^ | | | 547 | | | | 2 | |
| Rockwell Automation, Inc. ^ | | | 100 | | | | 7 | |
| Roper Industries, Inc. ^ | | | 100 | | | | 8 | |
| Schneider Electric SA | | | 267 | | | | 40 | |
| Sumitomo Electric Industries, Ltd. | | | 900 | | | | 12 | |
| Ushio, Inc. ^ | | | 200 | | | | 4 | |
| Vestas Wind Systems A/S ‡ ^ | | | 236 | | | | 7 | |
Electronic Equipment & Instruments - 0.3% | | | | | | | | |
| Agilent Technologies, Inc. ‡ | | | 300 | | | | 12 | |
| Amphenol Corp. - Class A ^ | | | 200 | | | | 11 | |
| Arrow Electronics, Inc. ‡ | | | 200 | | | | 7 | |
| Avnet, Inc. ‡ ^ | | | 200 | | | | 7 | |
| Corning, Inc. ^ | | | 1,800 | | | | 34 | |
| Dolby Laboratories, Inc. - Class A ‡ ^ | | | 100 | | | | 7 | |
| Flextronics International, Ltd. ‡ | | | 1,500 | | | | 12 | |
| FLIR Systems, Inc. ‡ ^ | | | 300 | | | | 9 | |
| Foxconn International Holdings, Ltd. ‡ | | | 4,000 | | | | 3 | |
| Fujifilm Holdings Corp. | | | 600 | | | | 22 | |
| Hamamatsu Photonics KK | | | 100 | | | | 4 | |
| Hitachi Chemical Co., Ltd. | | | 200 | | | | 4 | |
| Hitachi High-Technologies Corp. | | | 200 | | | | 5 | |
| Hitachi, Ltd. | | | 6,000 | | | | 31 | |
| Hoya Corp. ^ | | | 500 | | | | 12 | |
| Ibiden Co., Ltd. | | | 100 | | | | 3 | |
| Keyence Corp. | | | 100 | | | | 29 | |
| Kyocera Corp. | | | 200 | | | | 20 | |
| Murata Manufacturing Co., Ltd. | | | 300 | | | | 21 | |
| Nidec Corp. | | | 100 | | | | 10 | |
| Omron Corp. | | | 200 | | | | 5 | |
| TDK Corp. | | | 200 | | | | 14 | |
| Tyco Electronics, Ltd. | | | 700 | | | | 25 | |
| Yokogawa Electric Corp. | | | 300 | | | | 2 | |
Energy Equipment & Services - 0.5% | | | | | | | | |
| Aker Solutions ASA | | | 181 | | | | 3 | |
| AMEC PLC | | | 699 | | | | 13 | |
| Baker Hughes, Inc. | | | 600 | | | | 34 | |
| Cameron International Corp. ‡ | | | 200 | | | | 10 | |
| Cie Generale de Geophysique-Veritas ‡ | | | 307 | | | | 9 | |
| Diamond Offshore Drilling, Inc. | | | 200 | | | | 13 | |
| FMC Technologies, Inc. ‡ ^ | | | 100 | | | | 9 | |
| Fugro NV | | | 112 | | | | 9 | |
| Halliburton Co. | | | 1,000 | | | | 41 | |
| Helmerich & Payne, Inc. ^ | | | 300 | | | | 15 | |
| Nabors Industries, Ltd. ‡ | | | 400 | | | | 9 | |
| National Oilwell Varco, Inc. | | | 500 | | | | 34 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Energy Equipment & Services (continued) | | | | | | | | |
| Noble Corp. ^ | | | 200 | | | $ | 7 | |
| Petrofac, Ltd. | | | 791 | | | | 20 | |
| Pride International, Inc. ‡ ^ | | | 400 | | | | 13 | |
| Rowan Cos., Inc. ‡ ^ | | | 300 | | | | 10 | |
| Saipem SpA | | | 347 | | | | 17 | |
| Schlumberger, Ltd. | | | 1,639 | | | | 138 | |
| SeaDrill, Ltd. ^ | | | 363 | | | | 12 | |
| Spectra Energy Corp. ^ | | | 600 | | | | 15 | |
| Technip SA | | | 131 | | | | 12 | |
| Tenaris SA | | | 512 | | | | 13 | |
| Transocean, Ltd. ‡ | | | 247 | | | | 17 | |
| Weatherford International, Ltd. ‡ ^ | | | 700 | | | | 16 | |
| WorleyParsons, Ltd. | | | 374 | | | | 10 | |
Food & Staples Retailing - 0.7% | | | | | | | | |
| AEON Co., Ltd. ^ | | | 600 | | | | 7 | |
| Carrefour SA | | | 675 | | | | 28 | |
| Casino Guichard Perrachon SA | | | 106 | | | | 10 | |
| Colruyt SA ^ | | | 126 | | | | 6 | |
| Costco Wholesale Corp. ^ | | | 500 | | | | 36 | |
| CVS Caremark Corp. | | | 1,700 | | | | 59 | |
| Delhaize Group SA | | | 148 | | | | 11 | |
| FamilyMart Co., Ltd. | | | 100 | | | | 4 | |
| George Weston, Ltd. ^ | | | 100 | | | | 8 | |
| J. Sainsbury PLC | | | 2,958 | | | | 17 | |
| Jeronimo Martins SGPS SA | | | 302 | | | | 5 | |
| Kesko OYJ - Class B | | | 73 | | | | 3 | |
| Koninklijke Ahold NV | | | 1,126 | | | | 15 | |
| Kroger Co. ^ | | | 600 | | | | 13 | |
| Lawson, Inc. | | | 100 | | | | 5 | |
| Loblaw Cos., Ltd. ^ | | | 200 | | | | 8 | |
| Metcash, Ltd. | | | 2,871 | | | | 12 | |
| Metro AG | | | 207 | | | | 15 | |
| Metro, Inc. - Class A | | | 200 | | | | 9 | |
| Olam International, Ltd. ^ | | | 2,000 | | | | 5 | |
| Safeway, Inc. ^ | | | 400 | | | | 9 | |
| Seven & I Holdings Co., Ltd. | | | 900 | | | | 24 | |
| Shoppers Drug Mart Corp. ^ | | | 200 | | | | 8 | |
| Sysco Corp. ^ | | | 600 | | | | 18 | |
| Tesco PLC | | | 9,048 | | | | 60 | |
| Walgreen Co. ^ | | | 1,100 | | | | 43 | |
| Wal-Mart Stores, Inc. ^ | | | 2,600 | | | | 141 | |
| Wesfarmers, Ltd. | | | 1,116 | | | | 37 | |
| Wesfarmers, Ltd. - PPS | | | 236 | | | | 8 | |
| Whole Foods Market, Inc. ‡ ^ | | | 200 | | | | 10 | |
| WM Morrison Supermarkets PLC | | | 3,742 | | | | 16 | |
| Woolworths, Ltd. | | | 1,377 | | | | 38 | |
Food Products - 0.9% | | | | | | | | |
| Ajinomoto Co., Inc. | | | 1,000 | | | | 10 | |
| Archer-Daniels-Midland Co. | | | 1,000 | | | | 30 | |
| Associated British Foods PLC | | | 990 | | | | 18 | |
| Bunge, Ltd. | | | 300 | | | | 20 | |
| Campbell Soup Co. ^ | | | 200 | | | | 7 | |
| ConAgra Foods, Inc. ^ | | | 400 | | | | 9 | |
| General Mills, Inc. ^ | | | 700 | | | | 25 | |
| Golden Agri-Resources, Ltd. | | | 10,000 | | | | 6 | |
| Goodman Fielder, Ltd. | | | 3,412 | | | | 5 | |
| Groupe Danone SA | | | 638 | | | | 40 | |
| Hershey Co. ^ | | | 200 | | | | 9 | |
| HJ Heinz Co. ^ | | | 300 | | | | 15 | |
| Hormel Foods Corp. ^ | | | 200 | | | | 10 | |
| JM Smucker Co. ^ | | | 100 | | | | 7 | |
| Kellogg Co. ^ | | | 300 | | | | 15 | |
| Kerry Group PLC | | | 180 | | | | 6 | |
| Kraft Foods, Inc. - Class A ^ | | | 2,200 | | | | 69 | |
| Lindt & Spruengli AG | | | 1 | | | | 32 | |
| McCormick & Co., Inc. (Non-Voting Shares) ^ | | | 200 | | | | 9 | |
| Mead Johnson Nutrition Co. - Class A ^ | | | 200 | | | | 12 | |
| MEIJI Holdings Co., Ltd. | | | 100 | | | | 5 | |
| Nestle SA | | | 4,080 | | | | 238 | |
| Nippon Meat Packers, Inc. | | | 1,000 | | | | 13 | |
| Nisshin Seifun Group, Inc. | | | 500 | | | | 6 | |
| Nissin Foods Holdings Co., Ltd. | | | 100 | | | | 4 | |
| Parmalat SpA | | | 1,971 | | | | 5 | |
| Ralcorp Holdings, Inc. ‡ ^ | | | 200 | | | | 13 | |
| Saputo, Inc. ^ | | | 200 | | | | 8 | |
| Sara Lee Corp. ^ | | | 600 | | | | 11 | |
| Tyson Foods, Inc. - Class A ^ | | | 500 | | | | 9 | |
| Unilever NV | | | 1,831 | | | | 57 | |
| Unilever PLC | | | 1,589 | | | | 49 | |
| Wilmar International, Ltd. ^ | | | 2,000 | | | | 9 | |
| Yakult Honsha Co., Ltd. | | | 100 | | | | 3 | |
Gas Utilities - 0.1% | | | | | | | | |
| Energen Corp. | | | 100 | | | | 5 | |
| EQT Corp. | | | 200 | | | | 9 | |
| Gas Natural SDG SA ^ | | | 976 | | | | 15 | |
| Hong Kong & China Gas Co., Ltd. | | | 4,000 | | | | 9 | |
| Oneok, Inc. ^ | | | 200 | | | | 11 | |
| Osaka Gas Co., Ltd. ^ | | | 3,000 | | | | 12 | |
| Snam Rete Gas SpA | | | 1,996 | | | | 10 | |
| Toho Gas Co., Ltd. | | | 1,000 | | | | 5 | |
| Tokyo Gas Co., Ltd. | | | 3,000 | | | | 13 | |
Health Care Equipment & Supplies - 0.4% | | | | | | | | |
| Baxter International, Inc. | | | 800 | | | | 41 | |
| Beckman Coulter, Inc. ^ | | | 200 | | | | 15 | |
| Becton, Dickinson and Co. ^ | | | 300 | | | | 25 | |
| BioMerieux | | | 76 | | | | 7 | |
| Boston Scientific Corp. ‡ ^ | | | 1,400 | | | | 11 | |
| CareFusion Corp. ‡ ^ | | | 300 | | | | 8 | |
| Cie Generale D’optique Essilor International SA | | | 193 | | | | 12 | |
| Cochlear, Ltd. | | | 139 | | | | 11 | |
| Coloplast A/S | | | 35 | | | | 5 | |
| Covidien PLC | | | 500 | | | | 23 | |
| CR Bard, Inc. ^ | | | 100 | | | | 9 | |
| Dentsply International, Inc. ^ | | | 300 | | | | 10 | |
| Edwards Lifesciences Corp. ‡ ^ | | | 100 | | | | 8 | |
| Getinge AB - Class B | | | 189 | | | | 4 | |
| Hologic, Inc. ‡ | | | 500 | | | | 9 | |
| Hospira, Inc. ‡ | | | 200 | | | | 11 | |
| Medtronic, Inc. ^ | | | 1,400 | | | | 53 | |
| Olympus Corp. | | | 200 | | | | 6 | |
| Smith & Nephew PLC | | | 1,881 | | | | 20 | |
| Sonova Holding AG | | | 193 | | | | 25 | |
| St. Jude Medical, Inc. ‡ ^ | | | 300 | | | | 13 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Health Care Equipment & Supplies (continued) | | | | | | | | |
| Stryker Corp. ^ | | | 300 | | | $ | 16 | |
| Synthes, Inc. | | | 188 | | | | 25 | |
| Sysmex Corp. | | | 100 | | | | 7 | |
| Terumo Corp. | | | 200 | | | | 11 | |
| Varian Medical Systems, Inc. ‡ ^ | | | 100 | | | | 7 | |
| William Demant Holding AS ‡ ^ | | | 74 | | | | 5 | |
| Zimmer Holdings, Inc. ‡ | | | 200 | | | | 11 | |
Health Care Providers & Services - 0.4% | | | | | | | | |
| Aetna, Inc. ^ | | | 400 | | | | 12 | |
| Alfresa Holdings Corp. | | | 100 | | | | 4 | |
| AmerisourceBergen Corp. - Class A | | | 300 | | | | 10 | |
| Cardinal Health, Inc. ^ | | | 300 | | | | 11 | |
| CIGNA Corp. | | | 300 | | | | 11 | |
| Coventry Health Care, Inc. ‡ | | | 400 | | | | 11 | |
| DaVita, Inc. ‡ ^ | | | 100 | | | | 7 | |
| Express Scripts, Inc. ‡ | | | 600 | | | | 33 | |
| Fresenius Medical Care AG & Co., KGaA | | | 187 | | | | 11 | |
| Fresenius SE | | | 106 | | | | 9 | |
| Henry Schein, Inc. ‡ ^ | | | 200 | | | | 12 | |
| Humana, Inc. ‡ ^ | | | 200 | | | | 11 | |
| Laboratory Corp. of America Holdings ‡ ^ | | | 100 | | | | 9 | |
| McKesson Corp. | | | 300 | | | | 21 | |
| Medco Health Solutions, Inc. ‡ | | | 500 | | | | 31 | |
| Medipal Holdings Corp. | | | 300 | | | | 3 | |
| Omnicare, Inc. ^ | | | 400 | | | | 10 | |
| Patterson Cos., Inc. ^ | | | 500 | | | | 15 | |
| Quest Diagnostics, Inc. ^ | | | 200 | | | | 11 | |
| Sonic Healthcare, Ltd. | | | 710 | | | | 8 | |
| Suzuken Co., Ltd. | | | 100 | | | | 3 | |
| UnitedHealth Group, Inc. | | | 1,500 | | | | 55 | |
| WellPoint, Inc. ‡ ^ | | | 500 | | | | 28 | |
Health Care Technology - 0.0% ∞ | | | | | | | | |
| Cerner Corp. ‡ ^ | | | 100 | | | | 9 | |
Hotels, Restaurants & Leisure - 0.5% | | | | | | | | |
| Accor SA | | | 188 | | | | 8 | |
| Carnival Corp. ^ | | | 500 | | | | 23 | |
| Carnival PLC | | | 483 | | | | 22 | |
| Chipotle Mexican Grill, Inc. ‡ ^ | | | 36 | | | | 8 | |
| Compass Group PLC | | | 2,022 | | | | 18 | |
| Crown, Ltd. | | | 998 | | | | 8 | |
| Darden Restaurants, Inc. ^ | | | 200 | | | | 9 | |
| Genting Singapore PLC ‡ | | | 6,000 | | | | 10 | |
| International Game Technology ^ | | | 1,000 | | | | 18 | |
| Las Vegas Sands Corp. ‡ | | | 300 | | | | 14 | |
| Marriott International, Inc. - Class A ^ | | | 300 | | | | 12 | |
| McDonald’s Corp. | | | 1,300 | | | | 101 | |
| McDonald’s Holdings Co., Japan, Ltd. | | | 100 | | | | 3 | |
| MGM Resorts International ‡ ^ | | | 800 | | | | 12 | |
| Opap SA | | | 297 | | | | 5 | |
| Oriental Land Co., Ltd. | | | 100 | | | | 9 | |
| Royal Caribbean Cruises, Ltd. ‡ ^ | | | 300 | | | | 14 | |
| Sands China, Ltd. ‡ | | | 4,000 | | | | 9 | |
| Shangri-La Asia, Ltd. | | | 2,000 | | | | 5 | |
| SJM Holdings, Ltd. | | | 3,000 | | | | 5 | |
| Sky City Entertainment Group, Ltd. | | | 608 | | | | 2 | |
| Sodexo | | | 147 | | | | 10 | |
| Starbucks Corp. | | | 900 | | | | 29 | |
| Starwood Hotels & Resorts Worldwide, Inc. ^ | | | 200 | | | | 12 | |
| Tabcorp Holdings, Ltd. | | | 1,466 | | | | 11 | |
| Tim Hortons, Inc. ^ | | | 200 | | | | 8 | |
| Wynn Macau, Ltd. | | | 3,000 | | | | 7 | |
| Wynn Resorts, Ltd. ^ | | | 100 | | | | 10 | |
| Yum! Brands, Inc. ^ | | | 500 | | | | 25 | |
Household Durables - 0.2% | | | | | | | | |
| D.R. Horton, Inc. ^ | | | 500 | | | | 6 | |
| Electrolux AB | | | 269 | | | | 8 | |
| Fortune Brands, Inc. ^ | | | 200 | | | | 12 | |
| Garmin, Ltd. ^ | | | 300 | | | | 9 | |
| Husqvarna AB - Class B | | | 1,031 | | | | 9 | |
| Makita Corp. | | | 100 | | | | 4 | |
| Mohawk Industries, Inc. ‡ ^ | | | 200 | | | | 11 | |
| Newell Rubbermaid, Inc. | | | 500 | | | | 9 | |
| Panasonic Corp. | | | 2,300 | | | | 32 | |
| Rinnai Corp. | | | 100 | | | | 6 | |
| Sekisui Chemical Co., Ltd. | | | 1,000 | | | | 7 | |
| Sekisui House, Ltd. | | | 1,000 | | | | 10 | |
| Sharp Corp. | | | 1,000 | | | | 10 | |
| Sony Corp. ^ | | | 1,200 | | | | 44 | |
| Stanley Black & Decker, Inc. ^ | | | 200 | | | | 13 | |
| Whirlpool Corp. ^ | | | 100 | | | | 9 | |
Household Products - 0.4% | | | | | | | | |
| Church & Dwight Co., Inc. ^ | | | 100 | | | | 7 | |
| Clorox Co. ^ | | | 200 | | | | 13 | |
| Colgate-Palmolive Co. ^ | | | 600 | | | | 48 | |
| Energizer Holdings, Inc. ‡ | | | 100 | | | | 7 | |
| Henkel AG & Co., KGaA | | | 264 | | | | 14 | |
| KAO Corp. | | | 600 | | | | 16 | |
| Kimberly-Clark Corp. | | | 600 | | | | 38 | |
| Procter & Gamble Co. | | | 3,500 | | | | 225 | |
| Reckitt Benckiser Group PLC | | | 578 | | | | 32 | |
| Uni-Charm Corp. | | | 100 | | | | 4 | |
Independent Power Producers & Energy Traders - 0.1% | | | | | | | | |
| AES Corp. ‡ | | | 700 | | | | 9 | |
| Calpine Corp. ‡ ^ | | | 600 | | | | 8 | |
| Constellation Energy Group, Inc. | | | 300 | | | | 9 | |
| EDP Renovaveis SA ‡ | | | 141 | | | | 1 | |
| Electric Power Development Co., Ltd. | | | 100 | | | | 3 | |
| Enel Green Power SpA ‡ | | | 1,406 | | | | 3 | |
| Iberdrola Renovables SA ^ | | | 3,373 | | | | 12 | |
| International Power PLC | | | 2,768 | | | | 18 | |
| NRG Energy, Inc. ‡ ^ | | | 600 | | | | 12 | |
| TransAlta Corp. ^ | | | 400 | | | | 9 | |
Industrial Conglomerates - 0.6% | | | | | | | | |
| 3M Co. ^ | | | 800 | | | | 69 | |
| Delek Group, Ltd. | | | 12 | | | | 3 | |
| Fraser and Neave, Ltd. | | | 1,000 | | | | 5 | |
| General Electric Co. ^ | | | 13,000 | | | | 237 | |
| Hankyu Hanshin Holdings, Inc. | | | 1,000 | | | | 5 | |
| Hutchison Whampoa, Ltd. | | | 3,000 | | | | 31 | |
| Keppel Corp., Ltd. | | | 2,000 | | | | 18 | |
| Koninklijke Philips Electronics NV | | | 918 | | | | 28 | |
| NWS Holdings, Ltd. | | | 3,000 | | | | 5 | |
| Orkla ASA | | | 884 | | | | 9 | |
| SembCorp Industries, Ltd. | | | 1,000 | | | | 4 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Industrial Conglomerates (continued) | | | | | | | | |
| Siemens AG | | | 992 | | | $ | 123 | |
| Smiths Group PLC | | | 880 | | | | 17 | |
| Textron, Inc. ^ | | | 400 | | | | 9 | |
| Tyco International, Ltd. ^ | | | 500 | | | | 21 | |
Insurance - 1.2% | | | | | | | | |
| ACE, Ltd. ^ | | | 400 | | | | 25 | |
| Admiral Group PLC | | | 716 | | | | 17 | |
| Aegon NV ‡ ж | | | 768 | | | | 5 | |
| Aflac, Inc. | | | 500 | | | | 28 | |
| Ageas | | | 2,110 | | | | 5 | |
| AIA Group, Ltd. ‡ | | | 9,600 | | | | 27 | |
| Allianz SE | | | 561 | | | | 67 | |
| Allstate Corp. ^ | | | 500 | | | | 16 | |
| American International Group, Inc. ‡ ^ | | | 200 | | | | 12 | |
| AMP, Ltd. ^ | | | 1,935 | | | | 10 | |
| AON Corp. ^ | | | 300 | | | | 14 | |
| Arch Capital Group, Ltd. ‡ | | | 100 | | | | 9 | |
| Assicurazioni Generali SpA | | | 1,423 | | | | 27 | |
| Assurant, Inc. | | | 200 | | | | 8 | |
| Aviva PLC | | | 2,615 | | | | 16 | |
| Axis Capital Holdings, Ltd. | | | 300 | | | | 11 | |
| Berkshire Hathaway, Inc. - Class B ‡ | | | 1,000 | | | | 79 | |
| Chubb Corp. ^ | | | 300 | | | | 18 | |
| Cincinnati Financial Corp. ^ | | | 300 | | | | 10 | |
| CNP Assurances | | | 461 | | | | 8 | |
| Everest RE Group, Ltd. ^ | | | 100 | | | | 8 | |
| Fairfax Financial Holdings, Ltd. | | | 43 | | | | 18 | |
| Genworth Financial, Inc. - Class A ‡ ^ | | | 600 | | | | 8 | |
| Great-West Lifeco, Inc. ^ | | | 500 | | | | 13 | |
| Hannover Rueckversicherung AG | | | 288 | | | | 15 | |
| Hartford Financial Services Group, Inc. ^ | | | 400 | | | | 11 | |
| Insurance Australia Group, Ltd. | | | 2,378 | | | | 9 | |
| Intact Financial Corp. | | | 200 | | | | 10 | |
| Legal & General Group PLC | | | 11,162 | | | | 17 | |
| Lincoln National Corp. ^ | | | 300 | | | | 8 | |
| Loews Corp. | | | 300 | | | | 12 | |
| Manulife Financial Corp. ^ | | | 2,100 | | | | 36 | |
| Mapfre SA ^ | | | 5,152 | | | | 14 | |
| Marsh & McLennan Cos., Inc. ^ | | | 500 | | | | 14 | |
| MetLife, Inc. ^ | | | 1,100 | | | | 49 | |
| MS&AD Insurance Group Holdings | | | 600 | | | | 15 | |
| Muenchener Rueckversicherungs AG | | | 186 | | | | 28 | |
| NKSJ Holdings, Inc. ‡ | | | 2,000 | | | | 15 | |
| Old Republic International Corp. ^ | | | 700 | | | | 10 | |
| PartnerRe, Ltd. ^ | | | 100 | | | | 8 | |
| Power Corp., of Canada | | | 300 | | | | 8 | |
| Power Financial Corp. ^ | | | 300 | | | | 9 | |
| Principal Financial Group, Inc. ^ | | | 300 | | | | 10 | |
| Progressive Corp. | | | 600 | | | | 12 | |
| Prudential Financial, Inc. ^ | | | 500 | | | | 29 | |
| Prudential PLC | | | 2,392 | | | | 25 | |
| QBE Insurance Group, Ltd. | | | 1,285 | | | | 24 | |
| RenaissanceRe Holdings, Ltd. | | | 200 | | | | 13 | |
| Royal & Sun Alliance Insurance Group PLC | | | 8,589 | | | | 17 | |
| Sampo OYJ - Class A | | | 397 | | | | 11 | |
| SCOR SE | | | 328 | | | | 8 | |
| Sony Financial Holdings, Inc. | | | 1 | | | | 4 | |
| Standard Life PLC | | | 4,828 | | | | 16 | |
| Sun Life Financial, Inc. ^ | | | 700 | | | | 21 | |
| Suncorp Group, Ltd. | | | 1,200 | | | | 11 | |
| Swiss Reinsurance Co., Ltd. | | | 507 | | | | 27 | |
| T&D Holdings, Inc. ^ | | | 250 | | | | 6 | |
| Tokio Marine Holdings, Inc. | | | 900 | | | | 27 | |
| Torchmark Corp. ^ | | | 100 | | | | 6 | |
| Transatlantic Holdings, Inc. | | | 200 | | | | 10 | |
| Travelers Cos., Inc. ^ | | | 500 | | | | 28 | |
| Tryg A/S | | | 88 | | | | 4 | |
| Unum Group ^ | | | 400 | | | | 10 | |
| Validus Holdings, Ltd. ^ | | | 400 | | | | 12 | |
| Vienna Insurance Group AG Wiener Versicherung Gruppe | | | 71 | | | | 4 | |
| Willis Group Holdings PLC ^ | | | 300 | | | | 10 | |
| WR Berkley Corp. ^ | | | 300 | | | | 8 | |
| XL Group PLC - Class A ^ | | | 400 | | | | 9 | |
| Zurich Financial Services AG | | | 139 | | | | 36 | |
Internet & Catalog Retail - 0.2% | | | | | | | | |
| Amazon.com, Inc. ‡ | | | 400 | | | | 71 | |
| DeNA Co., Ltd. | | | 107 | | | | 4 | |
| Expedia, Inc. ^ | | | 300 | | | | 8 | |
| Liberty Media Corp. - Interactive ‡ | | | 700 | | | | 11 | |
| NetFlix, Inc. ‡ ^ | | | 100 | | | | 18 | |
| priceline.com, Inc. ‡ ^ | | | 100 | | | | 40 | |
| Rakuten, Inc. ^ | | | 7 | | | | 6 | |
Internet Software & Services - 0.3% | | | | | | | | |
| Akamai Technologies, Inc. ‡ ^ | | | 200 | | | | 9 | |
| eBay, Inc. ‡ ^ | | | 1,300 | | | | 36 | |
| Google, Inc. - Class A ‡ | | | 300 | | | | 179 | |
| Gree, Inc. ^ | | | 300 | | | | 4 | |
| United Internet AG | | | 393 | | | | 6 | |
| VeriSign, Inc. ^ | | | 300 | | | | 10 | |
| Yahoo! Japan Corp. ^ | | | 14 | | | | 5 | |
| Yahoo!, Inc. ‡ ^ | | | 1,300 | | | | 22 | |
IT Services - 0.6% | | | | | | | | |
| Accenture PLC - Class A ^ | | | 700 | | | | 34 | |
| Alliance Data Systems Corp. ‡ ^ | | | 100 | | | | 7 | |
| Amadeus IT Holding SA - Class A ‡ | | | 607 | | | | 13 | |
| Automatic Data Processing, Inc. | | | 500 | | | | 23 | |
| Capital Gemini SA | | | 192 | | | | 9 | |
| CGI Group, Inc. - Class A ‡ | | | 600 | | | | 10 | |
| Cognizant Technology Solutions Corp. - Class A ‡ | | | 300 | | | | 22 | |
| Computer Sciences Corp. | | | 200 | | | | 10 | |
| Computershare, Ltd. | | | 450 | | | | 5 | |
| Fidelity National Information Services, Inc. ^ | | | 300 | | | | 8 | |
| Fiserv, Inc. ‡ ^ | | | 200 | | | | 12 | |
| International Business Machines Corp. | | | 1,600 | | | | 236 | |
| ITOCHU Techno-Solutions Corp. | | | 100 | | | | 4 | |
| Lender Processing Services, Inc. ^ | | | 600 | | | | 18 | |
| Mastercard, Inc. - Class A | | | 100 | | | | 22 | |
| Nomura Research Institute, Ltd. ^ | | | 200 | | | | 4 | |
| NTT Data Corp. | | | 1 | | | | 3 | |
| Obic Co., Ltd. | | | 20 | | | | 4 | |
| Paychex, Inc. ^ | | | 300 | | | | 9 | |
| SAIC, Inc. ‡ ^ | | | 500 | | | | 8 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
IT Services (continued) | | | | | | | | |
| Total System Services, Inc. ^ | | | 700 | | | $ | 11 | |
| Visa, Inc. - Class A ^ | | | 600 | | | | 42 | |
| Western Union Co. | | | 600 | | | | 11 | |
Leisure Equipment & Products - 0.0% ∞ | | | | | | | | |
| Hasbro, Inc. ^ | | | 200 | | | | 9 | |
| Mattel, Inc. ^ | | | 400 | | | | 10 | |
| Nikon Corp. | | | 300 | | | | 6 | |
| Sankyo Co., Ltd. | | | 100 | | | | 6 | |
| Sega Sammy Holdings, Inc. ^ | | | 200 | | | | 4 | |
| Shimano, Inc. | | | 100 | | | | 5 | |
Life Sciences Tools & Services - 0.1% | | | | | | | | |
| Covance, Inc. ‡ ^ | | | 200 | | | | 10 | |
| Illumina, Inc. ‡ ^ | | | 200 | | | | 13 | |
| Life Technologies Corp. ‡ | | | 200 | | | | 11 | |
| Pharmaceutical Product Development, Inc. ^ | | | 400 | | | | 11 | |
| Thermo Fisher Scientific, Inc. ‡ | | | 600 | | | | 33 | |
| Waters Corp. ‡ | | | 100 | | | | 8 | |
Machinery - 0.7% | | | | | | | | |
| AGCO Corp. ‡ ^ | | | 200 | | | | 10 | |
| Alfa Laval AB | | | 383 | | | | 8 | |
| Amada Co., Ltd. | | | 1,000 | | | | 8 | |
| Atlas Copco AB - Class A | | | 844 | | | | 21 | |
| Atlas Copco AB - Class B | | | 386 | | | | 9 | |
| Bucyrus International, Inc. - Class A | | | 100 | | | | 9 | |
| Caterpillar, Inc. ^ | | | 800 | | | | 76 | |
| Cummins, Inc. ^ | | | 200 | | | | 22 | |
| Danaher Corp. ^ | | | 600 | | | | 28 | |
| Deere & Co. ^ | | | 500 | | | | 43 | |
| Dover Corp. | | | 200 | | | | 12 | |
| Eaton Corp. | | | 200 | | | | 20 | |
| Fanuc Corp. | | | 200 | | | | 31 | |
| Flowserve Corp. ^ | | | 100 | | | | 12 | |
| Hexagon AB - Class B ^ | | | 418 | | | | 9 | |
| Hino Motors, Ltd. | | | 1,000 | | | | 5 | |
| Hitachi Construction Machinery Co., Ltd. ^ | | | 200 | | | | 5 | |
| IHI Corp. ^ | | | 2,000 | | | | 4 | |
| Illinois Tool Works, Inc. ^ | | | 500 | | | | 27 | |
| Ingersoll-Rand PLC ^ | | | 300 | | | | 14 | |
| ITT Corp. ^ | | | 200 | | | | 10 | |
| Joy Global, Inc. | | | 100 | | | | 9 | |
| JTEKT Corp. | | | 300 | | | | 4 | |
| Kawasaki Heavy Industries, Ltd. ^ | | | 2,000 | | | | 7 | |
| Komatsu, Ltd. | | | 1,100 | | | | 33 | |
| Kone OYJ - Class B | | | 146 | | | | 8 | |
| Kubota Corp. | | | 1,000 | | | | 9 | |
| Kurita Water Industries, Ltd. | | | 100 | | | | 3 | |
| Man AG | | | 121 | | | | 14 | |
| Metso OYJ | | | 151 | | | | 8 | |
| Minebea Co., Ltd. | | | 1,000 | | | | 6 | |
| Mitsubishi Heavy Industries, Ltd. ^ | | | 4,000 | | | | 15 | |
| NSK, Ltd. | | | 1,000 | | | | 9 | |
| NTN Corp. | | | 1,000 | | | | 5 | |
| PACCAR, Inc. ^ | | | 400 | | | | 23 | |
| Pall Corp. | | | 200 | | | | 10 | |
| Parker Hannifin Corp. | | | 200 | | | | 17 | |
| Sandvik AB | | | 1,181 | | | | 23 | |
| Scania AB - Class B | | | 314 | | | | 7 | |
| SembCorp Marine, Ltd. ^ | | | 2,000 | | | | 8 | |
| SKF AB - Class B | | | 529 | | | | 15 | |
| SMC Corp. | | | 100 | | | | 17 | |
| Sumitomo Heavy Industries, Ltd. | | | 1,000 | | | | 6 | |
| THK Co., Ltd. ^ | | | 200 | | | | 5 | |
| Vallourec SA | | | 103 | | | | 11 | |
| Volvo AB - Class B ‡ | | | 1,623 | | | | 29 | |
| Wartsila OYJ | | | 109 | | | | 8 | |
| Weir Group PLC | | | 376 | | | | 10 | |
| Yangzijiang Shipbuilding Holdings, Ltd. | | | 2,000 | | | | 3 | |
Marine - 0.1% | | | | | | | | |
| A.P. Moller Maersk A/S - Class A | | | 1 | | | | 9 | |
| A.P. Moller Maersk A/S - Class B | | | 2 | | | | 18 | |
| Kawasaki Kisen Kaisha, Ltd. | | | 1,000 | | | | 4 | |
| Keuhne & Nagel International AG | | | 208 | | | | 29 | |
| Mitsui O.S.K. Lines, Ltd. | | | 1,000 | | | | 7 | |
| Nippon Yusen KK ^ | | | 2,000 | | | | 9 | |
| Orient Overseas International, Ltd. | | | 500 | | | | 5 | |
Media - 0.7% | | | | | | | | |
| Axel Springer AG | | | 53 | | | | 9 | |
| British Sky Broadcasting Group PLC | | | 1,429 | | | | 16 | |
| Cablevision Systems Corp. - Class A | | | 300 | | | | 10 | |
| CBS Corp. - Class B | | | 600 | | | | 11 | |
| Comcast Corp. - Class A ^ | | | 2,500 | | | | 55 | |
| Comcast Corp., Special Class A ^ | | | 700 | | | | 15 | |
| Dentsu, Inc. | | | 200 | | | | 6 | |
| DIRECTV - Class A ‡ ^ | | | 1,000 | | | | 40 | |
| Discovery Communications, Inc. - Class A ‡ ^ | | | 200 | | | | 8 | |
| Discovery Communications, Inc. - Class C ‡ ^ | | | 300 | | | | 11 | |
| DISH Network Corp. - Class A ‡ ^ | | | 400 | | | | 8 | |
| Eutelsat Communications | | | 243 | | | | 9 | |
| Fuji Media Holdings, Inc. | | | 2 | | | | 3 | |
| Interpublic Group of Cos., Inc. ‡ ^ | | | 900 | | | | 10 | |
| JC Decaux SA ‡ | | | 415 | | | | 13 | |
| Jupiter Telecommunications Co., Ltd. | | | 3 | | | | 3 | |
| Liberty Global, Inc. - Class A ‡ ^ | | | 300 | | | | 11 | |
| Liberty Global, Inc. - Class C ‡ ^ | | | 300 | | | | 10 | |
| McGraw-Hill Cos., Inc. ^ | | | 300 | | | | 11 | |
| Mediaset SpA | | | 813 | | | | 5 | |
| Modern Times Group AB - Class B | | | 75 | | | | 5 | |
| News Corp. - Class A ^ | | | 2,100 | | | | 31 | |
| News Corp. - Class B ^ | | | 500 | | | | 8 | |
| Omnicom Group, Inc. ^ | | | 300 | | | | 14 | |
| Pearson PLC | | | 1,030 | | | | 16 | |
| Publicis Groupe SA ^ | | | 201 | | | | 10 | |
| Reed Elsevier NV | | | 1,038 | | | | 13 | |
| Reed Elsevier PLC | | | 1,886 | | | | 16 | |
| Scripps Networks Interactive, Inc. - Class A ^ | | | 200 | | | | 10 | |
| SES SA | | | 372 | | | | 9 | |
| Shaw Communications, Inc. - Class B ^ | | | 400 | | | | 9 | |
| Singapore Press Holdings, Ltd. ^ | | | 2,000 | | | | 6 | |
| Thomson Reuters Corp. ^ | | | 400 | | | | 15 | |
| Time Warner Cable, Inc. | | | 400 | | | | 26 | |
| Time Warner, Inc. | | | 1,300 | | | | 42 | |
| Toho Co., Ltd. | | | 200 | | | | 3 | |
| Viacom, Inc. - Class B ^ | | | 600 | | | | 24 | |
| Virgin Media, Inc. ^ | | | 400 | | | | 11 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Media (continued) | | | | | | | | |
| Vivendi SA | | | 1,382 | | | $ | 37 | |
| Walt Disney Co. | | | 2,100 | | | | 79 | |
| Wolters Kluwer NV | | | 385 | | | | 8 | |
| WPP PLC | | | 1,510 | | | | 19 | |
| Yellow Media, Inc. ^ | | | 900 | | | | 6 | |
Metals & Mining - 1.6% | | | | | | | | |
| Agnico-Eagle Mines, Ltd. ^ | | | 200 | | | | 15 | |
| Alcoa, Inc. ^ | | | 1,000 | | | | 15 | |
| Allegheny Technologies, Inc. ^ | | | 200 | | | | 11 | |
| Alumina, Ltd. | | | 4,729 | | | | 12 | |
| Anglo American PLC | | | 1,443 | | | | 75 | |
| Antofagasta PLC | | | 538 | | | | 14 | |
| ArcelorMittal | | | 1,064 | | | | 40 | |
| Barrick Gold Corp. | | | 1,200 | | | | 64 | |
| BHP Billiton, Ltd. | | | 4,047 | | | | 186 | |
| BHP Billiton PLC | | | 2,690 | | | | 107 | |
| BlueScope Steel, Ltd. | | | 4,386 | | | | 10 | |
| Boliden AB | | | 239 | | | | 5 | |
| Cliffs Natural Resources, Inc. | | | 100 | | | | 8 | |
| Daido Steel Co., Ltd. | | | 1,000 | | | | 6 | |
| Eldorado Gold Corp. | | | 500 | | | | 9 | |
| Eramet | | | 35 | | | | 12 | |
| Eurasian Natural Resources Corp., PLC | | | 1,302 | | | | 21 | |
| First Quantum Minerals, Ltd. ^ | | | 100 | | | | 11 | |
| Fortescue Metals Group, Ltd. ‡ | | | 1,869 | | | | 13 | |
| Franco-Nevada Corp. | | | 300 | | | | 10 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 600 | | | | 72 | |
| Fresnillo PLC | | | 485 | | | | 13 | |
| Goldcorp, Inc. ^ | | | 1,000 | | | | 46 | |
| Iamgold Corp. | | | 400 | | | | 7 | |
| Ivanhoe Mines, Ltd. ‡ | | | 300 | | | | 7 | |
| JFE Holdings, Inc. | | | 600 | | | | 21 | |
| Kazakhmys PLC | | | 804 | | | | 20 | |
| Kinross Gold Corp. ^ | | | 1,233 | | | | 23 | |
| Kobe Steel, Ltd. | | | 3,000 | | | | 8 | |
| Macarthur Coal, Ltd. | | | 456 | | | | 6 | |
| Mitsubishi Materials Corp. ‡ | | | 1,000 | | | | 3 | |
| Newcrest Mining, Ltd. | | | 884 | | | | 37 | |
| Newmont Mining Corp. | | | 600 | | | | 37 | |
| Nippon Steel Corp. | | | 6,000 | | | | 21 | |
| Norsk Hydro ASA | | | 1,085 | | | | 8 | |
| Nucor Corp. ^ | | | 300 | | | | 13 | |
| OneSteel, Ltd. | | | 1,619 | | | | 4 | |
| Osisko Mining Corp. ‡ | | | 600 | | | | 9 | |
| Outokumpu OYJ ^ | | | 385 | | | | 7 | |
| OZ Minerals, Ltd. | | | 6,340 | | | | 11 | |
| Pan American Silver Corp. ^ | | | 300 | | | | 12 | |
| Randgold Resources, Ltd. | | | 100 | | | | 8 | |
| Rio Tinto PLC | | | 1,707 | | | | 119 | |
| Rio Tinto, Ltd. | | | 476 | | | | 42 | |
| Salzgitter AG | | | 111 | | | | 9 | |
| Silver Wheaton Corp. ‡ | | | 400 | | | | 16 | |
| Sims Metal Management, Ltd. | | | 319 | | | | 7 | |
| SSAB AB | | | 395 | | | | 7 | |
| Sumitomo Metal Industries, Ltd. | | | 4,000 | | | | 10 | |
| Sumitomo Metal Mining Co., Ltd. | | | 1,000 | | | | 17 | |
| Teck Resources, Ltd. - Class B | | | 700 | | | | 44 | |
| ThyssenKrupp AG | | | 354 | | | | 15 | |
| U.S. Steel Corp. ^ | | | 200 | | | | 12 | |
| Vedanta Resources PLC | | | 126 | | | | 5 | |
| Voestalpine AG | | | 104 | | | | 5 | |
| Xstrata PLC | | | 2,283 | | | | 54 | |
| Yamana Gold, Inc. | | | 800 | | | | 10 | |
Multiline Retail - 0.2% | | | | | | | | |
| Canadian Tire Corp., Ltd. - Class A | | | 100 | | | | 7 | |
| Dollar General Corp. ‡ ^ | | | 300 | | | | 9 | |
| Dollar Tree, Inc. ‡ ^ | | | 200 | | | | 11 | |
| Family Dollar Stores, Inc. ^ | | | 200 | | | | 10 | |
| Harvey Norman Holdings, Ltd. | | | 1,414 | | | | 4 | |
| Isetan Mitsukoshi Holdings, Ltd. ^ | | | 400 | | | | 5 | |
| J. Front Retailing Co., Ltd. | | | 1,000 | | | | 5 | |
| JC Penney Co., Inc. ^ | | | 300 | | | | 10 | |
| Kohl’s Corp. ‡ ^ | | | 300 | | | | 16 | |
| Macy’s, Inc. | | | 400 | | | | 10 | |
| Marks & Spencer Group PLC | | | 3,057 | | | | 18 | |
| Nordstrom, Inc. ^ | | | 200 | | | | 8 | |
| PPR SA | | | 72 | | | | 11 | |
| Sears Holdings Corp. ‡ ^ | | | 100 | | | | 7 | |
| Takashimaya Co., Ltd. | | | 1,000 | | | | 9 | |
| Target Corp. ^ | | | 800 | | | | 49 | |
Multi-Utilities - 0.4% | | | | | | | | |
| AGL Energy, Ltd. | | | 490 | | | | 8 | |
| Alliant Energy Corp. ^ | | | 200 | | | | 7 | |
| Ameren Corp. ^ | | | 300 | | | | 8 | |
| CenterPoint Energy, Inc. ^ | | | 500 | | | | 8 | |
| Centrica PLC | | | 4,848 | | | | 25 | |
| Dominion Resources, Inc. ^ | | | 600 | | | | 26 | |
| DTE Energy Co. | | | 300 | | | | 14 | |
| GDF Suez | | | 1,482 | | | | 54 | |
| Integrys Energy Group, Inc. ^ | | | 300 | | | | 15 | |
| MDU Resources Group, Inc. | | | 300 | | | | 6 | |
| National Grid PLC | | | 3,270 | | | | 28 | |
| NiSource, Inc. ^ | | | 500 | | | | 9 | |
| NSTAR ^ | | | 200 | | | | 8 | |
| PG&E Corp. | | | 400 | | | | 19 | |
| Public Service Enterprise Group, Inc. ^ | | | 500 | | | | 16 | |
| RWE AG | | | 395 | | | | 26 | |
| Scana Corp. ^ | | | 300 | | | | 12 | |
| Sempra Energy ^ | | | 200 | | | | 10 | |
| Suez Environnement Co. | | | 533 | | | | 11 | |
| United Utilities Group PLC | | | 1,408 | | | | 13 | |
| Veolia Environnement SA | | | 339 | | | | 10 | |
| Xcel Energy, Inc. | | | 400 | | | | 9 | |
Office Electronics - 0.1% | | | | | | | | |
| Brother Industries, Ltd. | | | 300 | | | | 4 | |
| Canon, Inc. ^ | | | 1,400 | | | | 72 | |
| Konica Minolta Holdings, Inc. | | | 500 | | | | 5 | |
| Ricoh Co., Ltd. | | | 1,000 | | | | 15 | |
| Xerox Corp. | | | 2,100 | | | | 24 | |
Oil, Gas & Consumable Fuels - 3.0% | | | | | | | | |
| Alpha Natural Resources, Inc. ‡ | | | 200 | | | | 12 | |
| Anadarko Petroleum Corp. ^ | | | 600 | | | | 46 | |
| Apache Corp. | | | 500 | | | | 60 | |
| ARC Resources, Ltd. | | | 400 | | | | 10 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Oil, Gas & Consumable Fuels (continued) | | | | | | | | |
| Arch Coal, Inc. ^ | | | 300 | | | $ | 11 | |
| Athabasca Oil Sands Corp. ‡ | | | 800 | | | | 12 | |
| Baytex Energy Corp. | | | 200 | | | | 9 | |
| BG Group PLC | | | 3,754 | | | | 76 | |
| BP PLC | | | 22,300 | | | | 162 | |
| Cabot Oil & Gas Corp. ^ | | | 300 | | | | 11 | |
| Cairn Energy PLC ‡ | | | 2,163 | | | | 14 | |
| Caltex Australia, Ltd. | | | 394 | | | | 6 | |
| Cameco Corp. | | | 400 | | | | 16 | |
| Canadian Natural Resources, Ltd. | | | 1,300 | | | | 58 | |
| Canadian Oil Sands Trust | | | 300 | | | | 8 | |
| Cenovus Energy, Inc. ^ | | | 900 | | | | 30 | |
| Chesapeake Energy Corp. ^ | | | 600 | | | | 16 | |
| Chevron Corp. ^ | | | 2,500 | | | | 228 | |
| Cimarex Energy Co. ^ | | | 100 | | | | 9 | |
| Concho Resources, Inc. ‡ ^ | | | 101 | | | | 9 | |
| ConocoPhillips | | | 1,700 | | | | 116 | |
| Consol Energy, Inc. ^ | | | 200 | | | | 10 | |
| Cosmo Oil Co., Ltd. | | | 1,000 | | | | 3 | |
| Crescent Point Energy Corp. ^ | | | 200 | | | | 9 | |
| Denbury Resources, Inc. ‡ ^ | | | 500 | | | | 10 | |
| Devon Energy Corp. | | | 500 | | | | 39 | |
| El Paso Corp. ^ | | | 700 | | | | 10 | |
| Enbridge, Inc. ^ | | | 400 | | | | 23 | |
| EnCana Corp. ^ | | | 900 | | | | 26 | |
| ENI SpA | | | 3,292 | | | | 72 | |
| EOG Resources, Inc. ^ | | | 300 | | | | 27 | |
| Essar Energy PLC ‡ | | | 1,540 | | | | 14 | |
| Exxon Mobil Corp. | | | 6,300 | | | | 461 | |
| Galp Energia SGPS SA | | | 299 | | | | 6 | |
| Hess Corp. | | | 400 | | | | 31 | |
| Husky Energy, Inc. ^ | | | 300 | | | | 8 | |
| Imperial Oil, Ltd. | | | 300 | | | | 12 | |
| INPEX Corp. | | | 3 | | | | 18 | |
| JX Holdings, Inc. | | | 3,000 | | | | 20 | |
| Kinder Morgan Management LLC ‡ | | | 101 | | | | 7 | |
| Marathon Oil Corp. ^ | | | 1,000 | | | | 37 | |
| MEG Energy Corp. ‡ | | | 300 | | | | 14 | |
| Mongolia Energy Corp., Ltd. ‡ | | | 10,000 | | | | 3 | |
| Murphy Oil Corp. ^ | | | 200 | | | | 15 | |
| Neste Oil OYJ | | | 198 | | | | 3 | |
| Newfield Exploration Co. ‡ | | | 200 | | | | 14 | |
| Nexen, Inc. ^ | | | 500 | | | | 11 | |
| Niko Resources, Ltd. | | | 100 | | | | 10 | |
| Noble Energy, Inc. | | | 200 | | | | 17 | |
| Occidental Petroleum Corp. ^ | | | 1,000 | | | | 98 | |
| OMV AG | | | 202 | | | | 8 | |
| Origin Energy, Ltd. | | | 830 | | | | 14 | |
| Pacific Rubiales Energy Corp. | | | 300 | | | | 10 | |
| Paladin Energy, Ltd. ‡ | | | 1,085 | | | | 5 | |
| Peabody Energy Corp. | | | 300 | | | | 19 | |
| Penn West Energy Trust | | | 400 | | | | 10 | |
| PetroBakken Energy, Ltd. - Class A ^ | | | 400 | | | | 9 | |
| Petrohawk Energy Corp. ‡ | | | 500 | | | | 9 | |
| Petrominerales, Ltd. ‡ | | | 123 | | | | 4 | |
| Pioneer Natural Resources Co. ^ | | | 100 | | | | 9 | |
| Plains Exploration & Production Co. ‡ ^ | | | 300 | | | | 10 | |
| QEP Resources, Inc. ^ | | | 300 | | | | 11 | |
| Range Resources Corp. | | | 200 | | | | 9 | |
| Repsol YPF SA | | | 692 | | | | 19 | |
| Royal Dutch Shell PLC - Class A ^ | | | 4,349 | | | | 145 | |
| Royal Dutch Shell PLC - Class B | | | 3,286 | | | | 108 | |
| Santos, Ltd. | | | 786 | | | | 11 | |
| Showa Shell Sekiyu KK ^ | | | 300 | | | | 3 | |
| Southwestern Energy Co. ‡ | | | 300 | | | | 11 | |
| Statoil ASA | | | 1,338 | | | | 32 | |
| Suncor Energy, Inc. | | | 1,900 | | | | 73 | |
| Sunoco, Inc. | | | 200 | | | | 8 | |
| Talisman Energy, Inc. | | | 1,000 | | | | 22 | |
| Total SA | | | 2,612 | | | | 138 | |
| TransCanada Corp. ^ | | | 900 | | | | 34 | |
| Tullow Oil PLC | | | 836 | | | | 16 | |
| Ultra Petroleum Corp. ‡ ^ | | | 200 | | | | 10 | |
| Valero Energy Corp. ^ | | | 500 | | | | 12 | |
| Vermilion Energy, Inc. ^ | | | 300 | | | | 14 | |
| Williams Cos., Inc. ^ | | | 600 | | | | 15 | |
| Woodside Petroleum, Ltd. | | | 735 | | | | 32 | |
Paper & Forest Products - 0.1% | | | | | | | | |
| Holmen AB - Class B | | | 121 | | | | 4 | |
| International Paper Co. ^ | | | 400 | | | | 11 | |
| MeadWestvaco Corp. ^ | | | 300 | | | | 8 | |
| Nippon Paper Group, Inc. | | | 100 | | | | 3 | |
| OJI Paper Co., Ltd. | | | 1,000 | | | | 5 | |
| Sino-Forest Corp. - Class A ‡ | | | 600 | | | | 13 | |
| Stora Enso OYJ - Class R | | | 709 | | | | 7 | |
| Svenska Cellulosa AB - Class B | | | 540 | | | | 9 | |
| UPM-Kymmene OYJ | | | 491 | | | | 9 | |
| Weyerhaeuser Co. ^ | | | 500 | | | | 9 | |
Personal Products - 0.1% | | | | | | | | |
| Avon Products, Inc. | | | 400 | | | | 12 | |
| Beiersdorf AG | | | 191 | | | | 11 | |
| Estee Lauder Cos., Inc. - Class A ^ | | | 100 | | | | 8 | |
| L’Oreal SA | | | 301 | | | | 32 | |
| Shiseido Co., Ltd. ^ | | | 400 | | | | 9 | |
Pharmaceuticals - 1.9% | | | | | | | | |
| Abbott Laboratories | | | 1,800 | | | | 86 | |
| Allergan, Inc. | | | 300 | | | | 21 | |
| Astellas Pharma, Inc. ^ | | | 500 | | | | 19 | |
| AstraZeneca PLC | | | 1,601 | | | | 73 | |
| Bayer AG | | | 981 | | | | 73 | |
| Bristol-Myers Squibb Co. ^ | | | 2,000 | | | | 53 | |
| Chugai Pharmaceutical Co., Ltd. ^ | | | 200 | | | | 4 | |
| Daiichi Sankyo Co., Ltd. ^ | | | 800 | | | | 17 | |
| Dainippon Sumitomo Pharma Co., Ltd. | | | 400 | | | | 4 | |
| Eisai Co., Ltd. ^ | | | 300 | | | | 11 | |
| Elan Corp. PLC ‡ | | | 739 | | | | 4 | |
| Eli Lilly & Co. ^ | | | 1,200 | | | | 42 | |
| Forest Laboratories, Inc. ‡ | | | 300 | | | | 10 | |
| GlaxoSmithKline PLC | | | 6,003 | | | | 116 | |
| Hisamitsu Pharmaceutical Co., Inc. | | | 100 | | | | 4 | |
| Johnson & Johnson | | | 3,400 | | | | 211 | |
| Merck & Co., Inc. | | | 3,800 | | | | 137 | |
| Merck KGaA | | | 157 | | | | 13 | |
| Mylan, Inc. ‡ ^ | | | 400 | | | | 8 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Pharmaceuticals (continued) | | | | | | | | |
| Novartis AG | | | 2,543 | | | $ | 150 | |
| Novo Nordisk A/S - Class B | | | 496 | | | | 56 | |
| Ono Pharmaceutical Co., Ltd. | | | 100 | | | | 5 | |
| Orion OYJ - Class B | | | 152 | | | | 3 | |
| Perrigo Co. ^ | | | 100 | | | | 6 | |
| Pfizer, Inc. | | | 9,700 | | | | 170 | |
| Roche Holding AG | | | 757 | | | | 111 | |
| Sanofi-Aventis SA | | | 1,278 | | | | 82 | |
| Santen Pharmaceutical Co., Ltd. | | | 100 | | | | 3 | |
| Shionogi & Co., Ltd. | | | 300 | | | | 6 | |
| Shire PLC | | | 702 | | | | 17 | |
| Taisho Pharmaceutical Co., Ltd. | | | 1,000 | | | | 22 | |
| Takeda Pharmaceutical Co., Ltd. ^ | | | 900 | | | | 44 | |
| Teva Pharmaceutical Industries, Ltd. | | | 1,146 | | | | 60 | |
| Tsumura & Co. | | | 100 | | | | 3 | |
| UCB SA ^ | | | 95 | | | | 3 | |
| Valeant Pharmaceuticals International, Inc. | | | 400 | | | | 11 | |
| Warner Chilcott PLC - Class A ^ | | | 600 | | | | 14 | |
| Watson Pharmaceuticals, Inc. ‡ ^ | | | 200 | | | | 10 | |
Professional Services - 0.2% | | | | | | | | |
| Adecco SA | | | 248 | | | | 16 | |
| Bureau Veritas SA | | | 87 | | | | 7 | |
| Capital Group PLC | | | 1,452 | | | | 16 | |
| Dun & Bradstreet Corp.^ | | | 100 | | | | 8 | |
| Equifax, Inc. | | | 300 | | | | 11 | |
| Experian Group, Ltd. | | | 1,640 | | | | 20 | |
| IHS, Inc. - Class A ‡ ^ | | | 100 | | | | 8 | |
| Manpower, Inc. ^ | | | 200 | | | | 13 | |
| Randstad Holding NV ‡ | | | 325 | | | | 17 | |
| Robert Half International, Inc. ^ | | | 300 | | | | 9 | |
| SGS SA | | | 16 | | | | 27 | |
| Verisk Analytics, Inc. - Class A ‡ | | | 200 | | | | 7 | |
Real Estate Investment Trusts - 0.6% | | | | | | | | |
| AMB Property Corp. ^ | | | 300 | | | | 10 | |
| Annaly Capital Management, Inc. ^ | | | 600 | | | | 11 | |
| Ascendas Real Estate Investment Trust | | | 2,000 | | | | 3 | |
| AvalonBay Communities, Inc. ^ | | | 100 | | | | 11 | |
| Boston Properties, Inc ^ | | | 200 | | | | 17 | |
| British Land Co., PLC | | | 2,324 | | | | 19 | |
| CFS Retail Property Trust ^ | | | 6,093 | | | | 11 | |
| Corio NV | | | 250 | | | | 16 | |
| Dexus Property Group | | | 11,082 | | | | 9 | |
| Equity Residential ^ | | | 300 | | | | 16 | |
| Federal Realty Investment Trust ^ | | | 100 | | | | 8 | |
| Fonciere Des Regions | | | 78 | | | | 8 | |
| Gecina SA | | | 91 | | | | 10 | |
| General Growth Properties, Inc. ^ | | | 700 | | | | 11 | |
| Goodman Group | | | 13,498 | | | | 9 | |
| GPT Group | | | 2,892 | | | | 9 | |
| HCP, Inc. | | | 300 | | | | 11 | |
| Health Care REIT, Inc. ^ | | | 200 | | | | 10 | |
| Host Hotels & Resorts, Inc. ^ | | | 600 | | | | 11 | |
| ICADE | | | 93 | | | | 9 | |
| Japan Real Estate Investment Corp. | | | 1 | | | | 10 | |
| Japan Retail Fund Investment Corp. | | | 2 | | | | 4 | |
| Kimco Realty Corp. ^ | | | 500 | | | | 9 | |
| Klepierre | | | 285 | | | | 10 | |
| Land Securities Group PLC | | | 1,692 | | | | 18 | |
| Liberty Property Trust ^ | | | 400 | | | | 13 | |
| Link REIT | | | 2,000 | | | | 6 | |
| Macerich Co. ^ | | | 200 | | | | 9 | |
| Mirvac Group | | | 6,287 | | | | 8 | |
| Nippon Building Fund, Inc. | | | 1 | | | | 10 | |
| Plum Creek Timber Co., Inc. ^ | | | 200 | | | | 7 | |
| ProLogis | | | 800 | | | | 12 | |
| Public Storage ^ | | | 200 | | | | 20 | |
| Rayonier, Inc. ^ | | | 300 | | | | 16 | |
| Regency Centers Corp. ^ | | | 200 | | | | 8 | |
| RioCan Real Estate Investment Trust | | | 500 | | | | 11 | |
| Simon Property Group, Inc. ^ | | | 400 | | | | 39 | |
| Stockland | | | 2,251 | | | | 8 | |
| Unibail-Rodamco Se | | | 86 | | | | 17 | |
| Ventas, Inc. ^ | | | 200 | | | | 10 | |
| Vornado Realty Trust | | | 200 | | | | 17 | |
| Westfield Group | | | 2,534 | | | | 25 | |
| Westfield Retail Trust ‡ | | | 2,534 | | | | 7 | |
Real Estate Management & Development - 0.3% | | | | | | | | |
| AEON Mall Co., Ltd. | | | 100 | | | | 3 | |
| Brookfield Asset Management, Inc. - Class A ^ | | | 500 | | | | 17 | |
| Brookfield Properties Corp. ^ | | | 500 | | | | 9 | |
| Capitaland, Ltd. | | | 2,000 | | | | 6 | |
| CapitaMalls Asia, Ltd. | | | 5,000 | | | | 8 | |
| CB Richard Ellis Group, Inc. - Class A ‡ ^ | | | 400 | | | | 8 | |
| Cheung Kong Holdings, Ltd. | | | 2,000 | | | | 31 | |
| Daito Trust Construction Co., Ltd. | | | 100 | | | | 7 | |
| Daiwa House Industry Co., Ltd. | | | 1,000 | | | | 12 | |
| Global Logistic Properties, Ltd. ‡ ^ | | | 5,000 | | | | 8 | |
| Hang Lung Group, Ltd. | | | 1,000 | | | | 7 | |
| Hang Lung Properties, Ltd. | | | 3,000 | | | | 14 | |
| Henderson Land Development Co., Ltd. | | | 1,000 | | | | 7 | |
| Hopewell Holdings, Ltd. | | | 1,500 | | | | 5 | |
| Immofinanz AG ‡ | | | 1,096 | | | | 5 | |
| Keppel Land, Ltd. ^ | | | 1,000 | | | | 4 | |
| Kerry Properties, Ltd. | | | 1,000 | | | | 5 | |
| Lend Lease Corp., Ltd. | | | 1,266 | | | | 11 | |
| Mitsubishi Estate Co., Ltd. | | | 1,000 | | | | 18 | |
| Mitsui Fudosan Co., Ltd. | | | 1,000 | | | | 20 | |
| New World Development, Ltd. | | | 4,000 | | | | 8 | |
| Nomura Real Estate Holdings, Inc. | | | 200 | | | | 4 | |
| NTT Urban Development Corp. ^ | | | 4 | | | | 4 | |
| Sino Land Co., Ltd. | | | 4,000 | | | | 7 | |
| Sun Hung Kai Properties, Ltd. | | | 2,000 | | | | 32 | |
| Swire Pacific, Ltd. | | | 1,000 | | | | 16 | |
| Tokyu Land Corp. | | | 1,000 | | | | 5 | |
| Wharf Holdings, Ltd. | | | 2,000 | | | | 15 | |
| Wheelock & Co., Ltd. | | | 2,000 | | | | 8 | |
Road & Rail - 0.3% | | | | | | | | |
| Asciano, Ltd. ‡ | | | 3,144 | | | | 5 | |
| Canadian National Railway Co. | | | 500 | | | | 33 | |
| Canadian Pacific Railway, Ltd. ^ | | | 200 | | | | 13 | |
| Central Japan Railway Co. ^ | | | 2 | | | | 17 | |
| CSX Corp. | | | 400 | | | | 26 | |
| DSV A/S | | | 329 | | | | 7 | |
| East Japan Railway Co. | | | 400 | | | | 26 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Road & Rail (continued) | | | | | | | | |
| Groupe Eurotunnel SA | | | 648 | | | $ | 6 | |
| JB Hunt Transport Services, Inc. | | | 200 | | | | 8 | |
| Keikyu Corp. | | | 1,000 | | | | 9 | |
| KEIO Corp. | | | 1,000 | | | | 7 | |
| Kintetsu Corp. ^ | | | 2,000 | | | | 6 | |
| MTR Corp. | | | 1,500 | | | | 5 | |
| Nippon Express Co., Ltd. | | | 1,000 | | | | 4 | |
| Norfolk Southern Corp. | | | 400 | | | | 25 | |
| Odakyu Electric Railway Co., Ltd. | | | 1,000 | | | | 9 | |
| QR National, Ltd. ‡ | | | 4,114 | | | | 12 | |
| Tobu Railway Co., Ltd. | | | 1,000 | | | | 6 | |
| Tokyu Corp. | | | 1,000 | | | | 5 | |
| Union Pacific Corp. | | | 600 | | | | 56 | |
| West Japan Railway Co. | | | 2 | | | | 7 | |
Semiconductors & Semiconductor Equipment - 0.5% | | | | | | | | |
| Advanced Micro Devices, Inc. ‡ ^ | | | 1,100 | | | | 9 | |
| Advantest Corp. ^ | | | 200 | | | | 4 | |
| Altera Corp. ^ | | | 300 | | | | 11 | |
| Analog Devices, Inc. ^ | | | 300 | | | | 11 | |
| Applied Materials, Inc. ^ | | | 1,300 | | | | 18 | |
| ARM Holdings PLC | | | 3,242 | | | | 21 | |
| ASML Holding NV | | | 652 | | | | 25 | |
| Avago Technologies, Ltd. ^ | | | 400 | | | | 11 | |
| Broadcom Corp. - Class A | | | 500 | | | | 22 | |
| Cree, Inc. ‡ | | | 100 | | | | 7 | |
| Elpida Memory, Inc. ‡ ^ | | | 200 | | | | 2 | |
| Infineon Technologies AG ‡ | | | 1,249 | | | | 12 | |
| Intel Corp. | | | 6,600 | | | | 138 | |
| KLA-Tencor Corp. ^ | | | 300 | | | | 12 | |
| LAM Research Corp. ‡ ^ | | | 200 | | | | 10 | |
| Linear Technology Corp. ^ | | | 300 | | | | 10 | |
| LSI Corp. ‡ ^ | | | 1,800 | | | | 11 | |
| Marvell Technology Group, Ltd. ‡ ^ | | | 500 | | | | 9 | |
| Maxim Integrated Products, Inc. ^ | | | 500 | | | | 12 | |
| Memc Electronic Materials, Inc. ‡ ^ | | | 600 | | | | 7 | |
| Microchip Technology, Inc. ^ | | | 300 | | | | 10 | |
| Micron Technology, Inc. ‡ ^ | | | 1,100 | | | | 9 | |
| National Semiconductor Corp. ^ | | | 700 | | | | 10 | |
| NVIDIA Corp. ‡ ^ | | | 800 | | | | 12 | |
| ROHM Co., Ltd. | | | 100 | | | | 7 | |
| STMicroelectronics NV | | | 869 | | | | 9 | |
| Sumco Corp. ‡ ^ | | | 200 | | | | 3 | |
| Texas Instruments, Inc. ^ | | | 1,400 | | | | 46 | |
| Tokyo Electron, Ltd. ^ | | | 200 | | | | 13 | |
| Xilinx, Inc. ^ | | | 300 | | | | 9 | |
Software - 0.8% | | | | | | | | |
| Activision Blizzard, Inc. ^ | | | 700 | | | | 9 | |
| Adobe Systems, Inc. ‡ ^ | | | 500 | | | | 15 | |
| Autodesk, Inc. ‡ | | | 300 | | | | 11 | |
| BMC Software, Inc. ‡ ^ | | | 200 | | | | 9 | |
| CA, Inc. ^ | | | 400 | | | | 10 | |
| Citrix Systems, Inc. ‡ | | | 200 | | | | 14 | |
| Dassault Systemes SA | | | 142 | | | | 11 | |
| Electronic Arts, Inc. ‡ ^ | | | 500 | | | | 8 | |
| Intuit, Inc. ‡ ^ | | | 300 | | | | 15 | |
| Konami Corp. ^ | | | 200 | | | | 4 | |
| McAfee, Inc. ‡ ^ | | | 200 | | | | 9 | |
| Microsoft Corp. | | | 9,600 | | | | 269 | |
| NICE Systems, Ltd. ‡ | | | 66 | | | | 2 | |
| Nintendo Co., Ltd. | | | 100 | | | | 29 | |
| Nuance Communications, Inc. ‡ ^ | | | 500 | | | | 9 | |
| Oracle Corp. | | | 4,800 | | | | 151 | |
| Oracle Corp. Japan | | | 100 | | | | 5 | |
| Red Hat, Inc. ‡ ^ | | | 200 | | | | 9 | |
| Salesforce.com, Inc. ‡ ^ | | | 200 | | | | 26 | |
| SAP AG | | | 965 | | | | 50 | |
| Symantec Corp. ‡ | | | 800 | | | | 13 | |
| Synopsys, Inc. ‡ ^ | | | 400 | | | | 11 | |
| Trend Micro, Inc. | | | 100 | | | | 3 | |
| VMware, Inc. - Class A ‡ ^ | | | 100 | | | | 9 | |
Specialty Retail - 0.4% | | | | | | | | |
| Abercrombie & Fitch Co. - Class A ^ | | | 200 | | | | 12 | |
| Advance Auto Parts, Inc. | | | 100 | | | | 7 | |
| Bed Bath & Beyond, Inc. ‡ | | | 300 | | | | 15 | |
| Best Buy Co., Inc. ^ | | | 300 | | | | 10 | |
| CarMax, Inc. ‡ ^ | | | 300 | | | | 10 | |
| Esprit Holdings, Ltd. | | | 1,100 | | | | 5 | |
| Fast Retailing Co., Ltd. | | | 100 | | | | 16 | |
| Gap, Inc. ^ | | | 500 | | | | 11 | |
| Hennes & Mauritz AB - Class B | | | 1,204 | | | | 40 | |
| Home Depot, Inc. ^ | | | 2,100 | | | | 73 | |
| Inditex SA ^ | | | 222 | | | | 17 | |
| Kingfisher PLC | | | 3,929 | | | | 16 | |
| Limited Brands, Inc. ^ | | | 300 | | | | 9 | |
| Lowe’s Cos., Inc. | | | 1,700 | | | | 43 | |
| Nitori Holdings Co., Ltd. | | | 50 | | | | 4 | |
| O’Reilly Automotive, Inc. ‡ ^ | | | 200 | | | | 12 | |
| PetSmart, Inc. | | | 200 | | | | 8 | |
| Ross Stores, Inc. ^ | | | 200 | | | | 13 | |
| Sherwin-Williams Co. ^ | | | 100 | | | | 8 | |
| Staples, Inc. ^ | | | 700 | | | | 16 | |
| Tiffany & Co. ^ | | | 200 | | | | 12 | |
| TJX Cos., Inc. ^ | | | 400 | | | | 18 | |
| Urban Outfitters, Inc. ‡ ^ | | | 200 | | | | 7 | |
| Yamada Denki Co., Ltd. ^ | | | 80 | | | | 5 | |
Textiles, Apparel & Luxury Goods - 0.3% | | | | | | | | |
| Adidas AG | | | 198 | | | | 13 | |
| Burberry Group PLC | | | 1,218 | | | | 21 | |
| Christian Dior SA | | | 82 | | | | 12 | |
| Cie Financiere Richemont SA | | | 559 | | | | 33 | |
| Coach, Inc. ^ | | | 300 | | | | 17 | |
| Gildan Activewear, Inc. - Class A ‡ ^ | | | 200 | | | | 6 | |
| Hermes International ^ | | | 50 | | | | 10 | |
| Luxottica Group SpA | | | 371 | | | | 11 | |
| LVMH Moet Hennessy Louis Vuitton SA | | | 272 | | | | 45 | |
| Nike, Inc. - Class B ^ | | | 400 | | | | 34 | |
| Polo Ralph Lauren Corp. - Class A ^ | | | 100 | | | | 11 | |
| Puma AG | | | 13 | | | | 4 | |
| Swatch Group AG —BR | | | 68 | | | | 30 | |
| V.F. Corp. ^ | | | 100 | | | | 9 | |
| Yue Yuen Industrial Holdings | | | 1,000 | | | | 4 | |
Thrifts & Mortgage Finance - 0.0% ∞ | | | | | | | | |
| Hudson City Bancorp, Inc. ^ | | | 700 | | | | 9 | |
| New York Community Bancorp, Inc. ^ | | | 500 | | | | 10 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Thrifts & Mortgage Finance (continued) | | | | | | | | |
| People’s United Financial, Inc. ^ | | | 600 | | | $ | 8 | |
Tobacco - 0.4% | | | | | | | | |
| Altria Group, Inc. | | | 2,500 | | | | 62 | |
| British American Tobacco PLC | | | 2,468 | | | | 95 | |
| Imperial Tobacco Group PLC | | | 962 | | | | 30 | |
| Japan Tobacco, Inc. ^ | | | 5 | | | | 18 | |
| Lorillard, Inc. | | | 200 | | | | 16 | |
| Philip Morris International, Inc. | | | 2,200 | | | | 129 | |
| Reynolds American, Inc. ^ | | | 400 | | | | 13 | |
| Swedish Match AB | | | 360 | | | | 10 | |
Trading Companies & Distributors - 0.2% | | | | | | | | |
| Fastenal Co. ^ | | | 200 | | | | 12 | |
| Finning International, Inc. | | | 500 | | | | 14 | |
| ITOCHU Corp. | | | 2,000 | | | | 20 | |
| Marubeni Corp. | | | 2,000 | | | | 14 | |
| Mitsubishi Corp. | | | 1,600 | | | | 42 | |
| Mitsui & Co., Ltd. ^ | | | 2,100 | | | | 34 | |
| Noble Group, Ltd. ^ | | | 3,000 | | | | 5 | |
| Sojitz Corp. | | | 2,100 | | | | 5 | |
| Sumitomo Corp. ^ | | | 1,400 | | | | 20 | |
| Toyota Tsusho Corp. | | | 200 | | | | 4 | |
| Wolseley PLC ‡ | | | 400 | | | | 13 | |
| WW Grainger, Inc. | | | 100 | | | | 14 | |
Transportation Infrastructure - 0.1% | | | | | | | | |
| Abertis Infraestructuras SA ^ | | | 687 | | | | 12 | |
| Aeroports de Paris | | | 124 | | | | 10 | |
| Atlantia SpA | | | 485 | | | | 10 | |
| Auckland International Airport, Ltd. | | | 970 | | | | 2 | |
| Brisa Auto-Estradas de Portugal SA | | | 234 | | | | 2 | |
| Fraport AG Frankfurt Airport Services Worldwide | | | 179 | | | | 11 | |
| Koninklijke Vopak NV | | | 177 | | | | 8 | |
| Transurban Group ‡ ^ | | | 1,751 | | | | 9 | |
Water Utilities - 0.0% ∞ | | | | | | | | |
| American Water Works Co., Inc. | | | 300 | | | | 8 | |
| Severn Trent PLC | | | 970 | | | | 22 | |
Wireless Telecommunication Services - 0.4% | | | | | | | | |
| American Tower Corp. - Class A ‡ | | | 400 | | | | 21 | |
| Cellcom Israel, Ltd. | | | 95 | | | | 3 | |
| Crown Castle International Corp. ‡ ^ | | | 300 | | | | 13 | |
| KDDI Corp. | | | 4 | | | | 23 | |
| MetroPCS Communications, Inc. ‡ ^ | | | 900 | | | | 11 | |
| Millicom International Cellular SA | | | 72 | | | | 7 | |
| Mobistar SA | | | 45 | | | | 3 | |
| NII Holdings, Inc. ‡ | | | 200 | | | | 9 | |
| NTT DoCoMo, Inc. | | | 18 | | | | 31 | |
| Partner Communications Co., Ltd. | | | 115 | | | | 2 | |
| Rogers Communications, Inc. - Class B ^ | | | 400 | | | | 14 | |
| SBA Communications Corp. - Class A ‡ ^ | | | 200 | | | | 8 | |
| Softbank Corp. | | | 1,000 | | | | 34 | |
| Sprint Nextel Corp. ‡ ^ | | | 2,800 | | | | 12 | |
| Starhub, Ltd. | | | 2,000 | | | | 4 | |
| Telephone & Data Systems, Inc. ^ | | | 400 | | | | 15 | |
| Vodafone Group PLC | | | 62,114 | | | | 161 | |
| | | | | | | | |
Total Common Stocks (cost $26,665) | | | | | | | 29,946 | |
| | | | | | | | |
| |
RIGHT - 0.0% ∞ | | | | | | | | |
Metals & Mining - 0.0% ∞ | | | | | | | | |
| Ivanhoe Mines, Ltd. ‡ | | | 300 | | | | $ | ♦ |
Total Right (cost $-) | | | | | | | | |
PREFERRED STOCKS - 0.1% | | | | | | | | |
Automobiles - 0.1% | | | | | | | | |
| Porsche AG, 0.21% ▲ | | | 146 | | | | 12 | |
| Volkswagen AG, 1.26% ▲ | | | 161 | | | | 26 | |
Health Care Equipment & Supplies - 0.0% ∞ | | | | | | | | |
| Fresenius AG, 1.22% ▲ | | | 142 | | | | 12 | |
Multi-Utilities - 0.0% ∞ | | | | | | | | |
| RWE AG, 7.25% ▲ | | | 192 | | | | 12 | |
| | | | | | | | |
Total Preferred Stocks (cost $51) | | | | | | | 62 | |
| | | | | | | | |
| | | | | | | | | |
WARRANT - 0.0% ∞ | | | | | | | | |
Metals & Mining - 0.0% ∞ | | | | | | | | |
| Kinross Gold Corp. ‡ ^ | | | | | | | | |
| Expiration: 09/17/2014 | | | | | | | | |
| Exercise Price: $21.30 | | | 33 | | | | | ♦ |
Total Warrant (cost $ t) | | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 12.8% | | | | | | | | |
| State Street Navigator Securities Lending | | | | | | | | |
| Trust - Prime Portfolio, 0.36% ▲ | | | 11,856,119 | | | | 11,856 | |
Total Securities Lending Collateral (cost $11,856) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 13.7% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $12,628 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 07/15/2025, with a value of $12,884. | | $ | 12,628 | | | | 12,628 | |
Total Repurchase Agreement (cost $12,628) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $103,262) # | | | | | | | 105,699 | |
| Other Assets and Liabilities - Net | | | | | | | (13,373 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 92,326 | |
| | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 19
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
FUTURES CONTRACTS: Q
| | | | | | | | | | | | | |
| | | | | | | | | | | Net Unrealized | |
| | | | | | | | | | | Appreciation | |
| Description | | Type | | Contracts ┌ | | | Expiration Date | | (Depreciation) | |
| |
| 10-Year U.S. Treasury Note | | Long | | | 3 | | | 03/22/2011 | | $ | (2 | ) |
| 2-Year U.S. Treasury Note | | Long | | | 2 | | | 03/31/2011 | | | | ♦ |
| 30-Year U.S. Treasury Bond | | Long | | | 1 | | | 03/22/2011 | | | (5 | ) |
| DJ EURO STOXX 50 Index | | Long | | | 1 | | | 03/18/2011 | | | (1 | ) |
| MSCI EAFE E-Mini Index | | Long | | | 49 | | | 03/18/2011 | | | 76 | |
| S&P 500 E-Mini Index | | Long | | | 71 | | | 03/18/2011 | | | 59 | |
| S&P TSE 60 Index | | Long | | | 3 | | | 03/17/2011 | | | 8 | |
| | | | | | | | | | | | |
| | | | | | | | | | | $ | 135 | |
| | | | | | | | | | | | |
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | |
| | | | | | | | | Amount in U.S. | | | Net Unrealized | |
| | | | | | | Settlement | | Dollars Bought | | | Appreciation | |
| Currency | | Bought (Sold) | | | Date | | (Sold) | | | (Depreciation) | |
| |
| Canadian Dollar | | | 406 | | | 03/15/2011 | | $ | 402 | | | $ | 6 | |
| Euro | | | 551 | | | 03/15/2011 | | | 737 | | | | (1 | ) |
| Euro | | | (3,422 | ) | | 03/15/2011 | | | (4,667 | ) | | | 95 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 100 | |
| | | | | | | | | | | | | | |
| | | | | | | | | |
| | | Percentage of | | | | |
| INVESTMENTS BY COUNTRY: (unaudited) | | Total Investments | | | Value | |
| |
| United States | | | 60.8 | % | | $ | 64,261 | |
| United Kingdom | | | 3.0 | | | | 3,216 | |
| Japan | | | 2.8 | | | | 2,994 | |
| Canada | | | 1.5 | | | | 1,608 | |
| Switzerland | | | 1.2 | | | | 1,295 | |
| France | | | 1.2 | | | | 1,233 | |
| Germany | | | 1.2 | | | | 1,227 | |
| Australia | | | 1.1 | | | | 1,193 | |
| Netherlands | | | 0.6 | | | | 593 | |
| Spain | | | 0.4 | | | | 455 | |
| Sweden | | | 0.4 | | | | 438 | |
| Italy | | | 0.3 | | | | 347 | |
| Hong Kong | | | 0.3 | | | | 345 | |
| Supranational | | | 0.3 | | | | 285 | |
| Singapore | | | 0.2 | | | | 233 | |
| Norway | | | 0.2 | | | | 211 | |
| Luxembourg | | | 0.2 | | | | 166 | |
| Ireland | | | 0.1 | | | | 154 | |
| Finland | | | 0.1 | | | | 149 | |
| Denmark | | | 0.1 | | | | 135 | |
| Cayman Islands | | | 0.1 | | | | 125 | |
| Belgium | | | 0.1 | | | | 113 | |
| Israel | | | 0.1 | | | | 110 | |
| Bermuda | | | 0.1 | | | | 86 | |
| Austria | | | 0.0 | ∞ | | | 45 | |
| Portugal | | | 0.0 | ∞ | | | 35 | |
| Greece | | | 0.0 | ∞ | | | 30 | |
| Panama | | | 0.0 | ∞ | | | 23 | |
| Kazakhstan | | | 0.0 | ∞ | | | 21 | |
| Jersey, Channel Islands | | | 0.0 | ∞ | | | 21 | |
| China | | | 0.0 | ∞ | | | 17 | |
| New Zealand | | | 0.0 | ∞ | | | 14 | |
| Lithuania | | | 0.0 | ∞ | | | 14 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 20
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Percentage of | | | | |
| INVESTMENTS BY COUNTRY: (continued) (unaudited) | | Total Investments | | | Value | |
| Isle of Man | | | 0.0 | % ∞ | | $ | 10 | |
| Mauritius | | | 0.0 | ∞ | | | 6 | |
| Bahamas | | | 0.0 | ∞ | | | 4 | |
| Cyprus | | | 0.0 | ∞ | | | 3 | |
| | | | | | | |
| Investment Securities, at Value | | | 76.9 | | | | 81,215 | |
| Short-Term Investments | | | 23.1 | | | | 24,484 | |
| | | | | | | |
| Total Investments | | | 100.0 | % | | $ | 105,699 | |
| | | | | | | |
NOTES TO THE SCHEDULE OF INVESTMENTS:
| | | |
|
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| | | |
| ∞ | | Percentage rounds to less than 0.1%. |
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $11,547. |
| | | |
| Ž | | The security has a perpetual maturity. The date shown is the next call date. |
| | | |
| ‡ | | Non-income producing security. |
| | | |
| ж | | Investment in affiliated company of the fund. |
| | | |
| Ə | | Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. This security had a market value of $18, or 0.02%, of the fund’s net assets. |
| | | |
| ♦ | | Amount rounds to less than $1. |
| | | |
| ┌ | | Contract amounts are not in thousands. |
| | | |
| Q | | Cash in the amount of $965 has been segregated with the broker to cover margin requirements for open futures contracts. |
| | | |
| * | | Floating or variable rate note. Rate is listed as of 12/31/2010. |
| | | |
| # | | Aggregate cost for federal income tax purposes is $103,321. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $3,465 and $1,087, respectively. Net unrealized appreciation for tax purposes is $2,378. |
DEFINITIONS:
| | | |
|
144A | | 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2010, these securities aggregated $89, or 0.10%, of the fund’s net assets. |
| | | |
ADR | | American Depositary Receipt |
| | | |
PPS | | Price Protected Shares |
| | | |
RSP | | Risparmio Shares |
TBA | | To Be Announced |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | $ | 16,167 | | | $ | 13,779 | | | $ | — | | | $ | 29,946 | |
| Corporate Debt Securities | | | — | | | | 8,278 | | | | — | | | | 8,278 | |
| Mortgage-Backed Securities | | | — | | | | 1,175 | | | | — | | | | 1,175 | |
| Municipal Government Obligation | | | — | | | | 120 | | | | — | | | | 120 | |
| Preferred Corporate Debt Security | | | — | | | | 105 | | | | — | | | | 105 | |
| Preferred Stocks | | | — | | | | 62 | | | | — | | | | 62 | |
| Repurchase Agreement | | | — | | | | 12,628 | | | | — | | | | 12,628 | |
| Right | | | ♦ | | | | — | | | | — | | | | ♦ | |
| Securities Lending Collateral | | | 11,856 | | | | — | | | | — | | | | 11,856 | |
| U.S. Government Agency Obligations | | | — | | | | 19,568 | | | | — | | | | 19,568 | |
| U.S. Government Obligations | | | — | | | | 21,961 | | | | — | | | | 21,961 | |
| Warrant | | | ♦ | | | | — | | | | — | | | | ♦ | |
| | | | | | | | | | | | | |
Total | | $ | 28,023 | | | $ | 77,676 | | | $ | — | | | $ | 105,699 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments* | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Futures Contracts - Appreciation | | $ | 143 | | | $ | — | | | $ | — | | | $ | 143 | |
| Futures Contracts - Depreciation | | | (8 | ) | | | — | | | | — | | | | (8 | ) |
| Forward Foreign Currency Contracts - Appreciation | | | — | | | | 101 | | | | — | | | | 101 | |
| Forward Foreign Currency Contracts - Depreciation | | | — | | | | (1 | ) | | | — | | | | (1 | ) |
| | | | | | | | | | | | | |
Total | | $ | 135 | | | $ | 100 | | | $ | — | | | $ | 235 | |
| | | | | | | | | | | | | |
| | |
| * | | Other financial instruments are derivative instruments including, but not limited to, Futures Contracts, Forward Foreign Currency Contracts, and Swap Contracts that are valued at unrealized appreciation (depreciation) on the instrument. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 21
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $90,634) (including securities loaned of $11,547) | | $ | 93,071 | |
| Repurchase agreement, at value (cost: $12,628) | | | 12,628 | |
| Cash on deposit with broker | | | 924 | |
| Foreign cash on deposit with broker, at value (cost: $41) | | | 41 | |
| Foreign currency, at value (cost: $82) | | | 83 | |
| Receivables: | | | | |
| Investment securities sold | | | 92 | |
| Shares sold | | | 186 | |
| Interest | | | 325 | |
| Securities lending income (net) | | | 2 | |
| Dividends | | | 36 | |
| Variation margin | | | 135 | |
| Prepaid expenses | | | 1 | |
| Unrealized appreciation on forward foreign currency contracts | | | 101 | |
| | | | |
| | | | 107,625 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 3,276 | |
| Shares redeemed | | | 49 | |
| Management and advisory fees | | | 49 | |
| Distribution and service fees | | | 8 | |
| Administration fees | | | 1 | |
| Printing and shareholder reports fees | | | 8 | |
| Audit and tax fees | | | 8 | |
| Other | | | 43 | |
| Collateral for securities on loan | | | 11,856 | |
| Unrealized depreciation on forward foreign currency contracts | | | 1 | |
| | | | |
| | | | 15,299 | |
| | | | |
Net assets | | $ | 92,326 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 114 | |
| Additional paid-in capital | | | 121,995 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,439 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities futures, and foreign currency transactions | | | (33,895 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 2,437 | |
| Futures contracts | | | 135 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 101 | |
| | | | |
Net assets | | $ | 92,326 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 52,004 | |
| Service Class | | | 40,322 | |
Shares outstanding: | | | | |
| Initial Class | | | 6,413 | |
| Service Class | | | 4,983 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 8.11 | |
| Service Class | | | 8.09 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $7) | | $ | 633 | |
| Interest income | | | 1,874 | |
| Securities lending income (net) | | | 17 | |
| | | | |
| | | | 2,524 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 796 | |
| Printing and shareholder reports | | | 118 | |
| Custody | | | 117 | |
| Administration | | | 21 | |
| Legal | | | 6 | |
| Audit and tax | | | 15 | |
| Trustees | | | 4 | |
| Transfer agent | | | 1 | |
| Distribution and service: | | | | |
| Service Class | | | 44 | |
| Other | | | 3 | |
| | | | |
| Total expenses | | | 1,125 | |
| | | | |
| Less waiver/reimbursement | | | (8 | ) |
| | | | |
| Net expenses | | | 1,117 | |
| | | | |
| | | | | |
Net investment income | | | 1,407 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 19,628 | |
| Futures contracts | | | 1,143 | |
| Foreign currency transactions | | | (14 | ) |
| | | | |
| | | | 20,757 | |
| | | | |
| | | | | |
Net decrease in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | (13,093 | ) |
| Futures contracts | | | 135 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 101 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | (12,857 | ) |
| | | | |
Net realized and unrealized gain | | | 7,900 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 9,307 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 22
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,407 | | | $ | 3,633 | |
| Net realized gain (loss) from investment securities, futures contracts, and foreign currency transactions | | | 20,757 | | | | (14,354 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities, futures contracts, and foreign currency translation | | | (12,857 | ) | | | 40,951 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 9,307 | | | | 30,230 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (2,843 | ) | | | (4,081 | ) |
| Service Class | | | (790 | ) | | | (316 | ) |
| | | | | | | |
Total distributions to shareholders | | | (3,633 | ) | | | (4,397 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 11,459 | | | | 19,840 | |
| Service Class | | | 31,144 | | | | 6,065 | |
| | | | | | | |
| | | | 42,603 | | | | 25,905 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 2,843 | | | | 4,081 | |
| Service Class | | | 790 | | | | 316 | |
| | | | | | | |
| | | | 3,633 | | | | 4,397 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (92,358 | ) | | | (78,564 | ) |
| Service Class | | | (4,518 | ) | | | (4,193 | ) |
| | | | | | | |
| | | | (96,876 | ) | | | (82,757 | ) |
| | | | | | | |
Net decrease in net assets from capital shares transactions | | | (50,640 | ) | | | (52,455 | ) |
| | | | | | | |
| | | | | | | | | |
Net decrease in net assets | | | (44,966 | ) | | | (26,622 | ) |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 137,292 | | | | 163,914 | |
| | | | | | | |
| End of year | | $ | 92,326 | | | $ | 137,292 | |
| | | | | | | |
Undistributed net investment income | | $ | 1,439 | | | $ | 3,634 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 1,415 | | | | 2,874 | |
| Service Class | | | 3,889 | | | | 872 | |
| | | | | | | |
| | | | 5,304 | | | | 3,746 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 374 | | | | 575 | |
| Service Class | | | 104 | | | | 44 | |
| | | | | | | |
| | | | 478 | | | | 619 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (11,295 | ) | | | (12,695 | ) |
| Service Class | | | (562 | ) | | | (624 | ) |
| | | | (11,857 | ) | | | (13,319 | ) |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (9,506 | ) | | | (9,246 | ) |
| Service Class | | | 3,431 | | | | 292 | |
| | | | | | | |
| | | | (6,075 | ) | | | (8,954 | ) |
| | | | | | | |
| | |
| Note: | | Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 23
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 7.86 | | | $ | 6.21 | | | $ | 12.48 | | | $ | 12.03 | | | $ | 11.20 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.11 | | | | 0.19 | | | | 0.18 | | | | 0.16 | | | | 0.15 | |
| Net realized and unrealized gain (loss) | | | 0.59 | | | | 1.73 | | | | (4.05 | ) | | | 1.91 | | | | 1.05 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.70 | | | | 1.92 | | | | (3.87 | ) | | | 2.07 | | | | 1.20 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.45 | ) | | | (0.27 | ) | | | (0.18 | ) | | | (0.26 | ) | | | (0.19 | ) |
| From net realized gains | | | — | | | | — | | | | (2.22 | ) | | | (1.36 | ) | | | (0.18 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.45 | ) | | | (0.27 | ) | | | (2.40 | ) | | | (1.62 | ) | | | (0.37 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 8.11 | | | $ | 7.86 | | | $ | 6.21 | | | $ | 12.48 | | | $ | 12.03 | |
Total return(B) | | | 9.29 | % | | | 31.30 | % | | | (36.87 | %) | | | 18.63 | % | | | 10.90 | % |
| | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 52,004 | | | $ | 125,132 | | | $ | 156,137 | | | $ | 270,218 | | | $ | 429,852 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.04 | % | | | 0.82 | % | | | 0.81 | % | | | 0.79 | % | | | 0.78 | % |
| Before reimbursement/fee waiver | | | 1.05 | % | | | 0.82 | % | | | 0.81 | % | | | 0.79 | % | | | 0.78 | % |
| Net investment income, to average net assets | | | 1.41 | % | | | 2.82 | % | | | 1.88 | % | | | 1.30 | % | | | 1.26 | % |
| Portfolio turnover rate | | | 149 | % | | | 168 | % | | | 97 | % | | | 79 | % | | | 64 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 7.84 | | | $ | 6.18 | | | $ | 12.42 | | | $ | 11.98 | | | $ | 11.17 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.07 | | | | 0.17 | | | | 0.14 | | | | 0.13 | | | | 0.12 | |
| Net realized and unrealized gain (loss) | | | 0.62 | | | | 1.73 | | | | (4.01 | ) | | | 1.91 | | | | 1.04 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.69 | | | | 1.90 | | | | (3.87 | ) | | | 2.04 | | | | 1.16 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.44 | ) | | | (0.24 | ) | | | (0.15 | ) | | | (0.24 | ) | | | (0.17 | ) |
| From net realized gains | | | — | | | | — | | | | (2.22 | ) | | | (1.36 | ) | | | (0.18 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.44 | ) | | | (0.24 | ) | | | (2.37 | ) | | | (1.60 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 8.09 | | | $ | 7.84 | | | $ | 6.18 | | | $ | 12.42 | | | $ | 11.98 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 9.15 | % | | | 31.16 | % | | | (37.00 | %) | | | 18.29 | % | | | 10.65 | % |
Net assets end of year (000’s) | | $ | 40,322 | | | $ | 12,160 | | | $ | 7,777 | | | $ | 18,157 | | | $ | 14,065 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.29 | % | | | 1.07 | % | | | 1.06 | % | | | 1.04 | % | | | 1.03 | % |
| Before reimbursement/fee waiver | | | 1.30 | % | | | 1.07 | % | | | 1.06 | % | | | 1.04 | % | | | 1.03 | % |
| Net investment income, to average net assets | | | 0.90 | % | | | 2.48 | % | | | 1.46 | % | | | 1.02 | % | | | 1.01 | % |
| Portfolio turnover rate | | | 149 | % | | | 168 | % | | | 97 | % | | | 79 | % | | | 64 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| Note: | | Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 24
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Effective August 16, 2010, Transamerica Convertible Securities VP changed its name to Transamerica AllianceBernstein Dynamic Allocation VP. Transamerica AllianceBernstein Dynamic Allocation VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian, and pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities is translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Futures contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objective. The Fund uses futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker either in cash or securities an initial margin in an amount equal to a certain percentage of the contract amount.
Subsequent payments (variation margin) are paid or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or security prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize losses. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
The open futures contracts at December 31, 2010 are listed in the Schedule of Investments. The variation margin receivable or payable, as applicable, is included in the Statement of Assets and Liabilities.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 25
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
Market and credit risk: On September 6, 2008, the Federal Housing Finance Agency (“FHFA”) placed Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”) into conservatorship. As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and the assets of FNMA and FHLMC. On September 7, 2008, the U.S. Treasury announced additional steps taken by it in connection with the conservatorship. The U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of FNMA and FHLMC pursuant to which the U.S. Treasury will purchase up to an aggregate of $100 billion of each of FNMA and FHLMC to maintain a positive net worth in each enterprise. Second, the U.S. Treasury announced the creation of a new secured lending facility which is available to each of FNMA and FHLMC as a liquidity backstop. Third, the U.S. Treasury announced the creation of a temporary program to purchase mortgage-backed securities issued by each of FNMA and FHLMC. On February 18, 2009, the U.S. Treasury announced that it was doubling the size of its commitment to each enterprise under the Senior Preferred Stock Program to $200 billion. Both the liquidity backstop and the mortgage-backed securities purchase program expired December 31, 2009. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remains liable for all of its obligations associated with its mortgage-backed securities, including its guaranty obligations. The Senior Preferred Stock Purchase Agreement is intended to enhance each of FNMA’s and FHLMC’s ability to meet its obligations. The FHFA has indicated that the conservatorship of each enterprise will end when the FHFA determines that the FHFA’s plan to restore the enterprise to a safe and solvent condition has been completed.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 26
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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 (“ADR”), financial futures, Exchange Traded Funds (“ETF”), and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Corporate bonds: The fair value of corporate bonds 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 bonds 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.
Government securities: Government securities 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. Government securities generally are categorized in Level 2 of the fair value hierarchy.
U.S. government agency securities: U.S. government agency securities 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 securities. 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.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 27
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
The Fund had TBA’s outstanding as of December 31, 2010, which are included in Investment securities sold and Investment securities purchased on the Statement of Assets and Liabilities.
Derivative instruments: 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, 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. A substantial 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.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Effective August 16, 2010, Transamerica Investment Management, LLC (“TIM”) is no longer a sub-adviser of the Fund. The Fund changed its sub-adviser to AllianceBernstein L.P.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TIM, TFS, and TCI.
The table below shows the Fund’s transactions in and earnings from investments in affiliates of TAM for the year ended December 31, 2010:
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | Net Capital |
| | | Market Value | | Purchases at | | Proceeds | | Unrealized | | Dividend | | Market Value | | Percent of | | and Realized |
| Security | | 12/31/2009 | | Cost | | from Sales | | Appreciation | | Income | | 12/31/2010 | | Net Assets | | Gain |
| Aegon NV | | $— | | $13 | | $9 | | $1 | | $— | | $5 | | 0.0%¥ | | $t |
| | |
| ¥ | | Percentage rounds to less than 0.1%. |
| |
| t | | Amount rounds to less than $1. |
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $250 million | | | 0.75 | % |
| Over $250 million | | | 0.70 | % |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 28
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.15% Expense Limit
Prior to May 1, 2010, the expense limit was 1.25%.
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived advisory fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $8. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2010: | | $ | 8 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 29
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 106,480 | |
| U.S. Government | | | 40,271 | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 209,116 | |
| U.S. Government | | | 17,119 | |
NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund is subject to various risks in the normal course of pursuing its investment objective. The volume of futures contracts and forward foreign currency contracts held throughout the year increased beginning at zero for both instruments, and ending at seven and three, respectively. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | | | | | |
| | | Interest rates | | Equity | | Foreign exchange | | | | |
| Location | | contracts | | contracts | | contracts | | Total |
Asset derivatives | | | | | | | | | | | | | | | | |
| Unrealized appreciation on futures contracts | | $ | — | | | $ | 143 | | | $ | — | | | $ | 143 | * |
| Unrealized appreciation on forward foreign currency contracts | | | — | | | | — | | | | 101 | | | | 101 | |
Liability derivatives | | | | | | | | | | | | | | | | |
| Unrealized depreciation on futures contracts | | | (7 | ) | | | (1 | ) | | | — | | | | (8 | )* |
| Unrealized depreciation on forward foreign currency contracts | | | — | | | | — | | | | (1 | ) | | | (1 | ) |
| Total | | $ | (7 | ) | | $ | 142 | | | $ | 100 | | | $ | 235 | |
| | |
| * | | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Fair Values of Derivative Instruments on the Statement of Operations for the Year ended December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | | | | | |
| | | Interest rates | | Equity | | Foreign exchange | | | | |
| Location | | contracts | | contracts | | contracts | | Total |
Realized Gain / (Loss) on derivatives recognized in income | | | | | | | | | | | | | | | | |
| Net realized gain on futures contracts | | $ | 16 | | | $ | 1,127 | | | $ | — | | | $ | 1,143 | |
| Net realized gain on foreign currency transactions | | | — | | | | — | | | | 3 | | | | 3 | |
Change in Unrealized Appreciation / (Depreciation) on derivatives recognized in income | | | | | | | | | | | | | | | | |
| Net increase (decrease) in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies | | | — | | | | — | | | | 101 | | | | 101 | |
| Net increase (decrease) in unrealized appreciation (depreciation) on futures contracts | | | (6 | ) | | | 141 | | | | — | | | | 135 | |
| Total | | $ | 10 | | | $ | 1,268 | | | $ | 104 | | | $ | 1,382 | |
For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Fund may be required to post collateral on derivatives if the Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 30
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | 31 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (31 | ) |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ 4,041 | | December 31, 2016 |
| $ 29,703 | | December 31, 2017 |
The capital loss carryforwards utilized during the year ended December 31, 2010 were $20,768.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 3,633 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 4,397 | |
| Long-term Capital Gain | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 31
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 1,576 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (33,744 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 2,385 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 32
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica AllianceBernstein Dynamic Allocation VP:
We have audited the accompanying statement of assets and liabilities of Transamerica AllianceBernstein Dynamic Allocation VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica AllianceBernstein Dynamic Allocation VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 33
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 34
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
Approval of New Investment Sub-Advisory Agreement (unaudited)
At a meeting of the Board of Trustees of Transamerica Series Trust (the “Board” or “Board Members”) held on June 10, 2010, the Board considered a proposal from Transamerica Asset Management, Inc. (“TAM”) to replace Transamerica Investment Management, LLC (“TIM”) with AllianceBernstein, L.P. (“AllianceBernstein”) as sub-adviser to Transamerica AllianceBernstein Dynamic Allocation VP (formerly known as Transamerica Convertible Securities VP) (the “Fund”). In connection with the proposed sub-adviser change, the Board Members reviewed and considered a new investment sub-advisory agreement with AllianceBernstein to determine whether the agreement should be approved for an initial two-year period.
The Board Members considered the termination of TIM as sub-adviser for the Fund and the appointment of AllianceBernstein as replacement sub-adviser. The Board authorized TAM to terminate the sub-advisory agreement with TIM. The Board also approved the sub-advisory agreement with AllianceBernstein with respect to the Fund for an initial two-year period (the “AllianceBernstein Sub- Advisory Agreement”).
To assist the Board Members in their consideration of the AllianceBernstein Sub-Advisory Agreement, the Board Members received in advance of the Meeting certain materials and information. In addition, the Independent Board Members consulted with their independent legal counsel, discussing, among other things, the legal standards and certain other considerations relevant to the Board Members’ deliberations. Among other matters, the Board Members considered:
| | (a) | | that TAM advised the Board Members that the appointment of AllianceBernstein is not expected to result in any diminution in the nature, quality and extent of services provided to the Fund and its shareholders, including compliance services; |
| |
| | (b) | | that TAM advised the Board Members that AllianceBernstein is an experienced and respected asset management firm and that AllianceBernstein has the capabilities, resources and personnel necessary to provide advisory services to the Fund; |
| |
| | (c) | | the proposed responsibilities of AllianceBernstein for the Fund and the services expected to be provided by it; |
| |
| | (d) | | the fact that the sub-advisory fee payable to AllianceBernstein, although higher at certain asset levels, would be directly paid by TAM and not by the Fund; and |
| |
| | (e) | | that the sub-advisory fee paid by TAM to AllianceBernstein is consistent with TAM’s fiduciary duty under applicable law. |
Nature, Quality and Extent of Services Provided. In evaluating the nature, quality and extent of the services to be provided by AllianceBernstein under the AllianceBernstein Sub-Advisory Agreement, the Board Members considered, among other things, information and assurances provided by TAM and AllianceBernstein as to the operations, facilities, organization and personnel of AllianceBernstein, the anticipated ability of AllianceBernstein to perform its duties under the AllianceBernstein Sub-Advisory Agreement, and the anticipated changes to the current investment program and other practices of the Fund. The Board Members considered the proposed change to the Fund’s investment objective and principal investment strategies and risks, including the non-fundamental investment policies, as well as the change to the Fund’s name. The Board Members considered that TAM has advised the Board Members that the appointment of AllianceBernstein is not expected to result in any diminution in the nature, quality and extent of services provided to the Fund and its shareholders, including compliance services. The Board Members considered that AllianceBernstein is an experienced and respected asset management firm and that TAM believes that AllianceBernstein has the capabilities, resources and personnel necessary to provide advisory services to the Fund.
Based on their review of the materials provided and the assurances they had received from TAM, the Board Members determined that AllianceBernstein can provide sub-advisory services that are appropriate in scope and extent in light of the proposed investment program for the Fund and that AllianceBernstein’s appointment is not expected to adversely affect the nature, quality and extent of services provided to the Fund.
Fees and Costs of Services Provided. The Board Members considered the sub-advisory fee rate under the AllianceBernstein Sub-Advisory Agreement and noted that the sub-advisory fee payable by TAM would be increased at certain asset levels if the AllianceBernstein Sub-Advisory Agreement is implemented. The Board Members noted that the sub-advisory fees are paid by TAM and that fees to Fund shareholders would remain unchanged. The Board Members also determined that the sub-advisory fee paid by TAM to AllianceBernstein is consistent with TAM’s fiduciary duty under applicable law.
Economies of Scale. The Board Members considered that the advisory fee schedule, which contains breakpoints, permits certain economies of scale for the benefit of shareholders as the Fund grows. The Board Members concluded that they would have the opportunity to periodically reexamine whether economies of scale had been achieved, and the appropriateness of management fees payable to TAM and fees paid to AllianceBernstein, in the future. The Board Members noted that TAM believes that the appointment of AllianceBernstein as sub-adviser has the potential to attract additional assets.
Fall-Out Benefits. The Board noted that TAM believes that other benefits anticipated to be derived by AllianceBernstein from its relationship with the Fund are expected to be consistent with industry practice. The Board Members also noted that TAM would not realize soft dollar benefits from its relationship with AllianceBernstein, and that AllianceBernstein may engage in soft dollar arrangements consistent with applicable law and “best execution” requirements. It was noted, however, that given the nature of the proposed investment objectives and strategies of the Fund, significant soft dollar arrangements would be unlikely. The Board Members also considered that TAM believes that there is the potential for increased visibility in the marketplace as a result of AllianceBernstein’s relationship with the Fund
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 35
Transamerica AllianceBernstein Dynamic Allocation VP
(formerly, Transamerica Convertible Securities VP)
Approval of New Investment Sub-Advisory Agreement (unaudited)
(continued)
Investment Performance. The Board Members reviewed the Sharpe Ratio and Standard Deviation of a typical Dynamic Asset Allocation portfolio versus a typical rebalanced asset allocation fund from 1970 through September 2009, and noted that the Dynamic Asset Allocation portfolio provided a slightly higher return with less volatility, as well as a higher Sharpe Ratio, a measure of risk-adjusted return. The Board Members noted that TAM believes that the appointment of AllianceBernstein could benefit shareholders by offering them the potential for superior performance, but were unable to predict what effect execution of the AllianceBernstein Sub-Advisory Agreement would actually have on the future performance of the Portfolio. Based on this information, the Board Members determined that AllianceBernstein is capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies.
In their deliberations, the Board Members did not identify any single factor that was all-important or controlling, and each Board Member may have attributed different weights to the various factors. The Board Members, including a majority of the Independent Board Members, concluded that the AllianceBernstein Sub-Advisory Agreement should be approved and that the fees payable thereunder are consistent with TAM’s fiduciary duty under applicable law.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 36
Transamerica Asset Allocation - Conservative VP
(unaudited)
MARKET ENVIRONMENT
In 2010, the equity markets added to the rebound that began in the spring of 2009. In the U.S., the Standard & Poor’ 500 Composite Stock Index (“S&P 500”) gained 15.06% for the year. Small-cap stocks delivered even stronger results as the Russell 2000® Index rose 26.86% for 2010.
Markets overcame several obstacles during the course of the year. In the spring, the Greek debt crisis evolved into broad concern about the finances of a number of other peripheral European Union (“EU”) members. Investors began to question the long-term survivability of the EU itself, at least in its present form, and near-term growth prospects for the region were generally lowered. Around the same time, second-quarter U.S. Gross Domestic Product (“GDP”) growth came in at a modest 1.7% as the anticipated benefits of fiscal stimulus did not fully materialize. Unemployment stayed stubbornly high and housing remained shaky. After a difficult August, Federal Reserve Board (“Fed”) chief Ben Bernanke indicated the Fed may make additional purchases of long-term bonds—a form of quantitative easing. The final plan announced in November, which became known as QE2, projects the purchase of $600 billion in Treasury bonds in monthly increments through June 2011.
The QE2 talk seemed to pay early dividends as interest rates fell and stocks rallied in September. Meanwhile, the economic news brightened through year-end. Third-quarter GDP growth rose to 2.6%, consumer spending beat expectations during the holiday season, the job market flashed encouraging signs, and President Obama signed a tax deal to extend the Bush tax cuts and reduce payroll taxes.
International equities generally lagged behind U.S. stocks in 2010. European stocks suffered through the Greek debt crisis early in the year and then stumbled again in November as Ireland succumbed to pressure and accepted a bailout from the European Central Bank. Emerging markets delivered divergent performances. As measured by the Morgan Stanley Capital International (MSCI”) country indices, China gained just 4.6% in 2010 as the country took steps to slow its rampant growth and stem inflationary fears. Brazil rose 6.5% amid the election of a new president. Russia gained 19.1% on rising oil prices. India soared 21% to lead the pack with large inflows from foreign investors lifting prices.
Fixed-income investments performed well for most of the year as corporate profits recovered while interest rates fell. With QE2 looming, the yield on the 10-year Treasury dropped down to 2.39% in early October. But it rose again toward the end of the year as the improving economy and rich bond prices led to a sell-off. Overall, the Barclays Capital U.S. Aggregate Bond Index gained 6.54% in 2010, despite losing 1.3% in the fourth quarter.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Asset Allocation-Conservative VP Initial Class returned 8.93%. By comparison, its primary and secondary benchmarks, the Barclays Capital U.S. Aggregate Bond Index and the Wilshire 5000 Total Market Index, returned 6.54% and 17.87%, respectively.
STRATEGY REVIEW
The portfolio is structured to provide a mix of approximately 35% equity and 65% fixed-income securities (including cash) under normal market conditions. The equity side provides broad coverage of both domestic and international markets, across the entire range of investment styles. The fixed-income portion covers investment-grade and credit-sensitive holdings, as well as international bonds. The portfolio also includes emerging markets and global real estate. The goal is to provide investors conservative one-stop participation in the broad financial market, so the portfolio includes ample coverage of traditional core asset classes as well as limited exposure to less-traditional asset classes. These various asset classes can be expected to outperform and underperform the market at different times. But by diversifying across all of them one can participate in the long-term performance of each. Under the surface we endeavor to find and use top-quality money managers specializing in each asset class and style. We vigorously monitor these underlying managers for performance or style problems, and adjust their weightings continuously both to stay near our asset-class targets and to reflect the managers’ relative merit.
As was the case in the equity markets, economically sensitive bonds tended to outperform within the bond market. Of the portfolio’s bond funds, the only ones to lag the Barclays Capital U.S. Aggregate Bond Index were Transamerica Short-Term Bond and Transamerica U.S. Government Securities VP—both conservative funds. The other underlying bond funds surpassed the index, with Transamerica AEGON High Yield Bond and Transamerica Flexible Income both roughly doubling the index’s return. The highest-returning bond fund, however, was the opportunistic, multi-sector Transamerica Loomis Sayles Bond.
The portfolio also benefited from its small- and mid-cap equity exposure, both in the U.S and abroad. Such stocks made up about 27% of the equity portion of the portfolio (or about 9% of the total portfolio) at the end of the year. The small-cap Russell 2000 Index and the Russell Midcap® Growth Index each rose more than 25%, and the MSCI EAFE Small Cap Index of international small caps was up 22.4%. Several of our small- and mid-cap underlying funds posted similarly strong returns, with Transamerica Growth Opportunities and Transamerica Morgan Stanley Mid Cap Growth particularly outperforming. Given that the year rewarded economically sensitive securities, it’s not surprising the portfolio’s emerging-markets holdings (close to a third of the international-equity portfolio at year end) also gained strongly. Although international developed markets were hobbled relative to the U.S. by Europe’s debt problems and a decline in the euro, all but one of our international funds managed to outpace the broad MSCI EAFE index.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Asset Allocation - Conservative VP
(unaudited)
STRATEGY REVIEW (continued)
The major disappointment was our domestic large-cap funds. Of the five domestic large-cap funds that have full-year records, only two of the growth funds—Transamerica Diversified Equity and Transamerica WMC Diversified Growth—managed to keep pace with the S&P 500’s gain, helped in part by the fact that growth stocks moderately outperformed the index during the year. In November a sixth domestic large-cap fund was made available to us, the newly created Transamerica WMC Quality Value, based on a Wellington Management Company strategy. We immediately began building a position in that fund, which complements the other large-cap holdings stylistically. Although the international holdings generally performed well in 2010, one of them—the formerly named Transamerica AllianceBernstein International Value—notably lagged. Indeed, that fund has struggled most of the past four years. In December, Transamerica replaced AllianceBernstein as sub-adviser on the fund with Hansberger Global Investors; the fund is now named Transamerica Hansberger International Value and we have maintained our position there.
During the year we exited several funds that Transamerica decided to close or merge, mostly in relation to upgrading the fund menu from which we draw. Part of that effort also involved adding attractive funds to the menu, such as the aforementioned Transamerica WMC Quality Value as well as Transamerica Diversified Equity (a more-diversified version of previous holding Transamerica Equity). In the spring and early summer we lowered the portfolio’s equity weighting below its normal 35% target as Europe’s debt problems made the markets volatile. The equity weight bottomed at 26% around mid-year; we subsequently raised the weight back to its full target. Also in response to Europe’s debt troubles, we maintained an underweight in European bonds while moderately overweighting debt in emerging markets, where the fundamentals are much stronger. We similarly underweighted developed-markets international equity relative to emerging-markets equity for much of the year.
Over the past two years, macroeconomic factors and government policy decisions have arguably been the main drivers of the world’s equity and fixed-income markets. In that environment, stock- and bond-picking skill has been less of a differentiator among investment managers. As the major market inflections of the 2008-2010 period recede into the past, we believe we will see a return to a more fundamentals-driven market environment, which we believe will allow the talents of our underlying managers to contribute more significantly.
Jon Hale, CFA
Michael Stout, CFA
Dan McNeela, CFA
Hal Ratner
Co-Portfolio Managers
Morningstar Associates, LLC
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Asset Allocation - Conservative VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 8.93 | % | | | 4.59 | % | | | 5.68 | % | | | 05/01/2002 | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.80 | % | | | 5.52 | % | | | | |
Wilshire 5000* | | | 17.87 | % | | | 3.21 | % | | | 4.96 | % | | | | |
| |
| Service Class | | | 8.71 | % | | | 4.33 | % | | | 6.85 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) and the Wilshire 5000 Total Market Index (“Wilshire 5000”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Asset Allocation - Conservative VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Asset Allocation — Conservative VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,090.40 | | | $ | 0.74 | | | $ | 1,024.50 | | | $ | 0.71 | | | | 0.14 | % |
| Service Class | | | 1,000.00 | | | | 1,089.30 | | | | 2.05 | | | | 1,023.24 | | | | 1.99 | | | | 0.39 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Bonds | | | 53.0 | % |
| U.S. Stocks | | | 22.0 | |
| Global/International Stocks | | | 8.1 | |
| Inflation-Protected Securities | | | 7.5 | |
| Tactical and Specialty | | | 5.6 | |
| Capital Markets | | | 3.7 | |
| Capital Preservation | | | 0.1 | |
| Other Assets and Liabilities — Net | | | 0.0 | |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Asset Allocation - Conservative VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 100.0% | | | | | | | | |
Bonds - 53.0% | | | | | | | | |
Transamerica AEGON High Yield Bond € | | | 1,998,835 | | | $ | 18,269 | |
| Transamerica Flexible Income € | | | 1,345,266 | | | | 12,080 | |
| Transamerica JPMorgan Core Bond € | | | 23,121,339 | | | | 236,532 | |
| Transamerica JPMorgan International Bond € | | | 2,077,280 | | | | 22,372 | |
| Transamerica Morgan Stanley Emerging Markets Debt € | | | 2,865,957 | | | | 29,863 | |
| Transamerica PIMCO Total Return VP ж | | | 25,044,491 | | | | 290,016 | |
| Transamerica Short-Term Bond € | | | 21,408,723 | | | | 219,654 | |
| Transamerica U.S. Government Securities VP ж | | | 539,250 | | | | 6,875 | |
Capital Markets - 3.7% | | | | | | | | |
| Transamerica WMC Quality Value € | | | 5,440,627 | | | | 58,269 | |
Capital Preservation - 0.1% | | | | | | | | |
| Transamerica Money Market VP ж | | | 1,572,621 | | | | 1,573 | |
Global/International Stocks - 8.1% | | | | | | | | |
| Transamerica Hansberger International Value € | | | 376,136 | | | | 2,998 | |
| Transamerica MFS International Equity € | | | 3,109,885 | | | | 27,429 | |
| Transamerica Neuberger Berman International € | | | 2,062,570 | | | | 19,099 | |
| Transamerica Oppenheimer Developing Markets € | | | 1,278,039 | | | | 17,905 | |
| Transamerica Schroders International Small Cap € | | | 1,816,929 | | | | 18,442 | |
| Transamerica Thornburg International Value € | | | 2,524,055 | | | | 28,674 | |
| Transamerica WMC Emerging Markets € | | | 986,760 | | | | 13,834 | |
Inflation-Protected Securities - 7.5% | | | | | | | | |
| Transamerica PIMCO Real Return TIPS € | | | 11,131,517 | | | | 118,328 | |
Tactical and Specialty - 5.6% | | | | | | | | |
| Transamerica BlackRock Global Allocation € | | | 1,559,017 | | | | 17,305 | |
| Transamerica Clarion Global Real Estate Securities VP ж | | | 1,247,087 | | | | 14,092 | |
| Transamerica Federated Market Opportunity VP ж | | | 2,178,794 | | | | 25,470 | |
| Transamerica Loomis Sayles Bond € | | | 2,903,972 | | | | 30,811 | |
U.S. Stocks - 22.0% | | | | | | | | |
| Transamerica BlackRock Large Cap Value VP ж | | | 5,254,814 | | | | 71,728 | |
| Transamerica Diversified Equity VP ж | | | 1,167,713 | | | | 23,599 | |
| Transamerica Growth Opportunities VP ж | | | 230,489 | | | | 3,301 | |
| Transamerica Jennison Growth € | | | 7,138 | | | | 89 | |
| Transamerica Jennison Growth VP ж | | | 11,601,416 | | | | 91,651 | |
| Transamerica JPMorgan Mid Cap Value VP ж | | | 883,562 | | | | 11,884 | |
| Transamerica Morgan Stanley Mid-Cap Growth € | | | 375,559 | | | | 4,935 | |
| Transamerica Morgan Stanley Small Company Growth € | | | 1,014,781 | | | | 12,624 | |
| Transamerica Oppenheimer Small- & Mid- Cap Value € | | | 972,557 | | | | 9,862 | |
| Transamerica Third Avenue Value € | | | 636,544 | | | | 14,456 | |
| Transamerica UBS Large Cap Value € | | | 3,794,665 | | | | 36,846 | |
| Transamerica WMC Diversified Growth VP ж | | | 2,938,739 | | | | 66,004 | |
| | | | | | | | | |
| | | | | | | | |
| Total Investment Companies (cost $1,491,355) # | | | | | | | 1,576,869 | |
| Other Assets and Liabilities - Net | | | | | | | (374 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 1,576,495 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| € | | The portfolio invests its assets in the Class I2 shares of the affiliated fund of Transamerica Funds. |
| |
| ж | | The portfolio invests its assets in the Initial Class shares of the affiliated fund of Transamerica Series Trust. |
| |
| # | | Aggregate cost for federal income tax purposes is $1,491,790. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $92,810 and $7,731, respectively. Net unrealized appreciation for tax purposes is $85,079. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Companies | | $ | 1,576,869 | | | $ | — | | | $ | — | | | $ | 1,576,869 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Asset Allocation - Conservative VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in affiliated investment companies at value (cost: $1,491,355) | | $ | 1,576,869 | |
| Receivables: | | | | |
| Investment securities sold | | | 277 | |
| Shares sold | | | 648 | |
| Dividends | | | 45 | |
| Prepaid expenses | | | 15 | |
| | | | |
| | | | 1,577,854 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 21 | |
| Shares redeemed | | | 925 | |
| Management and advisory fees | | | 134 | |
| Distribution and service fees | | | 218 | |
| Transfer agent fees | | | 1 | |
| Administration fees | | | 17 | |
| Audit and tax fees | | | 4 | |
| Printing and shareholder reports fees | | | 12 | |
| Other | | | 27 | |
| | | | |
| | | | 1,359 | |
| | | | |
Net assets | | $ | 1,576,495 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 1,540 | |
| Additional paid-in capital | | | 1,556,388 | |
| Undistributed (accumulated) net investment income (loss) | | | 43,104 | |
| Undistributed (accumulated) net realized gain (loss) from investments in affiliated investment companies | | | (110,051 | ) |
| Net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 85,514 | |
| | | | |
Net assets | | $ | 1,576,495 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 551,227 | |
| Service Class | | | 1,025,268 | |
Shares outstanding: | | | | |
| Initial Class | | | 53,549 | |
| Service Class | | | 100,415 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 10.29 | |
| Service Class | | | 10.21 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from affiliated investment companies | | $ | 47,368 | |
Expenses: | | | | |
| Management and advisory | | | 1,476 | |
| Printing and shareholder reports | | | 67 | |
| Custody | | | 47 | |
| Administration | | | 185 | |
| Legal | | | 80 | |
| Audit and tax | | | 11 | |
| Trustees | | | 52 | |
| Transfer agent | | | 14 | |
| Distribution and service: | | | | |
| Service Class | | | 2,302 | |
| Other | | | 30 | |
| | | | |
| Total expenses | | | 4,264 | |
| | | | |
| | | | | |
Net investment income | | | 43,104 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in affiliated investment companies | | | (31,794 | ) |
| Distributions from investments in affiliated investment companies | | | 7,858 | |
| | | | |
| | | | (23,936 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in affiliated investment companies | | | 109,905 | |
| | | | |
Net realized and unrealized gain on investments in affiliated investment companies | | | 85,969 | |
| | | | |
Net increase in net assets resulting from operations | | $ | 129,073 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Asset Allocation - Conservative VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 43,104 | | | $ | 47,473 | |
| Net realized gain (loss) from investments in affiliated investment companies | | | (23,936 | ) | | | (43,836 | ) |
| Change in net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 109,905 | | | | 262,924 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 129,073 | | | | 266,561 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (17,947 | ) | | | (22,637 | ) |
| Service Class | | | (29,527 | ) | | | (27,610 | ) |
| | | | | | | |
| | | | (47,474 | ) | | | (50,247 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (1,541 | ) | | | (8,488 | ) |
| Service Class | | | (2,670 | ) | | | (10,817 | ) |
| | | | | | | |
| | | | (4,211 | ) | | | (19,305 | ) |
| | | | | | | |
Total distributions to shareholders | | | (51,685 | ) | | | (69,552 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 121,731 | | | | 126,694 | |
| Service Class | | | 264,076 | | | | 314,309 | |
| | | | | | | |
| | | | 385,807 | | | | 441,003 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 19,488 | | | | 31,125 | |
| Service Class | | | 32,197 | | | | 38,427 | |
| | | | | | | |
| | | | 51,685 | | | | 69,552 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (174,109 | ) | | | (189,561 | ) |
| Service Class | | | (142,143 | ) | | | (103,067 | ) |
| | | | | | | |
| | | | (316,252 | ) | | | (292,628 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 121,240 | | | | 217,927 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 198,628 | | | | 414,936 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 1,377,867 | | | | 962,931 | |
| | | | | | | |
| End of year | | $ | 1,576,495 | | | $ | 1,377,867 | |
| | | | | | | |
Undistributed net investment income | | $ | 43,104 | | | $ | 47,474 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 12,304 | | | | 14,469 | |
| Service Class | | | 26,738 | | | | 35,507 | |
| | | | | | | |
| | | | 39,042 | | | | 49,976 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 2,032 | | | | 3,383 | |
| Service Class | | | 3,382 | | | | 4,200 | |
| | | | | | | |
| | | | 5,414 | | | | 7,583 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (17,416 | ) | | | (21,170 | ) |
| Service Class | | | (14,308 | ) | | | (11,608 | ) |
| | | | | | | |
| | | | (31,724 | ) | | | (32,778 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (3,080 | ) | | | (3,318 | ) |
| Service Class | | | 15,812 | | | | 28,099 | |
| | | | | | | |
| | | | 12,732 | | | | 24,781 | |
| | | | | | | |
| | |
| Note: | | Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Asset Allocation - Conservative VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.80 | | | $ | 8.29 | | | $ | 11.49 | | | $ | 11.54 | | | $ | 11.43 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A),(B) | | | 0.30 | | | | 0.37 | | | | 0.46 | | | | 0.42 | | | | 0.41 | |
| Net realized and unrealized gain (loss) | | | 0.55 | | | | 1.69 | | | | (2.75 | ) | | | 0.29 | | | | 0.62 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.85 | | | | 2.06 | | | | (2.29 | ) | | | 0.71 | | | | 1.03 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.33 | ) | | | (0.40 | ) | | | (0.31 | ) | | | (0.34 | ) | | | (0.38 | ) |
| From net realized gains | | | (0.03 | ) | | | (0.15 | ) | | | (0.60 | ) | | | (0.42 | ) | | | (0.54 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.36 | ) | | | (0.55 | ) | | | (0.91 | ) | | | (0.76 | ) | | | (0.92 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.29 | | | $ | 9.80 | | | $ | 8.29 | | | $ | 11.49 | | | $ | 11.54 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(C) | | | 8.93 | % | | | 25.22 | % | | | (21.18 | )% | | | 6.38 | % | | | 9.45 | % |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 551,227 | | | $ | 554,813 | | | $ | 497,129 | | | $ | 554,977 | | | $ | 527,618 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(D) | | | 0.13 | % | | | 0.13 | % | | | 0.14 | % | | | 0.13 | % | | | 0.13 | % |
Net investment income, to average net assets(B) | | | 3.01 | % | | | 4.07 | % | | | 4.47 | % | | | 3.60 | % | | | 3.54 | % |
Portfolio turnover rate(E) | | | 41 | % | | | 25 | % | | | 25 | % | | | 43 | % | | | 18 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.73 | | | $ | 8.24 | | | $ | 11.44 | | | $ | 11.50 | | | $ | 11.41 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A),(B) | | | 0.28 | | | | 0.37 | | | | 0.48 | | | | 0.40 | | | | 0.40 | |
| Net realized and unrealized gain (loss) | | | 0.54 | | | | 1.65 | | | | (2.79 | ) | | | 0.28 | | | | 0.60 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.82 | | | | 2.02 | | | | (2.31 | ) | | | 0.68 | | | | 1.00 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.31 | ) | | | (0.38 | ) | | | (0.29 | ) | | | (0.32 | ) | | | (0.37 | ) |
| From net realized gains | | | (0.03 | ) | | | (0.15 | ) | | | (0.60 | ) | | | (0.42 | ) | | | (0.54 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.34 | ) | | | (0.53 | ) | | | (0.89 | ) | | | (0.74 | ) | | | (0.91 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.21 | | | $ | 9.73 | | | $ | 8.24 | | | $ | 11.44 | | | $ | 11.50 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(C) | | | 8.71 | % | | | 24.90 | % | | | (21.40 | )% | | | 6.15 | % | | | 9.14 | % |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 1,025,268 | | | $ | 823,054 | | | $ | 465,802 | | | $ | 392,969 | | | $ | 290,272 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(D) | | | 0.38 | % | | | 0.38 | % | | | 0.39 | % | | | 0.38 | % | | | 0.38 | % |
Net investment income, to average net assets(B) | | | 2.86 | % | | | 4.10 | % | | | 4.69 | % | | | 3.48 | % | | | 3.44 | % |
Portfolio turnover rate(E) | | | 41 | % | | | 25 | % | | | 25 | % | | | 43 | % | | | 18 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying affiliated investment companies in which the fund invests. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (D) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (E) | | Does not include the portfolio activity of the underlying affiliated funds. |
| |
| Note: | | Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Asset Allocation - Conservative VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Asset Allocation — Conservative VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Asset Allocation - Conservative VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31,2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON
International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rates:
0.10% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.25% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Asset Allocation - Conservative VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.0125% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 728,300 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 607,747 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Asset Allocation - Conservative VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS (continued)
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $2,042 | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 51,685 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 50,247 | |
| Long-term Capital Gain | | | 19,305 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 43,104 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 0 | |
| | | | |
| Capital Loss Carryforward | | $ | (2,042 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 85,079 | |
| | | | |
| Other Temporary Differences | | $ | (107,574 | ) |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Asset Allocation - Conservative VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Asset Allocation — Conservative VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Asset Allocation — Conservative VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Asset Allocation — Conservative VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Asset Allocation - Conservative VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Asset Allocation - Growth VP
(unaudited)
MARKET ENVIRONMENT
In 2010, the equity markets added to the rebound that began in the spring of 2009. In the U.S., the Standard & Poor’ 500 Composite Stock Index (“S&P 500”) gained 15.06% for the year. Small-cap stocks delivered even stronger results as the Russell 2000® Index rose 26.86% for 2010.
Markets overcame several obstacles during the course of the year. In the spring, the Greek debt crisis evolved into broad concern about the finances of a number of other peripheral European Union (“EU”) members. Investors began to question the long-term survivability of the EU itself, at least in its present form, and near-term growth prospects for the region were generally lowered. Around the same time, second-quarter U.S. Gross Domestic Product (“GDP”) growth came in at a modest 1.7% as the anticipated benefits of fiscal stimulus did not fully materialize. Unemployment stayed stubbornly high and housing remained shaky. After a difficult August, Federal Reserve Board (“Fed”) chief Ben Bernanke indicated the Fed may make additional purchases of long-term bonds—a form of quantitative easing. The final plan announced in November, which became known as QE2, projects the purchase of $600 billion in Treasury bonds in monthly increments through June 2011.
The QE2 talk seemed to pay early dividends as interest rates fell and stocks rallied in September. Meanwhile, the economic news brightened through year-end. Third-quarter GDP growth rose to 2.6%, consumer spending beat expectations during the holiday season, the job market flashed encouraging signs, and President Obama signed a tax deal to extend the Bush tax cuts and reduce payroll taxes.
International equities generally lagged behind U.S. stocks in 2010. European stocks suffered through the Greek debt crisis early in the year and then stumbled again in November as Ireland succumbed to pressure and accepted a bailout from the European Central Bank. Emerging markets delivered divergent performances. As measured by the Morgan Stanley Capital International (MSCI”) country indices, China gained just 4.6% in 2010 as the country took steps to slow its rampant growth and stem inflationary fears. Brazil rose 6.5% amid the election of a new president. Russia gained 19.1% on rising oil prices. India soared 21% to lead the pack with large inflows from foreign investors lifting prices.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Asset Allocation-Growth VP Initial Class returned 14.95%. By comparison, its benchmark, the Wilshire 5000 Total Market Index, returned 17.87%.
STRATEGY REVIEW
The portfolio is structured to provide broadly diversified coverage of the domestic and international equity markets, across a range of market capitalizations and investment styles. The portfolio also includes emerging markets, global real estate, and alternative strategies. The goal is to provide investors one-stop participation in the broad equity market, so the portfolio includes ample coverage of traditional core asset classes as well as limited exposure to less-traditional asset classes like those mentioned above. These various asset classes can be expected to outperform and underperform the market at different times. But by diversifying across all of them one can participate in the long-term performance of each. Under the surface we endeavor to find and use top-quality money managers specializing in each equity style. We vigorously monitor these underlying managers for performance or style problems, and adjust their weightings continuously both to stay near our asset-class and style targets and to reflect the managers’ relative merit.
During the year, the portfolio benefited from its small- and mid-cap equity exposure, both in the U.S and abroad. At year-end, such stocks made up about 30% of the equity holdings in the portfolio. The small-cap Russell 2000® Index and the Russell Midcap® Growth Index each rose more than 25%, and the MSCI EAFE Small Cap Index of international small caps was up 22.04%. Several of our small- and mid-cap underlying funds posted similarly strong returns, with Transamerica Growth Opportunities and Transamerica Morgan Stanley Mid Cap Growth particularly outperforming. Given that the year rewarded economically sensitive securities, it is not surprising the portfolio’s emerging-markets holdings (close to a third of the international-equity portfolio at year end) also gained strongly. Transamerica Oppenheimer Developing Markets returned 26.22%, although Transamerica WMC Emerging Markets (the smaller of the two positions) lagged the MSCI Emerging Markets Index’s strong return. Although international developed markets were hobbled relative to the U.S. by Europe’s debt problems and a decline in the euro, all but one of our international funds managed to outpace the broad MSCI EAFE index.
The major disappointment was our domestic large-cap funds, which as core holdings are all sizable positions. Of the five domestic large-cap funds that have full-year records, only two of the growth funds—Transamerica Diversified Equity and Transamerica WMC Diversified Growth—managed to keep pace with the S&P 500’s gain, helped in part by the fact that growth stocks moderately outperformed the index during the year. In November a sixth domestic large-cap fund was made available to us, the newly created Transamerica WMC Quality Value, based on a Wellington Management Company strategy. We immediately began building a significant position in that fund, which complements the other large-cap holdings stylistically and also helps reduce the position sizes within the domestic large-cap area. Although the international holdings generally performed well in 2010, one of them—the formerly named Transamerica AllianceBernstein International Value—notably lagged. Indeed, that fund has struggled most of the past four years. In December, Transamerica replaced AllianceBernstein as sub-adviser on the fund with Hansberger Global Investors; the fund is now named Transamerica Hansberger International Value and we have maintained our position there.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Asset Allocation - Growth VP
(unaudited)
STRATEGY REVIEW (continued)
In response to Europe’s debt troubles, within the international portfolio we underweighted developed foreign markets. With emerging markets already heavily weighted in the portfolio, we offset the foreign developed markets underweight with an overweight relative to our normal targets in U.S. stocks. During the year we also exited several funds that Transamerica decided to close or merge, mostly in relation to upgrading the fund menu from which we draw. Part of that effort also involved adding attractive funds to the menu, such as the aforementioned Transamerica WMC Quality Value as well as Transamerica Diversified Equity (a more-diversified version of previous holding Transamerica Equity).
In early October, Transamerica BlackRock Natural Resources—a natural-resources stock fund the portfolio has long held as a proxy for commodity exposure—was converted to a true commodities-futures fund by switching the sub-adviser from BlackRock Investment Management, LLC to Goldman Sachs Asset Management, L.P. The fund is now called Transamerica Goldman Sachs Commodity Strategy, and besides being a purer play on commodities, it is more diversified across the commodity landscape than the BlackRock version was.
Over the past two years, macroeconomic factors and government policy decisions have arguably been the main drivers of the world’s equity and fixed-income markets. In that environment, stock-picking skill has been less of a differentiator among investment managers. As the major market inflections of the 2008-2010 period recede into the past, we believe we will see a return to a more fundamentals-driven market environment, which we believe will allow the talents of our underlying managers to contribute more significantly.
Jon Hale, CFA
Michael Stout, CFA
Dan McNeela, CFA
Hal Ratner
Co-Portfolio Managers
Morningstar Associates, LLC
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Asset Allocation - Growth VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 14.95 | % | | | 2.33 | % | | | 5.08 | % | | | 05/01/2002 | |
Wilshire 5000* | | | 17.87 | % | | | 3.21 | % | | | 4.96 | % | | | | |
| |
| Service Class | | | 14.65 | % | | | 2.09 | % | | | 7.83 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Wilshire 5000 Total Market Index (“Wilshire 5000”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Asset Allocation - Growth VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following Example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid During | | Ending | | Expenses Paid During | | Annualized |
| Fund Name | | Account Value | | Value | | Period (A) | | Account Value | | Period (A) | | Expense Ratio (C) |
| |
| Transamerica Asset Allocation — Growth VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,241.90 | | | $ | 0.79 | | | $ | 1,024.50 | | | $ | 0.71 | | | | 0.14 | % |
| Service Class | | | 1,000.00 | | | | 1,241.10 | | | | 2.20 | | | | 1,023.24 | | | | 1.99 | | | | 0.39 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| U.S. Stocks | | | 57.5 | % |
| Global/International Stocks | | | 22.2 | |
| Tactical and Specialty | | | 11.8 | |
| Capital Markets | | | 8.4 | |
| Capital Preservation | | | 0.1 | |
| Bonds | | | 0.0 | * |
| Other Assets and Liabilities — Net | | | (0.0 | )* |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| * | | Rounds to less than 0.01% or (0.01%) |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Asset Allocation - Growth VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 100.0% | | | | | | | | |
Bonds - 0.0% ¥ | | | | | | | | |
| Transamerica JPMorgan Core Bond € | | | 3,497 | | | $ | 36 | |
Capital Markets - 8.4% | | | | | | | | |
| Transamerica WMC Quality Value € | | | 8,488,959 | | | | 90,917 | |
Capital Preservation - 0.1% | | | | | | | | |
| Transamerica Money Market VP ж | | | 586,373 | | | | 586 | |
Global/International Stocks - 22.2% | | | | | | | | |
| Transamerica Hansberger International Value € | | | 1,754,044 | | | | 13,980 | |
| Transamerica MFS International Equity € | | | 2,664,669 | | | | 23,502 | |
| Transamerica Neuberger Berman International € | | | 4,931,918 | | | | 45,670 | |
| Transamerica Oppenheimer Developing Markets € | | | 4,065,781 | | | | 56,962 | |
| Transamerica Schroders International Small Cap € | | | 4,529,628 | | | | 45,976 | |
| Transamerica Thornburg International Value € | | | 3,600,799 | | | | 40,905 | |
| Transamerica WMC Emerging Markets € | | | 1,002,742 | | | | 14,058 | |
Tactical and Specialty - 11.8% | | | | | | | | |
| Transamerica BlackRock Global Allocation € | | | 2,993,680 | | | | 33,230 | |
| Transamerica BNY Mellon Market Neutral Strategy ‡ € | | | 722,157 | | | | 5,922 | |
| Transamerica Clarion Global Real Estate Securities VP ж | | | 5,337,294 | | | | 60,312 | |
| Transamerica Federated Market Opportunity VP ж | | | 485,749 | | | | 5,678 | |
| Transamerica First Quadrant Global Macro ‡ € | | | 1,681,584 | | | | 9,972 | |
| Transamerica Goldman Sachs Commodity Strategy € | | | 1,158,330 | | | | 13,054 | |
U.S. Stocks - 57.5% | | | | | | | | |
| Transamerica BlackRock Large Cap Value VP ж | | | 8,732,707 | | | $ | 119,200 | |
| Transamerica Diversified Equity VP ж | | | 745,215 | | | | 15,061 | |
| Transamerica Growth Opportunities VP ж | | | 1,256,892 | | | | 17,999 | |
| Transamerica Jennison Growth € | | | 417,892 | | | | 5,203 | |
| Transamerica Jennison Growth VP ж | | | 23,061,815 | | | | 182,187 | |
| Transamerica JPMorgan Mid Cap Value VP ж | | | 2,226,895 | | | | 29,952 | |
| Transamerica Morgan Stanley Mid-Cap Growth € | | | 1,669,011 | | | | 21,931 | |
| Transamerica Morgan Stanley Small Company Growth € | | | 1,377,778 | | | | 17,140 | |
| Transamerica Oppenheimer Small- & Mid- Cap Value € | | | 2,454,402 | | | | 24,888 | |
| Transamerica Third Avenue Value € | | | 1,630,154 | | | | 37,021 | |
| Transamerica UBS Large Cap Value € | | | 5,809,982 | | | | 56,415 | |
| Transamerica WMC Diversified Growth VP ж | | | 4,294,788 | | | | 96,460 | |
| | | | | | | | |
| Total Investment Companies (cost $1,088,359) # | | | | | | | 1,084,217 | |
| Other Assets and Liabilities — Net | | | | | | | (189 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 1,084,028 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| € | | The portfolio invests its assets in the Class I2 shares of the affiliated fund of Transamerica Funds. |
| |
| ж | | The portfolio invests its assets in the Initial Class shares of the affiliated fund of Transamerica Series Trust. |
| |
| ‡ | | Non-income producing security. |
| |
| ¥ | | Percentage rounds to less than 0.1% |
| |
| # | | Aggregate cost for federal income tax purposes is $1,092,195. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $69,710 and $77,688, respectively. Net unrealized depreciation for tax purposes is $7,978. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Companies | | $ | 1,084,217 | | | $ | — | | | $ | — | | | $ | 1,084,217 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Asset Allocation - Growth VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in affiliated investment companies at value (cost: $1,088,359) | | $ | 1,084,217 | |
| Receivables: | | | | |
| Investment securities sold | | | 3,079 | |
| Shares sold | | | 132 | |
| Dividends | | | — | (A) |
| Prepaid expenses | | | 9 | |
| | | | |
| | | | 1,087,437 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 3,210 | |
| Management and advisory fees | | | 91 | |
| Distribution and service fees | | | 50 | |
| Transfer agent fees | | | 1 | |
| Administration fees | | | 11 | |
| Audit and tax fees | | | 4 | |
| Printing and shareholder reports fees | | | 24 | |
| Other | | | 18 | |
| | | | |
| | | | 3,409 | |
| | | | |
Net assets | | $ | 1,084,028 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 1,247 | |
| Additional paid-in capital | | | 1,319,982 | |
| Undistributed (accumulated) net investment income (loss) | | | 11,739 | |
| Undistributed (accumulated) net realized gain (loss) from investments in affiliated investment companies | | | (244,798 | ) |
| Net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | (4,142 | ) |
| | | | |
Net assets | | $ | 1,084,028 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 844,916 | |
| Service Class | | | 239,112 | |
Shares outstanding: | | | | |
| Initial Class | | | 97,067 | |
| Service Class | | | 27,672 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 8.70 | |
| Service Class | | | 8.64 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from affiliated investment companies | | $ | 13,640 | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 995 | |
| Printing and shareholder reports | | | 89 | |
| Custody | | | 33 | |
| Administration | | | 124 | |
| Legal | | | 54 | |
| Audit and tax | | | 11 | |
| Trustees | | | 35 | |
| Transfer agent | | | 9 | |
| Distribution and service: | | | | |
| Service Class | | | 530 | |
| Other | | | 21 | |
| | | | |
| Total expenses | | | 1,901 | |
| | | | |
| | | | | |
Net investment income | | | 11,739 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in affiliated investment companies | | | (74,781 | ) |
| Distributions from investments in affiliated investment companies | | | 3,613 | |
| | | | |
| | | | (71,168 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in affiliated investment companies | | | 197,204 | |
| | | | |
Net realized and unrealized gain on investments in affiliated investment companies | | | 126,036 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 137,775 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Asset Allocation - Growth VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 11,739 | | | $ | 10,168 | |
| Net realized gain (loss) from investments and distributions from investments in affiliated investment companies | | | (71,168 | ) | | | (78,187 | ) |
| Change in net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 197,204 | | | | 300,247 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 137,775 | | | | 232,228 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (8,360 | ) | | | (19,222 | ) |
| Service Class | | | (1,808 | ) | | | (4,113 | ) |
| | | | | | | |
| | | | (10,168 | ) | | | (23,335 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (57,946 | ) |
| Service Class | | | — | | | | (14,655 | ) |
| | | | | | | |
| | | | — | | | | (72,601 | ) |
| | | | | | | |
Total distributions to shareholders | | | (10,168 | ) | | | (95,936 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 59,138 | | | | 69,507 | |
| Service Class | | | 56,249 | | | | 42,423 | |
| | | | | | | |
| | | | 115,387 | | | | 111,930 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 8,360 | | | | 77,168 | |
| Service Class | | | 1,808 | | | | 18,768 | |
| | | | | | | |
| | | | 10,168 | | | | 95,936 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (132,756 | ) | | | (106,333 | ) |
| Service Class | | | (60,498 | ) | | | (43,344 | ) |
| | | | | | | |
| | | | (193,254 | ) | | | (149,677 | ) |
| | | | | | | |
Net increase (decrease) in net assets resulting from capital shares transactions | | | (67,699 | ) | | | 58,189 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 59,908 | | | | 194,481 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 1,024,120 | | | | 829,639 | |
| | | | | | | |
| End of year | | $ | 1,084,028 | | | $ | 1,024,120 | |
| | | | | | | |
Undistributed net investment income | | $ | 11,739 | | | $ | 10,168 | |
| | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 7,452 | | | | 10,169 | |
| Service Class | | | 7,095 | | | | 5,911 | |
| | | | | | | |
| | | | 14,547 | | | | 16,080 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 1,169 | | | | 11,008 | |
| Service Class | | | 255 | | | | 2,697 | |
| | | | | | | |
| | | | 1,424 | | | | 13,705 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (17,154 | ) | | | (15,828 | ) |
| Service Class | | | (7,965 | ) | | | (6,600 | ) |
| | | | | | | |
| | | | (25,119 | ) | | | (22,428 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (8,533 | ) | | | 5,349 | |
| Service Class | | | (615 | ) | | | 2,008 | |
| | | | | | | |
| | | | (9,148 | ) | | | 7,357 | |
| | | | | | | |
| | |
| Note: | | Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Asset Allocation - Growth VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 7.66 | | | $ | 6.57 | | | $ | 13.77 | | | $ | 13.63 | | | $ | 12.84 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A),(B) | | | 0.10 | | | | 0.09 | | | | 0.20 | | | | 0.28 | | | | 0.37 | |
| Net realized and unrealized gain (loss) | | | 1.03 | | | | 1.80 | | | | (5.02 | ) | | | 0.75 | | | | 1.52 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.13 | | | | 1.89 | | | | (4.82 | ) | | | 1.03 | | | | 1.89 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.09 | ) | | | (0.20 | ) | | | (0.30 | ) | | | (0.33 | ) | | | (0.13 | ) |
| From net realized gains | | | — | | | | (0.60 | ) | | | (2.08 | ) | | | (0.56 | ) | | | (0.97 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.09 | ) | | | (0.80 | ) | | | (2.38 | ) | | | (0.89 | ) | | | (1.10 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 8.70 | | | $ | 7.66 | | | $ | 6.57 | | | $ | 13.77 | | | $ | 13.63 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(C) | | | 14.95 | % | | | 29.82 | % | | | (39.63 | )% | | | 7.76 | % | | | 15.62 | % |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 844,916 | | | $ | 808,954 | | | $ | 658,400 | | | $ | 1,260,779 | | | $ | 1,198,596 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(D) | | | 0.14 | % | | | 0.14 | % | | | 0.14 | % | | | 0.13 | % | | | 0.14 | % |
Net investment income, to average net assets(B) | | | 1.23 | % | | | 1.21 | % | | | 1.94 | % | | | 2.00 | % | | | 2.75 | % |
Portfolio turnover rate(E) | | | 16 | % | | | 18 | % | | | 19 | % | | | 26 | % | | | 4 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 7.61 | | | $ | 6.52 | | | $ | 13.67 | | | $ | 13.54 | | | $ | 12.78 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A),(B) | | | 0.08 | | | | 0.06 | | | | 0.17 | | | | 0.26 | | | | 0.34 | |
| Net realized and unrealized gain (loss) | | | 1.02 | | | | 1.79 | | | | (4.97 | ) | | | 0.73 | | | | 1.50 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.10 | | | | 1.85 | | | | (4.80 | ) | | | 0.99 | | | | 1.84 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.07 | ) | | | (0.17 | ) | | | (0.27 | ) | | | (0.30 | ) | | | (0.11 | ) |
| From net realized gains | | | — | | | | (0.59 | ) | | | (2.08 | ) | | | (0.56 | ) | | | (0.97 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.07 | ) | | | (0.76 | ) | | | (2.35 | ) | | | (0.86 | ) | | | (1.08 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 8.64 | | | $ | 7.61 | | | $ | 6.52 | | | $ | 13.67 | | | $ | 13.54 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(C) | | | 14.65 | % | | | 29.54 | % | | | (39.75 | )% | | | 7.54 | % | | | 15.28 | % |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 239,112 | | | $ | 215,166 | | | $ | 171,239 | | | $ | 411,079 | | | $ | 338,769 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(D) | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % | | | 0.38 | % | | | 0.39 | % |
Net investment income, to average net assets(B) | | | 0.99 | % | | | 0.98 | % | | | 1.51 | % | | | 1.86 | % | | | 2.54 | % |
Portfolio turnover rate(E) | | | 16 | % | | | 18 | % | | | 19 | % | | | 26 | % | | | 4 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying affiliated investment companies in which the fund invests. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (D) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (E) | | Does not include the portfolio activity of the underlying affiliated funds. |
| |
| Note: | | Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Asset Allocation - Growth VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Asset Allocation — Growth VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
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| Transamerica Series Trust | | Annual Report 2010 |
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Transamerica Asset Allocation - Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON
International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.10% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.25% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Asset Allocation - Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.0125% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 159,477 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 221,997 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $46,708 | | December 31, 2017 |
| 77,686 | | December 31, 2018 |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Asset Allocation - Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 10,168 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 23,335 | |
| Long-term Capital Gain | | | 72,601 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 11,739 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (124,394 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | (7,978 | ) |
| | | | |
| Other Temporary Differences | | $ | (116,568 | ) |
| | | | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Asset Allocation - Growth VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Asset Allocation — Growth VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Asset Allocation — Growth VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Asset Allocation — Growth VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Asset Allocation - Growth VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Asset Allocation - Moderate VP
(unaudited)
MARKET ENVIRONMENT
In 2010, the equity markets added to the rebound that began in the spring of 2009. In the U.S., the Standard & Poor’ 500 Composite Stock Index (“S&P 500”) gained 15.06% for the year. Small-cap stocks delivered even stronger results as the Russell 2000® Index rose 26.86% for 2010.
Markets overcame several obstacles during the course of the year. In the spring, the Greek debt crisis evolved into broad concern about the finances of a number of other peripheral European Union (“EU”) members. Investors began to question the long-term survivability of the EU itself, at least in its present form, and near-term growth prospects for the region were generally lowered. Around the same time, second-quarter U.S. Gross Domestic Product (“GDP”) growth came in at a modest 1.7% as the anticipated benefits of fiscal stimulus did not fully materialize. Unemployment stayed stubbornly high and housing remained shaky. After a difficult August, Federal Reserve Board (“Fed”) chief Ben Bernanke indicated the Fed may make additional purchases of long-term bonds—a form of quantitative easing. The final plan announced in November, which became known as QE2, projects the purchase of $600 billion in Treasury bonds in monthly increments through June 2011.
The QE2 talk seemed to pay early dividends as interest rates fell and stocks rallied in September. Meanwhile, the economic news brightened through year-end. Third-quarter GDP growth rose to 2.6%, consumer spending beat expectations during the holiday season, the job market flashed encouraging signs, and President Obama signed a tax deal to extend the Bush tax cuts and reduce payroll taxes.
International equities generally lagged behind U.S. stocks in 2010. European stocks suffered through the Greek debt crisis early in the year and then stumbled again in November as Ireland succumbed to pressure and accepted a bailout from the European Central Bank. Emerging markets delivered divergent performances. As measured by the Morgan Stanley Capital International (MSCI”) country indices, China gained just 4.6% in 2010 as the country took steps to slow its rampant growth and stem inflationary fears. Brazil rose 6.5% amid the election of a new president. Russia gained 19.1% on rising oil prices. India soared 21% to lead the pack with large inflows from foreign investors lifting prices.
Fixed-income investments performed well for most of the year as corporate profits recovered while interest rates fell. With QE2 looming, the yield on the 10-year Treasury dropped down to 2.39% in early October. But it rose again toward the end of the year as the improving economy and rich bond prices led to a sell-off. Overall, the Barclays Capital U.S. Aggregate Bond Index gained 6.54% in 2010, despite losing 1.3% in the fourth quarter.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Asset Allocation-Moderate VP Initial Class returned 10.37%. By comparison, its primary and secondary benchmarks, the Wilshire 5000 Total Market Index and the Barclays Capital U.S. Aggregate Bond Index, returned 17.87% and 6.54%, respectively.
STRATEGY REVIEW
The portfolio is structured to provide a mix of approximately 50% equity and 50% fixed-income securities (including cash) under normal market conditions. The equity side provides broad coverage of both domestic and international markets, across the entire range of investment styles. The fixed-income portion covers investment-grade and credit-sensitive holdings, as well as international bonds. The portfolio also includes emerging markets and global real estate. The goal is to provide investors one-stop participation in the broad financial market, so the portfolio includes ample coverage of traditional core asset classes as well as limited exposure to less-traditional asset classes. These various asset classes can be expected to outperform and underperform the market at different times. But by diversifying across all of them one can participate in the long-term performance of each. Under the surface we endeavor to find and use top-quality money managers specializing in each asset class and style. We vigorously monitor these underlying managers for performance or style problems, and adjust their weightings continuously both to stay near our asset-class targets and to reflect the managers’ relative merit.
During the year, the portfolio benefited from its small- and mid-cap equity exposure, both in the U.S and abroad. Such stocks made up about 27% of the equity portion of the portfolio (or about 13% of the total portfolio) at the end of the year. The small-cap Russell 2000® Index and the Russell Midcap® Growth Index each rose more than 25%, and the MSCI EAFE Small Cap Index of international small caps was up 22.04%. Several of our small- and mid-cap underlying funds posted similarly strong returns, with Transamerica Growth Opportunities and Transamerica Morgan Stanley Mid Cap Growth particularly outperforming. Given that the year rewarded economically sensitive securities, it is not surprising the portfolio’s emerging-markets holdings (close to a third of the international-equity portfolio at year end) also gained strongly. Although international developed markets were hobbled relative to the U.S. by Europe’s debt problems and a decline in the euro, all but one of our international funds managed to outpace the broad MSCI EAFE index.
As was the case in the equity markets, economically sensitive bonds tended to outperform within the bond portfolio. The high-yield fund roughly doubled the index’s return. The highest-returning bond fund, however, was the opportunistic, multi-sector Transamerica Loomis Sayles Bond.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Asset Allocation - Moderate VP
(unaudited)
STRATEGY REVIEW (continued)
The major disappointment was our domestic large-cap funds. Of the five domestic large-cap funds that have full-year records, only two of the growth funds—Transamerica Diversified Equity and Transamerica WMC Diversified Growth—managed to keep pace with the S&P 500’s gain, helped in part by the fact that growth stocks moderately outperformed the index during the year. In November a sixth domestic large-cap fund was made available to us, the newly created Transamerica WMC Quality Value, based on a Wellington Management Company strategy. We immediately began building a position in that fund, which complements the other large-cap holdings stylistically. Although the international holdings generally performed well in 2010, one of them—the formerly named Transamerica AllianceBernstein International Value—notably lagged. Indeed, that fund has struggled most of the past four years. In December, Transamerica replaced AllianceBernstein as sub-adviser on the fund with Hansberger Global Investors; the fund is now named Transamerica Hansberger International Value and we have maintained our position there.
During the year we exited several funds that Transamerica decided to close or merge, mostly in relation to upgrading the fund menu from which we draw. Part of that effort also involved adding attractive funds to the menu, such as the aforementioned Transamerica WMC Quality Value as well as Transamerica Diversified Equity (a more-diversified version of previous holding Transamerica Equity). In the spring and early summer we held the portfolio’s equity weighting below its normal 50% target as Europe’s debt problems made the markets volatile. The equity weight bottomed at 41% at mid-year; we subsequently raised the weight back to its full target. Also in response to Europe’s debt troubles, we maintained an underweight in European bonds while moderately overweighting debt in emerging markets, where the fundamentals are much stronger. We similarly underweighted developed-markets international equity relative to emerging-markets equity for much of the year.
Over the past two years, macroeconomic factors and government policy decisions have arguably been the main drivers of the world’s equity and fixed-income markets. In that environment, stock- and bond-picking skill has been less of a differentiator among investment managers. As the major market inflections of the 2008-2010 period recede into the past, we believe we will see a return to a more fundamentals-driven market environment, which we believe will allow the talents of our underlying managers to contribute more significantly.
Jon Hale, CFA
Michael Stout, CFA
Dan McNeela, CFA
Hal Ratner
Co-Portfolio Managers
Morningstar Associates, LLC
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Asset Allocation - Moderate VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 10.37 | % | | | 4.45 | % | | | 5.85 | % | | | 05/01/2002 | |
Wilshire 5000* | | | 17.87 | % | | | 3.21 | % | | | 4.96 | % | | | | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.80 | % | | | 5.52 | % | | | | |
| |
| Service Class | | | 10.14 | % | | | 4.21 | % | | | 7.52 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Wilshire 5000 Total Market Index (“ Wilshire 5000”) and the Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Asset Allocation - Moderate VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following Example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid During | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | Period (A) | | Expense Ratio (C) |
| |
| Transamerica Asset Allocation — Moderate VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,126.80 | | | $ | 0.75 | | | $ | 1,024.50 | | | $ | 0.71 | | | | 0.14 | % |
| Service Class | | | 1,000.00 | | | | 1,125.70 | | | | 2.09 | | | | 1,023.24 | | | | 1.99 | | | | 0.39 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Bonds | | | 37.8 | % |
| U.S. Stocks | | | 28.8 | |
| Global/International Stocks | | | 14.8 | |
| Tactical and Specialty | | | 7.5 | |
| Inflation-Protected Securities | | | 6.5 | |
| Capital Markets | | | 4.5 | |
| Capital Preservation | | | 0.1 | |
| Other Assets and Liabilities — net | | | 0.0 | * |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| * | | Rounds to less than (0.1%). |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Asset Allocation - Moderate VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 100.0% | | | | | | | | |
Bonds - 37.8% | | | | | | | | |
| Transamerica AEGON High Yield Bond € | | | 3,429,709 | | | $ | 31,348 | |
| Transamerica Flexible Income € | | | 2,574,930 | | | | 23,123 | |
| Transamerica JPMorgan Core Bond € | | | 30,089,934 | | | | 307,820 | |
| Transamerica JPMorgan International Bond € | | | 5,727,280 | | | | 61,683 | |
| Transamerica Morgan Stanley Emerging Markets Debt € | | | 5,733,345 | | | | 59,741 | |
| Transamerica PIMCO Total Return VP ж | | | 42,704,361 | | | | 494,517 | |
| Transamerica Short-Term Bond € | | | 24,810,400 | | | | 254,555 | |
Capital Markets - 4.5% | | | | | | | | |
| Transamerica WMC Quality Value € | | | 13,710,001 | | | | 146,834 | |
Capital Preservation - 0.1% | | | | | | | | |
| Transamerica Money Market VP ж | | | 4,239,158 | | | | 4,239 | |
Global/International Stocks - 14.8% | | | | | | | | |
| Transamerica Hansberger International Value € | | | 3,891,818 | | | | 31,018 | |
| Transamerica MFS International Equity € | | | 11,384,711 | | | | 100,413 | |
| Transamerica Neuberger Berman International € | | | 6,597,435 | | | | 61,092 | |
| Transamerica Oppenheimer Developing Markets € | | | 5,149,720 | | | | 72,148 | |
| Transamerica Schroders International Small Cap € | | | 5,184,085 | | | | 52,618 | |
| Transamerica Thornburg International Value € | | | 10,647,566 | | | | 120,956 | |
| Transamerica WMC Emerging Markets € | | | 3,107,555 | | | | 43,568 | |
Inflation-Protected Securities - 6.5% | | | | | | | | |
| Transamerica PIMCO Real Return TIPS € | | | 19,929,832 | | | | 211,854 | |
Tactical and Specialty - 7.5% | | | | | | | | |
| Transamerica BlackRock Global Allocation € | | | 5,098,645 | | | | 56,595 | |
| Transamerica Clarion Global Real Estate Securities VP ж | | | 5,714,381 | | | | 64,573 | |
| Transamerica Federated Market Opportunity VP ж | | | 3,252,369 | | | | 38,020 | |
| Transamerica Loomis Sayles Bond € | | | 7,982,386 | | | | 84,693 | |
U.S. Stocks - 28.8% | | | | | | | | |
| Transamerica BlackRock Large Cap Value VP ж | | | 14,183,464 | | | $ | 193,604 | |
| Transamerica Diversified Equity VP ж | | | 1,739,055 | | | | 35,146 | |
| Transamerica Growth Opportunities VP ж | | | 1,593,278 | | | | 22,816 | |
| Transamerica Jennison Growth € | | | 11,604 | | | | 144 | |
| Transamerica Jennison Growth VP ж | | | 33,589,898 | | | | 265,361 | |
| Transamerica JPMorgan Mid Cap Value VP ж | | | 2,056,864 | | | | 27,665 | |
| Transamerica Morgan Stanley Mid-Cap Growth € | | | 2,187,247 | | | | 28,740 | |
| Transamerica Morgan Stanley Small Company Growth € | | | 2,763,933 | | | | 34,383 | |
| Transamerica Oppenheimer Small- & Mid- Cap Value € | | | 3,902,928 | | | | 39,576 | |
| Transamerica Third Avenue Value € | | | 1,661,874 | | | | 37,741 | |
| Transamerica UBS Large Cap Value € | | | 9,449,694 | | | | 91,757 | |
| Transamerica WMC Diversified Growth VP ж | | | 7,284,868 | | | | 163,618 | |
| | | | | | | | |
| Total Investment Companies (cost $3,089,903) # | | | | | | | 3,261,959 | |
| Other Assets and Liabilities — Net | | | | | | | (797 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 3,261,162 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| € | | The portfolio invests its assets in the Class I2 shares of the affiliated fund of Transamerica Funds. |
| |
| ж | | The portfolio invests its assets in the Initial Class shares of the affiliated fund of Transamerica Series Trust. |
| |
| # | | Aggregate cost for federal income tax purposes is $3,097,294. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $207,678 and $43,013, respectively. Net unrealized appreciation for tax purposes is $164,665. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Companies | | $ | 3,261,959 | | | $ | — | | | $ | — | | | $ | 3,261,959 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Asset Allocation - Moderate VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in affiliated investment companies at value (cost: $3,089,903) | | $ | 3,261,959 | |
| Receivables: | | | | |
| Investment securities sold | | | 234 | |
| Shares sold | | | 765 | |
| Dividends | | | 52 | |
| Prepaid expenses | | | 30 | |
| | | | |
| | | | 3,263,040 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 25 | |
| Shares redeemed | | | 999 | |
| Management and advisory fees | | | 274 | |
| Distribution and service fees | | | 458 | |
| Transfer agent fees | | | 2 | |
| Administration fees | | | 34 | |
| Audit and tax fees | | | 4 | |
| Printing and shareholder reports fees | | | 29 | |
| Other | | | 53 | |
| | | | |
| | | | 1,878 | |
| | | | |
Net assets | | $ | 3,261,162 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 3,137 | |
| Additional paid-in capital | | | 3,295,632 | |
| Undistributed (accumulated) net investment income (loss) | | | 77,903 | |
| Undistributed (accumulated) net realized gain (loss) from investments in affiliated investment companies | | | (287,566 | ) |
| Net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 172,056 | |
| | | | |
Net assets | | $ | 3,261,162 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 1,083,121 | |
| Service Class | | | 2,178,041 | |
Shares outstanding: | | | | |
| Initial Class | | | 103,610 | |
| Service Class | | | 210,088 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 10.45 | |
| Service Class | | | 10.37 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from affiliated investment companies | | $ | 86,847 | |
Expenses: | | | | |
| Management and advisory | | | 3,029 | |
| Printing and shareholder reports | | | 157 | |
| Custody | | | 87 | |
| Administration | | | 379 | |
| Legal | | | 164 | |
| Audit and tax | | | 14 | |
| Trustees | | | 108 | |
| Transfer agent | | | 28 | |
| Distribution and service: | | | | |
| Service Class | | | 4,916 | |
| Other | | | 62 | |
| | | | |
| Total expenses | | | 8,944 | |
| | | | |
| | | | | |
Net investment income | | | 77,903 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in affiliated investment companies | | | (111,200 | ) |
| Distributions from investments in affiliated investment companies | | | 18,749 | |
| | | | |
| | | | (92,451 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in affiliated investment companies | | | 312,987 | |
| | | | |
Net realized and unrealized gain on investments in affiliated investment companies | | | 220,536 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 298,439 | |
| | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Asset Allocation - Moderate VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 77,903 | | | $ | 87,979 | |
| Net realized gain (loss) from investments and distributions from investments in affiliated investment companies | | | (92,451 | ) | | | (92,468 | ) |
| Change in net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 312,987 | | | | 586,824 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 298,439 | | | | 582,335 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (31,586 | ) | | | (42,637 | ) |
| Service Class | | | (56,392 | ) | | | (62,682 | ) |
| | | | | | | |
| | | | (87,978 | ) | | | (105,319 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (37,327 | ) |
| Service Class | | | — | | | | (57,928 | ) |
| | | | | | | |
| | | | — | | | | (95,255 | ) |
| | | | | | | |
Total distributions to shareholders | | | (87,978 | ) | | | (200,574 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 117,995 | | | | 129,762 | |
| Service Class | | | 321,051 | | | | 425,912 | |
| | | | | | | |
| | | | 439,046 | | | | 555,674 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 31,586 | | | | 79,964 | |
| Service Class | | | 56,392 | | | | 120,610 | |
| | | | | | | |
| | | | 87,978 | | | | 200,574 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (240,197 | ) | | | (216,831 | ) |
| Service Class | | | (180,182 | ) | | | (124,491 | ) |
| | | | | | | |
| | | | (420,379 | ) | | | (341,322 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 106,645 | | | | 414,926 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 317,106 | | | | 796,687 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 2,944,056 | | | | 2,147,369 | |
| | | | | | | |
| End of year | | $ | 3,261,162 | | | $ | 2,944,056 | |
| | | | | | | |
Undistributed net investment income | | $ | 77,903 | | | $ | 87,978 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 11,813 | | | | 14,481 | |
| Service Class | | | 32,429 | | | | 47,580 | |
| | | | | | | |
| | | | 44,242 | | | | 62,061 | |
| | | | | | | |
| Shares issued-reinvested from | | | | | | | | |
| distributions: | | | | | | | | |
| Initial Class | | | 3,332 | | | | 8,778 | |
| Service Class | | | 5,993 | | | | 13,327 | |
| | | | | | | |
| | | | 9,325 | | | | 22,105 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (24,307 | ) | | | (25,034 | ) |
| Service Class | | | (18,357 | ) | | | (14,262 | ) |
| | | | (42,664 | ) | | | (39,296 | ) |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (9,162 | ) | | | (1,775 | ) |
| Service Class | | | 20,065 | | | | 46,645 | |
| | | | | | | |
| | | | 10,903 | | | | 44,870 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Asset Allocation - Moderate VP
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.77 | | | $ | 8.36 | | | $ | 12.90 | | | $ | 12.66 | | | $ | 12.24 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A),(B) | | | 0.27 | | | | 0.32 | | | | 0.50 | | | | 0.40 | | | | 0.44 | |
| Net realized and unrealized gain (loss) | | | 0.71 | | | | 1.83 | | | | (3.59 | ) | | | 0.57 | | | | 0.89 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.98 | | | | 2.15 | | | | (3.09 | ) | | | 0.97 | | | | 1.33 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.30 | ) | | | (0.39 | ) | | | (0.37 | ) | | | (0.39 | ) | | | (0.33 | ) |
| From net realized gains | | | — | | | | (0.35 | ) | | | (1.08 | ) | | | (0.34 | ) | | | (0.58 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.30 | ) | | | (0.74 | ) | | | (1.45 | ) | | | (0.73 | ) | | | (0.91 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.45 | | | $ | 9.77 | | | $ | 8.36 | | | $ | 12.90 | | | $ | 12.66 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(C) | | | 10 .37 | % | | | 26.40 | % | | | (25.96 | )% | | | 7 .95 | % | | | 11 .48 | % |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 1,083,121 | | | $ | 1,101,652 | | | $ | 957,157 | | | $ | 1,550,984 | | | $ | 1,591,304 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(D) | | | 0 .13 | % | | | 0.13 | % | | | 0 .13 | % | | | 0 .13 | % | | | 0 .13 | % |
Net investment income, to average net assets(B) | | | 2 .68 | % | | | 3.63 | % | | | 4 .50 | % | | | 3 .10 | % | | | 3 .53 | % |
Portfolio turnover rate(E) | | | 32 | % | | | 18 | % | | | 23 | % | | | 20 | % | | | 3 | % |
| |
| For a share outstanding throughout each period |
| | | Service Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.70 | | | $ | 8.30 | | | $ | 12.83 | | | $ | 12.60 | | | $ | 12.20 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A),(B) | | | 0.25 | | | | 0.32 | | | | 0.37 | | | | 0.39 | | | | 0.43 | |
| Net realized and unrealized gain (loss) | | | 0.70 | | | | 1.80 | | | | (3.47 | ) | | | 0.55 | | | | 0.87 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.95 | | | | 2.12 | | | | (3.10 | ) | | | 0.94 | | | | 1.30 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.28 | ) | | | (0.37 | ) | | | (0.35 | ) | | | (0.37 | ) | | | (0.32 | ) |
| From net realized gains | | | — | | | | (0.35 | ) | | | (1.08 | ) | | | (0.34 | ) | | | (0.58 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.28 | ) | | | (0.72 | ) | | | (1.43 | ) | | | (0.71 | ) | | | (0.90 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.37 | | | $ | 9.70 | | | $ | 8.30 | | | $ | 12.83 | | | $ | 12.60 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(C) | | | 10 .14 | % | | | 26.20 | % | | | (26.19 | )% | | | 7 .73 | % | | | 11 .21 | % |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year(000’s) | | $ | 2,178,041 | | | $ | 1,842,404 | | | $ | 1,190,212 | | | $ | 1,452,693 | | | $ | 1,043,139 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(D) | | | 0 .38 | % | | | 0.38 | % | | | 0 .38 | % | | | 0 .38 | % | | | 0 .38 | % |
Net investment income, to average net assets(B) | | | 2 .50 | % | | | 3.54 | % | | | 3 .36 | % | | | 3 .03 | % | | | 3 .44 | % |
Portfolio turnover rate(E) | | | 32 | % | | | 18 | % | | | 23 | % | | | 20 | % | | | 3 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying affiliated investment companies in which the fund invests. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (D) | | Does not include expenses of the investment companies in which the fund invests. (E) Does not include the portfolio activity of the underlying affiliated funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Asset Allocation - Moderate VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Asset Allocation — Moderate VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Asset Allocation - Moderate VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.10% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.25% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
| | | | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Asset Allocation - Moderate VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.0125% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 1,085,067 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 969,685 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 33,330 | | | December 31, 2017 |
| | | | | |
| | 28,733 | | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 87,978 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 105,319 | |
| Long-term Capital Gain | | | 95,255 | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Asset Allocation - Moderate VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 77,903 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 0 | |
| | | | |
| Capital Loss Carryforward | | $ | (62,063 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 164,665 | |
| | | | |
| Other Temporary Differences | | $ | (218,112 | ) |
| | | | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Asset Allocation - Moderate VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Asset Allocation — Moderate VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Asset Allocation — Moderate VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Asset Allocation — Moderate VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Asset Allocation - Moderate VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Asset Allocation - Moderate Growth VP
(unaudited)
MARKET ENVIRONMENT
In 2010, the equity markets added to the rebound that began in the spring of 2009. In the U.S., the Standard & Poor’ 500 Composite Stock Index (“S&P 500”) gained 15.06% for the year. Small-cap stocks delivered even stronger results as the Russell 2000® Index rose 26.86% for 2010.
Markets overcame several obstacles during the course of the year. In the spring, the Greek debt crisis evolved into broad concern about the finances of a number of other peripheral European Union (“EU”) members. Investors began to question the long-term survivability of the EU itself, at least in its present form, and near-term growth prospects for the region were generally lowered. Around the same time, second-quarter U.S. Gross Domestic Product (“GDP”) growth came in at a modest 1.7% as the anticipated benefits of fiscal stimulus did not fully materialize. Unemployment stayed stubbornly high and housing remained shaky. After a difficult August, Federal Reserve Board (“Fed”) chief Ben Bernanke indicated the Fed may make additional purchases of long-term bonds—a form of quantitative easing. The final plan announced in November, which became known as QE2, projects the purchase of $600 billion in Treasury bonds in monthly increments through June 2011.
The QE2 talk seemed to pay early dividends as interest rates fell and stocks rallied in September. Meanwhile, the economic news brightened through year-end. Third-quarter GDP growth rose to 2.6%, consumer spending beat expectations during the holiday season, the job market flashed encouraging signs, and President Obama signed a tax deal to extend the Bush tax cuts and reduce payroll taxes.
International equities generally lagged behind U.S. stocks in 2010. European stocks suffered through the Greek debt crisis early in the year and then stumbled again in November as Ireland succumbed to pressure and accepted a bailout from the European Central Bank. Emerging markets delivered divergent performances. As measured by the Morgan Stanley Capital International (MSCI”) country indices, China gained just 4.6% in 2010 as the country took steps to slow its rampant growth and stem inflationary fears. Brazil rose 6.5% amid the election of a new president. Russia gained 19.1% on rising oil prices. India soared 21% to lead the pack with large inflows from foreign investors lifting prices.
Fixed-income investments performed well for most of the year as corporate profits recovered while interest rates fell. With QE2 looming, the yield on the 10-year Treasury dropped down to 2.39% in early October. But it rose again toward the end of the year as the improving economy and rich bond prices led to a sell-off. Overall, the Barclays Capital U.S. Aggregate Bond Index gained 6.54% in 2010, despite losing 1.3% in the fourth quarter.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Asset Allocation-Moderate Growth VP Initial Class returned 12.73%. By comparison, its primary and secondary benchmarks, the Wilshire 5000 Total Market Index and the Barclays Capital U.S. Aggregate Bond Index, returned 17.87% and 6.54%, respectively.
STRATEGY REVIEW
The portfolio is structured to provide a mix of approximately 70% equity and 30% fixed-income securities (including cash) under normal market conditions. The equity side provides broad coverage of both domestic and international markets, across the entire range of investment styles. The fixed-income portion covers investment-grade and credit-sensitive holdings, as well as international bonds. The portfolio also includes emerging markets and global real estate. The goal is to provide investors one-stop participation in the broad financial market, so the portfolio includes ample coverage of traditional core asset classes as well as limited exposure to less-traditional asset classes. These various asset classes can be expected to outperform and underperform the market at different times. But by diversifying across all of them one can participate in the long-term performance of each. Under the surface we endeavor to find and use top-quality money managers specializing in each asset class and style. We vigorously monitor these underlying managers for performance or style problems, and adjust their weightings continuously both to stay near our asset-class targets and to reflect the managers’ relative merit.
During the year, the portfolio benefited from its small- and mid-cap equity exposure, both in the U.S and abroad. Such stocks made up about 29% of the equity portion of the portfolio (or about 20% of the total portfolio) at the end of the year. The small-cap Russell 2000® Index and the Russell Midcap® Growth Index each rose more than 25%, and the MSCI EAFE Small Cap Index of international small caps was up 22.04%. Several of our small- and mid-cap underlying funds posted similarly strong returns, with Transamerica Growth Opportunities and Transamerica Morgan Stanley Mid-Cap Growth particularly outperforming. Given that the year rewarded economically sensitive securities, it is not surprising the portfolio’s emerging-markets holdings (nearly a third of the international-equity portfolio at year end) also gained strongly. Although international developed markets were hobbled relative to the U.S. by Europe’s debt problems and a decline in the euro, all but one of our international funds managed to outpace the broad MSCI EAFE index.
As was the case in the equity markets, economically sensitive bonds tended to outperform within the bond portfolio. The high-yield fund roughly doubled the index’s return. The highest-returning bond fund, however, was the opportunistic, multi-sector Transamerica Loomis Sayles Bond.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Asset Allocation - Moderate Growth VP
(unaudited)
STRATEGY REVIEW (continued)
The major disappointment was our domestic large-cap funds, which as core holdings are all sizable positions. Of the five domestic large-cap funds that have full-year records, only two of the growth funds—Transamerica Diversified Equity and Transamerica WMC Diversified Growth—managed to keep pace with the S&P 500’s gain, helped in part by the fact that growth stocks moderately outperformed the index during the year. In November a sixth domestic large-cap fund was made available to us, the newly created Transamerica WMC Quality Value, based on a Wellington Management Company strategy. We immediately began building a significant position in that fund, which complements the other large-cap holdings stylistically and also helps reduce the position sizes within the domestic large-cap area. Although the international holdings generally performed well in 2010, one of them—the formerly named Transamerica AllianceBernstein International Value—notably lagged. Indeed, that fund has struggled most of the past four years. In December, Transamerica replaced AllianceBernstein as sub-adviser on the fund with Hansberger Global Investors; the fund is now named Transamerica Hansberger International Value and we have maintained our position there.
During the year we exited several funds that Transamerica decided to close or merge, mostly in relation to upgrading the fund menu from which we draw. Part of that effort also involved adding attractive funds to the menu, such as the aforementioned Transamerica WMC Quality Value as well as Transamerica Diversified Equity (a more-diversified version of previous holding Transamerica Equity). In the spring and early summer we held the portfolio’s equity weighting below its normal 70% target as Europe’s debt problems made the markets volatile. The equity weight bottomed at 62% at mid-year; we subsequently raised the weight back to its full target. Also in response to Europe’s debt troubles, we maintained an underweight in European bonds while moderately overweighting debt in emerging markets, where the fundamentals are much stronger. We similarly underweighted developed-markets international equity relative to emerging-markets equity for much of the year.
Over the past two years, macroeconomic factors and government policy decisions have arguably been the main drivers of the world’s equity and fixed-income markets. In that environment, stock- and bond-picking skill has been less of a differentiator among investment managers. As the major market inflections of the 2008-2010 period recede into the past, we believe we will see a return to a more fundamentals-driven market environment, which we believe will allow the talents of our underlying managers to contribute more significantly.
Jon Hale, CFA
Michael Stout, CFA
Dan McNeela, CFA
Hal Ratner
Co-Portfolio Managers
Morningstar Associates, LLC
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Asset Allocation - Moderate Growth VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 12.73 | % | | | 3.58 | % | | | 5.66 | % | | | 05/01/2002 | |
Wilshire 5000* | | | 17.87 | % | | | 3.21 | % | | | 4.96 | % | | | | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.80 | % | | | 5.52 | % | | | | |
| |
| Service Class | | | 12.40 | % | | | 3.32 | % | | | 7.84 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Wilshire 5000 Total Market Index (“ Wilshire 5000”) and the Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Asset Allocation - Moderate Growth VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid During | | Annualized Expense |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | Period (A) | | Ratio (C) |
| |
| Transamerica Asset Allocation — Moderate Growth VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,176.20 | | | $ | 0.77 | | | $ | 1,024.50 | | | $ | 0.71 | | | | 0.14 | % |
| Service Class | | | 1,000.00 | | | | 1,174.60 | | | | 2.14 | | | | 1,023.24 | | | | 1.99 | | | | 0.39 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| U.S. Stocks | | | 41.1 | % |
| Bonds | | | 22.8 | |
| Global/International Stocks | | | 19.2 | |
| Tactical and Specialty | | | 8.2 | |
| Capital Markets | | | 5.8 | |
| Inflation-Protected Securities | | | 2.8 | |
| Capital Preservation | | | 0.1 | |
| Other Assets and Liabilities — Net | | | 0.0 | * |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| * | | Rounds to less than (0.1%). |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Asset Allocation - Moderate Growth VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 100.0% | | | | | | | | |
Bonds - 22.8% | | | | | | | | |
| Transamerica AEGON High Yield Bond € | | | 3,134,158 | | | $ | 28,646 | |
| Transamerica Flexible Income € | | | 1,853,681 | | | | 16,646 | |
| Transamerica JPMorgan Core Bond € | | | 27,723,318 | | | | 283,610 | |
| Transamerica JPMorgan International Bond € | | | 15,795,289 | | | | 170,115 | |
| Transamerica Morgan Stanley Emerging Markets Debt € | | | 6,455,637 | | | | 67,268 | |
| Transamerica PIMCO Total Return VP ж | | | 35,529,944 | | | | 411,437 | |
| Transamerica Short-Term Bond € | | | 18,823,241 | | | | 193,126 | |
Capital Markets - 5.8% | | | | | | | | |
| Transamerica WMC Quality Value € | | | 27,905,938 | | | | 298,873 | |
Capital Preservation - 0.1% | | | | | | | | |
| Transamerica Money Market VP ж | | | 6,176,218 | | | | 6,176 | |
Global/International Stocks - 19.2% | | | | | | | | |
| Transamerica Hansberger International Value € | | | 6,411,667 | | | | 51,101 | |
| Transamerica MFS International Equity € | | | 13,582,350 | | | | 119,796 | |
| Transamerica Neuberger Berman International € | | | 15,727,837 | | | | 145,640 | |
| Transamerica Oppenheimer Developing Markets € | | | 13,103,408 | | | | 183,579 | |
| Transamerica Schroders International Small Cap € | | | 14,557,556 | | | | 147,759 | |
| Transamerica Thornburg International Value € | | | 22,492,619 | | | | 255,516 | |
| Transamerica WMC Emerging Markets € | | | 5,894,242 | | | | 82,637 | |
Inflation-Protected Securities - 2.8% | | | | | | | | |
| Transamerica PIMCO Real Return TIPS € | | | 13,534,136 | | | | 143,868 | |
Tactical and Specialty - 8.2% | | | | | | | | |
| Transamerica BlackRock Global Allocation € | | | 12,998,440 | | | | 144,283 | |
| Transamerica Clarion Global Real Estate Securities VP ж | | | 16,871,351 | | | | 190,647 | |
| Transamerica Federated Market Opportunity VP ж | | | 3,023,645 | | | | 35,346 | |
| Transamerica Loomis Sayles Bond € | | | 4,634,989 | | | | 49,177 | |
U.S. Stocks - 41.1% | | | | | | | | |
| Transamerica BlackRock Large Cap Value VP ж | | | 29,681,871 | | | $ | 405,158 | |
| Transamerica Diversified Equity VP ж | | | 2,916,737 | | | | 58,947 | |
| Transamerica Growth Opportunities VP ж | | | 2,913,597 | | | | 41,723 | |
| Transamerica Jennison Growth € | | | 16,856 | | | | 210 | |
| Transamerica Jennison Growth VP ж | | | 83,488,532 | | | | 659,560 | |
| Transamerica JPMorgan Mid Cap Value VP ж | | | 7,831,685 | | | | 105,336 | |
| Transamerica Morgan Stanley Mid-Cap Growth € | | | 8,207,139 | | | | 107,842 | |
| Transamerica Morgan Stanley Small Company Growth € | | | 4,760,392 | | | | 59,219 | |
| Transamerica Oppenheimer Small- & Mid- Cap Value € | | | 9,731,970 | | | | 98,682 | |
| Transamerica Third Avenue Value € | | | 4,472,324 | | | | 101,566 | |
| Transamerica UBS Large Cap Value € | | | 19,123,191 | | | | 185,686 | |
| Transamerica WMC Diversified Growth VP ж | | | 13,288,741 | | | | 298,465 | |
| | | | | | | | |
| Total Investment Companies (cost $5,064,086) # | | | | | | | 5,147,640 | |
| Other Assets and Liabilities — Net | | | | | | | (1,336 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 5,146,304 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| € | | The portfolio invests its assets in the Class I2 shares of the affiliated fund of Transamerica Funds. |
| |
| ж | | The portfolio invests its assets in the Initial Class shares of the affiliated fund of Transamerica Series Trust. |
| |
| # | | Aggregate cost for federal income tax purposes is $5,073,663. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $313,865 and $239,888, respectively. Net unrealized appreciation for tax purposes is $73,977. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Companies | | $ | 5,147,640 | | | $ | — | | | $ | — | | | $ | 5,147,640 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Asset Allocation - Moderate Growth VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in affiliated investment companies at value (cost: $5,064,086) | | $ | 5,147,640 | |
| Receivables: | | | | |
| Shares sold | | | 1,321 | |
| Dividends | | | 39 | |
| Prepaid expenses | | | 47 | |
| | | | |
| | | | 5,149,047 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 836 | |
| Shares redeemed | | | 505 | |
| Management and advisory fees | | | 431 | |
| Distribution and service fees | | | 775 | |
| Transfer agent fees | | | 3 | |
| Administration fees | | | 54 | |
| Audit and tax fees | | | 4 | |
| Printing and shareholder reports fees | | | 53 | |
| Other | | | 82 | |
| | | | |
| | | | 2,743 | |
| | | | |
Net assets | | $ | 5,146,304 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 4,900 | |
| Additional paid-in capital | | | 5,448,912 | |
| Undistributed (accumulated) net investment income (loss) | | | 95,348 | |
| Undistributed (accumulated) net realized gain (loss) from investments in affiliated investment companies | | | (486,410 | ) |
| Net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 83,554 | |
| | | | |
Net assets | | $ | 5,146,304 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 1,442,467 | |
| Service Class | | | 3,703,837 | |
Shares outstanding: | | | | |
| Initial Class | | | 136,320 | |
| Service Class | | | 353,709 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 10.58 | |
| Service Class | | | 10.47 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from affiliated investment companies | | $ | 110,135 | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 4,765 | |
| Printing and shareholder reports | | | 251 | |
| Custody | | | 132 | |
| Administration | | | 595 | |
| Legal | | | 259 | |
| Audit and tax | | | 18 | |
| Trustees | | | 170 | |
| Transfer agent | | | 44 | |
| Distribution and service: | | | | |
| Service Class | | | 8,455 | |
| Other | | | 98 | |
| | | | |
| Total expenses | | | 14,787 | |
| | | | |
| | | | | |
Net investment income | | | 95,348 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in affiliated investment companies | | | (195,473 | ) |
| Distributions from investments in affiliated investment companies | | | 24,625 | |
| | | | |
| | | | (170,848 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in affiliated investment companies | | | 639,882 | |
| | | | |
Net realized and unrealized gain on investments in affiliated investment companies | | | 469,034 | |
| | | | |
Net increase In net assets resulting from operations | | $ | 564,382 | |
| | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Asset Allocation - Moderate Growth VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 95,348 | | | $ | 98,698 | |
| Net realized gain (loss) from investments and distributions from investments in affiliated investment companies | | | (170,848 | ) | | | (130,781 | ) |
| Change in net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 639,882 | | | | 1,029,075 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 564,382 | | | | 996,992 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (29,728 | ) | | | (41,849 | ) |
| Service Class | | | (68,970 | ) | | | (86,691 | ) |
| | | | | | | |
| | | | (98,698 | ) | | | (128,540 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (66,763 | ) |
| Service Class | | | — | | | | (148,653 | ) |
| | | | | | | |
| | | | — | | | | (215,416 | ) |
| | | | | | | |
Total distributions to shareholders | | | (98,698 | ) | | | (343,956 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 99,501 | | | | 113,843 | |
| Service Class | | | 289,373 | | | | 578,356 | |
| | | | | | | |
| | | | 388,874 | | | | 692,199 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 29,728 | | | | 108,612 | |
| Service Class | | | 68,970 | | | | 235,344 | |
| | | | | | | |
| | | | 98,698 | | | | 343,956 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (245,949 | ) | | | (217,821 | ) |
| Service Class | | | (276,508 | ) | | | (161,582 | ) |
| | | | | | | |
| | | | (522,457 | ) | | | (379,403 | ) |
| | | | | | | |
Net increase (decrease) in net assets resulting from capital shares transactions | | | (34,885 | ) | | | 656,752 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 430,799 | | | | 1,309,788 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 4,715,505 | | | | 3,405,717 | |
| | | | | | | |
| End of year | | $ | 5,146,304 | | | $ | 4,715,505 | |
| | | | | | | |
Undistributed net investment income | | $ | 95,348 | | | $ | 98,698 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 10,020 | | | | 12,900 | |
| Service Class | | | 29,452 | | | | 67,530 | |
| | | | | | | |
| | | | 39,472 | | | | 80,430 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 3,228 | | | | 12,218 | |
| Service Class | | | 7,562 | | | | 26,713 | |
| | | | | | | |
| | | | 10,790 | | | | 38,931 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (25,283 | ) | | | (26,069 | ) |
| Service Class | | | (28,802 | ) | | | (19,347 | ) |
| | | | | | | |
| | | | (54,085 | ) | | | (45,416 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (12,035 | ) | | | (951 | ) |
| Service Class | | | 8,212 | | | | 74,896 | |
| | | | | | | |
| | | | (3,823 | ) | | | 73,945 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Asset Allocation - Moderate Growth VP
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.61 | | | $ | 8.16 | | | $ | 14.07 | | | $ | 13.72 | | | $ | 12.80 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A),(B) | | | 0.21 | | | | 0.23 | | | | 0.34 | | | | 0.37 | | | | 0.43 | |
| Net realized and unrealized gain (loss) | | | 0.98 | | | | 2.00 | | | | (4.58 | ) | | | 0.67 | | | | 1.27 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.19 | | | | 2.23 | | | | (4.24 | ) | | | 1.04 | | | | 1.70 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.22 | ) | | | (0.30 | ) | | | (0.34 | ) | | | (0.34 | ) | | | (0.22 | ) |
| From net realized gains | | | — | | | | (0.48 | ) | | | (1.33 | ) | | | (0.35 | ) | | | (0.56 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.22 | ) | | | (0.78 | ) | | | (1.67 | ) | | | (0.69 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.58 | | | $ | 9.61 | | | $ | 8.16 | | | $ | 14.07 | | | $ | 13.72 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(C) | | | 12.73 | % | | | 28.16 | % | | | (32.76 | )% | | | 7.81 | % | | | 13.83 | % |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 1,442,467 | | | $ | 1,426,280 | | | $ | 1,217,825 | | | $ | 2,229,744 | | | $ | 2,277,269 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(D) | | | 0.13 | % | | | 0.13 | % | | | 0.13 | % | | | 0.13 | % | | | 0.13 | % |
Net investment income, to average net assets(B) | | | 2.13 | % | | | 2.61 | % | | | 2.94 | % | | | 2.63 | % | | | 3.25 | % |
Portfolio turnover rate(E) | | | 29 | % | | | 13 | % | | | 18 | % | | | 24 | % | | | 2 | % |
| |
| For a share outstanding throughout each period |
| | | Service Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.52 | | | $ | 8.09 | | | $ | 13.97 | | | $ | 13.64 | | | $ | 12.75 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A),(B) | | | 0.19 | | | | 0.21 | | | | 0.34 | | | | 0.37 | | | | 0.42 | |
| Net realized and unrealized gain (loss) | | | 0.96 | | | | 1.98 | | | | (4.58 | ) | | | 0.63 | | | | 1.24 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.15 | | | | 2.19 | | | | (4.24 | ) | | | 1.00 | | | | 1.66 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.20 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.32 | ) | | | (0.21 | ) |
| From net realized gains | | | — | | | | (0.48 | ) | | | (1.32 | ) | | | (0.35 | ) | | | (0.56 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.20 | ) | | | (0.76 | ) | | | (1.64 | ) | | | (0.67 | ) | | | (0.77 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.47 | | | $ | 9.52 | | | $ | 8.09 | | | $ | 13.97 | | | $ | 13.64 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(C) | | | 12 .40 | % | | | 27.87 | % | | | (32.92 | )% | | | 7 .56 | % | | | 13 .54 | % |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 3,703,837 | | | $ | 3,289,225 | | | $ | 2,187,892 | | | $ | 2,797,290 | | | $ | 1,823,589 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(D) | | | 0.38 | % | | | 0.38 | % | | | 0.38 | % | | | 0.38 | % | | | 0.38 | % |
Net investment income, to average net assets(B) | | | 1.94 | % | | | 2.49 | % | | | 2.99 | % | | | 2.64 | % | | | 3.15 | % |
Portfolio turnover rate(E) | | | 29 | % | | | 13 | % | | | 18 | % | | | 24 | % | | | 2 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying affiliated investment companies in which the fund invests. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (D) | | Does not include expenses of the investment companies in which the fund invests. (E) Does not include the portfolio activity of the underlying affiliated funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Asset Allocation - Moderate Growth VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Asset Allocation — Moderate Growth VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Asset Allocation - Moderate Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
0.10% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.25% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
| | | | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Asset Allocation - Moderate Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.0125% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 1,373,005 | |
| U.S. Government | | | — | |
| | | | | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 1,386,550 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 84,412 | | | December 31, 2017 |
| | | | | |
| | 103,515 | | | December 31, 2018 |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Asset Allocation - Moderate Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 98,698 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 128,540 | |
| Long-term Capital Gain | | | 215,416 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
| Undistributed Ordinary Income | | $ | 95,348 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (187,927 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 73,977 | |
| | | | |
| Other Temporary Differences | | $ | (288,906 | ) |
| | | | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Asset Allocation — Moderate Growth VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Asset Allocation — Moderate Growth VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Asset Allocation — Moderate Growth VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Asset Allocation — Moderate Growth VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Asset Allocation - Moderate Growth VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Balanced VP
(unaudited)
MARKET ENVIRONMENT
The 12 months ended December 31, 2010, was a strong but at times volatile period in both the equity and fixed income markets. A broad trend toward global economic recovery and a return to more normal business activity in the U.S. were at times overshadowed by specific domestic and global events.
Economic recovery and investor confidence gained momentum early in the reporting period as the U.S. emerged from the worst recession in decades. Manufacturing showed signs of a revival, reflecting an uptick in new orders and some inventory replenishment. Although the unemployment rate remained high, jobless claims trended downward and leveled out, and temporary employment increased. However, the expiration of the first-time home buyers’ tax credit took some wind out of the housing recovery. Even though there were some signs of inflationary pressures, particularly among commodities prices, inflation remained benign.
By mid-spring, however, confidence eroded over concerns about slowing global and domestic growth. This, combined with the onset of a sovereign debt crisis in Europe, sparked a migration out of risky assets. Also weighing on U.S. markets was legislative action to increase regulation of the largest banks and financial institutions. U.S. and global investors sought the relative safety of U.S. Treasuries and, to a lesser extent, agency securities.
As the period came to a close, the announcement by the Federal Reserve Board (“Fed”) of a second round of quantitative easing (“QE2”) reversed investor concerns over the possibility of a double-dip recession, and equity securities rallied from mid-2010 lows. In addition, a more pro-business Congress as a result of the mid-term elections, the extension of Bush-era tax cuts, and improved retail sales further bolstered investor confidence. Additionally, continued growth in China, despite tighter monetary policy, is starting to convince investors that the global expansion is sustainable. During the fourth quarter 2010, despite the Fed’s announcement of QE2, Treasury rates rose. Short-maturity Treasury yields rose less than longer-dated Treasuries, reflecting market expectations of rising inflationary pressures in the future and an improved economic outlook—which helped corporate and mortgage bond spreads to rally.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Balanced VP Initial Class returned 24.12%. By comparison its primary and secondary benchmarks, the Standard & Poor’s 500 Composite Stock Index and the Barclays Capital U.S. Aggregate Bond Index, returned 15.06% and 6.54%, respectively.
STRATEGY REVIEW
During the period, Transamerica Balanced VP outperformed its blended benchmark. For the portfolio as a whole, a tactical asset allocation shift lowering our weighting to bonds and increasing our weighting to equities in late August positively contributed to performance.
For the equity segment, strong relative outperformance is attributable to stock selection in the consumer discretionary (i.e., BorgWarner, Inc.), producer durables and technology sectors. BorgWarner, Inc. continues to take market share as its turbo chargers answer the need for greater automotive fuel efficiency to meet new environmental standards. Additionally, the company is benefiting from the growth in total automobile production globally, driven by countries like China and India. Performance detractors included individual financial services holding Charles Schwab Corp. and underweighting and stock selection in the energy sector. Although Charles Schwab Corp. has been gaining market share over its competitors, record low interest rates have the potential to impact their earnings. As a result, we have been reducing the position.
On the fixed income side, overweighting corporate bonds and underweighting agency mortgage-backed securities (“MBS”) helped drive performance. Within the corporate sector, we trimmed fully valued, high-quality positions and less-liquid longer positions to reinvest in new opportunities, such as real estate investment trusts (“REIT”), commodity-oriented companies in metals and mining, and bonds backed by hard assets, such as enhanced equipment trust certificates (“EETC”) backed by aircraft. While underweight agency MBS, we increased our weighting to non-agency MBS through re-real estate mortgage investment conduits (“REMICs”) which performed well due to competitive yields and higher total-return opportunities. Our overweight positions in cell-phone tower commercial mortgage-backed securities also contributed to performance. Throughout the period, we maintained a shorter-than-index duration (i.e., sensitivity to interest rates) for the portfolio. At times, this was a detractor from performance as rates rallied. However, the impact of this positioning was more than offset by our sector exposures.
Kirk J. Kim
Greg D. Haendel, CFA
Derek S. Brown, CFA
Brian W. Westhoff, CFA
Peter O. Lopez
| | | |
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Co-Portfolio Managers
Transamerica Investment Management, LLC
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Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Balanced VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 24.12 | % | | | 5.61 | % | | | 6.34 | % | | | 05/01/2002 | |
S&P 500* | | | 15.06 | % | | | 2.29 | % | | | 3.84 | % | | | | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.80 | % | | | 5.52 | % | | | | |
| |
| Service Class | | | 23.88 | % | | | 5.34 | % | | | 7.32 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) and Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Balanced VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Balanced VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,260.80 | | | $ | 4.73 | | | $ | 1,021.02 | | | $ | 4.23 | | | | 0.83 | % |
| Service Class | | | 1,000.00 | | | | 1,259.80 | | | | 6.15 | | | | 1,019.76 | | | | 5.50 | | | | 1.08 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 65.9 | % |
| Corporate Debt Securities | | | 14.9 | |
| Mortgage-Backed Securities | | | 4.2 | |
| U.S. Government Agency Obligations | | | 3.6 | |
| Repurchase Agreement | | | 3.4 | |
| Warrant | | | 2.3 | |
| Asset-Backed Securities | | | 2.3 | |
| Preferred Corporate Debt Securities | | | 1.9 | |
| U.S. Government Obligations | | | 1.1 | |
| Municipal Government Obligations | | | 0.4 | |
| Securities Lending Collateral | | | 0.1 | |
| Other Assets and Liabilities — Net | | | (0.1 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Balanced VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
U.S. GOVERNMENT OBLIGATIONS - 1.1% | | | | | | | | |
| U.S. Treasury Bond | | | | | | | | |
| 4.38%, 05/15/2040 | | $ | 1,770 | | | $ | 1,779 | |
| U.S. Treasury Inflation Indexed Bond | | | | | | | | |
| 1.75%, 01/15/2028 | | | 1,190 | | | | 1,211 | |
| 2.50%, 01/15/2029 | | | 1,340 | | | | 1,520 | |
| | | | | | | | |
Total U.S. Government Obligations (cost $4,074) | | | | | | | 4,510 | |
| | | | | | | | |
| | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS - 3.6% | | | | | | | | |
| Fannie Mae | | | | | | | | |
| 5.00%, 05/01/2018- 03/01/2039 | | | 2,536 | | | | 2,684 | |
| 5.50%, 04/01/2037- 11/01/2038 | | | 1,751 | | | | 1,881 | |
| 6.00%, 08/01/2036- 12/01/2037 | | | 3,765 | | | | 4,124 | |
| Freddie Mac | | | | | | | | |
| 4.00%, 08/15/2028 | | | 1,139 | | | | 1,186 | |
| 5.00%, 04/01/2018- 07/01/2035 | | | 1,730 | | | | 1,837 | |
| 5.50%, 09/01/2018- 07/01/2037 | | | 1,457 | | | | 1,570 | |
| 6.00%, 12/01/2037 | | | 578 | | | | 637 | |
| Freddie Mac, IO | | | | | | | | |
| 5.00%, 08/01/2035 | | | 4,193 | | | | 802 | |
| | | | | | | | |
Total U.S. Government Agency Obligations (cost $14,191) | | | | | | | 14,721 | |
| | | | | | | | |
| | | | | | | | | |
MORTGAGE-BACKED SECURITIES - 4.2% | | | | | | | | |
| American General Mortgage Loan Trust | | | | | | | | |
| Series 2009-1, Class A6 | | | | | | | | |
| 5.75%, 09/25/2048 - 144A * | | | 1,000 | | | | 1,038 | |
| American Tower Trust | | | | | | | | |
| Series 2007-1A, Class AFX | | | | | | | | |
| 5.42%, 04/15/2037 - 144A | | | 485 | | | | 524 | |
| Series 2007-1A, Class C | | | | | | | | |
| 5.62%, 04/15/2037 - 144A | | | 1,340 | | | | 1,414 | |
| BCAP LLC Trust | | | | | | | | |
| Series 2009-RR10, Class 2A1 | | | | | | | | |
| 3.08%, 08/26/2035 - 144A * | | | 699 | | | | 698 | |
| Series 2009-RR13, Class 13A3 | | | | | | | | |
| 5.25%, 03/26/2037 - 144A * | | | 489 | | | | 501 | |
| Series 2009-RR14, Class 1A1 | | | | | | | | |
| 6.00%, 05/26/2037 - 144A * | | | 830 | | | | 841 | |
| Series 2009-RR3, Class 2A1 | | | | | | | | |
| 5.56%, 05/26/2037 - 144A * | | | 307 | | | | 315 | |
| Series 2009-RR6, Class 2A1 | | | | | | | | |
| 5.32%, 08/26/2035 - 144A * | | | 499 | | | | 475 | |
| Series 2010-RR1, Class 12A1 | | | | | | | | |
| 5.25%, 08/26/2036 - 144A * | | | 889 | | | | 922 | |
| Series 2010-RR6, Class 1A5 | | | | | | | | |
| 5.00%, 08/26/2022 - 144A * | | | 476 | | | | 480 | |
| Credit Suisse Mortgage Capital Certificates | | | | | | | | |
| Series 2009-16R, Class 11A1 | | | | | | | | |
| 7.00%, 08/26/2036 - 144A | | | 531 | | | | 560 | |
| Series 2010-15R, Class 2A1 | | | | | | | | |
| 3.50%, 05/26/2036 - 144A * | | | 582 | | | | 581 | |
| Series 2010-18R, Class 3A1 | | | | | | | | |
| 4.00%, 03/26/2037 - 144A | | | 723 | | | | 721 | |
| Jefferies & Co., Inc. | | | | | | | | |
| Series 2009-R2, Class 2A | | | | | | | | |
| 6.23%, 12/26/2037 - 144A * | | | 475 | | | | 485 | |
| Series 2009-R7, Class 10A3 | | | | | | | | |
| 6.00%, 12/26/2036 - 144A | | | 374 | | | | 392 | |
| Series 2009-R7, Class 12A1 | | | | | | | | |
| 5.29%, 08/26/2036 - 144A * | | | 440 | | | | 442 | |
| Series 2009-R7, Class 1A1 | | | | | | | | |
| 5.53%, 02/26/2036 - 144A * | | | 701 | | | | 713 | |
| Series 2009-R7, Class 4A1 | | | | | | | | |
| 3.06%, 09/26/2034 - 144A * | | | 701 | | | | 700 | |
| Series 2009-R9, Class 1A1 | | | | | | | | |
| 5.72%, 08/26/2046 - 144A * | | | 451 | | | | 454 | |
| Series 2010-R3, Class 1A1 | | | | | | | | |
| 5.43%, 03/21/2036 - 144A * | | | 556 | | | | 553 | |
| Series 2010-R6, Class 1A1 | | | | | | | | |
| 4.00%, 09/26/2037 - 144A | | | 489 | | | | 497 | |
| JP Morgan Re-REMIC | | | | | | | | |
| Series 2009-7, Class 8A1 | | | | | | | | |
| 5.64%, 01/27/2047 - 144A * | | | 488 | | | | 485 | |
| Series 2010-4, Class 7A1 | | | | | | | | |
| 4.28%, 08/26/2035 - 144A * | | | 755 | | | | 762 | |
| WaMu Mortgage Pass-Through Certificates | | | | | | | | |
| Series 2003-S9, Class A6 | | | | | | | | |
| 5.25%, 10/25/2033 | | | 1,283 | | | | 1,299 | |
| Wells Fargo Mortgage Backed Securities Trust | | | | | | | | |
| Series 2003-G, Class A1 | | | | | | | | |
| 4.10%, 06/25/2033 * | | | 597 | | | | 605 | |
| Series 2003-L, Class 1A2 | | | | | | | | |
| 4.50%, 11/25/2033 * | | | 514 | | | | 525 | |
| Wells Fargo Mortgage Loan Trust | | | | | | | | |
| Series 2010-RR1, Class 2A1 | | | | | | | | |
| 0.36%, 08/27/2047 - 144A * | | | 465 | | | | 459 | |
| | | | | | | | |
Total Mortgage-Backed Securities (cost $16,700) | | | | | | | 17,441 | |
| | | | | | | | |
| | | | | | | | | |
ASSET-BACKED SECURITIES - 2.3% | | | | | | | | |
| America West Airlines Pass-Through Trust | | | | | | | | |
| Series 2001-1, Class G | | | | | | | | |
| 8.06%, 07/02/2020 | | | 1,088 | | | | 1,150 | |
| American Airlines Pass-Through Trust | | | | | | | | |
| Series 2001-2, Class A2 | | | | | | | | |
| 7.86%, 10/01/2011 | | | 1,080 | | | | 1,123 | |
| Continental Airlines Pass-Through Trust | | | | | | | | |
| Series 1997-1, Class A | | | | | | | | |
| 7.46%, 04/01/2015 | | | 994 | | | | 1,034 | |
| Series 2009-1 | | | | | | | | |
| 9.00%, 07/08/2016 | | | 384 | | | | 439 | |
| Delta Air Lines, Inc. | | | | | | | | |
| Series 10-1A | | | | | | | | |
| 6.20%, 07/02/2018 | | | 1,140 | | | | 1,212 | |
| Dominos Pizza Master Issuer LLC | | | | | | | | |
| Series 2007-1, Class A2 | | | | | | | | |
| 5.26%, 04/25/2037 - 144A | | | 800 | | | | 821 | |
| Gazprom Via Gaz Capital SA | | | | | | | | |
| 8.13%, 07/31/2014 - 144A | | | 925 | | | | 1,045 | |
| Northwest Airlines Pass-Through Trust | | | | | | | | |
| Series 2002-1, Class G2 | | | | | | | | |
| 6.26%, 11/20/2021 | | | 1,164 | | | | 1,187 | |
| UAL Pass-Through Trust | | | | | | | | |
| Series 2009-1 | | | | | | | | |
| 10.40%, 11/01/2016 | | | 1,143 | | | | 1,321 | |
| | | | | | | | |
Total Asset-Backed Securities (cost $8,908) | | | | | | | 9,332 | |
| | | | | | | | |
| | | | | | | | | |
MUNICIPAL GOVERNMENT OBLIGATIONS - 0.4% | | | | | | | | |
| Rhode Island Economic Development Corp. | | | | | | | | |
| 6.00%, 11/01/2015 § | | | 705 | | | | 697 | |
| State of California | | | | | | | | |
| 7.95%, 03/01/2036 | | | 980 | | | | 1,020 | |
| | | | | | | | |
Total Municipal Government Obligations (cost $1,686) | | | | | | | 1,717 | |
| | | | | | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Balanced VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | | | | | |
| | | | | | | Principal | | | Value | |
| |
PREFERRED CORPORATE DEBT SECURITIES - 1.9% | | | | | | | | | | | | |
Capital Markets - 0.4% | | | | | | | | | | | | |
| State Street Capital Trust IV | | | | | | | | | | | | |
| 1.30%, 06/15/2037 * | | | | | | $ | 1,990 | | | $ | 1,493 | |
Commercial Banks - 0.9% | | | | | | | | | | | | |
| Barclays Bank PLC | | | | | | | | | | | | |
| 8.55%, 06/15/2011 - 144A * Ž | | | | | | | 330 | | | | 328 | |
| PNC Financial Services Group, Inc. | | | | | | | | | | | | |
| 8.25%, 05/21/2013 * Ž | | | | | | | 1,020 | | | | 1,088 | |
| Rabobank Nederland NV | | | | | | | | | | | | |
| 11.00%, 06/30/2019 - 144A * Ž | | | | | | | 890 | | | | 1,151 | |
| Wells Fargo & Co. | | | | | | | | | | | | |
| Series K | | | | | | | | | | | | |
| 7.98%, 03/15/2018 * Ž | | | | | | | 1,070 | | | | 1,129 | |
Diversified Financial Services - 0.5% | | | | | | | | | | | | |
| JPMorgan Chase Capital XXV | | | | | | | | | | | | |
| Series Y | | | | | | | | | | | | |
| 6.80%, 10/01/2037 | | | | | | | 810 | | | | 835 | |
| ZFS Finance USA Trust II | | | | | | | | | | | | |
| 6.45%, 06/15/2016 - 144A * | | | | | | | 1,458 | | | | 1,434 | |
Insurance - 0.1% | | | | | | | | | | | | |
| Reinsurance Group of America, Inc. | | | | | | | | | | | | |
| Series A | | | | | | | | | | | | |
| 6.75%, 12/15/2065 * | | | | | | | 520 | | | | 481 | |
| | | | | | | | | | | | |
Total Preferred Corporate Debt Securities (cost $7,081) | | | | | | | | | | | 7,939 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | |
CORPORATE DEBT SECURITIES - 14.9% | | | | | | | | | | | | |
Auto Components - 0.2% | | | | | | | | | | | | |
| BorgWarner, Inc. | | | | | | | | | | | | |
| 4.63%, 09/15/2020 | | | | | | | 660 | | | | 652 | |
Beverages - 0.1% | | | | | | | | | | | | |
| Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | | | | | |
| 9.75%, 11/17/2015 | | BRL | | | 1,000 | | | | 611 | |
Building Products - 0.2% | | | | | | | | | | | | |
| Voto-Votorantim Overseas Trading Operations NV | | | | | | | | | | | | |
| 6.63%, 09/25/2019 - 144A | | | | | | $ | 645 | | | | 671 | |
Chemicals - 0.1% | | | | | | | | | | | | |
| Nalco Co. | | | | | | | | | | | | |
| 8.25%, 05/15/2017 | | | | | | | 520 | | | | 564 | |
Commercial Banks - 2.0% | | | | | | | | | | | | |
| Banco Santander Chile | | | | | | | | | | | | |
| 3.75%, 09/22/2015 - 144A | | | | | | | 720 | | | | 701 | |
| Barclays Bank PLC | | | | | | | | | | | | |
| 10.18%, 06/12/2021 - 144A | | | | | | | 840 | | | | 1,046 | |
| Fifth Third Bancorp | | | | | | | | | | | | |
| 0.72%, 12/20/2016 * | | | | | | | 1,250 | | | | 1,129 | |
| First Tennessee Bank NA | | | | | | | | | | | | |
| 4.63%, 05/15/2013 | | | | | | | 1,365 | | | | 1,378 | |
| M&I Marshall & Ilsley Bank | | | | | | | | | | | | |
| 5.00%, 01/17/2017 | | | | | | | 870 | | | | 883 | |
| Regions Bank | | | | | | | | | | | | |
| 7.50%, 05/15/2018 | | | | | | | 690 | | | | 711 | |
| Regions Financial Corp. | | | | | | | | | | | | |
| 5.75%, 06/15/2015 | | | | | | | 740 | | | | 724 | |
| Silicon Valley Bank | | | | | | | | | | | | |
| 6.05%, 06/01/2017 | | | | | | | 1,090 | | | | 1,106 | |
| Zions Bancorporation | | | | | | | | | | | | |
| 7.75%, 09/23/2014 | | | | | | | 745 | | | | 777 | |
Construction Materials - 0.2% | | | | | | | | | | | | |
| Cemex Finance LLC | | | | | | | | | | | | |
| 9.50%, 12/14/2016 - 144A § | | | | | | | 670 | | | | 691 | |
Consumer Finance - 0.2% | | | | | | | | | | | | |
| Block Financial LLC | | | | | | | | | | | | |
| 7.88%, 01/15/2013 | | | | | | | 860 | | | | 902 | |
Containers & Packaging - 0.2% | | | | | | | | | | | | |
| Graphic Packaging International, Inc. | | | | | | | | | | | | |
| 9.50%, 06/15/2017 | | | | | | | 520 | | | | 567 | |
| Rexam PLC | | | | | | | | | | | | |
| 6.75%, 06/01/2013 - 144A | | | | | | | 255 | | | | 278 | |
Diversified Financial Services - 3.8% | | | | | | | | | | | | |
| Aviation Capital Group | | | | | | | | | | | | |
| 7.13%, 10/15/2020 - 144A | | | | | | | 1,250 | | | | 1,256 | |
| Citigroup, Inc. | | | | | | | | | | | | |
| 4.59%, 12/15/2015 | | | | | | | 1,185 | | | | 1,235 | |
| Glencore Funding LLC | | | | | | | | | | | | |
| 6.00%, 04/15/2014 - 144A | | | | | | | 744 | | | | 786 | |
| GTP Towers Issuer LLC | | | | | | | | | | | | |
| 4.44%, 02/15/2015 - 144A | | | | | | | 1,245 | | | | 1,294 | |
| International Lease Finance Corp. | | | | | | | | | | | | |
| 6.50%, 09/01/2014 - 144A | | | | | | | 1,130 | | | | 1,198 | |
| Irish Life & Permanent Group Holdings PLC | | | | | | | | | | | | |
| 3.60%, 01/14/2013 - 144A | | | | | | | 1,110 | | | | 996 | |
| Marina District Finance Co., Inc. | | | | | | | | | | | | |
| 9.50%, 10/15/2015 - 144A | | | | | | | 585 | | | | 575 | |
| NASDAQ OMX Group, Inc. | | | | | | | | | | | | |
| 5.25%, 01/16/2018 | | | | | | | 1,098 | | | | 1,108 | |
| Oaktree Capital Management, LP | | | | | | | | | | | | |
| 6.75%, 12/02/2019 - 144A | | | | | | | 1,070 | | | | 1,095 | |
| QHP Royalty Sub LLC | | | | | | | | | | | | |
| 10.25%, 03/15/2015 - 144A | | | | | | | 429 | | | | 433 | |
| Selkirk Cogen Funding Corp. | | | | | | | | | | | | |
| Series A | | | | | | | | | | | | |
| 8.98%, 06/26/2012 | | | | | | | 536 | | | | 558 | |
| Stone Street Trust | | | | | | | | | | | | |
| 5.90%, 12/15/2015 - 144A | | | | | | | 1,100 | | | | 1,141 | |
| TNK-BP Finance SA | | | | | | | | | | | | |
| 6.25%, 02/02/2015 - 144A | | | | | | | 540 | | | | 573 | |
| 7.50%, 03/13/2013 - 144A | | | | | | | 560 | | | | 605 | |
| Unison Ground Lease Funding LLC | | | | | | | | | | | | |
| 6.39%, 04/15/2020 - 144A | | | | | | | 1,430 | | | | 1,443 | |
| WCP Wireless Site Funding LLC | | | | | | | | | | | | |
| 4.14%, 11/15/2015 - 144A | | | | | | | 1,187 | | | | 1,155 | |
Energy Equipment & Services - 0.1% | | | | | | | | | | | | |
| Pride International, Inc. | | | | | | | | | | | | |
| 6.88%, 08/15/2020 | | | | | | | 510 | | | | 529 | |
Food & Staples Retailing - 0.2% | | | | | | | | | | | | |
| Ingles Markets, Inc. | | | | | | | | | | | | |
| 8.88%, 05/15/2017 | | | | | | | 610 | | | | 653 | |
Food Products - 0.4% | | | | | | | | | | | | |
| Lorillard Tobacco Co. | | | | | | | | | | | | |
| 8.13%, 06/23/2019 | | | | | | | 990 | | | | 1,102 | |
| Michael Foods, Inc. | | | | | | | | | | | | |
| 9.75%, 07/15/2018 - 144A § | | | | | | | 530 | | | | 579 | |
Hotels, Restaurants & Leisure - 0.4% | | | | | | | | | | | | |
| Hyatt Hotels Corp. | | | | | | | | | | | | |
| 5.75%, 08/15/2015 - 144A | | | | | | | 1,050 | | | | 1,098 | |
| MGM Resorts International | | | | | | | | | | | | |
| 6.75%, 09/01/2012 | | | | | | | 600 | | | | 597 | |
Insurance - 1.1% | | | | | | | | | | | | |
| Chubb Corp. | | | | | | | | | | | | |
| 6.38%, 03/29/2067 * | | | | | | | 785 | | | | 818 | |
| Fidelity National Financial, Inc. | | | | | | | | | | | | |
| 6.60%, 05/15/2017 | | | | | | | 705 | | | | 703 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Balanced VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Insurance - (continued) | | | | | | | | |
| HCC Insurance Holdings, Inc. | | | | | | | | |
| 6.30%, 11/15/2019 | | $ | 1,120 | | | $ | 1,181 | |
| Liberty Mutual Group, Inc. | | | | | | | | |
| 7.25%, 09/01/2012 - 144A | | | 500 | | | | 531 | |
| Pacific Life Insurance Co. | | | | | | | | |
| 9.25%, 06/15/2039 - 144A | | | 500 | | | | 650 | |
| Reinsurance Group of America, Inc. | | | | | | | | |
| 6.45%, 11/15/2019 | | | 530 | | | | 559 | |
Machinery - 0.2% | | | | | | | | |
| Kennametal, Inc. | | | | | | | | |
| 7.20%, 06/15/2012 | | | 990 | | | | 1,043 | |
Metals & Mining - 0.2% | | | | | | | | |
| ArcelorMittal | | | | | | | | |
| 5.25%, 08/05/2020 | | | 995 | | | | 984 | |
Multi-Utilities - 0.3% | | | | | | | | |
| Black Hills Corp. | | | | | | | | |
| 5.88%, 07/15/2020 | | | 670 | | | | 696 | |
| 9.00%, 05/15/2014 | | | 616 | | | | 707 | |
Oil, Gas & Consumable Fuels - 0.3% | | | | | | | | |
| Lukoil International Finance BV | | | | | | | | |
| 6.38%, 11/05/2014 - 144A | | | 640 | | | | 685 | |
| Petroleum Co., of Trinidad & Tobago, Ltd. | | | | | | | | |
| 9.75%, 08/14/2019 - 144A | | | 471 | | | | 565 | |
Paper & Forest Products - 0.4% | | | | | | | | |
| Celulosa Arauco y Constitucion SA | | | | | | | | |
| 5.00%, 01/21/2021 - 144A | | | 850 | | | | 835 | |
| Exopack Holding Corp. | | | | | | | | |
| 11.25%, 02/01/2014 | | | 700 | | | | 726 | |
Real Estate Investment Trusts - 2.9% | | | | | | | | |
| BRE Properties, Inc. | | | | | | | | |
| 5.20%, 03/15/2021 | | | 1,185 | | | | 1,196 | |
| Digital Realty Trust, LP | | | | | | | | |
| 5.88%, 02/01/2020 | | | 1,070 | | | | 1,089 | |
| Duke Realty, LP | | | | | | | | |
| 7.38%, 02/15/2015 | | | 1,070 | | | | 1,194 | |
| Entertainment Properties Trust | | | | | | | | |
| 7.75%, 07/15/2020 - 144A | | | 1,090 | | | | 1,153 | |
| Healthcare Realty Trust, Inc. | | | | | | | | |
| 6.50%, 01/17/2017 | | | 995 | | | | 1,073 | |
| Kilroy Realty, LP | | | | | | | | |
| 6.63%, 06/01/2020 | | | 1,200 | | | | 1,194 | |
| PPF Funding, Inc. | | | | | | | | |
| 5.35%, 04/15/2012 - 144A | | | 1,355 | | | | 1,381 | |
| Tanger Properties, LP | | | | | | | | |
| 6.13%, 06/01/2020 | | | 550 | | | | 590 | |
| 6.15%, 11/15/2015 | | | 710 | | | | 770 | |
| UDR, Inc. | | | | | | | | |
| 5.50%, 04/01/2014 | | | 1,000 | | | | 1,055 | |
| WEA Finance LLC | | | | | | | | |
| 6.75%, 09/02/2019 - 144A | | | 980 | | | | 1,092 | |
Real Estate Management & Development - 0.3% | | | | | | | | |
| Post Apartment Homes, LP | | | | | | | | |
| 5.45%, 06/01/2012 | | | 305 | | | | 315 | |
| 6.30%, 06/01/2013 | | | 970 | | | | 1,043 | |
Trading Companies & Distributors - 0.2% | | | | | | | | |
| Noble Group, Ltd. | | | | | | | | |
| 8.50%, 05/30/2013 - 144A | | | 780 | | | | 872 | |
Wireless Telecommunication Services - 0.9% | | | | | | | | |
| Crown Castle Towers LLC | | | | | | | | |
| 4.88%, 08/15/2020 - 144A | | | 1,625 | | | | 1,562 | |
| 6.11%, 01/15/2020 - 144A | | | 1,000 | | | | 1,043 | |
| SBA Tower Trust | | | | | | | | |
| 5.10%, 04/15/2017 - 144A | | | 1,270 | | | | 1,320 | |
| | | | | | | | |
Total Corporate Debt Securities (cost $59,761) | | | | | | | 62,025 | |
| | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 65.9% | | | | | | | | |
Aerospace & Defense - 1.3% | | | | | | | | |
| Precision Castparts Corp. | | | 37,598 | | | | 5,234 | |
Air Freight & Logistics - 2.9% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 84,529 | | | | 6,779 | |
| Expeditors International of Washington, Inc. | | | 92,536 | | | | 5,052 | |
Auto Components - 5.0% | | | | | | | | |
| BorgWarner, Inc. ‡ | | | 199,024 | | | | 14,401 | |
| Johnson Controls, Inc. | | | 167,089 | | | | 6,383 | |
Capital Markets - 3.1% | | | | | | | | |
| Charles Schwab Corp. | | | 306,737 | | | | 5,248 | |
| T. Rowe Price Group, Inc. | | | 120,706 | | | | 7,791 | |
Chemicals - 0.9% | | | | | | | | |
| Sigma-Aldrich Corp. | | | 55,863 | | | | 3,718 | |
Communications Equipment - 1.4% | | | | | | | | |
| QUALCOMM, Inc. | | | 118,313 | | | | 5,855 | |
Computers & Peripherals - 3.2% | | | | | | | | |
| Apple, Inc. ‡ | | | 41,425 | | | | 13,362 | |
Diversified Financial Services - 1.9% | | | | | | | | |
| JPMorgan Chase & Co. | | | 182,632 | | | | 7,747 | |
Electrical Equipment - 2.8% | | | | | | | | |
| Cooper Industries PLC - Class A | | | 106,857 | | | | 6,229 | |
| Emerson Electric Co. | | | 96,280 | | | | 5,504 | |
Energy Equipment & Services - 1.6% | | | | | | | | |
| Core Laboratories NV | | | 75,627 | | | | 6,735 | |
Food Products - 2.1% | | | | | | | | |
| Green Mountain Coffee Roasters, Inc. ‡ | | | 271,036 | | | | 8,906 | |
Hotels, Restaurants & Leisure - 1.3% | | | | | | | | |
| Chipotle Mexican Grill, Inc. ‡ | | | 26,222 | | | | 5,576 | |
Internet & Catalog Retail - 8.2% | | | | | | | | |
| Amazon.com, Inc. ‡ | | | 81,235 | | | | 14,622 | |
| NetFlix, Inc. ‡ | | | 66,332 | | | | 11,655 | |
| priceline.com, Inc. ‡ | | | 18,453 | | | | 7,373 | |
Internet Software & Services - 3.6% | | | | | | | | |
| Google, Inc. - Class A ‡ | | | 10,246 | | | | 6,086 | |
| Rackspace Hosting, Inc. ‡ | | | 284,629 | | | | 8,940 | |
Machinery - 8.2% | | | | | | | | |
| Caterpillar, Inc. | | | 104,502 | | | | 9,788 | |
| Deere & Co. | | | 49,970 | | | | 4,150 | |
| Kennametal, Inc. | | | 241,372 | | | | 9,525 | |
| PACCAR, Inc. | | | 184,744 | | | | 10,607 | |
Metals & Mining - 2.0% | | | | | | | | |
| Vale SA - Class B ADR ‡ | | | 238,975 | | | | 8,261 | |
Oil, Gas & Consumable Fuels - 2.6% | | | | | | | | |
| EOG Resources, Inc. | | | 50,908 | | | | 4,654 | |
| Petroleo Brasileiro SA ADR | | | 154,008 | | | | 5,827 | |
Paper & Forest Products - 1.8% | | | | | | | | |
| Weyerhaeuser Co. | | | 400,987 | | | | 7,591 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Balanced VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Pharmaceuticals - 4.5% | | | | | | | | |
| Perrigo Co. | | | 128,045 | | | $ | 8,109 | |
| Pfizer, Inc. | | | 355,000 | | | | 6,216 | |
| Teva Pharmaceutical Industries, Ltd.ADR | | | 84,904 | | | | 4,426 | |
Professional Services - 1.4% | | | | | | | | |
| Robert Half International, Inc. ^ | | | 196,416 | | | | 6,010 | |
Road & Rail - 1.9% | | | | | | | | |
| Union Pacific Corp. | | | 84,026 | | | | 7,786 | |
Software - 4.2% | | | | | | | | |
| Citrix Systems, Inc. ‡ | | | 128,225 | | | | 8,772 | |
| Oracle Corp. | | | 273,351 | | | | 8,556 | |
| | | | | | | | |
Total Common Stocks (cost $200,940) | | | | | | | 273,474 | |
| | | | | | | | |
| | | | | | | | | |
WARRANT - 2.3% | | | | | | | | |
Commercial Banks - 2.3% | | | | | | | | |
| Wells Fargo & Co. ‡ | | | | | | | | |
| Expiration: 10/28/2018 | | | | | | | | |
| Exercise Price: $34.01 | | | 864,840 | | | | 9,565 | |
Total Warrant (cost $6,816) | | | | | | | | |
SECURITIES LENDING COLLATERAL - 0.1% | | | | | | | | |
| State Street Navigator Securities Lending | | | | | | | | |
| Trust - Prime Portfolio, 0.36% ▲ | | | 467,500 | | | | 468 | |
Total Securities Lending Collateral (cost $468) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 3.4% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $13,903 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/25/2024, with a value of $14,184. | | $ | 13,903 | | | | 13,903 | |
Total Repurchase Agreement (cost $13,903) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $334,528) # | | | | | | | 415,095 | |
| Other Assets and Liabilities - Net | | | | | | | (585 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 414,510 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| * | | Floating or variable rate note. Rate is listed as of 12/31/2010. |
| |
| § | | Illiquid. At 12/31/2010, these securities had a market value $1,967, or 0.47%, of the fund���s net assets. |
| |
| Ž | | The security has a perpetual maturity. The date shown is the next call date. |
| |
| ‡ | | Non-income producing security. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $458. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $334,528. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $82,647 and $2,080, respectively. Net unrealized appreciation for tax purposes is $80,567. |
DEFINITIONS:
| | |
| |
| 144A | | 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2010, these securities aggregated $49,094, or 11.84%, of the fund’s net assets. |
| |
| ADR | | American Depositary Receipt |
| |
| BRL | | Brazilian Real |
| |
| IO | | Interest Only |
| |
| REMIC | | Real Estate Mortgage Investment Conduits (consist of a fixed pool of mortgages broken apart and marketed to investors as individual securities) |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Balanced VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| Asset-Backed Securities | | $ | — | | | $ | 9,332 | | | $ | — | | | $ | 9,332 | |
| Common Stocks | | | 262,314 | | | | 11,160 | | | | — | | | | 273,474 | |
| Corporate Debt Securities | | | — | | | | 62,025 | | | | — | | | | 62,025 | |
| Mortgage-Backed Securities | | | — | | | | 17,441 | | | | — | | | | 17,441 | |
| Municipal Government Obligations | | | — | | | | 1,717 | | | | — | | | | 1,717 | |
| Preferred Corporate Debt Securities | | | — | | | | 7,939 | | | | — | | | | 7,939 | |
| Repurchase Agreement | | | — | | | | 13,903 | | | | — | | | | 13,903 | |
| Securities Lending Collateral | | | 468 | | | | — | | | | — | | | | 468 | |
| U.S. Government Agency Obligations | | | — | | | | 14,721 | | | | — | | | | 14,721 | |
| U.S. Government Obligations | | | — | | | | 4,510 | | | | — | | | | 4,510 | |
| Warrant | | | 9,565 | | | | — | | | | — | | | | 9,565 | |
Total | | $ | 272,347 | | | $ | 142,748 | | | $ | — | | | $ | 415,095 | |
Level 3 Rollforward - Investment Securities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning | | | | | | | | | | | | | | | | | | Net Transfers | | Ending |
| | | Balance at | | Net | | Accrued | | Total Realized | | Change in Unrealized | | In/(Out) of | | Balance at |
| Securities | | 12/31/2009 | | Purchases/(Sales) | | Discounts/(Premiums) | | Gain/(Loss) | | Appreciation/(Depreciation) | | Level 3 | | 12/31/2010 |
| Mortgage-Backed Securities | | $ | 980 | | | $ | (49 | ) | | $ | — | | | $ | 4 | | | $ | 21 | | | $ | (956 | ) | | $ | — | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Balanced VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $320,625) | | $ | 401,192 | |
| (including securities loaned of $458) | | | | |
| Repurchase agreement, at value (cost: $13,903) | | | 13,903 | |
| Receivables: | | | | |
| Shares sold | | | 180 | |
| Interest | | | 1,283 | |
| Dividends | | | 167 | |
| Dividend reclaims | | | 2 | |
| Prepaid expenses | | | 4 | |
| | | | |
| | | | 416,731 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 1,173 | |
| Shares redeemed | | | 227 | |
| Management and advisory fees | | | 260 | |
| Distribution and service fees | | | 25 | |
| Administration fees | | | 7 | |
| Printing and shareholder reports fees | | | 42 | |
| Audit and tax fees | | | 5 | |
| Other | | | 14 | |
| Collateral for securities on loan | | | 468 | |
| | | | |
| | | | 2,221 | |
| | | | |
Net assets | | $ | 414,510 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 328 | |
| Additional paid-in capital | | | 338,087 | |
| Undistributed (accumulated) net investment income (loss) | | | 9,938 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (14,411 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 80,567 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Net assets | | $ | 414,510 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 292,510 | |
| Service Class | | | 122,000 | |
Shares outstanding: | | | | |
| Initial Class | | | 23,073 | |
| Service Class | | | 9,708 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 12.68 | |
| Service Class | | | 12.57 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $16) | | $ | 6,727 | |
| Interest income (including withholding taxes on foreign interest of $1) | | | 5,674 | |
| Securities lending income (net) | | | 64 | |
| | | | |
| | | | 12,465 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 2,110 | |
| Printing and shareholder reports | | | 63 | |
| Custody | | | 50 | |
| Administration | | | 56 | |
| Legal | | | 17 | |
| Audit and tax | | | 9 | |
| Trustees | | | 10 | |
| Transfer agent | | | 2 | |
| Distribution and service: | | | | |
| Service Class | | | 213 | |
| Other | | | 92 | |
| | | | |
| Total expenses | | | 2,622 | |
| | | | |
| | | | | |
Net investment income | | | 9,843 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 17,537 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 34,200 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 34,201 | |
| | | | |
Net realized and unrealized gain | | | 51,738 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 61,581 | |
| | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Balanced VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 9,843 | | | $ | 1,641 | |
| Net realized gain (loss) from investment securities | | | 17,537 | | | | (6,218 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 34,201 | | | | 24,027 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 61,581 | | | | 19,450 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (1,308 | ) | | | (696 | ) |
| Service Class | | | (386 | ) | | | (685 | ) |
| | | | | | | |
| | | | (1,694 | ) | | | (1,381 | ) |
| | | | | | | |
| | | | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (562 | ) |
| Service Class | | | — | | | | (597 | ) |
| | | | | | | |
| | | | — | | | | (1,159 | ) |
| | | | | | | |
Total distributions to shareholders | | | (1,694 | ) | | | (2,540 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 10,457 | | | | 9,326 | |
| Service Class | | | 37,272 | | | | 30,995 | |
| | | | | | | |
| | | | 47,729 | | | | 40,321 | |
| | | | | | | |
| Proceeds from fund acquisition: | | | | | | | | |
| Initial Class | | | 230,299 | | | | — | |
| Service Class | | | 24,599 | | | | — | |
| | | | | | | |
| | | | 254,898 | | | | — | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 1,308 | | | | 1,258 | |
| Service Class | | | 386 | | | | 1,282 | |
| | | | | | | |
| | | | 1,694 | | | | 2,540 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (35,445 | ) | | | (9,742 | ) |
| Service Class | | | (15,753 | ) | | | (7,363 | ) |
| | | | | | | |
| | | | (51,198 | ) | | | (17,105 | ) |
| | | | | | | |
Net increase in net assets from capital shares transactions | | | 253,123 | | | | 25,756 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 313,010 | | | | 42,666 | |
| | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 101,500 | | | | 58,834 | |
| | | | | | | |
| End of year | | $ | 414,510 | | | $ | 101,500 | |
| | | | | | | |
Undistributed net investment income | | $ | 9,938 | | | $ | 1,675 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 937 | | | | 1,037 | |
| Service Class | | | 3,385 | | | | 3,496 | |
| | | | | | | |
| | | | 4,322 | | | | 4,533 | |
| | | | | | | |
| Shares issued on fund acquisition: | | | | | | | | |
| Initial Class | | | 20,822 | | | | — | |
| Service Class | | | 2,243 | | | | — | |
| | | | | | | |
| | | | 23,065 | | | | — | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 126 | | | | 133 | |
| Service Class | | | 38 | | | | 137 | |
| | | | | | | |
| | | | 164 | | | | 270 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (3,224 | ) | | | (1,098 | ) |
| Service Class | | | (1,469 | ) | | | (821 | ) |
| | | | | | | |
| | | | (4,693 | ) | | | (1,919 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 18,661 | | | | 72 | |
| Service Class | | | 4,197 | | | | 2,812 | |
| | | | | | | |
| | | | 22,858 | | | | 2,884 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Balanced VP
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.27 | | | $ | 8.38 | | | $ | 13.70 | | | $ | 12.25 | | | $ | 11.63 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.41 | | | | 0.21 | | | | 0.22 | | | | 0.19 | | | | 0.16 | |
| Net realized and unrealized gain (loss) | | | 2.05 | | | | 1.97 | | | | (4.36 | ) | | | 1.47 | | | | 0.88 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.46 | | | | 2.18 | | | | (4.14 | ) | | | 1.66 | | | | 1.04 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.05 | ) | | | (0.16 | ) | | | (0.21 | ) | | | (0.15 | ) | | | (0.12 | ) |
| From net realized gains | | | — | | | | (0.13 | ) | | | (0.97 | ) | | | (0.06 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.05 | ) | | | (0.29 | ) | | | (1.18 | ) | | | (0.21 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 12.68 | | | $ | 10.27 | | | $ | 8.38 | | | $ | 13.70 | | | $ | 12.25 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 24.12 | % | | | 26.30 | % | | | (32.40 | %) | | | 13.61 | % | | | 9.12 | % |
Net assets end of year (000’s) | | $ | 292,510 | | | $ | 45,319 | | | $ | 36,361 | | | $ | 81,632 | | | $ | 71,949 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.87 | % | | | 0.91 | % | | | 0.90 | % | | | 0.89 | % | | | 0.89 | % |
| Net investment income, to average net assets | | | 3.75 | % | | | 2.26 | % | | | 1.89 | % | | | 1.49 | % | | | 1.32 | % |
| Portfolio turnover rate | | | 69 | % | | | 82 | % | | | 67 | % | | | 60 | % | | | 47 | % |
For a share outstanding throughout each period
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.19 | | | $ | 8.33 | | | $ | 13.64 | | | $ | 12.21 | | | $ | 11.61 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.34 | | | | 0.18 | | | | 0.19 | | | | 0.16 | | | | 0.13 | |
| Net realized and unrealized gain (loss) | | | 2.08 | | | | 1.96 | | | | (4.34 | ) | | | 1.46 | | | | 0.87 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.42 | | | | 2.14 | | | | (4.15 | ) | | | 1.62 | | | | 1.00 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.04 | ) | | | (0.15 | ) | | | (0.19 | ) | | | (0.13 | ) | | | (0.10 | ) |
| From net realized gains | | | — | | | | (0.13 | ) | | | (0.97 | ) | | | (0.06 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.04 | ) | | | (0.28 | ) | | | (1.16 | ) | | | (0.19 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 12.57 | | | $ | 10.19 | | | $ | 8.33 | | | $ | 13.64 | | | $ | 12.21 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 23.88 | % | | | 25.94 | % | | | (32.57 | %) | | | 13.38 | % | | | 8.74 | % |
Net assets end of year (000’s) | | $ | 122,000 | | | $ | 56,181 | | | $ | 22,473 | | | $ | 20,711 | | | $ | 9,672 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.12 | % | | | 1.16 | % | | | 1.15 | % | | | 1.14 | % | | | 1.14 | % |
| Net investment income, to average net assets | | | 3.11 | % | | | 1.98 | % | | | 1.71 | % | | | 1.25 | % | | | 1.11 | % |
| Portfolio turnover rate | | | 69 | % | | | 82 | % | | | 67 | % | | | 60 | % | | | 47 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Balanced VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Balanced VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities is translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Treasury inflation-protected securities (“TIPS”): The Fund invests in TIPS, specially structured bonds in which the principal amount is adjusted daily to keep pace with inflation as measured by the U.S. Consumer Price Index. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.
Restricted and illiquid securities: Restricted and illiquid securities are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The restricted and illiquid securities at December 31, 2010 are listed in the Schedule of Investments.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Market and credit risk: On September 6, 2008, the Federal Housing Finance Agency (“FHFA”) placed Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”) into conservatorship. As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and the assets of FNMA and FHLMC. On September 7, 2008, the U.S. Treasury announced additional steps taken by it in connection with the conservatorship. The U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of FNMA and FHLMC pursuant to which the U.S. Treasury will purchase up to an aggregate of $100 billion of each of FNMA and FHLMC to maintain a positive net worth in each enterprise. Second, the U.S. Treasury announced the creation of a new secured lending facility which is available to each of FNMA and FHLMC as a liquidity backstop. Third, the U.S. Treasury announced the creation of a temporary program to purchase mortgage-backed securities issued by each of FNMA and FHLMC. On February 18, 2009, the U.S. Treasury announced that it was doubling the size of its commitment to each enterprise under the Senior Preferred Stock Program to $200 billion. Both the liquidity backstop and the mortgage-backed securities purchase program expired December 31, 2009. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remains liable for all of its obligations associated with its mortgage-backed securities, including its guaranty obligations. The Senior Preferred Stock Purchase Agreement is intended to enhance each of FNMA’s and FHLMC’s ability to meet its obligations. The FHFA has indicated that the conservatorship of each enterprise will end when the FHFA determines that the FHFA’s plan to restore the enterprise to a safe and solvent condition has been completed.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Corporate bonds: The fair value of corporate bonds 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 bonds 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.
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 as Level 3.
Government securities: Government securities 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. Government securities generally are categorized in Level 2 of the fair value hierarchy.
U.S. government agency securities: U.S. government agency securities 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 securities. 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.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Investment Management, LLC (“TIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TIM, TFS, and TCI.
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets
(“ANA”) at the following breakpoints:
Effective May 1, 2010
| | | | | |
|
| First $500 million | | | 0.75 | % |
| Over $500 million up to $1 billion | | | 0.65 | % |
| Over $1 billion | | | 0.60 | % |
Prior to May 1, 2010
| | | | | |
|
| First $250 million | | | 0.80 | % |
| Over $250 million up to $500 million | | | 0.75 | % |
| Over $500 million up to $1.5 billion | | | 0.70 | % |
| Over $1.5 billion | | | 0.625 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.20% Expense Limit
Prior to May 1, 2010, the expense limit was 1.40%.
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived advisory fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 180,039 | |
| U.S. Government | | | 24,192 | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 159,961 | |
| U.S. Government | | | 30,536 | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | 23,488 | |
| Undistributed (accumulated) net investment income (loss) | | $ | 114 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (23,602 | ) |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 6,684 | | | December 31, 2016 |
| $ | 7,728 | | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $16,906.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 1,694 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 1,381 | |
| Long-term Capital Gain | | | 1,159 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 9,939 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (14,412 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 80,568 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
NOTE 6. REORGANIZATION
On April 30, 2010, Transamerica Balanced VP acquired all of the net assets of Transamerica Value Balanced VP pursuant to a Plan of Reorganization. Transamerica Balanced VP is the accounting survivor. The purpose of the transaction was to achieve a more cohesive, focused, and streamlined fund complex. The acquisition was accomplished by a tax-free exchange of 23,065 shares of Transamerica Balanced VP for 24,062 shares of Transamerica Value Balanced VP outstanding on April 30, 2010. Transamerica Value Balanced VP’s net assets at that date, $254,898, including $33,869 unrealized appreciation, were combined with those of Transamerica Balanced VP. The aggregate net assets of Transamerica Balanced VP immediately before the acquisition were $112,393; the combined net assets of Transamerica Balanced VP immediately after the acquisition were $367,291. In the acquisition, Transamerica Balanced VP retained certain capital loss carryforwards from Transamerica Value Balanced VP in the amount of $23,590. Shares issued with the acquisition were as follows:
Transamerica Value Balanced VP
| | | | | | | | | |
| Class | | Shares | | Amount |
| Initial | | | 20,822 | | | $ | 230,299 | |
| Service | | | 2,243 | | | | 24,599 | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The exchange ratio of the reorganization for the Fund is as follows (Transamerica Balanced VP shares issuable/ Transamerica Value Balanced VP):
Transamerica Value Balanced VP
| | | | | |
| Class | | Exchange Ratio |
| Initial | | | 0.95 | |
| Service | | | 1.00 | |
Assuming the reorganization had been completed on January 1, 2010, the beginning of the annual reporting period of the Fund, the Fund’s pro forma results of operations for the year ended December 31, 2010, are as follows:
| | | | | |
|
| Net investment income | | $ | 11,769 | |
| | | | | |
| Net realized and unrealized gain | | | 69,644 | |
| | | | | |
| Net increase in net assets resulting from operations | | | 81,413 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Transamerica Value Balanced VP that have been included in the Fund’s Statement of Operations since April 30, 2010.
NOTE 7. SUBSEQUENT EVENT
The Fund’s Board of Trustees has approved changes to Transamerica Balanced VP, including changes to the Fund name, sub-adviser, investment objective, principal investment strategies, and risks. The Fund will change its name to Transamerica Multi-Managed Balanced VP and sub-adviser from Transamerica Investment Management, LLC to J.P. Morgan Investment Management Inc. and BlackRock Financial Management, Inc. These changes are expected to occur on or about March 31, 2011, but may occur sooner.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica Balanced VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Balanced VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Balanced VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Balanced VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 19
Transamerica Balanced VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 20
Transamerica BlackRock Global Allocation VP
(unaudited)
MARKET ENVIRONMENT
The global economy appears to be in the midst of a broad economic recovery with developed markets seeing improvements in manufacturing and employment, while emerging markets continue the impressive growth trajectory that began in early 2009. Most importantly, the world economy seems to have avoided the double-dip recession that was widely believed to be occurring in the summer months of 2010.
As we move into 2011, we continue to view equities as the most attractive of the major asset classes, especially when compared to developed market government bonds and cash. Equity P/E ratios are nowhere near as attractive as they were in early 2009, but we believe they have room for expansion as companies continue to generate impressive operating leverage and upside earnings surprises. We are, however, mindful that the European debt crisis remains a focal point for the market with Portugal and Spain undertaking massive public re-financings over the early parts of 2011. In addition, although our long-term view on emerging markets is quite optimistic, the tightening of monetary policy in the near-term poses risks to the robust economic data that these regions have produced over the past 12-24 months. In aggregate, we view 2011 as a year where equities are likely to lead the way and competitive rates of return are attainable, but much like 2010, the necessity for diversification and tactical rebalancing will prove helpful in navigating the environment with a more moderate level of volatility.
PERFORMANCE
For the year ended December 31, 2010, Transamerica BlackRock Global Allocation VP Service Class returned 9.78%. By comparison its benchmark, the Financial Times Stock Exchange World Index (“FTSE World”), returned 12.73%.
STRATEGY REVIEW
For the 12-month period, Transamerica BlackRock Global Allocation VP underperformed the FTSE World. The following discussion of relative performance pertains to the Investment Company that Transamerica BlackRock Global Allocation VP invests in, BlackRock Global Allocation V.I. (the “Fund”), which invests in both equities and bonds.
The Fund’s underperformance is primarily attributed to an overweight in cash and cash equivalents as markets generally advanced over the period. Active currency positioning during the period also had a negative impact on performance. With respect to the Fund’s equity investments, overweight positions and stock selection within Japan and Brazil detracted, as did stock selection within Hong Kong, Germany, and South Korea. On a sector basis, stock selection within Industrials and Energy had a negative impact on returns, as did an underweight and stock selection in Consumer Discretionary.
Contributing positively to performance during the period was the Fund’s underweight in Europe and overweights in Australia and Russia. Stock selection within Canada and Taiwan also had a positive impact. From a sector perspective, an overweight in materials benefited performance as did stock selection within the sector, driven largely by holdings in precious metal-related securities. An underweight position and stock selection in Financials proved beneficial, while stock selection in Health Care, Utilities, and Information Technology (“IT”) boosted returns.
Within the Fund’s fixed income portfolio, underweight exposure to European sovereign debt, including Greece, Italy, and Spain, was beneficial to performance, while an overweight to emerging market debt, particularly Brazil, contributed positively. Detracting from performance was the Fund’s underweight position and security selection in the United States.
During the 12-month period, the Fund’s overall equity allocation increased from 58% of net assets to 66%. Within equities, management increased Fund exposure to the United States, Asia, Africa/Middle East, and Europe, and reduced the Fund’s overweight in Latin America. On a sector basis, management increased the Fund’s weightings in Energy, Materials, Consumer Discretionary, IT, Financials, Utilities, Telecommunication Services (“Telecom”), and Industrials, while we decreased weightings in Consumer Staples and Health Care.
The Fund’s allocation to fixed income decreased from 29% of net assets to 27%, due primarily to reduced holdings in U.S. Treasury Inflation-Protected Securities, U.S. convertible bonds, and U.S. dollar-denominated foreign convertible bonds. These reductions were partially offset by additions to holdings in nominal U.S. Treasuries, U.S. corporate bonds, and U.S. dollar-denominated foreign corporate bonds. Outside the United States, management reduced Fund exposure to Japanese government bonds and European sovereign bonds, and increased exposure to United Kingdom (“U.K.”) Gilts.
Reflecting these portfolio changes, the Fund’s allocation to cash and cash equivalents decreased from 13% of net assets to 7%.
The Fund ended the period overweight in equities, underweight in fixed income and overweight in cash and cash equivalents. Within the equity segment, the Fund was overweight in Asia and Latin America, while it was underweight in Europe and slightly underweight in the United States. On a sector basis, the Fund was overweight in Materials, Energy, Telecom and Health Care, and underweight in Consumer Discretionary, Financials, Consumer Staples, Industrials, IT, and Utilities.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica BlackRock Global Allocation VP
(unaudited)
STRATEGY REVIEW (continued)
With respect to currency exposure, the Fund was overweight the Brazilian real, Russian ruble, Swiss franc, Canadian dollar, and several Asian currencies, including the Singapore dollar, Indian rupee, and Malaysian ringgit. The Fund was underweight the Euro, Japanese yen, U.S. dollar, Australian dollar and British pound.
The Fund’s position in cash and cash equivalents at period end was 7% of net assets. Over the course of the 12-month period, cash helped to mitigate portfolio volatility and served as a source of funds for new investments. The portfolio maintains its overweight in cash and cash equivalents relative to the Reference Benchmark partially to keep overall portfolio duration (sensitivity to interest rates) low. The use of options, futures, indexed securities, inverse securities, swaps and forward contracts can be effective in protecting or enhancing the value of the fund’s assets.
Dennis W. Stattman
Dan Chamby
Romualdo Roldan
Co-Portfolio Mangers
BlackRock Investment Management, LLC
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica BlackRock Global Allocation VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Service Class | | | 9.78 | % | | | 18.87 | % | | | 05/01/2009 | |
FTSE World * | | | 12.73 | % | | | 28.47 | % | | | | |
NOTES
| | |
| * | | The Financial Times Stock Exchange World Index (“FTSE World”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Service Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica BlackRock Global Allocation VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica BlackRock Global Allocation VP | | $ | 1,000.00 | | | $ | 1,151.70 | | | $ | 1.63 | | | $ | 1,023.69 | | | $ | 1.53 | | | | 0.30 | % |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Investment Company | | | 100.0 | % |
| Other Assets and Liabilities — Net | | | (0.0 | )* |
| | | | | |
Total | | | 100.0 | % |
| | | | | |
| | |
| * | | Rounds to less than (0.1%). |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica BlackRock Global Allocation VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANY - 100.0% | | | | | | | | |
Capital Markets - 100.0% | | | | | | | | |
| BlackRock Global Allocation V.I. | | | 40,754,600 | | | $ | 658,187 | |
| | | | | | | | |
| Total Investment Company (cost $613,198) # | | | | | | | 658,187 | |
| Other Assets and Liabilities — Net | | | | | | | (163 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 658,024 | |
| | | | | | | | |
NOTE TO SCHEDULE OF INVESTMENTS:
| | |
| # | | Aggregate cost for federal income tax purposes is $613,198. Aggregate gross/net unrealized appreciation for all securities in which there is an excess of value over tax cost was $44,989. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| | |
| Investment Company | | $ | 658,187 | | | $ | — | | | $ | — | | | $ | 658,187 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica BlackRock Global Allocation VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in investment companies, at value (cost: $613,198) | | $ | 658,187 | |
| Receivables: | | | | |
| Shares sold | | | 2,258 | |
| Prepaid expenses | | | 4 | |
| | | | |
| | | | 660,449 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 2,258 | |
| Distribution and service fees | | | 131 | |
| Administration fees | | | 11 | |
| Audit and tax fees | | | 8 | |
| Printing and shareholder reports fees | | | 5 | |
| Other | | | 12 | |
| | | | |
| | | | 2,425 | |
| | | | |
Net assets | | $ | 658,024 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 495 | |
| Additional paid-in capital | | | 602,810 | |
| Undistributed (accumulated) net investment (loss) | | | 6,273 | |
| Undistributed (accumulated) net realized gain (loss) from investment in investment companies | | | 3,457 | |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 44,989 | |
| | | | |
Net assets | | $ | 658,024 | |
| | | | |
| | | | | |
Shares outstanding | | | 49,510 | |
| | | | | |
Net asset value and offering price per share | | $ | 13.29 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 7,366 | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 184 | |
| Printing and shareholder reports | | | 21 | |
| Custody | | | 24 | |
| Administration | | | 74 | |
| Legal | | | 22 | |
| Audit and tax | | | 13 | |
| Trustees | | | 12 | |
| Transfer agent | | | 3 | |
| Distribution and service | | | 919 | |
| Other | | | 5 | |
| | | | |
| Total expenses | | | 1,277 | |
| | | | |
| Less waiver/reimbursement | | | (184 | ) |
| | | | |
| Net expenses | | | 1,093 | |
| | | | |
| | | | | |
Net investment income | | | 6,273 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | 104 | |
| Distributions from investments in affiliated investment companies | | | 3,353 | |
| | | | |
| | | | 3,457 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 39,750 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 43,207 | |
| | | | |
| | | |
Net increase in net assets resulting from operations | | $ | 49,480 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica BlackRock Global Allocation VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 6,273 | | | $ | 1,814 | |
| Net realized gain from investments in and distributions from investment companies | | | 3,457 | | | | — | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 39,750 | | | | 5,239 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 49,480 | | | | 7,053 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income | | | (1,814 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold | | | 456,660 | | | | 151,712 | |
| Dividends and distributions reinvested | | | 1,814 | | | | — | |
| Cost of shares redeemed | | | (5,536 | ) | | | (1,345 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 452,938 | | | | 150,367 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 500,604 | | | | 157,420 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 157,420 | | | | — | |
| | | | | | | |
| End of year | | $ | 658,024 | | | $ | 157,420 | |
| | | | | | | |
Undistributed net investment income | | $ | 6,273 | | | $ | 1,814 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued | | | 36,870 | | | | 13,055 | |
| Shares issued-reinvested from distributions | | | 153 | | | | — | |
| Shares redeemed | | | (454 | ) | | | (114 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding | | | 36,569 | | | | 12,941 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on May 1, 2009. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica BlackRock Global Allocation VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | |
| | | Service Class | |
| | | December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | |
| Beginning of year | | $ | 12.16 | | | $ | 10.00 | |
Investment operations | | | | | | | | |
Net investment income(B),(C) | | | 0.21 | | | | 0.37 | |
| Net realized and unrealized gain | | | 0.97 | | | | 1.79 | |
| | | | | | | |
| Total operations | | | 1.18 | | | | 2.16 | |
| | | | | | | |
Distributions | | | | | | | | |
| From net investment income | | | (0.05 | ) | | | — | |
| | | | | | | |
| Total distributions | | | (0.05 | ) | | | — | |
| | | | | | | |
Net asset value | | | | | | | | |
| End of year | | $ | 13.29 | | | $ | 12.16 | |
| | | | | | | |
| | | | | | | | | |
Total return(D) | | | 9.78 | % | | | 21.60 | %(E) |
| | | | | | | | | |
Net assets end of year (000’s) | | $ | 658,024 | | | $ | 157,420 | |
Ratio and supplemental data | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | |
| After reimbursement/fee waiver | | | 0.30 | % | | | 0 .35 | %(G) |
| Before reimbursement/fee waiver | | | 0.35 | % | | | 0 .40 | %(G) |
Net investment income, to average net assets(C) | | | 1.71 | % | | | 4 .74 | %(G) |
Portfolio turnover rate(H) | | | — | %(I) | | | — | %(E),(I) |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. (G) Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
| |
| (I) | | Rounds to less than 1%. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica BlackRock Global Allocation VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica BlackRock Global Allocation VP (the “Fund”) is part of TST.
The Fund currently offers one class of shares; a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from investment companies, if any, are recorded on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica BlackRock Global Allocation VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.05% of ANA
TAM has agreed to voluntarily waive the entirety of its management fee. This waiver may be discontinued at any time without notice.
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.25% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the adviser waived $184 which is not available for recapture. There are no amounts available for recapture as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s shares, amounts equal to actual expenses associated with distributing the shares.
The Fund is authorized under the Distribution Plan to pay fees up to a limit of 0.25%.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica BlackRock Global Allocation VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 461,733 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 865 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 1,814 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 6,273 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 3,457 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 44,989 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica BlackRock Global Allocation VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica BlackRock Global Allocation VP:
We have audited the accompanying statement of assets and liabilities of Transamerica BlackRock Global Allocation VP “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica BlackRock Global Allocation VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica BlackRock Global Allocation VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica BlackRock Large Cap Value VP
(unaudited)
MARKET ENVIRONMENT
In some sense, there were three parts to 2010. The early months saw risk assets move higher as they continued the 2009 asset recovery story, helped by preliminary signs of employment improvements and very strong first quarter 2010 earnings. The middle months of 2010 saw a double-digit percentage correction on the back of the Greek sovereign debt crisis and a stalling in jobs growth, leading to fears of a double-dip recession. Investors were also unnerved by the May “flash crash” and the uncertainty surrounding the financial reform bill. Nevertheless, after touching a late summer low, the market experienced a very strong finish to the year as double-dip fears receded, jobs growth resumed and the U.S. midterm elections results were perceived to be capital markets friendly. Additionally, Federal Reserve Board (“Fed”) Chairman Ben Bernanke delivered his famous Jackson Hole speech, leading to a second round of quantitative easing measures (“QE2”) and, perhaps most importantly, the Bush-era tax cuts were extended and supplemented with some fiscal sweeteners.
Regarding the economic backdrop, debt and deflationary risks remained present throughout 2010, causing central banks (especially the Fed) to respond with unprecedented actions. Real gross domestic product (“GDP”) growth continued in a positive direction but remained subpar compared to most recoveries on the historic record. In the United States, jobs growth was not strong enough to reduce the unemployment rate. Corporations, however, managed to notch fantastic earnings gains despite mediocre economic growth. Inflation remained a non-issue in the developed world, but began to rear its ugly head in some emerging economies. Government deficit spending and debt levels continued to haunt investors, but corporate financial health remained remarkably strong in both balance sheet and income statement terms.
PERFORMANCE
For the year ended December 31, 2010, Transamerica BlackRock Large Cap Value VP Initial Class returned 10.44%. By comparison its benchmark, the Russell 1000® Value Index (“Russell 1000® Value”), returned 15.51%.
STRATEGY REVIEW
For the trailing one year period the portfolio underperformed its benchmark, the Russell 1000® Value. Detracting from performance was our security selection in financials and information technology (“IT”). Over the past few years, the financials sector has posed a number of trying challenges to investors. Here, dramatic swings in investor sentiment have pushed around the prices of many of the stocks in the financials sector and we are not comfortable with anything more than an underweight position going forward. Within IT our holdings with exposure to the personal computer supply chain caused the majority of underperformance. Given the valuations of our holdings it was our belief that stabilization of consumer demand, with even slight improvement, could result in strong stock performance, as we believed the enterprise refresh cycle would provide a stable source of demand regardless of consumer trends. The market, however, was focused on the supply side of the equation, concerned that overcapacity may cause disruptions along the supply chain; as a result, our holdings underperformed.
On the positive side our overweight in materials and security selection in consumer discretionary contributed to performance. Within consumer discretionary, the portfolio’s specialty and multiline retail holdings posted strong gains, benefiting from a better-than-expected holiday shopping season; apparel and apparel-related names were standouts. In materials, our chemicals holdings outperformed on stellar earnings results that were driven by an ongoing recovery in volumes and pricing.
Consistent with our outlook, we maintain the portfolio’s overall pro-cyclical bias, but emphasize that we retain a balance: domestic and global cyclicals on the one hand, and more dependable growth names, including multinationals, on the other. The portfolio’s largest sector overweights at period-end included IT and health care. The largest portfolio underweights were in financials and consumer staples.
Robert C. Doll, Jr.,
CFA Daniel Hanson, CFA
Co-Portfolio Managers
BlackRock Investment Management, LLC
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica BlackRock Large Cap Value VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 10.44 | % | | | 0.36 | % | | | 4.33 | % | | | 05/01/1996 | |
Russell 1000® Value* | | | 15.51 | % | | | 1.28 | % | | | 3.26 | % | | | | |
| |
| Service Class | | | 10.15 | % | | | 0.10 | % | | | 7.62 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Russell 1000® Value Index (“Russell 1000® Value”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica BlackRock Large Cap Value VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Transamerica BlackRock Large Cap Value VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,195.60 | | | $ | 4.37 | | | $ | 1,021.22 | | | $ | 4.02 | | | | 0.79 | % |
| Service Class | | | 1,000.00 | | | | 1,194.00 | | | | 5.75 | | | | 1,019.96 | | | | 5.30 | | | | 1.04 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 99.9 | % |
| Securities Lending Collateral | | | 1.8 | |
| Short-Term Investment Company | | | 0.1 | |
| Other Assets and Liabilities — Net | | | (1.8 | ) |
| | | | | |
Total | | | 100.0 | % |
| | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica BlackRock Large Cap Value VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 99.9% | | | | | | | | |
Aerospace & Defense - 2.0% | | | | | | | | |
| L-3 Communications Holdings, Inc. | | | 140,000 | | | $ | 9,869 | |
| Raytheon Co. | | | 440,000 | | | | 20,389 | |
Beverages - 0.4% | | | | | | | | |
| Constellation Brands, Inc. — Class A ‡ ^ | | | 260,000 | | | | 5,759 | |
Biotechnology - 1.7% | | | | | | | | |
| Amgen, Inc. ‡ | | | 480,000 | | | | 26,352 | |
Capital Markets - 0.2% | | | | | | | | |
| Ameriprise Financial, Inc. | | | 40,000 | | | | 2,302 | |
Chemicals - 4.7% | | | | | | | | |
| Albemarle Corp. ^ | | | 110,000 | | | | 6,136 | |
| Ashland, Inc. | | | 50,000 | | | | 2,543 | |
| Cabot Corp. | | | 307,000 | | | | 11,559 | |
| Cytec Industries, Inc. | | | 171,000 | | | | 9,073 | |
| Huntsman Corp. ^ | | | 1,000,000 | | | | 15,610 | |
| Lubrizol Corp. ^ | | | 140,000 | | | | 14,963 | |
| RPM International, Inc. ^ | | | 492,700 | | | | 10,889 | |
Commercial Banks - 5.1% | | | | | | | | |
| Fifth Third Bancorp ^ | | | 1,240,000 | | | | 18,204 | |
| Huntington Bancshares, Inc. | | | 2,360,000 | | | | 16,213 | |
| KeyCorp | | | 1,820,000 | | | | 16,107 | |
| Popular, Inc. ‡ ^ | | | 1,230,000 | | | | 3,862 | |
| Regions Financial Corp. ^ | | | 1,660,000 | | | | 11,620 | |
| SunTrust Banks, Inc. | | | 220,000 | | | | 6,492 | |
| Wells Fargo & Co. | | | 170,000 | | | | 5,268 | |
Commercial Services & Supplies - 1.3% | | | | | | | | |
| Avery Dennison Corp. ^ | | | 210,000 | | | | 8,892 | |
| Cintas Corp. ^ | | | 180,000 | | | | 5,033 | |
| R.R. Donnelley & Sons Co. | | | 320,000 | | | | 5,590 | |
Communications Equipment - 1.3% | | | | | | | | |
| Echostar Corp. ‡ | | | 10,000 | | | | 250 | |
| Motorola, Inc. ‡ | | | 2,210,000 | | | | 20,044 | |
Computers & Peripherals - 3.7% | | | | | | | | |
| Lexmark International, Inc. — Class A ‡ ^ | | | 158,000 | | | | 5,502 | |
| SanDisk Corp. ‡ | | | 300,000 | | | | 14,958 | |
| Seagate Technology PLC ‡ ^ | | | 1,130,000 | | | | 16,984 | |
| Western Digital Corp. ‡ | | | 490,000 | | | | 16,611 | |
Consumer Finance - 2.7% | | | | | | | | |
| Capital One Financial Corp. ^ | | | 460,000 | | | | 19,578 | |
| Discover Financial Services ^ | | | 530,000 | | | | 9,821 | |
| SLM Corp. ‡ ^ | | | 960,000 | | | | 12,086 | |
Containers & Packaging - 1.0% | | | | | | | | |
| Crown Holdings, Inc. ‡ ^ | | | 180,000 | | | | 6,008 | |
| Sealed Air Corp. ^ | | | 369,000 | | | | 9,391 | |
Diversified Financial Services - 2.7% | | | | | | | | |
| Ares Capital Corp. | | | 120,000 | | | | 1,978 | |
| Citigroup, Inc. ‡ ^ | | | 6,390,000 | | | | 30,225 | |
| JPMorgan Chase & Co. ^ | | | 210,000 | | | | 8,908 | |
Diversified Telecommunication Services - 7.4% | | | | | | | | |
| AT&T, Inc. | | | 1,880,000 | | | | 55,235 | |
| Qwest Communications International, Inc. ^ | | | 2,370,000 | | | | 18,036 | |
| Verizon Communications, Inc. ^ | | | 1,090,000 | | | | 39,000 | |
Electric Utilities - 1.7% | | | | | | | | |
| Edison International ^ | | | 460,000 | | | | 17,755 | |
| NV Energy, Inc. ^ | | | 610,000 | | | | 8,571 | |
Electrical Equipment - 0.3% | | | | | | | | |
| Thomas & Betts Corp. ‡ | | | 88,800 | | | | 4,289 | |
Electronic Equipment & Instruments - 1.4% | | | | | | | | |
| Corning, Inc. | | | 1,100,000 | | | $ | 21,252 | |
Energy Equipment & Services - 2.5% | | | | | | | | |
| Nabors Industries, Ltd. ‡ | | | 720,000 | | | | 16,892 | |
| Oil States International, Inc. ‡ ^ | | | 10,000 | | | | 641 | |
| Rowan Cos., Inc. ‡ | | | 320,000 | | | | 11,171 | |
| SEACOR Holdings, Inc. | | | 80,000 | | | | 8,087 | |
| Unit Corp. ‡ | | | 30,000 | | | | 1,394 | |
Food & Staples Retailing - 2.4% | | | | | | | | |
| Kroger Co. ^ | | | 790,000 | | | | 17,664 | |
| Safeway, Inc. ^ | | | 830,000 | | | | 18,668 | |
Food Products - 1.2% | | | | | | | | |
| ConAgra Foods, Inc. | | | 180,000 | | | | 4,064 | |
| Tyson Foods, Inc. — Class A ^ | | | 840,000 | | | | 14,465 | |
Gas Utilities - 0.2% | | | | | | | | |
| UGI Corp. ^ | | | 82,000 | | | | 2,590 | |
Health Care Providers & Services - 10.5% | | | | | | | | |
| Aetna, Inc. ^ | | | 580,000 | | | | 17,696 | |
| AmerisourceBergen Corp. — Class A ^ | | | 450,000 | | | | 15,354 | |
| Cardinal Health, Inc. ^ | | | 443,100 | | | | 16,975 | |
| CIGNA Corp. | | | 510,000 | | | | 18,697 | |
| Community Health Systems, Inc. ‡ ^ | | | 219,900 | | | | 8,218 | |
| Coventry Health Care, Inc. ‡ ^ | | | 210,000 | | | | 5,544 | |
| Health Net, Inc. ‡ ^ | | | 210,000 | | | | 5,731 | |
| Humana, Inc. ‡ | | | 300,000 | | | | 16,422 | |
| Lincare Holdings, Inc. ^ | | | 294,750 | | | | 7,908 | |
| UnitedHealth Group, Inc. | | | 730,000 | | | | 26,360 | |
| WellPoint, Inc. ‡ | | | 360,000 | | | | 20,470 | |
Hotels, Restaurants & Leisure - 0.5% | | | | | | | | |
| Wyndham Worldwide Corp. | | | 260,000 | | | | 7,790 | |
Household Products - 0.8% | | | | | | | | |
| Procter & Gamble Co. | | | 180,000 | | | | 11,579 | |
Independent Power Producers & Energy Traders - 1.6% | | | | | | | | |
| AES Corp. ‡ ^ | | | 520,000 | | | | 6,334 | |
GenOn Energy, Inc. ‡ ^ | | | 1,832,827 | | | | 6,983 | |
| NRG Energy, Inc. ‡ | | | 528,600 | | | | 10,329 | |
Industrial Conglomerates - 3.3% | | | | | | | | |
| General Electric Co. ^ | | | 2,760,000 | | | | 50,480 | |
Insurance - 6.9% | | | | | | | | |
| American Financial Group, Inc. | | | 304,400 | | | | 9,829 | |
| Assurant, Inc. | | | 331,200 | | | | 12,758 | |
| Axis Capital Holdings, Ltd. | | | 220,000 | | | | 7,894 | |
| Berkshire Hathaway, Inc. — Class B ‡ | | | 40,000 | | | | 3,204 | |
| Endurance Specialty Holdings, Ltd. ^ | | | 90,700 | | | | 4,179 | |
| Genworth Financial, Inc. — Class A ‡ ^ | | | 1,230,000 | | | | 16,162 | |
| HCC Insurance Holdings, Inc. | | | 388,400 | | | | 11,240 | |
| Travelers Cos., Inc. | | | 120,000 | | | | 6,685 | |
| Unitrin, Inc. | | | 114,891 | | | | 2,819 | |
| Unum Group | | | 700,000 | | | | 16,955 | |
| XL Group PLC — Class A ^ | | | 550,000 | | | | 12,001 | |
Internet & Catalog Retail - 0.8% | | | | | | | | |
| Expedia, Inc. ^ | | | 270,000 | | | | 6,774 | |
| Liberty Media Corp. — Interactive — Series A ‡ | | | 350,000 | | | | 5,520 | |
IT Services - 0.4% | | | | | | | | |
| Computer Sciences Corp. | | | 121,600 | | | | 6,031 | |
Machinery - 1.7% | | | | | | | | |
| Manitowoc Co., Inc. ^ | | | 340,000 | | | | 4,457 | |
| Oshkosh Corp. ‡ ^ | | | 137,000 | | | | 4,828 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica BlackRock Large Cap Value VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Machinery - (continued) | | | | | | | | |
| Timken Co. | | | 223,000 | | | $ | 10,644 | |
| Trinity Industries, Inc. ^ | | | 210,000 | | | | 5,588 | |
Media - 4.0% | | | | | | | | |
| CBS Corp. - Class B ^ | | | 930,000 | | | | 17,717 | |
| Comcast Corp. - Class A ^ | | | 1,350,000 | | | | 29,659 | |
| DISH Network Corp. - Class A ‡ ^ | | | 300,000 | | | | 5,898 | |
| News Corp. - Class A | | | 420,000 | | | | 6,115 | |
Multiline Retail - 1.2% | | | | | | | | |
| Macy’s, Inc. | | | 690,000 | | | | 17,457 | |
Multi-Utilities - 1.6% | | | | | | | | |
| CMS Energy Corp. ^ | | | 240,500 | | | | 4,473 | |
| Integrys Energy Group, Inc. ^ | | | 140,000 | | | | 6,791 | |
| NiSource, Inc. ^ | | | 756,400 | | | | 13,328 | |
Oil, Gas & Consumable Fuels - 7.8% | | | | | | | | |
| Chevron Corp. | | | 110,000 | | | | 10,038 | |
| ConocoPhillips | | | 410,000 | | | | 27,920 | |
| Marathon Oil Corp. ^ | | | 580,000 | | | | 21,476 | |
| Murphy Oil Corp. | | | 150,000 | | | | 11,183 | |
| SM Energy Co. ^ | | | 50,000 | | | | 2,947 | |
| Southern Union Co. ^ | | | 240,000 | | | | 5,777 | |
| Teekay Corp. ^ | | | 338,500 | | | | 11,198 | |
| Valero Energy Corp. | | | 840,000 | | | | 19,421 | |
| Williams Cos., Inc. | | | 320,000 | | | | 7,910 | |
Paper & Forest Products - 2.2% | | | | | | | | |
| International Paper Co. ^ | | | 580,000 | | | | 15,799 | |
| MeadWestvaco Corp. ^ | | | 660,000 | | | | 17,266 | |
Pharmaceuticals - 5.5% | | | | | | | | |
| Bristol-Myers Squibb Co. ^ | | | 960,000 | | | | 25,421 | |
| Eli Lilly & Co. ^ | | | 650,000 | | | | 22,776 | |
| Endo Pharmaceuticals Holdings, Inc. ‡ | | | 130,000 | | | | 4,642 | |
| Forest Laboratories, Inc. ‡ | | | 520,000 | | | | 16,630 | |
| Johnson & Johnson ^ | | | 140,000 | | | | 8,659 | |
| Pfizer, Inc. | | | 240,000 | | | | 4,202 | |
Semiconductors & Semiconductor Equipment - 2.0% | | | | | | | | |
| Intel Corp. | | | 1,100,000 | | | | 23,133 | |
| Novellus Systems, Inc. ‡ | | | 220,000 | | | | 7,110 | |
Software - 0.6% | | | | | | | | |
| CA, Inc. ^ | | | 385,100 | | | | 9,412 | |
Specialty Retail - 2.7% | | | | | | | | |
| GameStop Corp. - Class A ‡ ^ | | | 590,000 | | | | 13,499 | |
| Gap, Inc. ^ | | | 599,000 | | | | 13,262 | |
| Limited Brands, Inc. ^ | | | 480,000 | | | | 14,750 | |
Wireless Telecommunication Services - 1.9% | | | | | | | | |
| NII Holdings, Inc. ‡ | | | 100,000 | | | | 4,466 | |
| Sprint Nextel Corp. ‡ | | | 4,480,000 | | | | 18,950 | |
| Telephone & Data Systems, Inc. ^ | | | 140,000 | | | | 5,117 | |
| | | | | | | | |
Total Common Stocks (cost $1,380,428) | | | | | | | 1,509,683 | |
| | | | | | | | |
| | | | | | | | | |
SHORT-TERM INVESTMENT COMPANY - 0.1% | | | | | | | | |
Capital Markets 0.1% | | | | | | | | |
| BlackRock Provident TempFund 24 ◊ | | | 1,116,338 | | | | 1,116 | |
Total Short-Term Investment Company (cost $1,116) | | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 1.8% | | | | | | | | |
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% 5 | | | 27,293,370 | | | | 27,293 | |
| | | | | | | | |
Total Securities Lending Collateral (cost $27,293) | | | | | | | | |
| Total Investment Securities (cost $1,408,837) # | | | | | | | 1,538,092 | |
| Other Assets and Liabilities - Net | | | | | | | (27,753 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 1,510,339 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $26,615. |
| |
| ‡ | | Non-income producing security. |
| |
| ◊ | | The investment issuer is affiliated with the sub-adviser of the fund. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $1,426,622. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $135,493 and $24,023, respectively. Net unrealized appreciation for tax purposes is $111,470. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | $ | 1,497,682 | | | $ | 12,001 | | | $ | — | | | $ | 1,509,683 | |
| Securities Lending Collateral | | | 27,293 | | | | — | | | | — | | | | 27,293 | |
| Short-Term Investment Company | | | 1,116 | | | | — | | | | — | | | | 1,116 | |
| | | | | | | | | | | | | |
Total | | $ | 1,526,091 | | | $ | 12,001 | | | $ | — | | | $ | 1,538,092 | |
| | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica BlackRock Large Cap Value VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $1,408,837) (including securities loaned of $26,615) | | $ | 1,538,092 | |
| Receivables: | | | | |
| Shares sold | | | 277 | |
| Securities lending income (net) | | | 4 | |
| Dividends | | | 1,208 | |
| Dividend reclaims | | | 14 | |
| Prepaid expenses | | | 17 | |
| | | | |
| | | | 1,539,612 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 836 | |
| Management and advisory fees | | | 994 | |
| Distribution and service fees | | | 16 | |
| Transfer agent fees | | | 1 | |
| Administration fees | | | 27 | |
| Printing and shareholder reports fees | | | 49 | |
| Audit and tax fees | | | 8 | |
| Other | | | 49 | |
| Collateral for securities on loan | | | 27,293 | |
| | | | |
| | | | 29,273 | |
| | | | |
Net assets | | $ | 1,510,339 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 1,106 | |
| Additional paid-in capital | | | 1,993,522 | |
| Undistributed (accumulated) net investment income (loss) | | | 24,009 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (637,550 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 129,255 | |
| Translation of assets and liabilities denominated in foreign currencies | | | (3 | ) |
| | | | |
Net assets | | $ | 1,510,339 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 1,433,863 | |
| Service Class | | | 76,476 | |
Shares outstanding: | | | | |
| Initial Class | | | 105,050 | |
| Service Class | | | 5,585 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 13.65 | |
| Service Class | | | 13.69 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $1) | | $ | 36,582 | |
| Interest income | | | 5 | |
| Securities lending income (net) | | | 240 | |
| | | | |
| | | | 36,827 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 11,735 | |
| Printing and shareholder reports | | | 166 | |
| Custody | | | 185 | |
| Administration | | | 323 | |
| Legal | | | 94 | |
| Audit and tax | | | 12 | |
| Trustees | | | 58 | |
| Transfer agent | | | 14 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 145 | |
| Other | | | 85 | |
| | | | |
| Total expenses | | | 12,817 | |
| | | | |
| |
Net investment income | | | 24,010 | |
| | | | |
| |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 8,121 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 80,471 | |
| Translation of assets and liabilities denominated in foreign currencies | | | (3 | ) |
| | | | |
Change in unrealized appreciation (depreciation) | | | 80,468 | |
| | | | |
Net realized and unrealized gain | | | 88,589 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 112,599 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica BlackRock Large Cap Value VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 24,010 | | | $ | 13,348 | |
| Net realized gain (loss) from investment securities | | | 8,121 | | | | (87,953 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 80,468 | | | | 188,150 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 112,599 | | | | 113,545 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (12,888 | ) | | | (11,170 | ) |
| Service Class | | | (435 | ) | | | (186 | ) |
| | | | | | | |
Total distributions to shareholders | | | (13,323 | ) | | | (11,356 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 63,240 | | | | 106,362 | |
| Service Class | | | 23,855 | | | | 10,518 | |
| | | | | | | |
| | | | 87,095 | | | | 116,880 | |
| | | | | | | |
| | | | | | | | | |
| Proceeds from fund acquisition: | | | | | | | | |
| Initial Class | | | 733,172 | | | | 301,722 | |
| Service Class | | | 26,318 | | | | 14,796 | |
| | | | | | | |
| | | | 759,490 | | | | 316,518 | |
| | | | | | | |
| | | | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 12,888 | | | | 11,170 | |
| Service Class | | | 435 | | | | 186 | |
| | | | | | | |
| | | | 13,323 | | | | 11,356 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (654,884 | ) | | | (46,537 | ) |
| Service Class | | | (15,948 | ) | | | (5,744 | ) |
| | | | | | | |
| | | | (670,832 | ) | | | (52,281 | ) |
| | | | | | | |
Net increase in net assets from capital shares transactions | | | 189,076 | | | | 392,473 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 288,352 | | | | 494,662 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 1,221,987 | | | | 727,325 | |
| | | | | | | |
| End of year | | $ | 1,510,339 | | | $ | 1,221,987 | |
| | | | | | | |
Undistributed net investment income | | $ | 24,009 | | | $ | 13,347 | |
| | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 4,981 | | | | 9,394 | |
| Service Class | | | 1,873 | | | | 913 | |
| | | | | | | |
| | | | 6,854 | | | | 10,307 | |
| | | | | | | |
| Shares issued on fund acquisition: | | | | | | | | |
| Initial Class | | | 54,725 | | | | 24,772 | |
| Service Class | | | 1,956 | | | | 1,209 | |
| | | | | | | |
| | | | 56,681 | | | | 25,981 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 1,151 | | | | 972 | |
| Service Class | | | 39 | | | | 16 | |
| | | | | | | |
| | | | 1,190 | | | | 988 | |
| | | | | | | |
| | | | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (50,883 | ) | | | (4,269 | ) |
| Service Class | | | (1,278 | ) | | | (519 | ) |
| | | | | | | |
| | | | (52,161 | ) | | | (4,788 | ) |
| | | | | | | |
| | | | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 9,974 | | | | 30,869 | |
| Service Class | | | 2,590 | | | | 1,619 | |
| | | | | | | |
| | | | 12,564 | | | | 32,488 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica BlackRock Large Cap Value VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 12.46 | | | $ | 11.09 | | | $ | 19.16 | | | $ | 20.80 | | | $ | 18.72 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.19 | | | | 0.19 | | | | 0.21 | | | | 0.20 | | | | 0.17 | |
| Net realized and unrealized gain (loss) | | | 1.09 | | | | 1.35 | | | | (6.18 | ) | | | 0.72 | | | | 2.91 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.28 | | | | 1.54 | | | | (5.97 | ) | | | 0.92 | | | | 3.08 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.09 | ) | | | (0.17 | ) | | | (0.15 | ) | | | (0.20 | ) | | | (0.10 | ) |
| From net realized gains | | | — | | | | — | | | | (1.95 | ) | | | (2.36 | ) | | | (0.90 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.09 | ) | | | (0.17 | ) | | | (2.10 | ) | | | (2.56 | ) | | | (1.00 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 13.65 | | | $ | 12.46 | | | $ | 11.09 | | | $ | 19.16 | | | $ | 20.80 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 10.44 | % | | | 13.99 | % | | | (33.89 | %) | | | 4.64 | % | | | 16.92 | % |
Net assets end of year (000’s) | | $ | 1,433,863 | | | $ | 1,184,485 | | | $ | 712,006 | | | $ | 860,991 | | | $ | 1,054,389 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.79 | % | | | 0.84 | % | | | 0.83 | % | | | 0.85 | % | | | 0.83 | % |
| Net investment income, to average net assets | | | 1.50 | % | | | 1.73 | % | | | 1.38 | % | | | 0.94 | % | | | 0.86 | % |
| Portfolio turnover rate | | | 99 | % | | | 128 | % | | | 85 | % | | | 67 | % | | | 60 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 12.52 | | | $ | 11.13 | | | $ | 19.21 | | | $ | 20.87 | | | $ | 18.81 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.16 | | | | 0.17 | | | | 0.17 | | | | 0.14 | | | | 0.13 | |
| Net realized and unrealized gain (loss) | | | 1.09 | | | | 1.35 | | | | (6.20 | ) | | | 0.73 | | | | 2.91 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.25 | | | | 1.52 | | | | (6.03 | ) | | | 0.87 | | | | 3.04 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.08 | ) | | | (0.13 | ) | | | (0.10 | ) | | | (0.17 | ) | | | (0.08 | ) |
| From net realized gains | | | — | | | | — | | | | (1.95 | ) | | | (2.36 | ) | | | (0.90 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.08 | ) | | | (0.13 | ) | | | (2.05 | ) | | | (2.53 | ) | | | (0.98 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 13.69 | | | $ | 12.52 | | | $ | 11.13 | | | $ | 19.21 | | | $ | 20.87 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 10.15 | % | | | 13.71 | % | | | (34.06 | %) | | | 4.35 | % | | | 16.62 | % |
Net assets end of year (000’s) | | $ | 76,476 | | | $ | 37,502 | | | $ | 15,319 | | | $ | 33,514 | | | $ | 28,079 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.04 | % | | | 1.09 | % | | | 1.08 | % | | | 1.10 | % | | | 1.08 | % |
| Net investment income, to average net assets | | | 1.26 | % | | | 1.47 | % | | | 1.06 | % | | | 0.70 | % | | | 0.64 | % |
| Portfolio turnover rate | | | 99 | % | | | 128 | % | | | 85 | % | | | 67 | % | | | 60 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica BlackRock Large Cap Value VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica BlackRock Large Cap Value VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities is translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $1, are included in net realized gain (loss) in the Statement of Operations.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica BlackRock Large Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica BlackRock Large Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Investment company: Securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation-Conservative VP | | $ | 71,728 | | | | 4.75 | % |
| Transamerica Asset Allocation-Growth VP | | | 119,200 | | | | 7.89 | |
| Transamerica Asset Allocation-Moderate VP | | | 193,604 | | | | 12.82 | |
| Transamerica Asset Allocation-Moderate Growth VP | | | 405,158 | | | | 26.83 | |
| Transamerica BlackRock Tactical Allocation VP | | | 18,733 | | | | 1.24 | |
| | | | | | | |
| Total | | $ | 808,423 | | | | 53.53 | % |
| | | | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica BlackRock Large Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $250 million | | | 0.80 | % |
| Over $250 million up to $750 million | | | 0.775 | % |
| Over $750 million up to $1 billion | | | 0.75 | % |
| Over $1 billion up to $2 billion | | | 0.65 | % |
| Over $2 billion | | | 0.625 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived advisory fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica BlackRock Large Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 1,577,945 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 2,094,292 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | 135,835 | |
| Undistributed (accumulated) net investment income (loss) | | $ | (25 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (135,810 | ) |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 289,121 | | | December 31, 2015 |
| $ | 171,031 | | | December 31, 2016 |
| $ | 151,957 | | | December 31, 2017 |
| $ | 7,656 | | | December 31, 2018 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $76.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 13,323 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 11,356 | |
| Long-term Capital Gain | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica BlackRock Large Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 24,009 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (619,765 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 111,467 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
NOTE 6. REORGANIZATION
On April 30, 2010, Transamerica BlackRock Large Cap Value VP acquired all of the net assets of Transamerica T. Rowe Price Equity Income VP and Transamerica American Century Large Company Value VP pursuant to a Plan of Reorganization. Transamerica BlackRock Large Cap Value VP is the accounting survivor. The purpose of the transaction was to achieve a more cohesive, focused, and streamlined fund complex. The acquisition was accomplished by a tax-free exchange of 56,681 shares of Transamerica BlackRock Large Cap Value VP for 30,742 shares of Transamerica Transamerica T. Rowe Price Equity Income VP and 54,059 shares of Transamerica American Century Large Company Value VP outstanding on April 30, 2010. Transamerica T. Rowe Price Equity Income VP’s net assets at that date, $327,773, including $5,206 unrealized appreciation, were combined with those of Transamerica BlackRock Large Cap Value VP. Transamerica American Century Large Company Value VP’s net assets at that date, $431,717, including $17,132 unrealized depreciation, were combined with those of Transamerica BlackRock Large Cap Value VP. The aggregate net assets of Transamerica BlackRock Large Cap Value VP immediately before the acquisition were $1,309,014; the combined net assets of Transamerica BlackRock Large Cap Value VP immediately after the acquisition were $2,068,504. In the acquisition, Transamerica BlackRock Large Cap Value VP retained certain capital loss carryforwards from Transamerica T. Rowe Price Equity Income VP and Transamerica American Century Large Company Value VP in the amount of $132,449. Shares issued with the acquisition were as follows:
Transamerica T. Rowe Price Equity Income VP
| | | | | | | | | |
| Class | | Shares | | | Amount | |
| Initial | | | 22,749 | | | $ | 304,782 | |
| Service | | | 1,709 | | | | 22,991 | |
Transamerica American Century Large Company Value VP
| | | | | | | | | |
| Class | | Shares | | | Amount | |
| Initial | | | 31,976 | | | $ | 428,390 | |
| Service | | | 247 | | | | 3,327 | |
The exchange ratio of the reorganization for the Fund is as follows (Transamerica BlackRock Large Cap Value VP shares issuable/ Transamerica T. Rowe Price Equity Income VP):
Transamerica T. Rowe Price Equity Income VP
| | | | | |
| Class | | Exchange Ratio | |
| Initial | | | 0.80 | |
| Service | | | 0.80 | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica BlackRock Large Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The exchange ratio of the reorganization for the class is as follows (Transamerica BlackRock Large Cap Value VP shares issuable/ Transamerica American Century Large Company Value VP):
Transamerica American Century Large Company Value VP
| | | | | |
| Class | | Exchange Ratio | |
| Initial | | | 0.60 | |
| Service | | | 0.59 | |
Assuming the reorganization had been completed on January 1, 2010, the beginning of the annual reporting period of the Fund, the Fund’s pro forma results of operations for the year ended December 31, 2010, are as follows:
| | | | | |
|
| Net investment income | | $ | 27,861 | |
| Net realized and unrealized gain | | | 70,068 | |
| Net increase in net assets resulting from operations | | | 97,929 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Transamerica T. Rowe Price Equity Income VP and Transamerica American Century Large Company Value VP that have been included in the Fund’s Statement of Operations since April 30, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica BlackRock Large Cap Value VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica BlackRock Large Cap Value VP:
We have audited the accompanying statement of assets and liabilities of Transamerica BlackRock Large Cap Value VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica BlackRock Large Cap Value VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica BlackRock Large Cap Value VP
| SUPPLEMENTAL TAX INFORMATION (unaudited) |
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica BlackRock Tactical Allocation VP
(unaudited)
MARKET ENVIRONMENT
The fiscal year ending December 31, 2010 was a roller coaster year for financial markets. The year began with expectations that cyclical stimulus would outweigh structural issues and lead risky assets higher throughout 2010. This held true for the first part of the year as early signs of employment improvements and strong earnings in the fourth quarter of 2009 and first quarter of 2010 sparked a rise in equity markets.
However, as the middle of 2010 approached, markets experienced a double-digit correction due to the sovereign debt crisis in Greece and disappointing results in jobs growth. Unemployment remained a major headwind throughout the year, disappointing many who thought there would be a sizeable move forward in the jobs market. Many investors feared a double dip recession would take place, bringing back nightmares of 2008 and early 2009.
Fortunately, fears receded and 2010 ended strongly with US stocks advancing more then 20% from their August lows through the end of the year. This rise in risky assets was due primarily to the expectation and subsequent implementation of a second round of quantitative easing (“QE2”) as well as the decision to extend the Bush-era tax cuts. Additionally, the outcome of the November elections was perceived as friendly to capital markets. Corporations were able to post impressive earnings results, helping to convince investors that overall corporate financial health was strong.
At the end of the 2010, US stock markets were up double digits, despite the volatility throughout the year. Mutual Fund flows, however continued to travel into fixed income over equities as investors scrambled to find yield in their portfolios.
PERFORMANCE
For the year ended December 31, 2010, Transamerica BlackRock Tactical Allocation VP Service Class returned 11.24%. By comparison it’s primary and secondary benchmarks, the Russell 3000® Index, the Morgan Stanley Capital International-Europe, Australasia, Far East Index (“MSCI-EAFE”) and the Barclays Capital U.S. Aggregate Bond Index, returned 16.93%, 8.21% and 6.54%, respectively.
STRATEGY REVIEW
Transamerica BlackRock Tactical Allocation VP (“Fund”) is a global multi-asset portfolio consisting of both stocks and bonds. The portfolio management team seeks to generate alpha in two principal ways: 1) via tactical asset allocation across and within asset classes; and 2) by allocating capital to underlying managers that seek to generate alpha via sector and security selection.
In addition to being broadly diversified across geography, style, size, and market, the portfolio also utilizes a multi-manager framework. This structure provides diversification and greater stability of the alpha return and ensures the portfolio is not dominated by one manager’s investment views. In addition to generating alpha through underlying manager security selection, the portfolio manager team employs tactical asset allocation to add additional value versus its stated benchmark.
The Fund underperformed Russell 3000® Index because broad equity markets (as indicated by Russell 3000® Index) greatly outperformed fixed income markets (as indicated by Barclays Capital U.S. Aggregate Bond Index) in 2010. Since the Fund had only approximately 50% invested in equities, it was bound to underperform the Russell 3000® Index.
For the year ended December 31, 2010, the Fund successfully generated alpha through both asset allocation and sector/security selection. Within asset allocation, the primary source of alpha for the year was the portfolio’s overweight to equities versus fixed income. The underlying managers within the Fund also provided alpha during 2010 with the largest contributor for the year being Transamerica Loomis Sayles Bond.
Phil Green
Michael Huebsch
Co-Portfolio Managers
BlackRock Financial Management, Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica BlackRock Tactical Allocation VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Service Class | | | 11.24 | % | | | 19.99 | % | | | 05/01/2009 | |
Russell 3000®* | | | 16.93 | % | | | 28.59 | % | | | | |
| MSCI-EAFE | | | 8.21 | % | | | 26.07 | % | | | | |
| Barclays Capital U.S. Aggregate Bond | | | 6.54 | % | | | 7.13 | % | | | | |
NOTES
| | |
| * | | The Russell 3000® Index (“Russell 3000®”), Morgan Stanley Capital International - Europe, Australasia, Far East Index (“MSCI-EAFE”), and Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Service Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica BlackRock Tactical Allocation VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica BlackRock Tactical Allocation VP Service Class | | $ | 1,000.00 | | | $ | 1,123.50 | | | $ | 2.19 | | | $ | 1,023.14 | | | $ | 2.09 | | | | 0.41 | % |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| U.S. Stocks | | | 36.6 | % |
| Bonds | | | 33.9 | |
| Tactical and Specialty | | | 25.9 | |
| Global/International Stocks | | | 3.6 | |
| Other Assets and Liabilities — Net | | | 0.0 | |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica BlackRock Tactical Allocation VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 100.0% | | | | | | | | |
Bonds - 33.9% | | | | | | | | |
| Transamerica JPMorgan Core Bond VP Җ | | | 2,603,855 | | | $ | 32,861 | |
| Transamerica PIMCO Total Return VP Җ | | | 2,810,545 | | | | 32,546 | |
Global/International Stocks - 3.6% | | | | | | | | |
| Transamerica MFS International Equity VP Җ | | | 1,003,952 | | | | 7,038 | |
Tactical and Specialty - 25.9% | | | | | | | | |
| Transamerica BlackRock Global Allocation € | | | 1,142,809 | | | | 12,685 | |
| Transamerica Loomis Sayles Bond € | | | 3,510,526 | | | | 37,247 | |
U.S. Stocks - 36.6% | | | | | | | | |
| Transamerica BlackRock Large Cap Value VP Җ | | | 1,372,372 | | | | 18,733 | |
| Transamerica Jennison Growth VP Җ | | | 2,865,072 | | | | 22,634 | |
| Transamerica JPMorgan Mid Cap Value VP Җ | | | 1,080,474 | | | | 14,532 | |
| Transamerica Morgan Stanley Mid-Cap Growth VP Җ | | | 504,232 | | | | 14,713 | |
| | | | | | | | |
| Total Investment Securities (cost $184,731) # | | | | | | | 192,989 | |
| Other Assets and Liabilities — Net | | | | | | | (81 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 192,908 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| Җ | | The portfolio invests its assets in the Initial Class shares of the affiliated fund of Transamerica Series Trust. |
| |
| € | | The portfolio invests its assets in the Class I2 shares of the affiliated fund of Transamerica Funds. |
| |
| # | | Aggregate cost for federal income tax purposes is $184,999. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $8,908 and $918, respectively. Net unrealized appreciation for tax purposes is $7,990. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | | | | | | | | | |
| Investment Companies | | $ | 192,989 | | | $ | — | | | $ | — | | | $ | 192,989 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica BlackRock Tactical Allocation VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in affiliated investment companies, at value (cost: $184,731) | | $ | 192,989 | |
| Receivables: | | | | |
| Shares sold | | | 870 | |
| Prepaid expenses | | | 1 | |
| | | | |
| | | | 193,860 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 779 | |
| Shares redeemed | | | 91 | |
| Management and advisory fees | | | 27 | |
| Distribution and service fees | | | 38 | |
| Administration fees | | | 3 | |
| Audit and tax fees | | | 8 | |
| Printing and shareholder reports fees | | | 2 | |
| Other | | | 4 | |
| | | | |
| | | | 952 | |
| | | | |
Net assets | | $ | 192,908 | |
| | | | |
| | | | | |
Net assets consist of: | | | | �� |
| Capital stock ($.01 par value) | | $ | 143 | |
| Additional paid-in capital | | | 178,606 | |
| Undistributed (accumulated) net investment (loss) | | | 3,546 | |
| Undistributed (accumulated) net realized gain (loss) from investment in investment companies | | | 2,355 | |
| Net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 8,258 | |
| | | | |
Net assets | | $ | 192,908 | |
| | | | |
| Shares outstanding | | | 14,322 | |
| Net asset value and offering price per share | | $ | 13.47 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from affiliated investment companies | | $ | 3,979 | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 102 | |
| Printing and shareholder reports | | | 8 | |
| Custody | | | 10 | |
| Administration | | | 20 | |
| Legal | | | 6 | |
| Audit and tax | | | 13 | |
| Trustees | | | 3 | |
| Transfer agent | | | 1 | |
| Registration | | | 2 | |
| Distribution and service | | | 255 | |
| Other | | | 2 | |
| | | | |
| Total expenses | | | 422 | |
| | | | |
| Recaptured Expenses | | | 11 | |
| | | | |
| Net expenses | | | 433 | |
| | | | |
| | | | | |
Net investment income | | | 3,546 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in affiliated investment companies | | | 1,781 | |
| Distributions from investments in affiliated investment companies | | | 574 | |
| | | | |
| | | | 2,355 | |
| | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in affiliated investment companies | | | 7,200 | |
| | | | |
Net realized and unrealized gain on investments in affiliated investment companies | | | 9,555 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 13,101 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica BlackRock Tactical Allocation VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 3,546 | | | $ | 428 | |
| Net realized gain from investments and distributions in affiliated investment companies | | | 2,355 | | | | 333 | |
| Change in net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 7,200 | | | | 1,058 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 13,101 | | | | 1,819 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income | | | (428 | ) | | | — | |
| From net realized gains | | | (333 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (761 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold | | | 148,135 | | | | 41,795 | |
| Dividends and distributions reinvested | | | 761 | | | | — | |
| Cost of shares redeemed | | | (10,477 | ) | | | (1,465 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 138,419 | | | | 40,330 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 150,759 | | | | 42,149 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 42,149 | | | | — | |
| | | | | | | |
| End of year | | $ | 192,908 | | | $ | 42,149 | |
| | | | | | | |
Undistributed net investment income | | $ | 3,546 | | | $ | 428 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued | | | 11,632 | | | | 3,582 | |
| Shares issued-reinvested from distributions | | | 62 | | | | — | |
| Shares redeemed | | | (829 | ) | | | (125 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding | | | 10,865 | | | | 3,457 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on May 1, 2009. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica BlackRock Tactical Allocation VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | |
| | | Service Class | |
| | | December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | |
| Beginning of year | | $ | 12.19 | | | $ | 10.00 | |
Investment operations | | | | | | | | |
Net investment income(B),(C) | | | 0.44 | | | | 0.34 | |
| Net realized and unrealized gain | | | 0.92 | | | | 1.85 | |
| | | | | | | |
| Total operations | | | 1.36 | | | | 2.19 | |
| | | | | | | |
Distributions | | | | | | | | |
| From net investment income | | | (0.05 | ) | | | — | |
| From net realized gains | | | (0.03 | ) | | | — | |
| | | | | | | |
| Total distributions | | | (0.08 | ) | | | — | |
| | | | | | | |
Net asset value | | | | | | | | |
| End of year | | $ | 13.47 | | | $ | 12.19 | |
| | | | | | | |
| | | | | | | | | |
Total return(D) | | | 11.24 | % | | | 21 .90 | %(E) |
| | | | | | | | | |
Net assets end of year (000’s) | | $ | 192,908 | | | $ | 42,149 | |
Ratio and supplemental data | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | |
| After recapture/reimbursement | | | 0.42 | % | | | 0 .50 | %(G) |
| Before recapture/reimbursement | | | 0.41 | % | | | 0 .61 | %(G) |
Net investment income, to average net assets(C) | | | 3.47 | % | | | 4 .36 | %(G) |
Portfolio turnover rate(H) | | | 46 | % | | | 19 | % (E) |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying affiliated investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the affiliated investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying affiliated funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica BlackRock Tactical Allocation VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica BlackRock Tactical Allocation VP (the “Fund”) is part of TST.
The Fund currently offers one class of shares; a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica BlackRock Tactical Allocation VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
| | | | | |
|
| First $1 billion | | | 0.10 | % |
| Over $1 billion | | | 0.08 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12-b1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.25% Expense Limit
If total Fund expenses fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount recaptured by the adviser was $11. There were no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has adopted a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s shares, amounts equal to actual expenses associated with distributing the shares.
The Fund is authorized under the Distribution Plan to pay fees up to a limit of 0.25%.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica BlackRock Tactical Allocation VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 189,819 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 47,985 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for the open tax year (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 727 | |
| Long-term Capital Gain | | | 34 | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 5,545 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 624 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 7,990 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica BlackRock Tactical Allocation VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica BlackRock Tactical Allocation VP:
We have audited the accompanying statement of assets and liabilities of Transamerica BlackRock Tactical Allocation VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica BlackRock Tactical Allocation VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica BlackRock Tactical Allocation VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $34 for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Clarion Global Real Estate Securities VP
(unaudited)
MARKET ENVIRONMENT
The past twelve months have been a period of positive total returns for global real estate stocks, which have advanced by more than 20% as improving capital market conditions and economic conditions continue to benefit investors. North American property stocks posted the best performance over the past twelve months, up more than 28%, followed by the Asia-Pacific and European regions, which were up 21% and 9%, respectively. Mixed macro-economic news continues to remind investors that patience will be required in this recovery. In most Asia-Pacific markets, economic growth will likely meet or exceed its long-term average growth rates, while growth rates in many Western markets will remain challenged and fall short of average long-term growth rates. This has led to a bifurcation of central bank policies as policy in the Western economies continues to be accommodative, while central bankers in most Asia-Pacific markets are beginning to show a bias toward tightening.
Monetary policy that kept rates low in most parts of the world helped boost real estate values as 2010 proved to be a year characterized by an above-average involvement of the government hand in economic policy. Central bank policy remained generally accommodative globally, even in a handful of gradually tightening Asian and emerging market countries. Governments enacted sizeable and unprecedented spending programs, including quantitative easing (“QE2”) in the U.S. and to a lesser extent Japan. In Europe, the European Union announced mechanisms to deal with sovereign debt issues which were surfacing in Southern Europe plus Ireland, most recently during the 4th quarter 2010. Short-term interest rates have had the most upward pressure in the Asia-Pacific ex-Japan region, emerging markets and commodity-driven markets, such as Canada and Australia. A higher-than-expected November inflation number of 5% out of China versus the targeted 3% caused the Central Government to raise interest rates for the second time this year in December. Brazil’s Central Bank has provided a signal that it intends to raise policy rates following inflation numbers above its 4.75% target. Central banks in Canada and Australia both have raised rates multiple times this year, although they have recently put rates on hold following economic indicators which were softer than expected. The disparity of Western Central Banks which are largely on hold, and close to zero in the U.S. and Japan, highlights the growth divide between developing economies and developed economies.
A year ago, all the developed markets were mired in recession and looking hopefully for recovery in 2010. Now all regions of the world have seemingly emerged from recession and after a year of fragile recovery are anticipating a return to near normal levels of economic growth in 2011. This evolution has had a significantly positive effect on the outlook for commercial real estate assets. Combined with the continuing accommodative monetary policy that has kept absolute levels of interest rates low, the implications for real estate values are positive.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Clarion Global Real Estate Securities VP Initial Class returned 15.67%. By comparison its benchmark, the Standard & Poor’s Developed Property Index (“S&P Developed Property”), returned 21.54%.
STRATEGY REVIEW
Transamerica Clarion Global Real Estate Securities VP offers a global strategy for real estate securities investors in the U.S. The Fund generally owns between 80-110 real estate stocks with the goal of outperforming the S&P Developed Property index. The Fund seeks to own attractively priced stocks that own property in markets with favorable underlying real estate fundamentals. The global universe of public real estate companies is approximately three times the size of the U.S. public company universe, which offers additional choices and diversification opportunities to the manager.
While absolute returns were strong during the period, it was a challenging year from a relative standpoint. Relative performance trailed benchmark returns primarily as a result of asset allocation, which proved difficult to underwrite in a post-credit crisis environment of increased government involvement in economic and regulatory policy. The drivers of the significantly different returns to real estate stocks by region were not necessarily due to differences in property fundamentals or earnings growth. Instead, returns were driven more by differences in fiscal and monetary policies. The primary drivers of the allocation shortfall were an underweight to the outperforming U.S. market during the first half of 2010, an overweight to the underperforming Hong Kong market during the first quarter of 2010, and an underweight to the European region during the second and third quarter of 2010. Stock selection played a lesser role in the relative underperformance for the year as positive stock selection in the U.S. was more than offset by sub-par stock selection in other regions during the period. The positioning of the U.S. portion of the portfolio to the more cyclical property types early in the 2nd quarter helped to add value during the period as the outperformance of portfolio holdings in the mall, hotels and apartment sectors was a notable bright spot. In the Asia-Pacific region, sub-par stock selection in Japan and Australia accounted for the majority of the relative shortfall within the region. In Europe, positions in French retail companies detracted from relative performance during the year.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Clarion Global Real Estate Securities VP
(unaudited)
STRATEGY REVIEW (continued)
The Fund continues to be positioned with a positive bias to the Asia-Pacific region, a neutral bias to the Americas and a cautious stance towards property companies in Europe, which we believe will continue to lag despite the outperformance in the third quarter of 2010. Favorable stock selection will reside in the ability of a company to more quickly reflect improving economic conditions via its cash flows. Portfolio strategy is therefore focused on the more cyclically-sensitive geographies and property types. This includes shorter lease length property types including apartments and lodging as well as office markets in the Asia-Pacific region. This also includes office markets which have longer lease lengths but are exposed to quickly improving fundamentals and changes in sentiment, including the financial districts of mid-town Manhattan and London. Real estate companies with the ability to benefit from improved consumer spending also remain a focus, including dominant mall companies in the U.S. and to a lesser extent in Europe and the Asia-Pacific region. Regions and companies with above-average yield via the dividend and companies which are likely to increase dividend payouts also remain important considerations in portfolio stock selection. Our outlook remains predicated on the assumption of gradual but steady global economic growth.
T. Ritson Ferguson, CFA
Joseph P. Smith, CFA
Steven D. Burton, CFA
Co-Portfolio Managers
ING Clarion Real Estate Securities, LLC
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Clarion Global Real Estate Securities VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 15.67 | % | | | 3.37 | % | | | 10.76 | % | | | 05/01/1998 | |
S&P Developed Property* | | | 21.54 | % | | | 2.65 | % | | | 10.18 | % | | | | |
| |
| Service Class | | | 15.30 | % | | | 3.10 | % | | | 11.16 | % | | | 05/01/2003 | |
| |
NOTES
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| * | | The Standard & Poor’s Developed Property Index (“S&P Developed Property”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
Investments in a “non-diversified” portfolio may be subject to specific risks such as susceptibility to single economic, political, or regulatory events, and may be subject to greater loss than investments in a diversified portfolio. Risks associated with real estate securities include fluctuations in the value of real estate, extended vacancies and uninsured damage losses from natural disasters. Global investing involves special risks including fluctuations, political instability and different financial accounting standards. This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Clarion Global Real Estate Securities VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Clarion Global Real Estate Securities VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,252.40 | | | $ | 5.05 | | | $ | 1,020.72 | | | $ | 4.53 | | | | 0.89 | % |
| Service Class | | | 1,000.00 | | | | 1,249.80 | | | | 6.46 | | | | 1,019.46 | | | | 5.80 | | | | 1.14 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 97.9 | % |
| Securities Lending Collateral | | | 3.1 | |
| Repurchase Agreement | | | 2.0 | |
| Warrants | | | 0.1 | |
| Other Assets and Liabilities — Net | | | (3.1 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Clarion Global Real Estate Securities VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 97.9% | | | | | | | | |
Australia - 9.6% | | | | | | | | |
| Dexus Property Group REIT | | | 7,898,260 | | | $ | 6,422 | |
| Goodman Group REIT | | | 7,835,474 | | | | 5,209 | |
| GPT Group REIT | | | 2,401,813 | | | | 7,222 | |
| ING Office Fund REIT | | | 6,768,800 | | | | 3,842 | |
| Lend Lease Corp., Ltd. | | | 187,328 | | | | 1,654 | |
| Mirvac Group REIT | | | 2,486,144 | | | | 3,115 | |
| Stockland REIT | | | 1,677,320 | | | | 6,176 | |
| Westfield Group REIT | | | 1,104,888 | | | | 10,827 | |
| Westfield Retail Trust REIT ‡ | | | 2,462,957 | | | | 6,474 | |
Canada - 2.7% | | | | | | | | |
| Brookfield Properties Corp. | | | 248,301 | | | | 4,353 | |
| Calloway REIT | | | 102,200 | | | | 2,402 | |
| Canadian REIT | | | 32,000 | | | | 999 | |
| Primaris Retail REIT | | | 76,900 | | | | 1,511 | |
| RioCan REIT | | | 235,500 | | | | 5,211 | |
Cayman Islands - 0.3% | | | | | | | | |
| Longfor Properties Co., Ltd. | | | 1,155,000 | | | | 1,608 | |
France - 5.4% | | | | | | | | |
| Fonciere Des Regions REIT | | | 6,969 | | | | 674 | |
| Mercialys SA REIT | | | 85,133 | | | | 3,197 | |
| Nexity SA | | | 55,490 | | | | 2,533 | |
| Silic REIT | | | 12,966 | | | | 1,606 | |
| Unibail-Rodamco Se REIT | | | 104,498 | | | | 20,666 | |
Hong Kong - 14.5% | | | | | | | | |
| Cheung Kong Holdings, Ltd. | | | 1,221,843 | | | | 18,833 | |
| China Overseas Land & Investment, Ltd. | | | 1,496,000 | | | | 2,772 | |
| Great Eagle Holdings, Ltd. | | | 330,000 | | | | 1,027 | |
| Hang Lung Group, Ltd. | | | 513,652 | | | | 3,383 | |
| Hang Lung Properties, Ltd. | | | 913,800 | | | | 4,250 | |
| Hongkong Land Holdings, Ltd. ^ | | | 1,313,600 | | | | 9,484 | |
| Hysan Development Co., Ltd. | | | 232,400 | | | | 1,097 | |
| Link REIT | | | 1,167,300 | | | | 3,627 | |
| Sino Land Co., Ltd. | | | 935,000 | | | | 1,751 | |
| Sun Hung Kai Properties, Ltd. | | | 1,595,255 | | | | 26,394 | |
| Wharf Holdings, Ltd. | | | 527,125 | | | | 4,055 | |
Japan - 13.0% | | | | | | | | |
| Daito Trust Construction Co., Ltd. | | | 40,800 | | | | 2,788 | |
| Daiwa House Industry Co., Ltd. | | | 269,600 | | | | 3,303 | |
| Frontier Real Estate Investment Corp. REIT | | | 334 | | | | 3,185 | |
| Japan Logistics Fund, Inc. REIT | | | 181 | | | | 1,707 | |
| Japan Real Estate Investment Corp. REIT | | | 605 | | | | 6,268 | |
| Japan Retail Fund Investment Corp. REIT | | | 1,924 | | | | 3,679 | |
| Kenedix Realty Investment Corp. REIT | | | 228 | | | | 1,070 | |
| Mitsubishi Estate Co., Ltd. | | | 935,090 | | | | 17,281 | |
| Mitsui Fudosan Co., Ltd. | | | 550,110 | | | | 10,933 | |
| Nippon Accommodations Fund, Inc. REIT | | | 215 | | | | 1,661 | |
| Nippon Building Fund, Inc. REIT ^ | | | 359 | | | | 3,679 | |
| Sumitomo Realty & Development Co., Ltd. ^ | | | 446,000 | | | | 10,610 | |
| United Urban Investment Corp. — Class A REIT ^ | | | 1,914 | | | | 2,444 | |
Netherlands - 0.9% | | | | | | | | |
| Corio NV REIT | | | 45,057 | | | | 2,891 | |
| Eurocommercial Properties NV REIT | | | 42,811 | | | | 1,971 | |
Norway - 0.3% | | | | | | | | |
| Norwegian Property ASA ‡ | | | 961,480 | | | | 1,712 | |
Singapore - 5.7% | | | | | | | | |
| Capitacommercial Trust REIT ‡ ^ | | | 4,142,000 | | | | 4,841 | |
| Capitaland, Ltd. | | | 3,268,100 | | | | 9,448 | |
| CapitaMall Trust REIT | | | 2,734,769 | | | | 4,155 | |
| City Developments, Ltd. | | | 105,400 | | | | 1,032 | |
| Frasers Centrepoint Trust REIT | | | 475,300 | | | | 556 | |
| Global Logistic Properties, Ltd. ‡ ^ | | | 3,811,600 | | | | 6,415 | |
| Keppel Land, Ltd. | | | 518,400 | | | | 1,939 | |
| Suntec REIT | | | 1,553,000 | | | | 1,815 | |
Sweden - 0.8% | | | | | | | | |
| Castellum AB | | | 127,563 | | | | 1,737 | |
| Hufvudstaden AB - Class A | | | 192,792 | | | | 2,253 | |
Switzerland - 0.6% | | | | | | | | |
| Swiss Prime Site AG ‡ | | | 45,485 | | | | 3,393 | |
United Kingdom - 5.2% | | | | | | | | |
| British Land Co., PLC REIT | | | 524,326 | | | | 4,288 | |
| Capital Shopping Centres Group PLC REIT | | | 359,950 | | | | 2,344 | |
| Derwent London PLC REIT | | | 196,129 | | | | 4,773 | |
| Grainger PLC | | | 525,442 | | | | 866 | |
| Great Portland Estates PLC REIT | | | 472,680 | | | | 2,659 | |
| Hammerson PLC REIT | | | 314,327 | | | | 2,045 | |
| Land Securities Group PLC REIT | | | 782,332 | | | | 8,220 | |
| Safestore Holdings PLC | | | 684,905 | | | | 1,388 | |
| Segro PLC REIT | | | 244,312 | | | | 1,091 | |
United States - 38.9% | | | | | | | | |
| Alexandria Real Estate Equities, Inc. REIT | | | 80,800 | | | | 5,919 | |
| AMB Property Corp. REIT | | | 117,930 | | | | 3,740 | |
| Apartment Investment & Management Co. — Class A REIT | | | 211,000 | | | | 5,452 | |
| AvalonBay Communities, Inc. REIT | | | 82,449 | | | | 9,280 | |
| Boston Properties, Inc. REIT | | | 132,000 | | | | 11,365 | |
| BRE Properties, Inc. REIT | | | 112,900 | | | | 4,911 | |
| Developers Diversified Realty Corp. REIT | | | 340,100 | | | | 4,792 | |
| Digital Realty Trust, Inc. REIT ^ | | | 48,600 | | | | 2,505 | |
| Equity Residential REIT | | | 285,900 | | | | 14,853 | |
| Federal Realty Investment Trust REIT | | | 78,800 | | | | 6,141 | |
| General Growth Properties, Inc. REIT | | | 551,500 | | | | 8,537 | |
| HCP, Inc. REIT | | | 64,300 | | | | 2,366 | |
| Highwoods Properties, Inc. REIT | | | 67,000 | | | | 2,134 | |
| Host Hotels & Resorts, Inc. REIT | | | 483,705 | | | | 8,644 | |
| Kimco Realty Corp. REIT | | | 92,400 | | | | 1,667 | |
| Liberty Property Trust REIT | | | 207,925 | | | | 6,637 | |
| Macerich Co. REIT | | | 271,892 | | | | 12,880 | |
| Nationwide Health Properties, Inc. REIT | | | 166,300 | | | | 6,050 | |
| Pebblebrook Hotel Trust REIT | | | 72,300 | | | | 1,469 | |
| ProLogis REIT | | | 482,900 | | | | 6,973 | |
| Public Storage REIT | | | 56,680 | | | | 5,748 | |
| Regency Centers Corp. REIT ^ | | | 186,266 | | | | 7,868 | |
| Simon Property Group, Inc. REIT | | | 202,359 | | | | 20,132 | |
| SL Green Realty Corp. REIT | | | 94,800 | | | | 6,400 | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | 90,500 | | | | 5,501 | |
| Tanger Factory Outlet Centers REIT | | | 42,400 | | | | 2,170 | |
| Taubman Centers, Inc. REIT ^ | | | 88,271 | | | | 4,456 | |
| UDR, Inc. REIT | | | 275,284 | | | | 6,475 | |
| Ventas, Inc. REIT | | | 111,793 | | | | 5,867 | |
| Vornado Realty Trust REIT | | | 169,485 | | | | 14,123 | |
| | | | | | | | |
Total Common Stocks (cost $427,487) | | | | | | | 517,869 | |
| | | | | | | | |
| | | | | | | | | |
WARRANT - 0.1% | | | | | | | | |
India - 0.1% | | | | | | | | |
| Unitech, Ltd. ‡ | | | | | | | | |
| Expiration: 05/29/2013 | | | | | | | | |
| Exercise Price: $0.00 | | | 355,200 | | | | 526 | |
Total Warrant (cost $2,188) | | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 3.1% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 16,230,182 | | | | 16,230 | |
Total Securities Lending Collateral (cost $16,230) | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Clarion Global Real Estate Securities VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 2.0% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $10,666 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $10,882. | | $ | 10,666 | | | $ | 10,666 | |
Total Repurchase Agreement (cost $10,666) | | | | | | | | |
| | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $456,571) # | | | | | | | 545,291 | |
| Other Assets and Liabilities - Net | | | | | | | (16,629 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 528,662 | |
| | | | | | | | |
| | | | | | | | | |
| | | Percentage of | | | | |
| INVESTMENTS BY INDUSTRY (unaudited): | | Total Investments | | | Value | |
| |
| Real Estate Investment Trusts | | | 64.9 | % | | $ | 354,076 | |
| Real Estate Management & Development | | | 29.1 | | | | 158,818 | |
| Hotels, Restaurants & Leisure | | | 1.0 | | | | 5,501 | |
| | | | | | | |
| Investment Securities, at Value | | | 95.0 | | | | 518,395 | |
| Short-Term Investments | | | 5.0 | | | | 26,896 | |
| | | | | | | |
| Total Investments | | | 100.0 | % | | $ | 545,291 | |
| | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ‡ | | Non-income producing security. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $15,386. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $494,771. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $57,121 and $6,601, respectively. Net unrealized appreciation for tax purposes is $50,520. |
| |
| DEFINITION: |
| |
| REIT | | Real Estate Investment Trust (includes domestic REITs and Foreign Real Estate Investment Companies) |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | | | | | |
| Common Stocks | | $ | 221,139 | | | $ | 296,730 | | | $ | — | | | $ | 517,869 | |
| Repurchase Agreement | | | — | | | | 10,666 | | | | — | | | | 10,666 | |
| Securities Lending Collateral | | | 16,230 | | | | — | | | | — | | | | 16,230 | |
| Warrants | | | — | | | | 526 | | | | — | | | | 526 | |
| | | | | | | | | | | | | |
Total | | $ | 237,369 | | | $ | 307,922 | | | $ | — | | | $ | 545,291 | |
| | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Clarion Global Real Estate Securities VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $445,905) (including securities loaned of $15,386) | | $ | 534,625 | |
| Repurchase agreement, at value (cost: $10,666) | | | 10,666 | |
| Receivables: | | | | |
| Investment securities sold | | | 1,227 | |
| Shares sold | | | 87 | |
| Securities lending income (net) | | | 8 | |
| Dividends | | | 1,429 | |
| Dividend reclaims | | | 64 | |
| Prepaid expenses | | | 5 | |
| | | | |
| | | | 548,111 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 1,936 | |
| Shares redeemed | | | 843 | |
| Management and advisory fees | | | 344 | |
| Distribution and service fees | | | 7 | |
| Administration fees | | | 9 | |
| Printing and shareholder reports fees | | | 22 | |
| Audit and tax fees | | | 9 | |
| Other | | | 49 | |
| Collateral for securities on loan | | | 16,230 | |
| | | | |
| | | | 19,449 | |
| | | | |
Net assets | | $ | 528,662 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 467 | |
| Additional paid-in capital | | | 652,082 | |
| Undistributed (accumulated) net investment income (loss) | | | 7,241 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (219,854 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 88,720 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 6 | |
| | | | |
Net assets | | $ | 528,662 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 495,241 | |
| Service Class | | | 33,421 | |
Shares outstanding: | | | | |
| Initial Class | | | 43,829 | |
| Service Class | | | 2,851 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.30 | |
| Service Class | | | 11.72 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $666) | | $ | 14,075 | |
| Interest income | | | 4 | |
| Securities lending income (net) | | | 178 | |
| | | | |
| | | | 14,257 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 3,864 | |
| Printing and shareholder reports | | | 63 | |
| Custody | | | 304 | |
| Administration | | | 98 | |
| Legal | | | 27 | |
| Audit and tax | | | 14 | |
| Trustees | | | 17 | |
| Transfer agent | | | 5 | |
| Distribution and service: | | | | |
| Service Class | | | 58 | |
| Other | | | 10 | |
| | | | |
| Total expenses | | | 4,460 | |
| | | | |
| | | | | |
Net investment income | | | 9,797 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | (17,464 | ) |
| Foreign currency transactions | | | (176 | ) |
| | | | |
| | | | (17,640 | ) |
| | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 74,633 | |
| Translation of assets and liabilities denominated in foreign currencies | | | (1 | ) |
| | | | |
Change in unrealized appreciation (depreciation) | | | 74,632 | |
| | | | |
Net realized and unrealized gain | | | 56,992 | |
| | | | |
| | | |
Net increase in net assets resulting from operations | | $ | 66,789 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Clarion Global Real Estate Securities VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 9,797 | | | $ | 10,649 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | (17,640 | ) | | | (107,381 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 74,632 | | | | 221,370 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 66,789 | | | | 124,638 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (28,382 | ) | | | — | |
| Service Class | | | (1,398 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (29,780 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 24,099 | | | | 62,592 | |
| Service Class | | | 17,556 | | | | 5,481 | |
| | | | | | | |
| | | | 41,655 | | | | 68,073 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 28,382 | | | | — | |
| Service Class | | | 1,398 | | | | — | |
| | | | | | | |
| | | | 29,780 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (86,022 | ) | | | (29,040 | ) |
| Service Class | | | (6,445 | ) | | | (5,455 | ) |
| | | | | | | |
| | | | (92,467 | ) | | | (34,495 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | (21,032 | ) | | | 33,578 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 15,977 | | | | 158,216 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 512,685 | | | | 354,469 | |
| | | | | | | |
| End of year | | $ | 528,662 | | | $ | 512,685 | |
| | | | | | | |
Undistributed net investment income | | $ | 7,241 | | | $ | 14,406 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 2,223 | | | | 7,596 | |
| Service Class | | | 1,582 | | | | 576 | |
| | | | | | | |
| | | | 3,805 | | | | 8,172 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 2,908 | | | | — | |
| Service Class | | | 138 | | | | — | |
| | | | | | | |
| | | | 3,046 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (8,517 | ) | | | (3,696 | ) |
| Service Class | | | (602 | ) | | | (661 | ) |
| | | | | | | |
| | | | (9,119 | ) | | | (4,357 | ) |
| | | | | | | |
| | | | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (3,386 | ) | | | 3,900 | |
| Service Class | | | 1,118 | | | | (85 | ) |
| | | | | | | |
| | | | (2,268 | ) | | | 3,815 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Clarion Global Real Estate Securities VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.46 | | | $ | 7.84 | | | $ | 19.64 | | | $ | 24.54 | | | $ | 19.77 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.21 | | | | 0.23 | | | | 0.38 | | | | 0.36 | | | | 0.35 | |
| Net realized and unrealized gain (loss) | | | 1.32 | | | | 2.39 | | | | (7.03 | ) | | | (1.77 | ) | | | 7.45 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.53 | | | | 2.62 | | | | (6.65 | ) | | | (1.41 | ) | | | 7.80 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.69 | ) | | | — | | | | (0.47 | ) | | | (1.73 | ) | | | (0.33 | ) |
| From net realized gains | | | — | | | | — | | | | (4.68 | ) | | | (1.76 | ) | | | (2.70 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.69 | ) | | | — | | | | (5.15 | ) | | | (3.49 | ) | | | (3.03 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.30 | | | $ | 10.46 | | | $ | 7.84 | | | $ | 19.64 | | | $ | 24.54 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 15.67 | % | | | 33.42 | % | | | (42.38 | %) | | | (6.70 | %) | | | 42.27 | % |
Net assets end of year (000’s) | | $ | 495,241 | | | $ | 493,900 | | | $ | 339,659 | | | $ | 667,356 | | | $ | 922,134 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.90 | % | | | 0.91 | % | | | 0.87 | % | | | 0.84 | % | | | 0.84 | % |
| Net investment income, to average net assets | | | 2.01 | % | | | 2.73 | % | | | 2.61 | % | | | 1.51 | % | | | 1.59 | % |
| Portfolio turnover rate | | | 60 | % | | | 61 | % | | | 48 | % | | | 60 | % | | | 44 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.84 | | | $ | 8.15 | | | $ | 20.12 | | | $ | 25.06 | | | $ | 20.16 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.17 | | | | 0.22 | | | | 0.36 | | | | 0.31 | | | | 0.32 | |
| Net realized and unrealized gain (loss) | | | 1.38 | | | | 2.47 | | | | (7.27 | ) | | | (1.80 | ) | | | 7.58 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.55 | | | | 2.69 | | | | (6.91 | ) | | | (1.49 | ) | | | 7.90 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.67 | ) | | | — | | | | (0.38 | ) | | | (1.69 | ) | | | (0.30 | ) |
| From net realized gains | | | — | | | | — | | | | (4.68 | ) | | | (1.76 | ) | | | (2.70 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.67 | ) | | | — | | | | (5.06 | ) | | | (3.45 | ) | | | (3.00 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.72 | | | $ | 10.84 | | | $ | 8.15 | | | $ | 20.12 | | | $ | 25.06 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 15.30 | % | | | 33.01 | % | | | (42.49 | %) | | | (6.91 | %) | | | 41.91 | % |
Net assets end of year (000’s) | | $ | 33,421 | | | $ | 18,785 | | | $ | 14,810 | | | $ | 41,216 | | | $ | 53,276 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.15 | % | | | 1.16 | % | | | 1.12 | % | | | 1.09 | % | | | 1.09 | % |
| Net investment income, to average net assets | | | 1.59 | % | | | 2.46 | % | | | 2.35 | % | | | 1.26 | % | | | 1.39 | % |
| Portfolio turnover rate | | | 60 | % | | | 61 | % | | | 48 | % | | | 60 | % | | | 44 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Clarion Global Real Estate Securities VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Clarion Global Real Estate Securities VP (the “Fund”) is part of TST. The Fund is “non-diverisified” under the 1940 Act.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $58, are included in net realized gain (loss) in the Statement of Operations.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Clarion Global Real Estate Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign securities, in which their 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Clarion Global Real Estate Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010 is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation- Conservative VP | | $ | 14,092 | | | | 2.67 | % |
| Transamerica Asset Allocation- Growth VP | | | 60,312 | | | | 11.41 | |
| Transamerica Asset Allocation- Moderate VP | | | 64,573 | | | | 12.21 | |
| Transamerica Asset Allocation- Moderate Growth VP | | | 190,647 | | | | 36.06 | |
| Transamerica International Moderate Growth VP | | | 12,666 | | | | 2.40 | |
| | | | | | | |
| Total | | $ | 342,290 | | | | 64.75 | % |
| | | | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Clarion Global Real Estate Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $250 million | | | 0.80 | % |
| Over $250 million up to $500 million | | | 0.775 | % |
| Over $500 million up to $1 billion | | | 0.70 | % |
| Over $1 billion | | | 0.65 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Clarion Global Real Estate Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 288,565 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 328,923 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for the open tax years (2007-2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | 12,818 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (12,818 | ) |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 34,350 | | | December 31, 2016 |
| $ | 121,339 | | | December 31, 2017 |
| $ | 45,921 | | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 29,780 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Clarion Global Real Estate Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 27,197 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (201,610 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 50,526 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Clarion Global Real Estate Securities VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Clarion Global Real Estate Securities VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Clarion Global Real Estate Securities VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Clarion Global Real Estate Securities VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica Clarion Global Real Estate Securities VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
(unaudited)
MARKET ENVIRONMENT
Equity markets in the U.S. continued their upward trajectory for the year 2010 as the global economy recovered and fears of a double dip recession abated. Concerns regarding the European debt markets and the Chinese economy overheating contributed to some volatile periods during the year. However, mid-term election results, the extension of Bush-era tax cuts and accommodative monetary policies from the Federal Reserve Board (“Fed”) helped the year end on a significantly strong note.
Early in the period, positive data on U.S. gross domestic product, improvements in corporate earnings and the end of the worst recession in decades boosted investor confidence. Equity markets moved higher as the possibility of a sustained economic recovery prompted renewed business growth.
As the summer months approached, a perfect storm of global and domestic events provoked investor skepticism in equity markets, driving them lower. A sovereign debt crisis and fiscal austerity measures in Europe, coupled with tighter fiscal policies in China (to dampen growth), heightened investor concerns about whether the rate of global economic expansion was sustainable. Meanwhile, in the U.S., the impact of stubbornly high unemployment, the Gulf of Mexico oil spill and the unexpected “flash crash” in the equity markets ultimately sent global and domestic investors fleeing to the relative safety of U.S. Treasuries.
As the year came to a close, equity markets and investor sentiment turned markedly positive. The key impetus for the market’s appreciation was the Fed announcement in October of another round of quantitative easing (“QE2”). This announcement mitigated investor concerns about a double-dip recession and created a strong sense of optimism for solid future economic growth and a prolonged lower interest rate environment. Additionally, the political, legislative, business, international and consumer fronts saw a confluence of positive momentum: the election of a pro-business Congress; the extension of Bush-era tax cuts; robust third quarter reported earnings; strong economic growth in China despite tighter monetary policy; and healthy consumer holiday spending. These positive results, combined with the Fed’s agenda to inject further liquidity into the system, created an optimal environment for stocks to move upwards and post positive gains for the year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Diversified Equity VP Initial Class returned 16.85%. By comparison its primary and former benchmarks, the Standard & Poor’s 500 Composite Stock Index and the Morgan Stanley Capital International World Index, returned 15.06% and 12.34%, respectively. Prior to May 1, 2010, this fund was named Transamerica Templeton Global VP.
STRATEGY REVIEW
Throughout the period, we adhered to our bottom-up investment process, seeking companies with proven management, strong cash-flow characteristics and sustainable competitive advantages. We positioned the portfolio for a positive economic outlook while staying true to our big-picture catalysts. Catalysts may be driven by company changes, such as a new product, or by industry changes, such as widespread adoption of smart phones, and will typically endure for years, contributing to performance over time.
Individual stock selection in consumer discretionary names BorgWarner, Inc. and Johnson Controls, Inc., and stock selection in the producer durables and technology sectors were the primary contributors to relative outperformance during the period. BorgWarner, Inc. continues to take market share as its turbo chargers answer the need for greater automotive fuel efficiency to meet new environmental standards. Additionally, the company is benefiting from the growth in total automobile production globally, driven by countries like China. Johnson Controls, Inc., a manufacturer of automotive interior products and battery-powered systems, is also benefiting from strong global growth in automobile production.
Detracting from relative performance was stock selection in the financial services sector (BlackRock, Inc.) and weak returns from individual energy holding EOG Resources, Inc. BlackRock, Inc., a global leader in the investment business, performed well during the turmoil in the financial markets. However, their ability to improve margins coupled with slowing rates of growth into fixed income markets lowered investor confidence. We sold our position in BlackRock, Inc. EOG Resources, Inc., an oil and natural gas exploration production company, had its input costs rise more rapidly than expected as strong demand for oil and gas exploration increased; consequently, we have reduced the position.
Edward S. Han
Peter O. Lopez
Co-Portfolio Managers
Transamerica Investment Management, LLC
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 16.85 | % | | | 2.95 | % | | | (0.48 | )% | | | 12/03/1992 | |
S&P 500* | | | 15.06 | % | | | 2.29 | % | | | 1.41 | % | | | | |
MSCI World* | | | 12.34 | % | | | 2.99 | % | | | 2.82 | % | | | | |
| |
| Service Class | | | 16.55 | % | | | 2.66 | % | | | 6.86 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | Prior to May 1, 2010, the Morgan Stanley Capital International World Index (“MSCI World”) served as the primary benchmark for the fund, at which time, it was replaced with the Standard & Poor’s 500 Composite Stock Index (“S&P 500”). MSCI World and S&P 500 are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Diversified Equity VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,300.90 | | | $ | 4.76 | | | $ | 1,021.07 | | | $ | 4.18 | | | | 0.82 | % |
| Service Class | | | 1,000.00 | | | | 1,299.40 | | | | 6.20 | | | | 1,019.81 | | | | 5.45 | | | | 1.07 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stock | | | 99.1 | % |
| Securities Lending Collateral | | | 25.1 | |
| Repurchase Agreement | | | 0.9 | |
| Other Assets and Liabilities — Net | | | (25.1 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 99.1% | | | | | | | | |
Aerospace & Defense - 2.2% | | | | | | | | |
| Precision Castparts Corp. ^ | | | 109,144 | | | $ | 15,194 | |
Air Freight & Logistics - 4.8% | | | | | | | | |
| CH Robinson Worldwide, Inc. ^ | | | 204,500 | | | | 16,399 | |
| Expeditors International of Washington, Inc. ^ | | | 301,650 | | | | 16,470 | |
Auto Components - 6.0% | | | | | | | | |
| BorgWarner, Inc. ‡ ^ | | | 296,242 | | | | 21,437 | |
| Johnson Controls, Inc. | | | 509,932 | | | | 19,479 | |
Automobiles - 0.5% | | | | | | | | |
| General Motors Co. ‡ ^ | | | 90,725 | | | | 3,344 | |
Biotechnology - 3.4% | | | | | | | | |
| Amgen, Inc. ‡ | | | 178,320 | | | | 9,790 | |
| Celgene Corp. ‡ | | | 234,025 | | | | 13,841 | |
Capital Markets - 1.5% | | | | | | | | |
| T. Rowe Price Group, Inc. ^ | | | 160,295 | | | | 10,345 | |
Chemicals - 6.6% | | | | | | | | |
| Ecolab, Inc. ^ | | | 200,315 | | | | 10,100 | |
| Nalco Holding Co. ^ | | | 650,000 | | | | 20,761 | |
| Sigma-Aldrich Corp. ^ | | | 207,515 | | | | 13,812 | |
Commercial Banks - 5.0% | | | | | | | | |
| BB&T Corp. ^ | | | 279,437 | | | | 7,346 | |
| City National Corp. ^ | | | 175,665 | | | | 10,779 | |
| Wells Fargo & Co. | | | 484,315 | | | | 15,010 | |
Communications Equipment - 1.2% | | | | | | | | |
| QUALCOMM, Inc. | | | 168,899 | | | | 8,359 | |
Computers & Peripherals - 3.9% | | | | | | | | |
| Apple, Inc. ‡ | | | 83,075 | | | | 26,797 | |
Construction & Engineering - 1.5% | | | | | | | | |
| Jacobs Engineering Group, Inc. ‡ ^ | | | 227,965 | | | | 10,452 | |
Diversified Financial Services - 3.0% | | | | | | | | |
| Bank of America Corp. | | | 616,749 | | | | 8,227 | |
| JPMorgan Chase & Co. | | | 292,615 | | | | 12,413 | |
Electrical Equipment - 2.3% | | | | | | | | |
| Hubbell, Inc. - Class B ^ | | | 255,749 | | | | 15,378 | |
Energy Equipment & Services - 4.1% | | | | | | | | |
| Core Laboratories NV | | | 140,293 | | | | 12,493 | |
| Schlumberger, Ltd. | | | 190,260 | | | | 15,887 | |
Health Care Equipment & Supplies - 1.1% | | | | | | | | |
| Covidien PLC | | | 161,537 | | | | 7,376 | |
Hotels, Restaurants & Leisure - 7.5% | | | | | | | | |
| Las Vegas Sands Corp. ‡ ^ | | | 134,540 | | | | 6,182 | |
| Marriott International, Inc. - Class A ^ | | | 504,912 | | | | 20,975 | |
| McDonald’s Corp. | | | 119,680 | | | | 9,187 | |
| Starbucks Corp. | | | 472,065 | | | | 15,167 | |
Insurance - 1.4% | | | | | | | | |
| Travelers Cos., Inc. ^ | | | 176,150 | | | | 9,813 | |
Internet & Catalog Retail - 2.9% | | | | | | | | |
| Amazon.com, Inc. ‡ | | | 109,396 | | | | 19,691 | |
Internet Software & Services - 2.0% | | | | | | | | |
| Google, Inc. - Class A ‡ | | | 22,623 | | | | 13,437 | |
IT Services - 1.0% | | | | | | | | |
| International Business Machines Corp. | | | 44,734 | | | | 6,565 | |
Life Sciences Tools & Services - 2.1% | | | | | | | | |
| Covance, Inc. ‡ ^ | | | 113,465 | | | | 5,833 | |
| Illumina, Inc. ‡ ^ | | | 128,845 | | | | 8,161 | |
Machinery - 8.4% | | | | | | | | |
| Caterpillar, Inc. ^ | | | 153,705 | | | | 14,396 | |
| Donaldson Co., Inc. ^ | | | 179,000 | | | | 10,432 | |
| Kennametal, Inc. ^ | | | 377,000 | | | | 14,876 | |
| PACCAR, Inc. ^ | | | 296,460 | | | | 17,023 | |
Multiline Retail - 1.6% | | | | | | | | |
| Target Corp. | | | 177,005 | | | | 10,643 | |
Oil, Gas & Consumable Fuels - 1.0% | | | | | | | | |
| EOG Resources, Inc. ^ | | | 71,710 | | | | 6,555 | |
Paper & Forest Products - 1.1% | | | | | | | | |
| Weyerhaeuser Co. ^ | | | 399,626 | | | | 7,565 | |
Pharmaceuticals - 1.2% | | | | | | | | |
| Teva Pharmaceutical Industries, Ltd. ADR | | | 155,735 | | | | 8,118 | |
Professional Services - 2.4% | | | | | | | | |
| Robert Half International, Inc. ^ | | | 534,000 | | | | 16,340 | |
Road & Rail - 1.5% | | | | | | | | |
| Norfolk Southern Corp. | | | 162,460 | | | | 10,206 | |
Semiconductors & Semiconductor Equipment - 2.4% | | | | | | | | |
| ARM Holdings PLC ADR ^ | | | 164,850 | | | | 3,421 | |
| Broadcom Corp. - Class A | | | 291,408 | | | | 12,690 | |
Software - 6.2% | | | | | | | | |
| Citrix Systems, Inc. ‡ | | | 198,875 | | | | 13,605 | |
| Oracle Corp. | | | 690,995 | | | | 21,628 | |
| Salesforce.com, Inc. ‡ ^ | | | 53,504 | | | | 7,063 | |
Specialty Retail - 2.1% | | | | | | | | |
| CarMax, Inc. ‡ ^ | | | 446,605 | | | | 14,238 | |
Textiles, Apparel & Luxury Goods - 3.6% | | | | | | | | |
| LVMH Moet Hennessy Louis Vuitton SA ADR | | | 312,140 | | | | 10,347 | |
| Nike, Inc. - Class B ^ | | | 161,600 | | | | 13,804 | |
Trading Companies & Distributors - 2.6% | | | | | | | | |
| WW Grainger, Inc. ^ | | | 125,945 | | | | 17,394 | |
Wireless Telecommunication Services - 1.0% | | | | | | | | |
| American Tower Corp. - Class A ‡ | | | 127,410 | | | | 6,579 | |
| | | | | | | | |
Total Common Stocks (cost $568,324) | | | | | | | 673,423 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 25.1% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 170,402,073 | | | | 170,402 | |
Total Securities Lending Collateral (cost $170,402) | | | | | | | | |
| | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 0.9% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $5,829 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 07/15/2025, with a value of $5,947. | | $ | 5,829 | | | | 5,829 | |
Total Repurchase Agreement (cost $5,829) | | | | | | | | |
| | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $744,555) # | | | | | | | 849,654 | |
| Other Assets and Liabilities - Net | | | | | | | (170,649 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 679,005 | |
| | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTES TO THE SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $166,586. |
| |
| ‡ | | Non-income producing security. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $757,162. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $100,552 and $8,060, respectively. Net unrealized appreciation for tax purposes is $92,492. |
| |
| DEFINITION: |
| |
| ADR | | American Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 631,668 | | | $ | 41,755 | | | $ | — | | | $ | 673,423 | |
| Repurchase Agreement | | | — | | | | 5,829 | | | | — | | | | 5,829 | |
| Securities Lending Collateral | | | 170,402 | | | | — | | | | — | | | | 170,402 | |
| | | | | | | | | | | | | |
Total | | $ | 802,070 | | | $ | 47,584 | | | $ | — | | | $ | 849,654 | |
| | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $738,726) (including securities loaned of $166,586) | | $ | 843,825 | |
| Repurchase agreement, at value (cost: $5,829) | | | 5,829 | |
| Receivables: | | | | |
| Shares sold | | | 46 | |
| Securities lending income (net) | | | 27 | |
| Dividends | | | 378 | |
| Dividend reclaims | | | 280 | |
| Prepaid expenses | | | 6 | |
| | | | |
| | | | 850,391 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 438 | |
| Management and advisory fees | | | 416 | |
| Distribution and service fees | | | 9 | |
| Administration fees | | | 12 | |
| Printing and shareholder reports fees | | | 83 | |
| Audit and tax fees | | | 8 | |
| Other | | | 18 | |
| Collateral for securities on loan | | | 170,402 | |
| | | | |
| | | | 171,386 | |
| | | | |
Net assets | | $ | 679,005 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 336 | |
| Additional paid-in capital | | | 740,389 | |
| Undistributed (accumulated) net investment income (loss) | | | 11,394 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (178,234 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 105,099 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 21 | |
| | | | |
Net assets | | $ | 679,005 | |
| | | | |
| | | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 637,146 | |
| Service Class | | | 41,859 | |
Shares outstanding: | | | | |
| Initial Class | | | 31,534 | |
| Service Class | | | 2,090 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 20.21 | |
| Service Class | | | 20.03 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $212) | | $ | 16,457 | |
| Interest income | | | 2 | |
| Securities lending income (net) | | | 67 | |
| | | | |
| | | | 16,526 | |
| | | | |
Expenses: | | | | |
| Management and advisory | | | 4,073 | |
| Printing and shareholder reports | | | 180 | |
| Custody | | | 96 | |
| Administration | | | 111 | |
| Legal | | | 32 | |
| Audit and tax | | | 45 | |
| Trustees | | | 20 | |
| Transfer agent | | | 5 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 82 | |
| Other | | | 89 | |
| | | | |
| Total expenses | | | 4,733 | |
| | | | |
| | | | | |
Net investment income | | | 11,793 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 47,272 | |
| Foreign currency transactions | | | (371 | ) |
| | | | |
| | | | 46,901 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 28,681 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 11 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 28,692 | |
| | | | |
Net realized and unrealized gain | | | 75,593 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 87,386 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 11,793 | | | $ | 5,409 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | 46,901 | | | | (57,666 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 28,692 | | | | 154,149 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 87,386 | | | | 101,892 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (5,850 | ) | | | (5,566 | ) |
| Service Class | | | (331 | ) | | | (233 | ) |
| | | | | | | |
Total distributions to shareholders | | | (6,181 | ) | | | (5,799 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 38,944 | | | | 10,263 | |
| Service Class | | | 10,745 | | | | 5,955 | |
| | | | | | | |
| | | | 49,689 | | | | 16,218 | |
| | | | | | | |
| Proceeds from fund acquisition: | | | | | | | | |
| Initial Class | | | 202,670 | | | | 84,591 | |
| Service Class | | | 15,476 | | | | 7,955 | |
| | | | | | | |
| | | | 218,146 | | | | 92,546 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 5,850 | | | | 5,566 | |
| Service Class | | | 331 | | | | 233 | |
| | | | | | | |
| | | | 6,181 | | | | 5,799 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (109,123 | ) | | | (58,259 | ) |
| Service Class | | | (12,235 | ) | | | (4,229 | ) |
| | | | | | | |
| | | | (121,358 | ) | | | (62,488 | ) |
| | | | | | | |
| Fair fund settlement: | | | | | | | | |
| Initial Class | | | 244 | | | | — | |
| Service Class | | | 14 | | | | — | |
| | | | | | | |
| | | | 258 | | | | — | |
| | | | | | | |
Net increase in net assets from capital shares transactions | | | 152,916 | | | | 52,075 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 234,121 | | | | 148,168 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 444,884 | | | | 296,716 | |
| | | | | | | |
| End of year | | $ | 679,005 | | | $ | 444,884 | |
| | | | | | | |
Undistributed net investment income | | $ | 11,394 | | | $ | 5,119 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 2,233 | | | | 669 | |
| Service Class | | | 612 | | | | 375 | |
| | | | | | | |
| | | | 2,845 | | | | 1,044 | |
| | | | | | | |
| Shares issued on fund acquisition: | | | | | | | | |
| Initial Class | | | 11,065 | | | | 6,202 | |
| Service Class | | | 852 | | | | 587 | |
| | | | | | | |
| | | | 11,917 | | | | 6,789 | |
| | | | | | | |
| Shares issued-reinvested from | | | | | | | | |
| distributions: | | | | | | | | |
| Initial Class | | | 370 | | | | 347 | |
| Service Class | | | 21 | | | | 15 | |
| | | | | | | |
| | | | 391 | | | | 362 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (6,269 | ) | | | (3,934 | ) |
| Service Class | | | (709 | ) | | | (282 | ) |
| | | | | | | |
| | | | (6,978 | ) | | | (4,216 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 7,399 | | | | 3,284 | |
| Service Class | | | 776 | | | | 695 | |
| | | | | | | |
| | | | 8,175 | | | | 3,979 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 17.49 | | | $ | 13.82 | | | $ | 25.01 | | | $ | 22.05 | | | $ | 18.81 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.38 | | | | 0.22 | | | | 0.41 | | | | 0.31 | | | | 0.27 | |
| Net realized and unrealized gain (loss) | | | 2.52 | | | | 3.67 | | | | (11.21 | ) | | | 3.02 | | | | 3.23 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.90 | | | | 3.89 | | | | (10.80 | ) | | | 3.33 | | | | 3.50 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.18 | ) | | | (0.22 | ) | | | (0.39 | ) | | | (0.37 | ) | | | (0.26 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.18 | ) | | | (0.22 | ) | | | (0.39 | ) | | | (0.37 | ) | | | (0.26 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 20.21 | | | $ | 17.49 | | | $ | 13.82 | | | $ | 25.01 | | | $ | 22.05 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 16.85 | % | | | 28.32 | % | | | (43.67 | %) | | | 15.24 | % | | | 18.79 | % |
Net assets end of year (000’s) | | $ | 637,146 | | | $ | 422,067 | | | $ | 288,218 | | | $ | 611,618 | | | $ | 598,312 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.84 | % | | | 0.91 | % | | | 0.84 | % | | | 0.85 | % | | | 0.87 | % |
| Net investment income, to average net assets | | | 2.14 | % | | | 1.49 | % | | | 2.03 | % | | | 1.31 | % | | | 1.35 | % |
| Portfolio turnover rate | | | 111 | % | | | 54 | % | | | 18 | % | | | 34 | % | | | 59 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 17.36 | | | $ | 13.74 | | | $ | 24.85 | | | $ | 21.93 | | | $ | 18.73 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.34 | | | | 0.18 | | | | 0.37 | | | | 0.26 | | | | 0.21 | |
| Net realized and unrealized gain (loss) | | | 2.49 | | | | 3.63 | | | | (11.15 | ) | | | 2.99 | | | | 3.23 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.83 | | | | 3.81 | | | | (10.78 | ) | | | 3.25 | | | | 3.44 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.16 | ) | | | (0.19 | ) | | | (0.33 | ) | | | (0.33 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.16 | ) | | | (0.19 | ) | | | (0.33 | ) | | | (0.33 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 20.03 | | | $ | 17.36 | | | $ | 13.74 | | | $ | 24.85 | | | $ | 21.93 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 16.55 | % | | | 27.85 | % | | | (43.81 | %) | | | 14.98 | % | | | 18.45 | % |
Net assets end of year (000’s) | | $ | 41,859 | | | $ | 22,817 | | | $ | 8,498 | | | $ | 24,292 | | | $ | 16,329 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.09 | % | | | 1.16 | % | | | 1.09 | % | | | 1.10 | % | | | 1.12 | % |
| Net investment income, to average net assets | | | 1.93 | % | | | 1.16 | % | | | 1.83 | % | | | 1.11 | % | | | 1.02 | % |
| Portfolio turnover rate | | | 111 | % | | | 54 | % | | | 18 | % | | | 34 | % | | | 59 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. On April 30, 2010, Transamerica Templeton Global VP changed its name to Transamerica Diversified Equity VP (the “Fund”). The Fund is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $2, are included in net realized gain (loss) in the Statement of Operations.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
Fair funds settlement: The Securities and Exchange Commission (“SEC”) had investigated several companies and found that there were some companies that conducted rapid in and out trading of mutual funds, known as market timing, through deceptive means. Through a SEC order the companies found to be market timing against mutual funds were required to pay amounts to compensate for the market timing activity. Amounts received as a result of the SEC order are noted on the Statements of Changes in Net Assets.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Investment Management, LLC (“TIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TIM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation-Conservative VP | | $ | 23,599 | | | | 3.48 | % |
| Transamerica Asset Allocation-Growth VP | | | 15,061 | | | | 2.22 | |
| Transamerica Asset Allocation-Moderate VP | | | 35,146 | | | | 5.18 | |
| Transamerica Asset Allocation-Moderate Growth VP | | | 58,947 | | | | 8.68 | |
| | | | | | | |
| Total | | $ | 132,753 | | | | 19.56 | % |
| | | | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
Effective May 1, 2010
| | | | | |
|
| First $500 million | | | 0.73 | % |
| Over $500 million up to $2.5 billion | | | 0.70 | % |
| Over $2.5 billion | | | 0.65 | % |
Prior to May 1, 2010
| | | | | |
|
| First $500 million | | | 0.75 | % |
| Over $500 million up to $1.5 billion | | | 0.725 | % |
| Over $1.5 billion | | | 0.70 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.85% Expense Limit
Prior to May 1, 2010, the expense limit was 1.00%.
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 586,508 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 628,665 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | (127,520 | ) |
| Undistributed (accumulated) net investment income (loss) | | $ | 663 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 126,857 | |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $45,010 | | December 31, 2011 |
| $11,884 | | December 31, 2015 |
| $36,233 | | December 31, 2016 |
| $70,285 | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $190,887.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 6,181 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 5,799 | |
| Long-term Capital Gain | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 11,394 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (163,412 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (2,215 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 92,513 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
NOTE 6. REORGANIZATION
On April 30, 2010, Transamerica Diversified Equity VP (formerly, Transamerica Templeton Global VP) acquired all of the net assets of Transamerica Munder Net50 VP and Transamerica Science & Technology VP pursuant to a Plan of Reorganization. Transamerica Diversified Equity VP is the accounting survivor. The purpose of the transaction was to achieve a more cohesive, focused, and streamlined fund complex. The acquisition was accomplished by a tax-free exchange of 11,917 shares of Transamerica Diversified Equity VP for 10,591 shares of Transamerica Munder Net50 VP and 28,350 shares of Transamerica Science & Technology VP outstanding on April 30, 2010. Transamerica Munder Net50 VP’s net assets at that date, $96,237, including $8,685 unrealized appreciation, were combined with those of Transamerica Diversified Equity VP. Transamerica Science & Technology VP’s net assets at that date, $121,909, including $15,867 unrealized appreciation, were combined with those of Transamerica Diversified Equity VP. The aggregate net assets of Transamerica Diversified Equity VP immediately before the acquisition were $449,479; the combined net assets of Transamerica Diversified Equity VP immediately after the acquisition were $667,625. In the acquisition, Transamerica Diversified Equity VP retained certain capital loss carryforwards from Transamerica Munder Net50 VP and Transamerica Science & Technology VP in the amount of $5,800. Shares issued with the acquisition were as follows:
| | | | | | | | | |
|
| Transamerica Munder Net50 VP | | | | | | | | |
| |
| Class | | Shares | | Amount |
| Initial | | | 5,058 | | | $ | 92,653 | |
| Service | | | 197 | | | | 3,584 | |
| | | | | | | | | |
| Transamerica Science & Technology VP | | | | | | | | |
| |
| Class | | Shares | | Amount |
| Initial | | | 6,007 | | | $ | 110,017 | |
| Service | | | 655 | | | | 11,892 | |
The exchange ratio of the reorganization for the Fund is as follows (Transamerica Diversified Equity VP shares issuable/ Transamerica Munder Net50 VP):
| | | | | |
|
| Transamerica Munder Net50 VP | | | | |
| |
| Class | | Exchange Ratio |
| Initial | | | 0.50 | |
| Service | | | 0.49 | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The exchange ratio of the reorganization for the class is as follows (Transamerica Diversified Equity VP shares issuable/ Transamerica Science & Technology VP):
| | | | | |
|
| Transamerica Science & Technology VP | | | | |
| |
| Class | | Exchange Ratio |
| Initial | | | 0.24 | |
| Service | | | 0.23 | |
Assuming the reorganization had been completed on January 1, 2010, the beginning of the annual reporting period of the Fund, the Fund’s pro forma results of operations for the year ended December 31, 2010, are as follows:
| | | | | |
|
| Net investment income | | $ | 12,005 | |
| Net realized and unrealized gain | | | 86,400 | |
| Net increase in net assets resulting from operations | | | 98,405 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Transamerica Munder Net50 VP and Transamerica Science & Technology VP that have been included in the Fund’s Statement of Operations since April 30, 2010.
NOTE 7. SUBSEQUENT EVENTS
The Fund’s Board of Trustees has approved changes to Transamerica Diversified Equity VP, including changes to the Fund name, sub-adviser, investment objective, principal investment strategies, risks, and benchmark. The Fund will change its name to Transamerica WMC Diversified Equity VP and sub-adviser from Transamerica Investment Management, LLC to Wellington Management Company, LLP. These changes are expected to occur on or about March 31, 2011, but may occur sooner.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Diversified Equity VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Diversified Equity VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Diversified Equity VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica Diversified Equity VP
(formerly, Transamerica Templeton Global VP)
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica Efficient Markets VP
(unaudited)
MARKET ENVIRONMENT
After a sharp retreat in May and June and a rather boring summer, stocks rebounded sharply and posted double-digit gains for the second year in a row. The Standard & Poor’s 500 Composite Stock Index gained over 15% for the full year, and smaller stocks did much better, with the Russell 2000® Index up approximately 27%. Bonds also performed well as treasuries posted an unprecedented rally prior to a fourth quarter selloff and spreads narrowed substantially throughout most of the year. The riskiest bonds led the way higher in price over the calendar year.
The economy followed a similar path. During the latter part of the second quarter and throughout the summer, widespread fears of a double dip recession took hold. The recovery seemed to gain traction when the Federal Reserve Board’s (“Fed”) second round of quantitative easing (“QE2”) was announced. In addition, the election results seemed to also help on the confidence front.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Efficient Markets VP Initial Class returned 12.68%. By comparison its primary and secondary benchmarks, the Standard & Poor’s 500 Composite Stock Index and the Transamerica Efficient Markets VP Blended Benchmark Index, returned 15.06% and 12.37%, respectively.
The blended benchmark is comprised of Barclays Capital U.S. Aggregate Bond Index (35%), the Standard & Poor’s 500 Composite Stock Index (25%), the Morgan Stanley Capital International-Europe, Australasia, Far East Index (25%) and the Russell 2000® Value Index (15%).
STRATEGY REVIEW
Our index funds are designed to closely track market benchmarks and 2010 was an excellent year for doing just that. The sharp decline in equities in the second quarter was a difficult period as there were some very large upswings in the market that served to exaggerate any small overweights or underweights in the portfolio. The trending equity markets we have enjoyed in the U.S. since late August serve us better than choppy markets. Over longer term investment horizons, we fully believe to be able to provide investors the index returns they expect at an extremely low cost.
Jeffrey A. Whitehead, CFA
Portfolio Manager
AEGON USA Investment Management, LLC
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Efficient Markets VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 12.68 | % | | | 16.35 | % | | | 11/10/2008 | |
| S&P 500* | | | 15.06 | % | | | 17.73 | % | | | | |
| Transamerica Efficient Markets VP Blended Benchmark* | | | 12.37 | % | | | 15.84 | % | | | | |
| |
| Service Class | | | 12.38 | % | | | 16.07 | % | | | 11/10/2008 | |
| |
NOTES
| | |
| * | | The Transamerica Efficient Markets VP Blended Benchmark is composed of the following Benchmarks: The Barclays Capital U.S. Aggregate Bond Index (35%), Standard & Poor’s 500 Composite Stock Index (“S&P 500”) (25%), Morgan Stanley Capital International-Europe, Australasia, and Far East Index (25%), and the Russell 2000® Value Index (15%). All benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Efficient Markets VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Efficient Markets VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,166.70 | | | $ | 2.84 | | | $ | 1,022.58 | | | $ | 2.65 | | | | 0.52 | % |
| Service Class | | | 1,000.00 | | | | 1,165.70 | | | | 4.20 | | | | 1,021.32 | | | | 3.92 | | | | 0.77 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Investment Companies | | | 99.2 | % |
| Securities Lending Collateral | | | 2.1 | |
| Repurchase Agreement | | | 1.4 | |
| Other Assets and Liabilities — Net | | | (2.7 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Efficient Markets VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 99.2% | | | | | | | | |
Capital Markets - 99.2% | | | | | | | | |
| DFA Emerging Markets Value Portfolio | | | 30,833 | | | $ | 1,115 | |
| DFA International Small Capital Value Portfolio | | | 247,324 | | | | 4,254 | |
| DFA International Value Portfolio | | | 263,740 | | | | 4,848 | |
| DFA Large Capital International Portfolio | | | 473,413 | | | | 9,426 | |
| DFA U.S. Large Company Portfolio | | | 1,935,285 | | | | 19,159 | |
| DFA U.S. Targeted Value Portfolio | | | 524,226 | | | | 8,718 | |
| Vanguard Intermediate-Term Bond ETF | | | 79,299 | | | | 6,541 | |
| Vanguard Long-Term Bond ETF | | | 31,196 | | | | 2,467 | |
| Vanguard Short-Term Bond ETF | | | 114,466 | | | | 9,210 | |
| Vanguard Total Bond Market ETF ^ | | | 77,755 | | | | 6,241 | |
| | | | | | | | |
Total Investment Companies (cost $65,368) | | | | | | | 71,979 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 2.1% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 1,525,200 | | | | 1,525 | |
Total Securities Lending Collateral (cost $1,525) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 1.4% | | | | | | | | |
| State Street Bank & Trust Co. 0.01%▲, dated 12/31/2010, to be repurchased at $995 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $1,017. | | $ | 995 | | | | 995 | |
Total Repurchase Agreement (cost $995) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $67,888) # | | | | | | | 74,499 | |
| Other Assets and Liabilities — Net | | | | | | | (1,993 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 72,506 | |
| | | | | | | | |
NOTES TO THE SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $1,493. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $67,893. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $6,673 and $67, respectively. Net unrealized appreciation for tax purposes is $6,606. |
DEFINITION:
ETF Exchange-Traded Fund
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | | | | | | | | | |
| Investment Companies | | $ | 71,979 | | | $ | — | | | $ | — | | | $ | 71,979 | |
| Securities Lending Collateral | | | 1,525 | | | | — | | | | — | | | | 1,525 | |
| Repurchase Agreement | | | — | | | | 995 | | | | — | | | | 995 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 73,504 | | | $ | 995 | | | $ | — | | | $ | 74,499 | |
| | | | | | | | | | | | | | | | | |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Efficient Markets VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in investment companies, at value (cost: $66,893) (including securities loaned of $1,493) | | $ | 73,504 | |
| Repurchase agreement, at value (cost: $995) | | | 995 | |
| Cash | | | 107 | |
| Receivables: | | | | |
| Shares sold | | | 54 | |
| Prepaid expenses | | | 1 | |
| | | | |
| | | | 74,661 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 577 | |
| Shares redeemed | | | 1 | |
| Management and advisory fees | | | 24 | |
| Distribution and service fees | | | 14 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 2 | |
| Other | | | 4 | |
| Collateral for securities on loan | | | 1,525 | |
| | | | |
| | | | 2,155 | |
| | | | |
Net assets | | $ | 72,506 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 54 | |
| Additional paid-in capital | | | 63,449 | |
| Undistributed (accumulated) net investment income (loss) | | | 838 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | 1,554 | |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 6,611 | |
| | | | |
Net assets | | $ | 72,506 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 1,054 | |
| Service Class | | | 71,452 | |
Shares outstanding: | | | | |
| Initial Class | | | 78 | |
| Service Class | | | 5,322 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 13.49 | |
| Service Class | | | 13.43 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 1,183 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 2 | |
| | | | |
| | | | 1,185 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 190 | |
| Custody | | | 20 | |
| Administration | | | 9 | |
| Legal | | | 3 | |
| Audit and tax | | | 11 | |
| Trustees | | | 2 | |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 111 | |
| Other | | | 1 | |
| | | | |
| Total expenses | | | 347 | |
| | | | |
| Recaptured Expenses | | | — | (A) |
| | | | |
| Net expenses | | | 347 | |
| | | | |
| | | | | |
Net investment income | | | 838 | |
| | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | 1,355 | |
| Distributions from investments in investment companies | | | 208 | |
| | | | |
| | | | 1,563 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 3,932 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 5,495 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 6,333 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual report 2010 |
Page 5
Transamerica Efficient Markets VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 838 | | | $ | 304 | |
| Net realized gain from investments in and distributions from investment companies | | | 1,563 | | | | 802 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 3,932 | | | | 2,634 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 6,333 | | | | 3,740 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (7 | ) | | | — | (A) |
| Service Class | | | (295 | ) | | | (6 | ) |
| | | | | | | |
| | | | (302 | ) | | | (6 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (17 | ) | | | — | (A) |
| Service Class | | | (796 | ) | | | (3 | ) |
| | | | | | | |
| | | | (813 | ) | | | (3 | ) |
| | | | | | | |
Total distributions to shareholders | | | (1,115 | ) | | | (9 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 557 | | | | 894 | |
| Service Class | | | 41,162 | | | | 23,886 | |
| | | | | | | |
| | | | 41,719 | | | | 24,780 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 24 | | | | — | (A) |
| Service Class | | | 1,091 | | | | 9 | |
| | | | | | | |
| | | | 1,115 | | | | 9 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (462 | ) | | | (381 | ) |
| Service Class | | | (2,769 | ) | | | (1,871 | ) |
| | | | | | | |
| | | | (3,231 | ) | | | (2,252 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 39,603 | | | | 22,537 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 44,821 | | | | 26,268 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 27,685 | | | | 1,417 | |
| | | | | | | |
| End of year | | $ | 72,506 | | | $ | 27,685 | |
| | | | | | | |
Undistributed net investment income | | $ | 838 | | | $ | 302 | |
| | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 43 | | | | 75 | |
| Service Class | | | 3,259 | | | | 2,260 | |
| | | | | | | |
| | | | 3,302 | | | | 2,335 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 2 | | | | — | (B) |
| Service Class | | | 92 | | | | 1 | |
| | | | | | | |
| | | | 94 | | | | 1 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (35 | ) | | | (32 | ) |
| Service Class | | | (223 | ) | | | (178 | ) |
| | | | | | | |
| | | | (258 | ) | | | (210 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 10 | | | | 43 | |
| Service Class | | | 3,128 | | | | 2,083 | |
| | | | | | | |
| | | | 3,138 | | | | 2,126 | |
| | | | | | | |
| | |
| (A) | | Rounds to less than $1 or ($1). |
| |
| (B) | | Rounds to less than 1 share. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Efficient Markets VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | | Year Ended December 31, | | | Nov 10 to Dec | | | Year Ended December 31, | | | Nov 10 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 31, 2008(A) | | | 2010 | | | 2009 | | | 31, 2008(A) | |
Net asset value | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 12.27 | | | $ | 10.39 | | | $ | 10.00 | | | $ | 12.24 | | | $ | 10.39 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.26 | | | | 0.27 | | | | 0.10 | | | | 0.23 | | | | 0.25 | | | | 0.11 | |
| Net realized and unrealized gain | | | 1.26 | | | | 1.62 | | | | 0.29 | | | | 1.25 | | | | 1.61 | | | | 0.28 | |
| | | | | | | | | | | | | | | | | | | |
| Total operations | | | 1.52 | | | | 1.89 | | | | 0.39 | | | | 1.48 | | | | 1.86 | | | | 0.39 | |
| | | | | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.09 | ) | | | (0.01 | ) | | | — | | | | (0.08 | ) | | | (0.01 | ) | | | — | |
| From net realized gains | | | (0.21 | ) | | | — | (D) | | | — | | | | (0.21 | ) | | | — | (D) | | | — | |
| | | | | | | | | | | | | | | | | | | |
| Total distributions | | | (0.30 | ) | | | (0.01 | ) | | | — | | | | (0.29 | ) | | | (0.01 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 13.49 | | | $ | 12.27 | | | $ | 10.39 | | | $ | 13.43 | | | $ | 12.24 | | | $ | 10.39 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total return(E) | | | 12.68 | % | | | 18.15 | % | | | 3.90 | %(F) | | | 12.38 | % | | | 17.86 | % | | | 3.90 | %(F) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 1,054 | | | $ | 831 | | | $ | 260 | | | $ | 71,452 | | | $ | 26,854 | | | $ | 1,157 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(G) | | | | | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 0.52 | % | | | 0.52 | % | | | 0.52 | %(H) | | | 0.77 | % | | | 0.77 | % | | | 0.77 | %(H) |
| Before reimbursement/fee waiver | | | 0.52 | % | | | 0.70 | % | | | 17.77 | %(H) | | | 0.77 | % | | | 0.95 | % | | | 18.02 | %(H) |
Net investment income, to average net assets(C) | | | 2.01 | % | | | 2.42 | % | | | 7.15 | %(H) | | | 1.84 | % | | | 2.20 | % | | | 8.04 | %(H) |
Portfolio turnover rate(I) | | | 17 | % | | | 37 | % | | | 2 | %(F) | | | 17 | % | | | 37 | % | | | 2 | %(F) |
| | |
| (A) | | Commenced operations on November 10, 2008. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Rounds to less than $(.01) per share. |
| |
| (E) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (F) | | Not annualized. |
| |
| (G) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (H) | | Annualized. |
| |
| (I) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Efficient Markets VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Efficient Markets VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian, and pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Efficient Markets VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds (“ETF”) are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
AEGON USA Investment Management, LLC (“AUIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, AUIM, TFS, and TCI are affiliates of AEGON NV.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Efficient Markets VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Certain officers and trustees of the Fund are also officers of TAM, AUIM, TFS, and TCI.
Investment advisory fees: The Fund pays management to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $50 million | | | 0.42 | % |
| Over $50 million up to $250 million | | | 0.40 | % |
| Over $250 million | | | 0.38 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.52% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount recaptured by the adviser were less than $1. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| |
| Fiscal Year 2008: | | $ | 18 | | | | 12/31/2011 | |
| Fiscal Year 2009: | | | 25 | | | | 12/31/2012 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Efficient Markets VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 46,909 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 7,824 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2008 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 1,103 | |
| Long-term Capital Gain | | | 12 | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 7 | |
| Long-term Capital Gain | | | 2 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 1,048 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 1,349 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 6,606 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Efficient Markets VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Efficient Markets VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Efficient Markets VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Efficient Markets VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Efficient Markets VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $12 for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Federated Market Opportunity VP
(unaudited)
MARKET ENVIRONMENT
It was a volatile, but overall strong, reporting period for the stock market. The fiscal year started with equity markets continuing their historic rally from the March 2009 low. After a 5% decline into February, the Standard & Poor’s 500 Composite Stock Index (“S&P 500”) rallied more than 15%. A crisis over European sovereign debt, along with fading U.S. economic indicators, led to an abrupt 16% decline in the S&P 500 by early July. After sharp swings up and down in July and August, the S&P 500 completed the fiscal year with a further gain of 20% as concerns over Europe abated, growth in emerging economies remained strong, and market participants began to anticipate further monetary easing by the U.S. Federal Reserve Board (“Fed”) and political change in the U.S. The S&P 500 ended the reporting period with a total return of 15.06%.
The U.S. Dollar Index also was volatile during the reporting period. The U.S. Dollar Index increased nearly 20% from the November, 2009 low to the June high as U.S. economic fundaments improved and the European sovereign debt crisis pressured the Euro lower. The rally stopped abruptly as U.S. economic indicators started to roll over, investors anticipated further monetary easing by the Fed, and the European debt crisis abated. The U.S. Dollar Index fell 14% from its peak and rebounded 4% at the end of the fiscal year, ending the reporting period with a return of 1.5%.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Federated Market Opportunity VP Initial Class returned (0.11)%. By comparison its primary and secondary benchmarks, the Russell 3000® Value Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 16.23% and 0.13%, respectively.
STRATEGY REVIEW
The Fund is managed to provide absolute positive returns with low correlation to the U.S. equity market. The Fund underperformed its benchmark for the fiscal year as equity markets ended the reporting period higher. The Fund maintained a “net short” equity position using put options for most of the reporting period. The rationale for the strategy was that the history of stock market bubbles, and of stock market valuations in general, supported a highly risk-averse strategy. With economic and financial conditions still precarious in Fund management’s assessment, there was fundamental support for this strategy. Since stock prices rose during the fiscal year, this negative (short) position relative to stock prices resulted in losses for the portfolio.
The Fund’s absolute gains from all sources were more than offset by losses from the Fund’s put options. Among the long equities positions, the top performing sectors were Materials, Healthcare, Financials, and Telecommunication Services. Consumer Discretionary and Industrials were the worst performing sectors, but were much smaller weights than all of the outperforming sectors. From a country perspective, Japanese stocks were the top international contributor to the Fund.
Long positions in U.S. Treasury bonds, Emerging Markets bonds, the Central Fund of Canada (a closed-end fund that holds gold and silver bullion), and an agricultural commodities Exchange Traded Fund all added to the Fund’s returns during the period, as did gains from currency forward contracts. The Fund generated strong gains from holding the 30-year U.S. Treasuries, and then sold these bonds before the increase in government yields late in the period. The commodity investments were held throughout the reporting period.
The Fund’s currency exposure was positioned during most of the reporting period for an increase in the U.S. dollar verses currencies of emerging or commodity-producing economies. This strategy produced strong returns for the first half of the reporting period, as the dollar rallied amid the European debt crisis. The dollar reversed nearly all of its gains in the second half of the reporting period, as confidence in European fiscal and monetary policies increased, but the Fund had reduced exposure to this move, resulting in net gains from currency forward positions in the period.
Douglas C. Noland Dana
L. Meissner, CFA
Co-Portfolio Managers
Federated Equity Management Company of Pennsylvania
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Federated Market Opportunity VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | (0.11 | )% | | | 0.32 | % | | | 5.61 | % | | | 03/01/1994 | |
Russell 3000® Value * | | | 16.23 | % | | | 1.45 | % | | | 3.63 | % | | | | |
| BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 2.43 | % | | | 2.38 | % | | | | |
| Service Class | | | (0.42 | )% | | | 0.09 | % | | | 4.33 | % | | | 05/01/2003 | |
NOTES
| | |
| * | | The Russell 3000® Value Index (“Russell 3000® Value”) and Bank of America Merrill Lynch 3 Month Treasury Bill Index (“BofA Merrill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Federated Market Opportunity VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Federated Market Opportunity VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 968.60 | | | $ | 4.27 | | | $ | 1,020.87 | | | $ | 4.38 | | | | 0.86 | % |
| Service Class | | | 1,000.00 | | | | 967.00 | | | | 5.50 | | | | 1,019.61 | | | | 5.65 | | | | 1.11 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Repurchase Agreement | | | 51.8 | % |
| Common Stocks | | | 41.9 | |
| Investment Companies | | | 8.5 | |
| Purchased Options | | | 0.6 | |
| Securities Lending Collateral | | | 0.1 | |
Other Assets and Liabilities — Net(A) | | | (2.9 | ) |
| | | | | |
Total | | | 100.0 | % |
| | | | | |
| | |
| (A) | | The Other Assets and Liabilities — Net category may include, but is not limited to, Forward Currency contracts, Futures Contracts, Swap Agreements, Written Options and Swaptions, and Securities Sold Short. |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Federated Market Opportunity VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 41.9% | | | | | | | | |
Australia - 1.1% | | | | | | | | |
| Centamin Egypt, Ltd. ‡ | | | 130,000 | | | $ | 364 | |
| Perseus Mining, Ltd. ‡ | | | 75,000 | | | | 259 | |
| Telstra Corp., Ltd. | | | 800,000 | | | | 2,283 | |
Canada - 0.8% | | | | | | | | |
| East Asia Minerals Corp. ‡ | | | 40,000 | | | | 330 | |
| Fortuna Silver Mines, Inc. ‡ | | | 45,000 | | | | 216 | |
| Lake Shore Gold Corp. ‡ | | | 80,000 | | | | 335 | |
| Minera Andes, Inc. ‡ | | | 100,000 | | | | 292 | |
| Osisko Mining Corp. ‡ | | | 25,000 | | | | 365 | |
| Yamana Gold, Inc. | | | 50,000 | | | | 640 | |
Ireland - 1.2% | | | | | | | | |
| Accenture PLC - Class A | | | 67,000 | | | | 3,249 | |
Japan - 5.1% | | | | | | | | |
| Asahi Kasei Corp. | | | 382,000 | | | | 2,485 | |
| Keyence Corp. ^ | | | 7,400 | | | | 2,136 | |
| Mitsumi Electric Co., Ltd. | | | 95,000 | | | | 1,736 | |
| NTT DoCoMo, Inc. | | | 1,500 | | | | 2,612 | |
| Sankyo Co., Ltd. | | | 59,000 | | | | 3,324 | |
| Secom Co., Ltd. | | | 24,000 | | | | 1,134 | |
Switzerland - 1.9% | | | | | | | | |
| Actelion, Ltd. ‡ | | | 34,000 | | | | 1,862 | |
| Noble Corp. | | | 86,000 | | | | 3,076 | |
United Kingdom - 2.3% | | | | | | | | |
| AstraZeneca PLC | | | 34,000 | | | | 1,549 | |
| Ensco PLC ADR | | | 44,000 | | | | 2,349 | |
| Tesco PLC | | | 320,000 | | | | 2,120 | |
United States - 29.6% | | | | | | | | |
| Albemarle Corp. | | | 42,000 | | | | 2,343 | |
| American Eagle Outfitters, Inc. | | | 160,000 | | | | 2,341 | |
| Amgen, Inc. ‡ | | | 38,000 | | | | 2,086 | |
| AT&T, Inc. | | | 92,000 | | | | 2,703 | |
| Baxter International, Inc. | | | 38,000 | | | | 1,924 | |
| Becton, Dickinson and Co. | | | 41,000 | | | | 3,465 | |
| Big Lots, Inc. ‡ | | | 69,000 | | | | 2,102 | |
| BJ’s Wholesale Club, Inc. ‡ | | | 32,000 | | | | 1,533 | |
| Booz Allen Hamilton Holding Corp. - Class A ‡ | | | 31,000 | | | | 602 | |
| Chico’s FAS, Inc. | | | 210,000 | | | | 2,526 | |
| CMS Energy Corp. | | | 14,000 | | | | 260 | |
| Computer Sciences Corp. | | | 50,000 | | | | 2,480 | |
| CVS Caremark Corp. | | | 100,000 | | | | 3,477 | |
| Family Dollar Stores, Inc. | | | 60,000 | | | | 2,982 | |
| Flowserve Corp. | | | 23,000 | | | | 2,742 | |
| Franklin Resources, Inc. | | | 21,000 | | | | 2,335 | |
| Gilead Sciences, Inc. ‡ | | | 73,000 | | | | 2,646 | |
| Itron, Inc. ‡ | | | 38,000 | | | | 2,107 | |
| McCormick & Co., Inc. (Non-Voting Shares) | | | 55,000 | | | | 2,559 | |
| Medco Health Solutions, Inc. ‡ | | | 63,000 | | | | 3,860 | |
| Microsoft Corp. | | | 133,000 | | | | 3,713 | |
| Nabors Industries, Ltd. ‡ | | | 110,000 | | | | 2,581 | |
| Pharmaceutical Product Development, Inc. | | | 109,000 | | | | 2,958 | |
| Quest Diagnostics, Inc. | | | 65,000 | | | | 3,508 | |
| Regal Beloit Corp. | | | 28,000 | | | | 1,869 | |
| Royal Gold, Inc. | | | 40,000 | | | | 2,185 | |
| Tidewater, Inc. ^ | | | 36,000 | | | | 1,938 | |
| TJX Cos., Inc. | | | 60,000 | | | | 2,664 | |
| Union Pacific Corp. | | | 36,000 | | | | 3,336 | |
| Unit Corp. ‡ | | | 67,000 | | | | 3,114 | |
| Valero Energy Corp. | | | 165,000 | | | | 3,815 | |
| | | | | | | | |
Total Common Stocks (cost $104,508) | | | | | | | 111,470 | |
| | | | | | | | |
| | | | | | | | | |
INVESTMENT COMPANIES - 8.5% | | | | | | | | |
Canada - 5.1% | | | | | | | | |
| Central Fund of Canada, Ltd. - Class A | | | 648,000 | | | | 13,433 | |
United States - 3.4% | | | | | | | | |
| PowerShares DB Agriculture Fund | | | 280,000 | | | | 9,058 | |
| | | | | | | | |
Total Investment Companies (cost $16,031) | | | | | | | 22,491 | |
| | | | | | | | |
| | | | | | | | | |
| | | Notional | | | | |
| | | Amount | | | Value | |
| |
PURCHASED OPTIONS - 0.6% | | | | | | | | |
Put Options - 0.6% | | | | | | | | |
| iShares Russell 2000 Index Fund | | $ | 220 | | | | 55 | |
| Put Strike $72.00 | | | | | | | | |
| Expires 01/22/2011 | | | | | | | | |
| SPDR S&P 500 ETF Trust | | | 440 | | | | 194 | |
| Put Strike $120.00 | | | | | | | | |
| Expires 01/22/2011 | | | | | | | | |
| SPDR S&P 500 ETF Trust | | | 180 | | | | 684 | |
| Put Strike $125.00 | | | | | | | | |
| Expires 03/19/2011 | | | | | | | | |
| SPDR S&P Midcap 400 ETF Trust | | | 180 | | | | 54 | |
| Put Strike $150.00 | | | | | | | | |
| Expires 01/22/2011 | | | | | | | | |
| SPDR S&P Midcap 400 ETF Trust | | | 60 | | | | 195 | |
| Put Strike $155.00 | | | | | | | | |
| Expires 03/19/2011 | | | | | | | | |
| SPDR S&P Retail ETF | | | 350 | | | | 63 | |
| Put Strike $45.00 | | | | | | | | |
| Expires 01/22/2011 | | | | | | | | |
| SPDR S&P Retail ETF | | | 300 | | | | 387 | |
| Put Strike $46.00 | | | | | | | | |
| Expires 03/19/2011 | | | | | | | | |
| | | | | | | | |
Total Purchased Options (cost $9,393) | | | | | | | 1,632 | |
| | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
| |
SECURITIES LENDING COLLATERAL - 0.1% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36%▲ | | | 273,085 | | | | 273 | |
| | | | | | | | | |
Total Securities Lending Collateral (cost $273) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 51.8% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $137,548 on 01/03/2011. Collateralized by U.S. Government Obligations, 0.63% - 3.13%, due 12/31/2012 - - 04/30/2017, with a total value of $140,302. | | $ | 137,548 | | | | 137,548 | |
Total Repurchase Agreement (cost $137,548) | | | | | | | | |
| | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $267,753) # | | | | | | | 273,414 | |
| Other Assets and Liabilities - Net | | | | | | | (7,663 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 265,751 | |
| | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Federated Market Opportunity VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Amount in U.S. | | | Net Unrealized | |
| | | | | | | Settlement | | | Dollars Bought | | | Appreciation | |
| Currency | | Bought (Sold) | | Date | | | (Sold) | | | (Depreciation) | |
| |
| Australian Dollar | | | (2,450 | ) | | | 03/24/2011 | | | $ | (2,403 | ) | | $ | (76 | ) |
| Hungarian Forint | | | (705,575 | ) | | | 01/21/2011 | | | | (3,523 | ) | | | 140 | |
| Hungarian Forint | | | 705,575 | | | | 01/21/2011 | | | | 3,402 | | | | (18 | ) |
| Japanese Yen | | | 26,200 | | | | 03/28/2011 | | | | 320 | | | | 3 | |
| Japanese Yen | | | (592,986 | ) | | | 03/28/2011 | | | | (7,145 | ) | | | (166 | ) |
| Japanese Yen | | | (529,566 | ) | | | 03/28/2011 | | | | (6,375 | ) | | | (154 | ) |
| Mexican Peso | | | 21,180 | | | | 02/02/2011 | | | | 1,700 | | | | 11 | |
| Mexican Peso | | | (43,430 | ) | | | 02/02/2011 | | | | (3,473 | ) | | | (37 | ) |
| Mexican Peso | | | 22,250 | | | | 02/02/2011 | | | | 1,770 | | | | 28 | |
| Peruvian Sol | | | 2,732 | | | | 04/11/2011 | | | | 956 | | | | 13 | |
| Peruvian Sol | | | (2,732 | ) | | | 04/11/2011 | | | | (961 | ) | | | (9 | ) |
| Polish Zloty | | | (8,600 | ) | | | 01/21/2011 | | | | (2,987 | ) | | | 86 | |
| Polish Zloty | | | 8,600 | | | | 01/21/2011 | | | | 2,880 | | | | 21 | |
| Pound Sterling | | | 1,700 | | | | 02/23/2011 | | | | 2,670 | | | | (20 | ) |
| Pound Sterling | | | (1,700 | ) | | | 02/23/2011 | | | | (2,703 | ) | | | 54 | |
| Pound Sterling | | | 2,200 | | | | 02/23/2011 | | | | 3,397 | | | | 32 | |
| Pound Sterling | | | (4,620 | ) | | | 02/23/2011 | | | | (7,372 | ) | | | 171 | |
| Republic of Korea Won | | | (1,285,199 | ) | | | 03/23/2011 | | | | (1,043 | ) | | | (93 | ) |
| Republic of Korea Won | | | 1,285,199 | | | | 03/23/2011 | | | | 1,120 | | | | 16 | |
| Swiss Franc | | | 4,040 | | | | 02/10/2011 | | | | 4,070 | | | | 255 | |
| Swiss Franc | | | 2,089 | | | | 02/10/2011 | | | | 2,125 | | | | 110 | |
| Swiss Franc | | | (9,061 | ) | | | 02/10/2011 | | | | (9,390 | ) | | | (306 | ) |
| Swiss Franc | | | 1,100 | | | | 02/10/2011 | | | | 1,159 | | | | 18 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | 79 | |
| | | | | | | | | | | | | | | | |
FORWARD FOREIGN CROSS CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Unrealized |
| | | | | | | | | | | Settlement | | Appreciation |
| Bought/Sold | | Currency | | Amount | | Date | | (Depreciation) |
| |
| Buy | | Australian Dollar | | | 5,300 | | | | 01/19/2011 | | | $ | 228 | |
| Sell | | Singapore Dollar | | | (6,735 | ) | | | 01/19/2011 | | | | (70 | ) |
| Buy | | New Zealand Dollar | | | 3,957 | | | | 01/19/2011 | | | | 47 | |
| Sell | | Pound Sterling | | | (1,900 | ) | | | 01/19/2011 | | | | 69 | |
| Buy | | Pound Sterling | | | 1,900 | | | | 01/19/2011 | | | | (34 | ) |
| Sell | | New Zealand Dollar | | | (4,032 | ) | | | 01/19/2011 | | | | (141 | ) |
| Buy | | Singapore Dollar | | | 6,741 | | | | 01/19/2011 | | | | 53 | |
| Sell | | Australian Dollar | | | (5,300 | ) | | | 01/19/2011 | | | | (207 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | (55 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | Percentage of | | |
| INVESTMENTS BY INDUSTRY: (unaudited) | | Total Investments | | Value |
| |
| Capital Markets | | | 9.1 | % | | $ | 24,826 | |
| Energy Equipment & Services | | | 4.8 | | | | 13,058 | |
| Specialty Retail | | | 2.8 | | | | 7,531 | |
| Health Care Providers & Services | | | 2.7 | | | | 7,368 | |
| Food & Staples Retailing | | | 2.6 | | | | 7,130 | |
| Biotechnology | | | 2.4 | | | | 6,594 | |
| IT Services | | | 2.3 | | | | 6,331 | |
| Electronic Equipment & Instruments | | | 2.2 | | | | 5,979 | |
| Health Care Equipment & Supplies | | | 2.0 | | | | 5,389 | |
| Multiline Retail | | | 1.9 | | | | 5,084 | |
| Metals & Mining | | | 1.8 | | | | 4,986 | |
| Diversified Telecommunication Services | | | 1.8 | | | | 4,986 | |
| Chemicals | | | 1.8 | | | | 4,828 | |
| Oil, Gas & Consumable Fuels | | | 1.4 | | | | 3,815 | |
| Software | | | 1.4 | | | | 3,713 | |
| Road & Rail | | | 1.2 | | | | 3,336 | |
| Leisure Equipment & Products | | | 1.2 | | | | 3,324 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Federated Market Opportunity VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Percentage of | | | | |
| INVESTMENTS BY INDUSTRY (continued): (unaudited) | | Total Investments | | | Value | |
| |
| Life Sciences Tools & Services | | | 1.1 | % | | $ | 2,958 | |
| Machinery | | | 1.0 | | | | 2,742 | |
| Wireless Telecommunication Services | | | 1.0 | | | | 2,612 | |
| Food Products | | | 0.9 | | | | 2,559 | |
| Electrical Equipment | | | 0.7 | | | | 1,869 | |
| Purchased Options | | | 0.6 | | | | 1,632 | |
| Pharmaceuticals | | | 0.6 | | | | 1,549 | |
| Commercial Services & Supplies | | | 0.4 | | | | 1,134 | |
| Multi-Utilities | | | 0.1 | | | | 260 | |
| | | | | | | |
| Investment Securities, at Value | | | 49.6 | | | | 135,593 | |
| Short-Term Investments | | | 50.4 | | | | 137,821 | |
| | | | | | | |
| Total Investments | | | 100.0 | % | | $ | 273,414 | |
| | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | | |
| ‡ | | Non-income producing security. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $266. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $268,036. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $13,763 and $8,385, respectively. Net unrealized appreciation for tax purposes is $5,378. |
DEFINITIONS:
| | | |
|
ADR | | American Depositary Receipt |
ETF | | Exchange-Traded Fund |
SPDR | | Standard & Poor’s Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Investment Securities | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 80,933 | | | $ | 30,537 | | | $ | — | | | $ | 111,470 | |
| Investment Companies | | | 22,491 | | | | — | | | | — | | | | 22,491 | |
| Purchased Options | | | 1,632 | | | | — | | | | — | | | | 1,632 | |
| Repurchase Agreement | | | — | | | | 137,548 | | | | — | | | | 137,548 | |
| Securities Lending Collateral | | | 273 | | | | — | | | | — | | | | 273 | |
| | | | | | | | | | | | | |
Total | | $ | 105,329 | | | $ | 168,085 | | | $ | — | | | $ | 273,414 | |
| | | | | | | | | | | | | |
| |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Contracts — Appreciation | | $ | — | | | $ | 1,355 | | | $ | — | | | $ | 1,355 | |
| Forward Foreign Currency Contracts — Depreciation | | | — | | | | (1,331 | ) | | | — | | | | (1,331 | ) |
| | | | | | | | | | | | | |
Total | | $ | — | | | $ | 24 | | | $ | — | | | $ | 24 | |
| | | | | | | | | | | | | |
| | |
| * | | Other financial instruments are derivative instruments including, but not limited to, Futures Contracts, Forward Foreign Currency Contracts, and Swap Contracts that are valued at unrealized appreciation (depreciation) on the instrument. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Federated Market Opportunity VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $130,205) | | $ | 135,866 | |
| (including securities loaned of $266) | | | | |
| Repurchase agreement, at value (cost: $137,548) | | | 137,548 | |
| Foreign currency, at value(cost: $203) | | | 207 | |
| Receivables: | | | | |
| Investment securities sold | | | 755 | |
| Shares sold | | | 31 | |
| Interest | | | 29 | |
| Dividends | | | 67 | |
| Dividend reclaims | | | 8 | |
| Other | | | 54 | |
| Prepaid expenses | | | 3 | |
| Unrealized appreciation on forward foreign currency contracts | | | 1,355 | |
| | | | |
| | | | 275,923 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 7,909 | |
| Shares redeemed | | | 422 | |
| Management and advisory fees | | | 170 | |
| Distribution and service fees | | | 2 | |
| Administration fees | | | 5 | |
| Printing and shareholder reports fees | | | 30 | |
| Audit and tax fees | | | 8 | |
| Other | | | 22 | |
| Collateral for securities on loan | | | 273 | |
| Unrealized depreciation on forward foreign currency contracts | | | 1,331 | |
| | | | |
| | | | 10,172 | |
| | | | |
Net assets | | $ | 265,751 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 227 | |
| Additional paid-in capital | | | 333,300 | |
| Undistributed (accumulated) net investment income (loss) | | | 2,967 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (76,432 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 5,661 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 28 | |
| | | | |
Net assets | | $ | 265,751 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 254,517 | |
| Service Class | | | 11,234 | |
Shares outstanding: | | | | |
| Initial Class | | | 21,772 | |
| Service Class | | | 914 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.69 | |
| Service Class | | | 12.28 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $148) | | $ | 2,404 | |
| Interest income | | | 1,848 | |
| Securities lending income (net) | | | 65 | |
| | | | |
| | | | 4,317 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 2,098 | |
| Printing and shareholder reports | | | 66 | |
| Custody | | | 105 | |
| Administration | | | 56 | |
| Legal | | | 28 | |
| Audit and tax | | | 20 | |
| Trustees | | | 10 | |
| Transfer agent | | | 3 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 30 | |
| Other | | | 6 | |
| | | | |
| Total expenses | | | 2,422 | |
| | | | |
| |
Net investment income | | | 1,895 | |
| | | | |
| |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | (6,606 | ) |
| Foreign currency transactions | | | (1,184 | ) |
| | | | |
| | | | (7,790 | ) |
| | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 4,669 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 848 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 5,517 | |
| | | | |
Net realized and unrealized loss | | | (2,273 | ) |
| | | | |
| | | | | |
Net decrease in net assets resulting from operations | | $ | (378 | ) |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Federated Market Opportunity VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,895 | | | $ | 1,436 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | (7,790 | ) | | | (32,498 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 5,517 | | | | 43,004 | |
| | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (378 | ) | | | 11,942 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (9,963 | ) | | | (9,584 | ) |
| Service Class | | | (365 | ) | | | (362 | ) |
| | | | | | | |
| | | | (10,328 | ) | | | (9,946 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (29,070 | ) |
| Service Class | | | — | | | | (1,275 | ) |
| | | | | | | |
| | | | — | | | | (30,345 | ) |
| | | | | | | |
Total distributions to shareholders | | | (10,328 | ) | | | (40,291 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 8,952 | | | | 32,533 | |
| Service Class | | | 2,464 | | | | 5,760 | |
| | | | | | | |
| | | | 11,416 | | | | 38,293 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 9,963 | | | | 38,654 | |
| Service Class | | | 365 | | | | 1,637 | |
| | | | | | | |
| | | | 10,328 | | | | 40,291 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (40,052 | ) | | | (56,555 | ) |
| Service Class | | | (4,804 | ) | | | (6,560 | ) |
| | | | | | | |
| | | | (44,856 | ) | | | (63,115 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | (23,112 | ) | | | 15,469 | |
| | | | | | | |
| | | | | | | | | |
Net decrease in net assets | | | (33,818 | ) | | | (12,880 | ) |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 299,569 | | | | 312,449 | |
| | | | | | | |
| End of year | | $ | 265,751 | | | $ | 299,569 | |
| | | | | | | |
Undistributed net investment income | | $ | 2,967 | | | $ | 11,030 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 742 | | | | 2,372 | |
| Service Class | | | 196 | | | | 412 | |
| | | | | | | |
| | | | 938 | | | | 2,784 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 819 | | | | 3,153 | |
| Service Class | | | 29 | | | | 127 | |
| | | | | | | |
| | | | 848 | | | | 3,280 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (3,318 | ) | | | (4,325 | ) |
| Service Class | | | (377 | ) | | | (480 | ) |
| | | | | | | |
| | | | (3,695 | ) | | | (4,805 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (1,757 | ) | | | 1,200 | |
| Service Class | | | (152 | ) | | | 59 | |
| | | | | | | |
| | | | (1,909 | ) | | | 1,259 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Federated Market Opportunity VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 12.15 | | | $ | 13.37 | | | $ | 14.66 | | | $ | 15.40 | | | $ | 16.52 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.08 | | | | 0.06 | | | | 0.24 | | | | 0.41 | | | | 0.48 | |
| Net realized and unrealized gain (loss) | | | (0.08 | ) | | | 0.52 | | | | (0.85 | ) | | | (0.50 | ) | | | — | (B) |
| | | | | | | | | | | | | | | | |
| Total operations | | | — | (B) | | | 0.58 | | | | (0.61 | ) | | | (0.09 | ) | | | 0.48 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.46 | ) | | | (0.45 | ) | | | (0.68 | ) | | | (0.58 | ) | | | (0.28 | ) |
| From net realized gains | | | — | | | | (1.35 | ) | | | — | | | | (0.07 | ) | | | (1.32 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.46 | ) | | | (1.80 | ) | | | (0.68 | ) | | | (0.65 | ) | | | (1.60 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.69 | | | $ | 12.15 | | | $ | 13.37 | | | $ | 14.66 | | | $ | 15.40 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | (0.11 | %) | | | 4.20 | % | | | (4.53 | %) | | | (0.48 | %) | | | 2.76 | % |
Net assets end of year (000’s) | | $ | 254,517 | | | $ | 285,979 | | | $ | 298,449 | | | $ | 401,656 | | | $ | 518,866 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.85 | % | | | 0.84 | % | | | 0.81 | % | | | 0.82 | % | | | 0.81 | % |
| Net investment income, to average net assets | | | 0.69 | % | | | 0.47 | % | | | 1.64 | % | | | 2.72 | % | | | 2.94 | % |
| Portfolio turnover rate | | | 210 | % | | | 183 | % | | | 290 | % | | | 56 | % | | | 91 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 12.74 | | | $ | 13.91 | | | $ | 15.20 | | | $ | 15.94 | | | $ | 17.05 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.06 | | | | 0.05 | | | | 0.21 | | | | 0.38 | | | | 0.45 | |
| Net realized and unrealized gain (loss) | | | (0.10 | ) | | | 0.52 | | | | (0.87 | ) | | | (0.52 | ) | | | 0.01 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | (0.04 | ) | | | 0.57 | | | | (0.66 | ) | | | (0.14 | ) | | | 0.46 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.42 | ) | | | (0.39 | ) | | | (0.63 | ) | | | (0.53 | ) | | | (0.25 | ) |
| From net realized gains | | | — | | | | (1.35 | ) | | | — | | | | (0.07 | ) | | | (1.32 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.42 | ) | | | (1.74 | ) | | | (0.63 | ) | | | (0.60 | ) | | | (1.57 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 12.28 | | | $ | 12.74 | | | $ | 13.91 | | | $ | 15.20 | | | $ | 15.94 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | (0.42 | %) | | | 3.95 | % | | | (4.65 | %) | | | (0.70 | %) | | | 2.47 | % |
Net assets end of year (000’s) | | $ | 11,234 | | | $ | 13,590 | | | $ | 14,000 | | | $ | 25,139 | | | $ | 32,406 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.11 | % | | | 1.09 | % | | | 1.06 | % | | | 1.07 | % | | | 1.06 | % |
| Net investment income, to average net assets | | | 0.46 | % | | | 0.31 | % | | | 1.38 | % | | | 2.48 | % | | | 2.67 | % |
| Portfolio turnover rate | | | 210 | % | | | 183 | % | | | 290 | % | | | 56 | % | | | 91 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Rounds to less than ($0.01) or $0.01. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Federated Market Opportunity VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Federated Market Opportunity VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Forward foreign currency contracts: The Fund is subject to foreign currency exchange rate risk exposure in the normal course of pursuing its investment objectives. The Fund enters into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Forward foreign currency contracts are marked to market daily, with the change in value recorded as an unrealized gain or loss. When the contracts are settled, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying currencies and from the possible inability of counterparties to meet the terms of their contracts.
Open forward foreign currency contracts at December 31, 2010 are listed in the Schedule of Investments.
Option contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund enters into option contracts to manage exposure to various market fluctuations. Options are valued at the average of the bid and ask (“Mean Quote”) established each day at the close of the board of trade or exchange on which they are traded. The primary risks associated with options are an imperfect correlation between the change in value of the securities held and the prices of the option contracts; the possibility of an illiquid market and an inability of the counterparty to meet the contract terms.
The Fund writes call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. When the Fund writes a covered call or put option/swaption, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. Premiums received from writing options/swaptions which expire are treated as realized gains. Premiums received from writing options/swaptions which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. Options are marked-to-market daily to reflect the current value of the option/swaption written.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Federated Market Opportunity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $132, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Federated Market Opportunity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds (“ETF”), and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Corporate bonds: The fair value of corporate bonds 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 bonds 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.
Government securities: Government securities 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. Government securities generally are categorized in Level 2 of the fair value hierarchy.
Derivative instruments: 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, 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. A substantial 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.
Investment company securities: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. ETF’s are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Federated Market Opportunity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation-Conservative VP | | $ | 25,470 | | | | 9.59 | % |
| Transamerica Asset Allocation-Growth VP | | | 5,678 | | | | 2.14 | |
| Transamerica Asset Allocation-Moderate VP | | | 38,020 | | | | 14.31 | |
| Transamerica Asset Allocation-Moderate Growth VP | | | 35,346 | | | | 13.30 | |
| | | | | | | |
| Total | | $ | 104,514 | | | | 39.34 | % |
| | | | | | | |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.75 | % |
| Over $500 million up to $750 million | | | 0.675 | % |
| Over $750 million | | | 0.65 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There no amounts available for recapture at December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Federated Market Opportunity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 250,642 | |
| U.S. Government | | | 89,352 | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 384,584 | |
| U.S. Government | | | 109,204 | |
NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund is subject to various risks in the normal course of pursuing its investment objectives. The average volume of purchased options held throughout the year is indicative of what was held at year end. The volume of forward foreign currency contracts fluctuated throughout the year from a low of 41 in January to a high of 185 in September.
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | |
| | | Foreign exchange | | Equity | | |
| Location | | contracts | | Contracts | | Total |
| |
Asset Derivatives | | | | | | | | | | | | |
| Purchased options, at value | | $ | — | | | $ | 1,632 | | | $ | 1,632 | |
| Unrealized appreciation on forward currency contracts | | | 1,355 | | | | — | | | | 1,355 | |
Liability Derivatives | | | | | | | | | | | | |
| Unrealized depreciation on forward currency contracts | | | (1,331 | ) | | | — | | | | (1,331 | ) |
| Total | | $ | 24 | | | $ | 1,632 | | | $ | 1,656 | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Federated Market Opportunity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | |
| | | Foreign exchange | | Equity | | |
| Location | | contracts | | contracts | | Total |
| |
Realized Gain / (Loss) on derivatives recognized in income | | | | | | | | | | | | |
| Net realized (loss) on purchased options | | $ | — | | | $ | (25,101 | ) | | $ | (25,101 | ) |
| Net realized (loss) on foreign currency transactions | | | (952 | ) | | | — | | | | (952 | ) |
Change in Unrealized Appreciation/(Depreciation) on derivatives recognized in income | | | | | | | | | | | | |
| Net increase in unrealized appreciation on purchased options and swaptions | | | — | | | | 892 | | | | 892 | |
| Net increase in unrealized appreciation on translation of assets and liabilities denominated in foreign currencies | | | 848 | | | | — | | | | 848 | |
| Total | | $ | (104 | ) | | $ | (24,209 | ) | | $ | (24,313 | ) |
For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Fund may be required to post collateral on derivatives if the Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
NOTE 6. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | (2 | ) |
| Undistributed (accumulated) net investment income (loss) | | $ | 370 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (368 | ) |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 66,840 | | | December 31, 2017 |
| | 2,133 | | | December 31, 2018 |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Federated Market Opportunity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 10,328 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 32,701 | |
| Long-term Capital Gain | | | 7,590 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 3,017 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (68,973 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (7,178 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 5,358 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
NOTE 7. SUBSEQUENT EVENTS
The Fund’s Board of Trustees has approved changes to Transamerica Federated Market Opportunity VP, including changes to the Fund name, sub-adviser, investment objective, principal investment strategies, risks, and benchmark index. The Fund will change its name to Transamerica JPMorgan Tactical Asset Allocation VP and sub-adviser from Federated Equity Management Company of Pennsylvania to J.P. Morgan Investment Management Inc. These changes are anticipated to be effective May 1, 2011.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica Federated Market Opportunity VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Federated Market Opportunity VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Federated Market Opportunity VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Federated Market Opportunity VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica Federated Market Opportunity VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica Focus VP
(unaudited)
MARKET ENVIRONMENT
Equity markets in the U.S. continued their upward trajectory for the year 2010 as the global economy recovered and fears of a double dip recession abated. Concerns regarding the European debt markets and the Chinese economy overheating contributed to some volatile periods during the year. However, mid-term election results, the extension of Bush-era tax cuts and accommodative monetary policies from the Federal Reserve Board (“Fed”) helped the year end on a significantly strong note.
Early in the period, positive data on U.S. gross domestic product, improvements in corporate earnings and the end of the worst recession in decades boosted investor confidence. Equity markets moved higher as the possibility of a sustained economic recovery prompted renewed business growth.
As the summer months approached, a perfect storm of global and domestic events provoked investor skepticism in equity markets, driving them lower. A sovereign debt crisis and fiscal austerity measures in Europe, coupled with tighter fiscal policies in China (to dampen growth), heightened investor concerns about whether the rate of global economic expansion was sustainable. Meanwhile, in the U.S., the impact of stubbornly high unemployment, the Gulf of Mexico oil spill and the unexpected “flash” crash in the equity markets would ultimately send global and domestic investors fleeing to the relative safety of U.S. Treasuries.
As the period came to a close, equity markets and investor sentiment turned markedly positive. The key impetus for the market’s appreciation was the Fed announcement in October of another round of quantitative easing (“QE2”). This announcement mitigated investor concerns about a double-dip recession and created a strong sense of optimism for solid future economic growth and a prolonged lower interest rate environment. Additionally, the political, legislative, business, international and consumer fronts saw a confluence of positive momentum: the election of a pro-business Congress; the extension of Bush-era tax cuts; robust third quarter reported earnings; strong economic growth in China despite tighter monetary policy; and healthy consumer holiday spending. These positive results, combined with the Fed’s agenda to inject further liquidity into the system, created an optimal environment for stocks to move upward and post positive gains for the year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Focus VP Initial Class returned 27.44%. By comparison its benchmark the Standard & Poor’s 500 Composite Stock Index, returned 15.06%.
STRATEGY REVIEW
Throughout the period, we adhered to our bottom-up investment process, seeking companies with proven management, strong cash-flow characteristics and sustainable competitive advantages. We positioned the portfolio for a positive economic outlook while staying true to our big-picture catalysts. Catalysts may be driven by company changes, such as a new product, or by industry changes, such as widespread adoption of smart phones, and will typically endure for years, contributing to performance over time.
Stock selection in the technology sector (e.g., Apple, Inc.), and overweighting and stock selection in the consumer discretionary sector (e.g., priceline.com, Inc.) helped drive performance. Apple, Inc. performed well throughout the period due to the launch of the iPad and the introduction of the iPhone 4, whose many new features include a video calling application. We believe the international consumer will be an increasingly important factor in the global economy—part of our changing global consumer catalyst—and companies moving rapidly into international markets will benefit. On-line travel company priceline.com, Inc. is benefiting from growth in Europe and is exploring new opportunities in Asia.
Detracting from relative performance were stock selection in financial services (e.g., Bank of America Corp.) and weak returns from individual holding Strayer Education, Inc. In financials, investor concern about the possible impact of regulatory reform pressured stock prices of many companies, including Bank of America Corp. However, we believe the impact will be less severe than anticipated, since banks can now adjust their business models to the new set of rules. The issues facing education cannot be addressed without a for-profit outlet—there are just not enough state- or federal-tax revenues to build new colleges. As such, we will continue to hold Strayer Education, Inc. believing in their long-term growth potential.
Edward S. Han
Kirk J. Kim
Joshua D. Shaskan, CFA
Co-Portfolio Managers
Transamerica Investment Management, LLC
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Focus VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 27.44 | % | | | 4.44 | % | | | 3.90 | % | | | 05/03/1999 | |
| S&P 500* | | | 15.06 | % | | | 2.29 | % | | | 1.41 | % | | | | |
| |
| Service Class | | | 27.09 | % | | | 4.17 | % | | | 7.88 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
Investments in a “non-diversified” portfolio may be subject to specific risks such as susceptibility to single economic, political, or regulatory events, and may be subject to greater loss than investments in a diversified portfolio. This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Focus VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Focus VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,384.80 | | | $ | 5.41 | | | $ | 1,020.67 | | | $ | 4.58 | | | | 0.90 | % |
| Service Class | | | 1,000.00 | | | | 1,382.70 | | | | 6.91 | | | | 1,019.41 | | | | 5.85 | | | | 1.15 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 93.4 | % |
| Securities Lending Collateral | | | 24.5 | |
| Repurchase Agreement | | | 6.7 | |
| Other Assets and Liabilities — Net | | | (24.6 | ) |
| | |
Total | | | 100.0 | % |
| | | | | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Focus VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 93.4% | | | | | | | | |
Air Freight & Logistics - 3.1% | | | | | | | | |
CH Robinson Worldwide, Inc. ^ | | | 73,165 | | | $ | 5,867 | |
Biotechnology - 4.0% | | | | | | | | |
Alexion Pharmaceuticals, Inc. ‡ ^ | | | 93,071 | | | | 7,497 | |
Commercial Banks - 1.5% | | | | | | | | |
PrivateBancorp, Inc. - Class A ^ | | | 198,495 | | | | 2,854 | |
Communications Equipment - 7.1% | | | | | | | | |
| QUALCOMM, Inc. | | | 270,908 | | | | 13,407 | |
Computers & Peripherals - 7.3% | | | | | | | | |
| Apple, Inc. ‡ | | | 42,461 | | | | 13,696 | |
Diversified Consumer Services - 5.3% | | | | | | | | |
K12, Inc. ‡ ^ | | | 182,720 | | | | 5,237 | |
Strayer Education, Inc. ^ | | | 30,794 | | | | 4,687 | |
Diversified Financial Services - 2.3% | | | | | | | | |
| Bank of America Corp. | | | 315,670 | | | | 4,211 | |
Food Products - 2.2% | | | | | | | | |
Green Mountain Coffee Roasters, Inc. ‡ ^ | | | 128,520 | | | | 4,223 | |
Health Care Equipment & Supplies - 1.6% | | | | | �� | | | |
| Covidien PLC | | | 66,300 | | | | 3,027 | |
Hotels, Restaurants & Leisure - 10.4% | | | | | | | | |
Marriott International, Inc. - Class A ^ | | | 308,039 | | | | 12,796 | |
Peet’s Coffee & Tea, Inc. ‡ ^ | | | 163,225 | | | | 6,813 | |
Internet & Catalog Retail - 12.1% | | | | | | | | |
| Amazon.com, Inc. ‡ | | | 63,449 | | | | 11,422 | |
NetFlix, Inc. ‡ ^ | | | 22,455 | | | | 3,945 | |
priceline.com, Inc. ‡ ^ | | | 18,852 | | | | 7,532 | |
Internet Software & Services - 9.9% | | | | | | | | |
| Google, Inc. - Class A ‡ | | | 13,640 | | | | 8,103 | |
QuinStreet, Inc. ‡ ^ | | | 245,209 | | | | 4,710 | |
Rackspace Hosting, Inc. ‡ ^ | | | 184,600 | | | | 5,798 | |
Machinery - 5.4% | | | | | | | | |
Kennametal, Inc. ^ | | | 96,980 | | | | 3,827 | |
PACCAR, Inc. ^ | | | 109,900 | | | | 6,311 | |
Media - 4.6% | | | | | | | | |
IMAX Corp. ‡ ^ | | | 306,940 | | | | 8,610 | |
Oil, Gas & Consumable Fuels - 1.0% | | | | | | | | |
Rosetta Resources, Inc. ‡ ^ | | | 48,035 | | | $ | 1,808 | |
Professional Services - 2.6% | | | | | | | | |
Robert Half International, Inc. ^ | | | 157,755 | | | | 4,827 | |
Road & Rail - 1.5% | | | | | | | | |
Kansas City Southern ‡ ^ | | | 60,095 | | | | 2,876 | |
Software - 7.6% | | | | | | | | |
| Citrix Systems, Inc. ‡ | | | 89,990 | | | | 6,156 | |
| RealD, Inc. ‡ | | | 123,950 | | | | 3,213 | |
| Rosetta Stone, Inc. ‡ | | | 135,620 | | | | 2,878 | |
Rovi Corp. ‡ ^ | | | 34,200 | | | | 2,121 | |
Specialty Retail - 0.9% | | | | | | | | |
CarMax, Inc. ‡ ^ | | | 52,830 | | | | 1,684 | |
Textiles, Apparel & Luxury Goods - 3.0% | | | | | | | | |
Nike, Inc. - Class B ^ | | | 66,520 | | | | 5,682 | |
| | | | | | | | |
Total Common Stocks (cost $134,364) | | | | | | | 175,818 | |
| | | | | | | | |
| |
SECURITIES LENDING COLLATERAL — 24.5% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 46,195,624 | | | | 46,196 | |
Total Securities Lending Collateral (cost $46,196) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 6.7% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $12,548 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/25/2024, with a value of $12,803. | | $ | 12,548 | | | | 12,548 | |
Total Repurchase Agreement (cost $12,548) | | | | | | | | |
| | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $193,108) # | | | | | | | 234,562 | |
| Other Assets and Liabilities - Net | | | | | | | (46,282 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 188,280 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $45,154. |
| |
| ‡ | | Non-income producing security. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| ¨ | | Value is less than $1. |
| |
| # | | Aggregate cost for federal income tax purposes is $193,123. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $43,550 and $2,111, respectively. Net unrealized appreciation for tax purposes is $41,439. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investment Securities | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 172,791 | | | $ | 3,027 | | | $ | — | | | $ | 175,818 | |
| Repurchase Agreement | | | — | | | | 12,548 | | | | — | | | | 12,548 | |
| Securities Lending Collateral | | | 46,196 | | | | — | | | | — | | | | 46,196 | |
| | | | | | | | | | | | | |
Total | | $ | 218,987 | | | $ | 15,575 | | | $ | — | | | $ | 234,562 | |
| | | | | | | | | | | | | |
Level 3 Rollforward — Investment Securities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning | | | | | | | | | | | | | | | | | | Net Transfers | | |
| | | Balance at | | Net | | Accrued | | Total Realized | | Change in Unrealized | | In/(Out) of | | Ending Balance at |
| Securities | | 12/31/2009 | | Purchases/(Sales) | | Discounts/(Premiums) | | Gain/(Loss) | | Appreciation/(Depreciation) | | Level 3 | | 12/31/2010 |
| |
| Common Stocks | | $ | ¨ | | | $ | (¨ | ) | | $ | — | | | $ | — | | | $ | ¨ | | | $ | — | | | $ | — | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Focus VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $180,560)
(including securities loaned of $45,154) | | $ | 222,014 | |
| Repurchase agreement, at value (cost: $12,548) | | | 12,548 | |
| Receivables: | | | | |
| Shares sold | | | 53 | |
| Securities lending income (net) | | | 24 | |
| Dividends | | | 48 | |
| Dividend reclaims | | | 35 | |
| Prepaid expenses | | | 1 | |
| | | | |
| | | | 234,723 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 74 | |
| Management and advisory fees | | | 139 | |
| Distribution and service fees | | | 2 | |
| Administration fees | | | 3 | |
| Printing and shareholder reports fees | | | 15 | |
| Audit and tax fees | | | 8 | |
| Other | | | 6 | |
| Collateral for securities on loan | | | 46,196 | |
| | | | |
| | | | 46,443 | |
| | | | |
Net assets | | $ | 188,280 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 161 | |
| Additional paid-in capital | | | 152,321 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (5,656 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 41,454 | |
| | | | |
Net assets | | $ | 188,280 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 179,705 | |
| Service Class | | | 8,575 | |
Shares outstanding: | | | | |
| Initial Class | | | 15,351 | |
| Service Class | | | 734 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.71 | |
| Service Class | | | 11.69 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income | | $ | 1,100 | |
| Interest income | | | 1 | |
| Securities lending income (net) | | | 336 | |
| | | | |
| | | | 1,437 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,281 | |
| Printing and shareholder reports | | | 92 | |
| Custody | | | 18 | |
| Administration | | | 32 | |
| Legal | | | 9 | |
| Audit and tax | | | 13 | |
| Trustees | | | 6 | |
| Transfer agent | | | 1 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 14 | |
| Other | | | 3 | |
| | | | |
| Total expenses | | | 1,469 | |
| | | | |
| Less waiver/reimbursement | | | (14 | ) |
| | | | |
| Net expenses | | | 1,455 | |
| | | | |
| | | | | |
Net investment loss | | | (18 | ) |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 2,013 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 38,263 | |
| | | | |
Net realized and unrealized gain | | | 40,276 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 40,258 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Focus VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | (18 | ) | | $ | 1,375 | |
| Net realized gain (loss) from investment securities | | | 2,013 | | | | (729 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities | | | 38,263 | | | | 35,690 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 40,258 | | | | 36,336 | |
| | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (1,337 | ) | | | (3,637 | ) |
| Service Class | | | (38 | ) | | | (89 | ) |
| | | | | | | |
Total distributions to shareholders | | | (1,375 | ) | | | (3,726 | ) |
| | | | | | | |
| |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 9,538 | | | | 3,863 | |
| Service Class | | | 3,669 | | | | 1,572 | |
| | | | | | | |
| | | | 13,207 | | | | 5,435 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 1,337 | | | | 3,637 | |
| Service Class | | | 38 | | | | 89 | |
| | | | | | | |
| | | | 1,375 | | | | 3,726 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (25,331 | ) | | | (28,572 | ) |
| Service Class | | | (1,846 | ) | | | (1,351 | ) |
| | | | | | | |
| | | | (27,177 | ) | | | (29,923 | ) |
| | | | | | | |
Net decrease in net assets from capital shares transactions | | | (12,595 | ) | | | (20,762 | ) |
| | | | | | | |
| |
Net increase in net assets | | | 26,288 | | | | 11,848 | |
| | | | | | | |
| |
Net assets: | | | | | | | | |
| Beginning of year | | | 161,992 | | | | 150,144 | |
| | | | | | | |
| End of year | | $ | 188,280 | | | $ | 161,992 | |
| | | | | | | |
Undistributed net investment income | | $ | — | | | $ | 1,373 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 942 | | | | 482 | |
| Service Class | | | 350 | | | | 187 | |
| | | | | | | |
| | | | 1,292 | | | | 669 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 153 | | | | 418 | |
| Service Class | | | 5 | | | | 10 | |
| | | | | | | |
| | | | 158 | | | | 428 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (2,631 | ) | | | (3,679 | ) |
| Service Class | | | (193 | ) | | | (174 | ) |
| | | | | | | |
| | | | (2,824 | ) | | | (3,853 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (1,536 | ) | | | (2,779 | ) |
| Service Class | | | 162 | | | | 23 | |
| | | | | | | |
| | | | (1,374 | ) | | | (2,756 | ) |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Focus VP
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.28 | | | $ | 7.43 | | | $ | 13.88 | | | $ | 14.73 | | | $ | 14.71 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | — | (B) | | | 0.07 | | | | 0.18 | | | | 0.16 | | | | 0.18 | |
| Net realized and unrealized gain (loss) | | | 2.52 | | | | 1.99 | | | | (4.67 | ) | | | (0.01 | ) | | | 2.26 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.52 | | | | 2.06 | | | | (4.49 | ) | | | 0.15 | | | | 2.44 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.09 | ) | | | (0.21 | ) | | | (0.21 | ) | | | (0.20 | ) | | | (0.16 | ) |
| From net realized gains | | | — | | | | — | | | | (1.75 | ) | | | (0.80 | ) | | | (2.26 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.09 | ) | | | (0.21 | ) | | | (1.96 | ) | | | (1.00 | ) | | | (2.42 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.71 | | | $ | 9.28 | | | $ | 7.43 | | | $ | 13.88 | | | $ | 14.73 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 27.44 | % | | | 27.91 | % | | | (36.36 | %) | | | 1.04 | % | | | 18.56 | % |
Net assets end of year (000’s) | | $ | 179,705 | | | $ | 156,691 | | | $ | 146,079 | | | $ | 297,425 | | | $ | 370,692 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 0.90 | % | | | 0.90 | % | | | 0.86 | % | | | 0.87 | % | | | 0.88 | % |
| Before reimbursement/fee waiver | | | 0.91 | % | | | 0.90 | % | | | 0.86 | % | | | 0.87 | % | | | 0.88 | % |
| Net investment income, to average net assets | | | — | %(D) | | | 0.94 | % | | | 1.62 | % | | | 1.11 | % | | | 1.22 | % |
| Portfolio turnover rate | | | 44 | % | | | 131 | % | | | 35 | % | | | 15 | % | | | 15 | % |
For a share outstanding throughout each period |
| |
| | | Service Class | |
| | | Year Ended December 31, | |
| | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.27 | | | $ | 7.41 | | | $ | 13.83 | | | $ | 14.69 | | | $ | 14.68 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(A) | | | (0.02 | ) | | | 0.05 | | | | 0.15 | | | | 0.13 | | | | 0.15 | |
| Net realized and unrealized gain (loss) | | | 2.51 | | | | 1.98 | | | | (4.66 | ) | | | (0.02 | ) | | | 2.25 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.49 | | | | 2.03 | | | | (4.51 | ) | | | 0.11 | | | | 2.40 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.07 | ) | | | (0.17 | ) | | | (0.16 | ) | | | (0.17 | ) | | | (0.13 | ) |
| From net realized gains | | | — | | | | — | | | | (1.75 | ) | | | (0.80 | ) | | | (2.26 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.07 | ) | | | (0.17 | ) | | | (1.91 | ) | | | (0.97 | ) | | | (2.39 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.69 | | | $ | 9.27 | | | $ | 7.41 | | | $ | 13.83 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 27.09 | % | | | 27.57 | % | | | (36.54 | %) | | | 0.77 | % | | | 18.29 | % |
Net assets end of year (000’s) | | $ | 8,575 | | | $ | 5,301 | | | $ | 4,065 | | | $ | 11,910 | | | $ | 12,810 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.15 | % | | | 1.15 | % | | | 1.11 | % | | | 1.12 | % | | | 1.13 | % |
| Before reimbursement/fee waiver | | | 1.16 | % | | | 1.15 | % | | | 1.11 | % | | | 1.12 | % | | | 1.13 | % |
| Net investment income (loss), to average net assets | | | (0.26 | %) | | | 0.66 | % | | | 1.35 | % | | | 0.86 | % | | | 0.99 | % |
| Portfolio turnover rate | | | 44 | % | | | 131 | % | | | 35 | % | | | 15 | % | | | 15 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Rounds to less than ($0.01) or $0.01. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (D) | | Rounds to less than (0.01%) or 0.01%. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Focus VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Focus VP (the “Fund”) is part of TST. The Fund is “non-diversified” under the 1940 Act.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $3, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Focus VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Focus VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Transamerica Investment Management, LLC (“TIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TIM, TFS and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TIM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.80 | % |
| Over $500 million | | | 0.675 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.90% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts recaptured by the adviser. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2010: | | $ | 14 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Focus VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 66,532 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 83,770 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 – 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | (21 | ) |
| Undistributed (accumulated) net investment income (loss) | | $ | 20 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 1 | |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 4,305 | | | December 31, 2016 |
| $ | 1,279 | | | December 31, 2017 |
| $ | 57 | | | December 31, 2018 |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Focus VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 1,375 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 3,726 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
| Undistributed Ordinary Income | | $ | — | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (5,641 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 41,439 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
NOTE 6. SUBSEQUENT EVENTS
The Fund’s Board of Trustees has approved changes to Transamerica Focus VP, including changes to the Fund name, sub-adviser, principal investment strategies, risks, and benchmark index. The Fund will change its name to Transamerica Morgan Stanley Capital Growth VP and sub-adviser from Transamerica Investment Management, LLC to Morgan Stanley Investment Management Inc. These changes are expected to occur on or about March 31, 2011, but may occur sooner.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Focus VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Focus VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Focus VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Focus VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Focus VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Foxhall Emerging Markets/Pacific Rim VP
(unaudited)
MARKET ENVIRONMENT
While many global indices ended the fiscal year ending December 31, 2010 in positive territory, these simple one year returns do not tell the entire story of the turmoil and uncertainty in 2010. The year began with newspaper headlines and anchormen talking about the tenuousness of the Greek bond crisis and debating whether or not Greece would default on its sovereign debt; in April, the Greek 10 year debt yield exploded to over 11%, which was the highest of any European Union nation since the introduction of the Euro in 2002. Shortly thereafter, the notorious “Flash Crash” increased fears on May 6th when the Dow Jones Industrial Average (“Dow”) plummeted over 9%, constituting a record intraday drop in points for the Dow, only to close the rollercoaster day down 3.2%. After the crash, “Wall Street’s so-called fear gauge,” the Chicago Board Options Exchange (“CBOE”) Volatility Index (“VIX”), finished at its highest level since May of 2009, indicating a significantly increased level of uneasiness in the markets. Following the Flash Crash, the U.S. dollar came under severe scrutiny with doubts about its long term viability coming from many different groups with the most notable doubt coming in the CNN headline “Dollar Should Be Replaced as International Standard, U.N. report says.”
The second half of the year had far fewer “doomsday” headlines but was not without drama of its own. Many predicted that the U.S. was in the midst of a massive fixed income bubble with yields dropping precipitously on fears of economic outlook. The acclaimed bond guru, Bill Gross, even commented he believed treasuries had some “bubble characteristics.” If bubble fears were not enough to cause chaos in the fixed income market, the Federal Reserve Board’s (“Fed”) decision to institute quantitative easing Part 2 (“QE2”) certainly would add fuel to the fire. The Fed’s announcement that it would purchase $600 billion of long term treasuries in 8 months caused much uproar and speculation as to: 1) whether or not another round of quantitative easing would be effective; and 2) what the effect would be on the dollar.
As 2010 came to a close, the unanswered questions about inflation, a fixed income bubble, the European debt crisis, and even war in Korea left the public with much to contemplate entering the new year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Foxhall Emerging Markets/Pacific Rim VP Initial Class returned 3.56%. By comparison its primary and secondary benchmarks, the Morgan Stanley Capital International Emerging Markets Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 19.20% and 0.13%, respectively.
STRATEGY REVIEW
The portfolio utilizes a proprietary three step investment process that: 1) identifies whether markets are in an up or downtrend; 2) sets portfolio construction rules; and 3) selects securities based on relative strength. Transamerica Foxhall Emerging Markets/Pacific Rim VP portfolio’s target allocation is 100% equities, and despite a rollercoaster year in both the global Emerging Markets and Pacific Rim nations, the tactically managed portfolio ended the year with positive performance.
With volatility remaining persistently high throughout the year, the portfolio’s cash and short term treasury holdings varied greatly ranging from over 100% in the middle of the year to fully invested at the end of the year when a steady upward trending market finally emerged. The dynamic adjustment in the mix of protective assets (such as cash and short term treasuries) and equities is one element of Foxhall’s volatility suppression methodology which is intended to minimize the damage done to portfolios during the time when markets decline while allowing reasonable participation in periods when markets are advancing but remain inherently unstable and reflective of an uncertain trend.
The portfolio is a highly concentrated portfolio designed to benefit from advances in highly volatile segments of the global equity markets. An individual country exchange-traded fund (“ETFs”) such as Thailand, Chile, China, and Hong Kong were among the best performing positions for the portfolio in 2010. Foxhall’s proprietary relative strength process identified positions such as these throughout the year as positions that were trending up and likely to outperform, and once such identification is made, Foxhall realigns assets to best take advantage of the trends. Other top performing positions were the WisdomTree Emerging Markets Equity Income ETF and the PowerShares DWA Emerging Markets Technical Leaders ETF. A dominant theme in the portfolio performance in 2010 was the contribution by Emerging Markets positions while the Pacific Rim lagged.
Positions that detracted most from performance were a WisdomTree Emerging Markets Small Cap ETF, a China and India combination ETF and a South Korea ETF that declined significantly while Emerging Markets as a whole struggled during May.
Paul Dietrich
David H. Morton
David Sade
Co-Portfolio Managers
Foxhall Capital Management, Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Foxhall Emerging Markets/Pacific Rim VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | | | |
| | | 1 Year | | | Life of Class | | | Inception Date | |
| |
| Initial Class | | | 3.56 | % | | | 8.78 | % | | | 07/01/2009 | |
MSCI-EMI * | | | 19.20 | % | | | 34.77 | % | | | | |
BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 0.15 | % | | | | |
| |
| Service Class | | | 3.38 | % | | | 8.52 | % | | | 07/01/2009 | |
| |
NOTES
| | |
| * | | The Morgan Stanley Capital International Emerging Markets Index (“MSCI-EMI”) and Bank of America Merrill Lynch 3-Month Treasury Bill Index (“BofA Merrill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Foxhall Emerging Markets/Pacific Rim VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Foxhall Emerging Markets/Pacific Rim VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,162.90 | | | $ | 5.45 | | | $ | 1,020.16 | | | $ | 5.09 | | | | 1.00 | % |
| Service Class | | | 1,000.00 | | | | 1,161.10 | | | | 6.81 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net | |
| Asset Type | | Assets | |
| |
| Investment Companies | | | 93.2 | % |
| Securities Lending Collateral | | | 25.1 | |
| Repurchase Agreement | | | 11.8 | |
| Other Assets and Liabilities — Net | | | (30.1 | ) |
| |
Total | | | 100.0 | % |
| | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Foxhall Emerging Markets/Pacific Rim VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 93.2% | | | | | | | | |
Capital Markets - 71.3% | | | | | | | | |
| iShares MSCI EAFE Index Fund ^ | | | 134,112 | | | $ | 7,809 | |
| iShares MSCI Emerging Markets Index Fund ^ | | | 257,938 | | | | 12,283 | |
| SPDR S&P Emerging Markets ETF | | | 164,927 | | | | 12,266 | |
| Vanguard Europe Pacific ETF | | | 215,865 | | | | 7,804 | |
Emerging Market - Equity - 21.9% | | | | | | | | |
| Vanguard Emerging Markets ETF | | | 255,491 | | | | 12,302 | |
| | | | | | | | |
Total Investment Companies (cost $52,435) | | | | | | | 52,464 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 25.1% | | | | | | | | |
State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 14,114,260 | | | | 14,114 | |
Total Securities Lending Collateral (cost $14,114) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 11.8% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $6,656 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $6,793. | | $ | 6,656 | | | | 6,656 | |
Total Repurchase Agreement (cost $6,656) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $73,205) # | | | | | | | 73,234 | |
| Other Assets and Liabilities — Net | | | | | | | (16,951 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 56,283 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $13,801. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $73,205. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $108 and $79, respectively. Net unrealized appreciation for tax purposes is $29. |
DEFINITIONS:
| | | |
|
ETF | | Exchange-Traded Fund |
SPDR | | Standard & Poor’s Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Companies | | $ | 52,464 | | | $ | — | | | $ | — | | | $ | 52,464 | |
| Securities Lending Collateral | | | 14,114 | | | | — | | | | — | | | | 14,114 | |
| Repurchase Agreement | | | — | | | | 6,656 | | | | — | | | | 6,656 | |
| | | | | | | | | | | | | |
Total | | $ | 66,578 | | | $ | 6,656 | | | $ | — | | | $ | 73,234 | |
| | | | | | | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Foxhall Emerging Markets/Pacific Rim VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
Assets: | | | | |
| Investments in investment companies, at value (cost: $66,549) | | $ | 66,578 | |
| (including securities loaned of $13,801) | | | | |
| Repurchase agreement, at value (cost: $6,656) | | | 6,656 | |
| Receivables: | | | | |
| Shares sold | | | 186 | |
| Securities lending income (net) | | | 1 | |
| Dividends | | | 6 | |
| | | | |
| | | | 73,427 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 2,871 | |
| Shares redeemed | | | 91 | |
| Management and advisory fees | | | 46 | |
| Distribution and service fees | | | 8 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 3 | |
| Other | | | 3 | |
| Collateral for securities on loan | | | 14,114 | |
| | | | |
| | | | 17,144 | |
| | | | |
Net assets | | $ | 56,283 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 50 | |
| Additional paid-in capital | | | 53,008 | |
| Undistributed (accumulated) net investment income (loss) | | | 527 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | 2,669 | |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 29 | |
| | | | |
Net assets | | $ | 56,283 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 16,703 | |
| Service Class | | | 39,580 | |
Shares outstanding: | | | | |
| Initial Class | | | 1,487 | |
| Service Class | | | 3,537 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.23 | |
| Service Class | | | 11.19 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
Investment income: | | | | |
| Dividend income from investment companies | | $ | 889 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 30 | |
| | | | |
| | | | 919 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 309 | |
| Printing and shareholder reports | | | 5 | |
| Custody | | | 11 | |
| Administration | | | 7 | |
| Legal | | | 4 | |
| Audit and tax | | | 15 | |
| Trustees | | | 1 | |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 49 | |
| Other | | | — | (A) |
| | | | |
| Total expenses | | | 401 | |
| | | | |
| Less waiver/reimbursement | | | (9 | ) |
| | | | |
| Net expenses | | | 392 | |
| | | | |
| | | | | |
Net investment income | | | 527 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | 2,633 | |
| Distributions from investments in investment companies | | | 36 | |
| | | | |
| | | | 2,669 | |
| | | | |
| | | | | |
Net decrease in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | (342 | ) |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 2,327 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 2,854 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Foxhall Emerging Markets/Pacific Rim VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| �� | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 527 | | | $ | 112 | |
| Net realized gain from investments in and distributions from investment companies | | | 2,669 | | | | 271 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | (342 | ) | | | 371 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 2,854 | | | | 754 | |
| | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (44 | ) | | | — | |
| Service Class | | | (68 | ) | | | — | |
| | | | | | | |
| | | | (112 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (107 | ) | | | — | |
| Service Class | | | (164 | ) | | | — | |
| | | | | | | |
| | | | (271 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (383 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 6,829 | | | | 12,015 | |
| Service Class | | | 37,007 | | | | 4,318 | |
| | | | | | | |
| | | | 43,836 | | | | 16,333 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 151 | | | | — | |
| Service Class | | | 232 | | | | — | |
| | | | | | | |
| | | | 383 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (2,911 | ) | | | (590 | ) |
| Service Class | | | (3,968 | ) | | | (25 | ) |
| | | | | | | |
| | | | (6,879 | ) | | | (615 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 37,340 | | | | 15,718 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 39,811 | | | | 16,472 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 16,472 | | | | — | |
| | | | | | | |
| End of year | | $ | 56,283 | | | $ | 16,472 | |
| | | | | | | |
Undistributed net investment income | | $ | 527 | | | $ | 112 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 647 | | | | 1,162 | |
| Service Class | | | 3,497 | | | | 401 | |
| | | | | | | |
| | | | 4,144 | | | | 1,563 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 15 | | | | — | |
| Service Class | | | 24 | | | | — | |
| | | | | | | |
| | | | 39 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (280 | ) | | | (57 | ) |
| Service Class | | | (383 | ) | | | (2 | ) |
| | | | | | | |
| | | | (663 | ) | | | (59 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 382 | | | | 1,105 | |
| Service Class | | | 3,138 | | | | 399 | |
| | | | | | | |
| | | | 3,520 | | | | 1,504 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on July 1, 2009. |
| | |
| Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Foxhall Emerging Markets/Pacific Rim VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | | December 31, | | | Jul 1 to Dec | | | December 31, | | | Jul 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.96 | | | $ | 10.00 | | | $ | 10.94 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.11 | | | | 0.12 | | | | 0.19 | | | | 0.38 | |
| Net realized and unrealized gain | | | 0.26 | | | | 0.84 | | | | 0.16 | | | | 0.56 | |
| | | | | | | | | | | | | |
| Total operations | | | 0.37 | | | | 0.96 | | | | 0.35 | | | | 0.94 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.03 | ) | | | — | | | | (0.03 | ) | | | — | |
| From net realized gains | | | (0.07 | ) | | | — | | | | (0.07 | ) | | | — | |
| | | | | | | | | | | | | |
| Total distributions | | | (0.10 | ) | | | — | | | | (0.10 | ) | | | — | |
| | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.23 | | | $ | 10.96 | | | $ | 11.19 | | | $ | 10.94 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(D) | | | 3.56 | % | | | 9 .60 | %(E) | | | 3.38 | % | | | 9 .40 | %(E) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 16,703 | | | $ | 12,102 | | | $ | 39,580 | | | $ | 4,370 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.00 | % | | | 1.00 | %(G) | | | 1.25 | % | | | 1.25 | %(G) |
| Before reimbursement/fee waiver | | | 1.03 | % | | | 1.87 | %(G) | | | 1.28 | % | | | 2.12 | %(G) |
Net investment income, to average net assets(C) | | | 1.09 | % | | | 2.29 | %(G) | | | 1.87 | % | | | 7.03 | %(G) |
Portfolio turnover rate(H) | | | 603 | % | | | 207 | % (E) | | | 603 | % | | | 207 | %(E) |
| | |
| (A) | | Commenced operations on July 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
| | |
| Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Foxhall Emerging Markets/Pacific Rim VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Foxhall Emerging Markets/ Pacific Rim VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from investment companies, if any, are recorded on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Foxhall Emerging Markets/Pacific Rim VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Foxhall Emerging Markets/Pacific Rim VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (‘ANA”) at the following breakpoints:
| | | | | |
| First $500 million | | | 0.90 | % |
| Over $500 million up to $1 billion | | | 0.875 | % |
| Over $1 billion | | | 0.85 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 service fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $9. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2009: | | $ | 36 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 9 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
| Purchases of securities: | | | | |
| Long-term | | $ | 219,670 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 184,405 | |
| U.S. Government | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Foxhall Emerging Markets/Pacific Rim VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 383 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
| Undistributed Ordinary Income | | $ | 3,159 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 37 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 29 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Foxhall Emerging Markets/Pacific Rim VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Foxhall Emerging Markets/Pacific Rim VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Foxhall Emerging Markets/Pacific Rim VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Foxhall Emerging Markets/Pacific Rim VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
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Transamerica Foxhall Emerging Markets/Pacific Rim VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Foxhall Global Conservative VP
(unaudited)
MARKET ENVIRONMENT
While many global indices ended the fiscal year ending December 31, 2010 in positive territory, these simple one year returns do not tell the entire story of the turmoil and uncertainty in 2010. The year began with newspaper headlines and anchormen talking about the tenuousness of the Greek bond crisis and debating whether or not Greece would default on its sovereign debt; in April, the Greek 10 year debt yield exploded to over 11%, which was the highest of any European Union nation since the introduction of the Euro in 2002. Shortly thereafter, the notorious “Flash Crash” increased fears on May 6th when the Dow Jones Industrial Average (“Dow”) plummeted over 9%, constituting a record intraday drop in points for the Dow, only to close the rollercoaster day down 3.2%. After the crash, “Wall Street’s so-called fear gauge,” the Chicago Board Options Exchange (“CBOE”) Volatility Index (“VIX”), finished at its highest level since May of 2009, indicating a significantly increased level of uneasiness in the markets. Following the Flash Crash, the U.S. dollar came under severe scrutiny with doubts about its long term viability coming from many different groups with the most notable doubt coming in the CNN headline “Dollar Should Be Replaced as International Standard, U.N. report says.”
The second half of the year had far fewer “doomsday” headlines but was not without drama of its own. Many predicted that the U.S. was in the midst of a massive fixed income bubble with yields dropping precipitously on fears of economic outlook. The acclaimed bond guru, Bill Gross, even commented he believed treasuries had some “bubble characteristics.” If bubble fears were not enough to cause chaos in the fixed income market, the Federal Reserve Board’s (“Fed”) decision to institute quantitative easing Part 2 (“QE2”) certainly would add fuel to the fire. The Fed’s announcement that it would purchase $600 billion of long term treasuries in 8 months caused much uproar and speculation as to: 1) whether or not another round of quantitative easing would be effective; and 2) what the effect would be on the dollar.
As 2010 came to a close, the unanswered questions about inflation, a fixed income bubble, the European debt crisis, and even war in Korea left the public with much to contemplate entering the new year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Foxhall Global Conservative VP Initial Class returned (5.79)%. By comparison its primary and secondary benchmarks, the Barclays Capital U.S. Aggregate Bond Index, the Financial Times Stock Exchange World Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 6.54%, 12.73% and 0.13%, respectively.
STRATEGY REVIEW
The portfolio utilizes a proprietary three step investment process that: 1) identifies whether markets are in an up- or downtrend; 2) sets portfolio construction rules; and 3) selects securities based on relative strength. Transamerica Foxhall Global Conservative VP portfolio’s target allocation is 75% bonds and currencies and 25% equities, and as a result of a very tumultuous year in the bond market, the bonds and currencies portion of the portfolio struggled, while the equity portion contributed most of the positive returns.
In 2010, the Fund significantly under-performed its primary benchmark, the Barclays Capital U.S. Aggregate Bond Index. During the past year, the unsettled U.S. economy was reflected in a volatile U.S. stock market that carried over to convertibles and high yield bonds. Unfortunately, Foxhall’s momentum-based securities selection system was repeatedly “whipsawed” when the momentum of its bond selections quickly change directions. In the 1st quarter the Fund produced a (0.30)% return due to its exposure to convertibles, high yield, and currencies return while the benchmark returned 1.78%. As the Fund shifted its exposure to short-term Treasuries in early 2nd quarter, the bond market rallied. However, the rally was short-lived. As the Fund rotated its positions back into high yield and convertible positions in May, these segments of the bond market again fell, and the Fund suffered a 5.96% loss for the quarter while the benchmark increased in value by 3.49%. As the Fund shifted back to the short term Treasuries in the 3rd quarter, the bond market experienced another revival and the fund again missed the rally.
Paul Dietrich
David H. Morton
David Sade
Co-Portfolio Managers
Foxhall Capital Management, Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Foxhall Global Conservative VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | (5.79 | )% | | | (3.31 | )% | | | 07/01/2009 | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 7.03 | % | | | | |
FTSE World * | | | 12.73 | % | | | 24.65 | | | | | |
BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 0.15 | % | | | | |
| |
| Service Class | | | (6.10 | )% | | | (3.59 | )% | | | 07/01/2009 | |
| |
NOTES
| | |
| * | | The Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”), Financial Times Stock Exchange World Index (“FTSE World”), and the Bank of America Merill Lynch 3 Month Treasury Bill Index (“BofA Merill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Foxhall Global Conservative VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Foxhall Global Conservative VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,004.90 | | | $ | 5.05 | | | $ | 1,020.16 | | | $ | 5.09 | | | | 1.00 | % |
| Service Class | | | 1,000.00 | | | | 1,003.80 | | | | 6.31 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Investment Companies | | | 93.1 | % |
| Securities Lending Collateral | | | 17.2 | |
| Repurchase Agreement | | | 6.8 | |
| Other Assets and Liabilities – Net | | | (17.1 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Foxhall Global Conservative VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 93.1% | | | | | | | | |
Capital Markets - 93.1% | | | | | | | | |
| Greenhaven Continous Commodity Index Fund | | | 11,667 | | | $ | 384 | |
| iShares Barclays Short Treasury Bond Fund | | | 66,767 | | | | 7,360 | |
| iShares MSCI EAFE Index Fund ^ | | | 37,460 | | | | 2,181 | |
| iShares MSCI Emerging Markets Index Fund ^ | | | 31,459 | | | | 1,498 | |
| iShares Russell 3000 Index Fund ^ | | | 39,786 | | | | 2,982 | |
| Market Vectors — Hard Asset Producers ETF | | | 9,695 | | | | 378 | |
| PIMCO Enhanced Short Maturity Strategy Fund | | | 12,322 | | | | 1,241 | |
| PowerShares VRDO Tax Free Weekly Portfolio | | | 244,930 | | | | 6,121 | |
| SPDR Barclays Capital 1-3 Month T-Bill ETF | | | 160,498 | | | | 7,359 | |
| | | | | | | | |
Total Investment Companies (cost $29,271) | | | | | | | 29,504 | |
| | | | | | | | |
| |
SECURITIES LENDING COLLATERAL - 17.2% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 5,444,829 | | | | 5,445 | |
Total Securities Lending Collateral (cost $5,445) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 6.8% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $2,153 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/25/2024, with a value of $2,197. | | $ | 2,153 | | | | 2,153 | |
Total Repurchase Agreement (cost $2,153) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $36,869) # | | | | | | | 37,102 | |
| Other Assets and Liabilities – Net | | | | | | | (5,412 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 31,690 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $5,329. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $36,869. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $241 and $8, respectively. Net unrealized appreciation for tax purposes is $233. |
DEFINITIONS:
| | | |
|
ETF | | Exchange-Traded Fund |
| |
SPDR | | Standard & Poor’s Depositary Receipt |
| |
VRDO | | Variable Rate Demand Obligations |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Companies | | $ | 29,504 | | | $ | — | | | $ | — | | | $ | 29,504 | |
| Securities Lending Collateral | | | 5,445 | | | | — | | | | — | | | | 5,445 | |
| Repurchase Agreement | | | — | | | | 2,153 | | | | — | | | | 2,153 | |
| | | | | | | | | | | | | |
Total | | $ | 34,949 | | | $ | 2,153 | | | $ | — | | | $ | 37,102 | |
| | | | | | | | | | | | | |
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| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Foxhall Global Conservative VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investments in investment companies, at value (cost: $34,716)
(including securities loaned of $5,329) | | $ | 34,949 | |
| Repurchase agreement, at value (cost: $2,153) | | | 2,153 | |
| Receivables: | | | | |
| Shares sold | | | 73 | |
| Securities lending income (net) | | | 1 | |
| Dividends | | | 2 | |
| | | | |
| | | | 37,178 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 1 | |
| Management and advisory fees | | | 25 | |
| Distribution and service fees | | | 6 | |
| Transfer agent fees | | | — | (A) |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 1 | |
| Other | | | 3 | |
| Collateral for securities on loan | | | 5,445 | |
| | | | |
| | | | 5,488 | |
| | | | |
Net assets | | $ | 31,690 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 34 | |
| Additional paid-in capital | | | 32,593 | |
| Undistributed (accumulated) net investment income (loss) | | | 58 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | (1,228 | ) |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 233 | |
| | | | |
Net assets | | $ | 31,690 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 2,337 | |
| Service Class | | | 29,353 | |
Shares outstanding: | | | | |
| Initial Class | | | 246 | |
| Service Class | | | 3,107 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 9.48 | |
| Service Class | | | 9.45 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 258 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 15 | |
| | | | |
| | | | 273 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 159 | |
| Printing and shareholder reports | | | 1 | |
| Custody | | | 14 | |
| Administration | | | 4 | |
| Legal | | | 1 | |
| Audit and tax | | | 14 | |
| Trustees | | | 1 | |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 39 | |
| Other | | | — | (A) |
| | | | |
| Total expenses | | | 233 | |
| | | | |
| Less waiver/reimbursement | | | (18 | ) |
| | | | |
| Net expenses | | | 215 | |
| | | | |
| | | | | |
Net investment income | | | 58 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | (1,225 | ) |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 268 | |
| | | | |
Net realized and unrealized loss on investments in investment companies | | | (957 | ) |
| | | | |
| | | | | |
Net decrease In net assets resulting from operations | | $ | (899 | ) |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
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| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Foxhall Global Conservative VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 58 | | | $ | 22 | |
| Net realized gain (loss) from investments in and distributions from investment companies | | | (1,225 | ) | | | 10 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 268 | | | | (35 | ) |
| | | | | | | |
Net decrease in net assets resulting from operations | | | (899 | ) | | | (3 | ) |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (3 | ) | | | — | |
| Service Class | | | (19 | ) | | | — | |
| | | | | | | |
| | | | (22 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (1 | ) | | | — | |
| Service Class | | | (12 | ) | | | — | |
| | | | | | | |
| | | | (13 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (35 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 1,292 | | | | 2,054 | |
| Service Class | | | 30,060 | | | | 3,021 | |
| | | | | | | |
| | | | 31,352 | | | | 5,075 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 4 | | | | — | |
| Service Class | | | 31 | | | | — | |
| | | | | | | |
| | | | 35 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (704 | ) | | | (185 | ) |
| Service Class | | | (2,910 | ) | | | (36 | ) |
| | | | | | | |
| | | | (3,614 | ) | | | (221 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 27,773 | | | | 4,854 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 26,839 | | | | 4,851 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 4,851 | | | | — | |
| | | | | | | |
| End of year | | $ | 31,690 | | | $ | 4,851 | |
| | | | | | | |
Undistributed net investment income | | $ | 58 | | | $ | 22 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 131 | | | | 204 | |
| Service Class | | | 3,112 | | | | 299 | |
| | | | | | | |
| | | | 3,243 | | | | 503 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 1 | | | | — | |
| Service Class | | | 3 | | | | — | |
| | | | | | | |
| | | | 4 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (72 | ) | | | (18 | ) |
| Service Class | | | (303 | ) | | | (4 | ) |
| | | | | | | |
| | | | (375 | ) | | | (22 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 60 | | | | 186 | |
| Service Class | | | 2,812 | | | | 295 | |
| | | | | | | |
| | | | 2,872 | | | | 481 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on July 1, 2009. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Foxhall Global Conservative VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | Initial Class | | | Service Class | |
| | | December 31, | | | Jul 1 to Dec | | | December 31, | | | Jul 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.09 | | | $ | 10.00 | | | $ | 10.08 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.03 | | | | 0.09 | | | | 0.03 | | | | 0.17 | |
| Net realized and unrealized loss | | | (0.62 | ) | | | — | (D) | | | (0.64 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | |
| Total operations | | | (0.59 | ) | | | 0.09 | | | | (0.61 | ) | | | 0.08 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.01 | ) | | | — | | | | (0.01 | ) | | | — | |
| From net realized gains | | | (0.01 | ) | | | — | | | | (0.01 | ) | | | — | |
| | | | | | | | | | | | | |
| Total distributions | | | (0.02 | ) | | | — | | | | (0.02 | ) | | | — | |
| | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 9.48 | | | $ | 10.09 | | | $ | 9.45 | | | $ | 10.08 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(E) | | | (5.79 | )% | | | 0.90 | %(F) | | | (6.10 | )% | | | 0.80 | %(F) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 2,337 | | | $ | 1,880 | | | $ | 29,353 | | | $ | 2,971 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(G) | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.00 | % | | | 1.00 | %(H) | | | 1.25 | % | | | 1.25 | %(H) |
| Before reimbursement/fee waiver | | | 1.10 | % | | | 3.67 | %(H) | | | 1.35 | % | | | 3.92 | %(H) |
Net investment income, to average net assets(C) | | | 0.25 | % | | | 1.80 | %(H) | | | 0.34 | % | | | 3.42 | %(H) |
Portfolio turnover rate(I) | | | 678 | % | | | 198 | %(F) | | | 678 | % | | | 198 | %(F) |
| | |
| (A) | | Commenced operations on July 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Rounds to less than $(.01) per share. |
| |
| (E) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (F) | | Not annualized. |
| |
| (G) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (H) | | Annualized. |
| |
| (I) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Foxhall Global Conservative VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Foxhall Global Conservative VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from investment companies, if any, are recorded on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Foxhall Global Conservative VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
At the commencement of operations, TAM invested in the Fund. As of December 31, 2010, TAM had remaining investments in the Fund as follows:
| | | | | | | | | |
| | | | | | | % of Fund’s |
| | | Value | | Net Assets |
| |
| Initial Class | | $ | 238 | | | | 0.75 | % |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Foxhall Global Conservative VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.90 | % |
| Over $500 million up to $1 billion | | | 0.875 | % |
| Over $1 billion | | | 0.85 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $18. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| |
| Fiscal Year 2009: | | $ | 26 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 18 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Foxhall Global Conservative VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 131,071 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 104,835 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $738 | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 35 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 58 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (738 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (490 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 233 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Foxhall Global Conservative VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Foxhall Global Conservative VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Foxhall Global Conservative VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Foxhall Global Conservative VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Foxhall Global Conservative VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Foxhall Global Growth VP
(unaudited)
MARKET ENVIRONMENT
While many global indices ended the fiscal year ending December 31, 2010 in positive territory, these simple one year returns do not tell the entire story of the turmoil and uncertainty in 2010. The year began with newspaper headlines and anchormen talking about the tenuousness of the Greek bond crisis and debating whether or not Greece would default on its sovereign debt; in April, the Greek 10 year debt yield exploded to over 11%, which was the highest of any European Union nation since the introduction of the Euro in 2002. Shortly thereafter, the notorious “Flash Crash” increased fears on May 6th when the Dow Jones Industrial Average (“Dow”) plummeted over 9%, constituting a record intraday drop in points for the Dow, only to close the rollercoaster day down 3.2%. After the crash, “Wall Street’s so-called fear gauge,” the Chicago Board Options Exchange (“CBOE”) Volatility Index (“VIX”), finished at its highest level since May of 2009, indicating a significantly increased level of uneasiness in the markets. Following the Flash Crash, the U.S. dollar came under severe scrutiny with doubts about its long term viability coming from many different groups with the most notable doubt coming in the CNN headline “Dollar Should Be Replaced as International Standard, U.N. report says.”
The second half of the year had far fewer “doomsday” headlines but was not without drama of its own. Many predicted that the U.S. was in the midst of a massive fixed income bubble with yields dropping precipitously on fears of economic outlook. The acclaimed bond guru, Bill Gross, even commented he believed treasuries had some “bubble characteristics.” If bubble fears were not enough to cause chaos in the fixed income market, the Federal Reserve Board’s (“Fed”) decision to institute quantitative easing Part 2 (“QE2”) certainly would add fuel to the fire. The Fed’s announcement that it would purchase $600 billion of long term treasuries in 8 months caused much uproar and speculation as to: 1) whether or not another round of quantitative easing would be effective; and 2) what the effect would be on the dollar.
As 2010 came to a close, the unanswered questions about inflation, a fixed income bubble, the European debt crisis, and even war in Korea left the public with much to contemplate entering the new year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Foxhall Global Growth VP Initial Class returned 5.56%. By comparison its primary and secondary benchmarks, the Financial Times Stock Exchange World Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 12.73% and 0.13%, respectively.
STRATEGY REVIEW
The portfolio utilizes a proprietary three step investment process that: 1) identifies whether markets are in an up- or downtrend; 2) sets portfolio construction rules; and 3) selects securities based on relative strength. Transamerica Foxhall Global Growth VP portfolio’s target allocation is 100% equities, and despite a rollercoaster year in the global equity markets, the tactically managed portfolio ended the year with positive performance.
With volatility remaining persistently high throughout the year, the portfolio’s cash and short term treasury holdings varied greatly, ranging from over 75% in the middle of the year, to fully invested at the end of the year when a steady upward trending market finally emerged. The dynamic adjustment in the mix of protective assets (such as cash and short term treasuries) and equities is one element of Foxhall’s volatility suppression methodology which is intended to minimize the damage done to portfolios during the time when markets decline, while allowing reasonable participation in periods when markets are advancing but remain inherently unstable and reflective of an uncertain trend. The end result is a portfolio with volatility and other risk characteristics that is better suited for investors that are quickly made uncomfortable by difficult market environments.
The best overall performing positions were the WisdomTree Dividend ex-Fin Fund exchange-traded fund (“ETF”) and the Guggenheim Multi-Asset Income ETF, which are dividend oriented positions. Foxhall’s proprietary relative strength process identified positions such as these throughout the year as positions that were trending up and likely to outperform, and once such identification is made, Foxhall realigns assets to best take advantage of the trends. Top percentage gainers in the portfolio were individual country funds such as Thailand, China, and Chile; these emerging markets positions are included in the portfolio because of their greater upside potential but are taken at greatly reduced positions to control risk and portfolio volatility. Diversified commodities positions including Market Vectors -Hard Asset Producers ETF and GreenHaven Continuous Commodity Index Fund also added smartly to the 4th quarter performance both outperforming the Standard & Poor’s 500 Composite Stock Index.
Positions that detracted most from performance were U.S. style box holdings purchased during May and June when global markets as a whole were losing value.
Paul Dietrich
David H. Morton
David Sade
Co-Portfolio Managers
Foxhall Capital Management, Inc.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Foxhall Global Growth VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 5.56 | % | | | 10.65 | % | | | 07/01/2009 | |
FTSE World * | | | 12.73 | % | | | 24.65 | % | | | | |
BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 0.15 | % | | | | |
| |
| Service Class | | | 5.39 | % | | | 10.39 | % | | | 07/01/2009 | |
| |
NOTES
| | |
| * | | The Financial Times Stock Exchange World Index (“FTSE World”) and the Bank of America Merrill Lynch 3 Month Treasury Bill Index (“BofA Merrill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Foxhall Global Growth VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Foxhall Global Growth VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,137.10 | | | $ | 5.39 | | | $ | 1,020.16 | | | $ | 5.09 | | | | 1.00 | % |
| Service Class | | | 1,000.00 | | | | 1,136.40 | | | | 6.73 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net | |
| Asset Type | | Assets | |
| |
| Investment Companies | | | 92.3 | % |
| Securities Lending Collateral | | | 25.5 | |
| Repurchase Agreement | | | 7.8 | |
| Other Assets and Liabilities — Net | | | (25.6 | ) |
| |
Total | | | 100.0 | % |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Foxhall Global Growth VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 92.3% | | | | | | | | |
Capital Markets - 92.3% | | | | | | | | |
| Greenhaven Continous Commodity Index Fund | | | 79,321 | | | $ | 2,614 | |
| iShares Dow Jones U.S. Index Fund ^ | | | 160,973 | | | | 10,206 | |
| iShares MSCI EAFE Index Fund ^ | | | 129,200 | | | | 7,523 | |
| iShares MSCI Emerging Markets Index Fund | | | 212,362 | | | | 10,113 | |
| iShares Russell 3000 Index Fund ^ | | | 136,357 | | | | 10,219 | |
| Market Vectors — Hard Asset Producers ETF | | | 65,943 | | | | 2,568 | |
| Vanguard Europe Pacific ETF | | | 204,891 | | | | 7,407 | |
| | | | | | | | |
Total Investment Companies (cost $49,190) | | | | | | | 50,650 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 25.5% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 13,980,682 | | | | 13,981 | |
Total Securities Lending Collateral (cost $13,981) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 7.8% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $4,257 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $4,345. | | $ | 4,257 | | | | 4,257 | |
Total Repurchase Agreement (cost $4,257) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $67,428) # | | | | | | | 68,888 | |
| Other Assets and Liabilities — Net | | | | | | | (14,041 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 54,847 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $13,690. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $67,428. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $1,542 and $82, respectively. Net unrealized appreciation for tax purposes is $1,460. |
DEFINITION:
ETF Exchange-Traded Fund
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 50,650 | | | $ | — | | | $ | — | | | $ | 50,650 | |
| Securities Lending Collateral | | | 13,981 | | | | — | | | | — | | | | 13,981 | |
| Repurchase Agreement | | | — | | | | 4,257 | | | | — | | | | 4,257 | |
| | | | | | | | | | | | | |
Total | | $ | 64,631 | | | $ | 4,257 | | | $ | — | | | $ | 68,888 | |
| | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Foxhall Global Growth VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investments in investment companies, at value
(cost: $63,171)
(including securities loaned of $13,690) | | $ | 64,631 | |
| Repurchase agreement, at value (cost: $4,257) | | | 4,257 | |
| Receivables: | | | | |
| Shares sold | | | 61 | |
| Securities lending income (net) | | | 4 | |
| Dividends | | | 5 | |
| | | | |
| | | | 68,958 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 61 | |
| Management and advisory fees | | | 48 | |
| Distribution and service fees | | | 8 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 2 | |
| Other | | | 3 | |
| Collateral for securities on loan | | | 13,981 | |
| | | | |
| | | | 14,111 | |
| | | | |
Net assets | | $ | 54,847 | |
| | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 48 | |
| Additional paid-in capital | | | 51,235 | |
| Undistributed (accumulated) net investment income (loss) | | | 511 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | 1,593 | |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 1,460 | |
| | | | |
Net assets | | $ | 54,847 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 17,701 | |
| Service Class | | | 37,146 | |
Shares outstanding: | | | | |
| Initial Class | | | 1,534 | |
| Service Class | | | 3,231 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.54 | |
| Service Class | | | 11.50 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 904 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 25 | |
| | | | |
| | | | 929 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 330 | |
| Printing and shareholder reports | | | 4 | |
| Custody | | | 13 | |
| Administration | | | 7 | |
| Legal | | | 3 | |
| Audit and tax | | | 15 | |
| Trustees | | | 1 | |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 52 | |
| Other | | | 1 | |
| | | | |
| Total expenses | | | 426 | |
| | | | |
| Less waiver/reimbursement | | | (7 | ) |
| | | | |
| Net expenses | | | 419 | |
| | | | |
| | | | | |
Net investment income | | | 510 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | 1,589 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 1,043 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 2,632 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 3,142 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Foxhall Global Growth VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 510 | | | $ | 102 | |
| Net realized gain from investments in investment companies | | | 1,589 | | | | 265 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 1,043 | | | | 417 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 3,142 | | | | 784 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (39 | ) | | | — | |
| Service Class | | | (62 | ) | | | — | |
| | | | | | | |
| | | | (101 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (100 | ) | | | — | |
| Service Class | | | (161 | ) | | | — | |
| | | | | | | |
| | | | (261 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (362 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 6,819 | | | | 12,181 | |
| Service Class | | | 33,038 | | | | 5,443 | |
| | | | | | | |
| | | | 39,857 | | | | 17,624 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 139 | | | | — | |
| Service Class | | | 223 | | | | — | |
| | | | | | | |
| | | | 362 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (2,388 | ) | | | (572 | ) |
| Service Class | | | (3,595 | ) | | | (5 | ) |
| | | | | | | |
| | | | (5,983 | ) | | | (577 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 34,236 | | | | 17,047 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 37,016 | | | | 17,831 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 17,831 | | | | — | |
| | | | | | | |
| End of year | | $ | 54,847 | | | $ | 17,831 | |
| | | | | | | |
Undistributed net investment income | | $ | 511 | | | $ | 102 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 621 | | | | 1,172 | |
| Service Class | | | 3,039 | | | | 501 | |
| | | | | | | |
| | | | 3,660 | | | | 1,673 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 14 | | | | — | |
| Service Class | | | 22 | | | | — | |
| | | | | | | |
| | | | 36 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (218 | ) | | | (55 | ) |
| Service Class | | | (331 | ) | | | — | (B) |
| | | | | | | |
| | | | (549 | ) | | | (55 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 417 | | | | 1,117 | |
| Service Class | | | 2,730 | | | | 501 | |
| | | | | | | |
| | | | 3,147 | | | | 1,618 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on July 1, 2009. |
| |
| (B) | | Rounds to less than 1 share. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Foxhall Global Growth VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | Initial Class | | | Service Class | |
| | | December 31, | | | Jul 1 to Dec | | | December 31, | | | Jul 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.03 | | | $ | 10.00 | | | $ | 11.01 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.13 | | | | 0.11 | | | | 0.16 | | | | 0.30 | |
| Net realized and unrealized gain | | | 0.47 | | | | 0.92 | | | | 0.42 | | | | 0.71 | |
| | | | | | | | | | | | | |
| Total operations | | | 0.60 | | | | 1.03 | | | | 0.58 | | | | 1.01 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.03 | ) | | | — | | | | (0.02 | ) | | | — | |
| From net realized gains | | | (0.06 | ) | | | — | | | | (0.07 | ) | | | — | |
| | | | | | | | | | | | | |
| Total distributions | | | (0.09 | ) | | | — | | | | (0.09 | ) | | | — | |
| | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.54 | | | $ | 11.03 | | | $ | 11.50 | | | $ | 11.01 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(D) | | | 5.56 | % | | | 10.30 | %(E) | | | 5.39 | % | | | 10.10 | %(E) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 17,701 | | | $ | 12,318 | | | $ | 37,146 | | | $ | 5,513 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.00 | % | | | 1.00 | %(G) | | | 1.25 | % | | | 1.25 | %(G) |
| Before reimbursement/fee waiver | | | 1.02 | % | | | 1.87 | %(G) | | | 1.27 | % | | | 2.12 | %(G) |
Net investment income, to average net assets(C) | | | 1.22 | % | | | 2.04 | %(G) | | | 1.52 | % | | | 5.46 | %(G) |
Portfolio turnover rate(H) | | | 751 | % | | | 255 | %(E) | | | 751 | % | | | 255 | %(E) |
| | |
| (A) | | Commenced operations on July 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Foxhall Global Growth VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Foxhall Global Growth VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from investment companies, if any, are recorded on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
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| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Foxhall Global Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.90 | % |
| Over $500 million up to $1 billion | | | 0.875 | % |
| Over $1 billion | | | 0.85 | % |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Foxhall Global Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $7. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| |
| Fiscal Year 2009: | | $ | 37 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 7 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 280,459 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 248,888 | |
| U.S. Government | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Foxhall Global Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 356 | |
| Long-term Capital Gain | | | 6 | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 2,104 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 1,460 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Foxhall Global Growth VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Foxhall Global Growth VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Foxhall Global Growth VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Foxhall Global Growth VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Foxhall Global Growth VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund made a Long-Term Capital Gain Designation of $6 for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Foxhall Global Hard Asset VP
(unaudited)
MARKET ENVIRONMENT
While many global indices ended the fiscal year ending December 31, 2010 in positive territory, these simple one year returns do not tell the entire story of the turmoil and uncertainty in 2010. The year began with newspaper headlines and anchormen talking about the tenuousness of the Greek bond crisis and debating whether or not Greece would default on its sovereign debt; in April, the Greek 10 year debt yield exploded to over 11%, which was the highest of any European Union nation since the introduction of the Euro in 2002. Shortly thereafter, the notorious “Flash Crash” increased fears on May 6th when the Dow Jones Industrial Average (“Dow”) plummeted over 9%, constituting a record intraday drop in points for the Dow, only to close the rollercoaster day down 3.2%. After the crash, “Wall Street’s so-called fear gauge,” the Chicago Board Options Exchange (“CBOE”) Volatility Index (“VIX”), finished at its highest level since May of 2009, indicating a significantly increased level of uneasiness in the markets. Following the Flash Crash, the U.S. dollar came under severe scrutiny with doubts about its long term viability coming from many different groups with the most notable doubt coming in the CNN headline “Dollar Should Be Replaced as International Standard, U.N. report says.”
The second half of the year had far fewer “doomsday” headlines but was not without drama of its own. Many predicted that the U.S. was in the midst of a massive fixed income bubble with yields dropping precipitously on fears of economic outlook. The acclaimed bond guru, Bill Gross, even commented he believed treasuries had some “bubble characteristics.” If bubble fears were not enough to cause chaos in the fixed income market, the Federal Reserve Board’s (“Fed”) decision to institute quantitative easing Part 2 (“QE2”) certainly would add fuel to the fire. The Fed’s announcement that it would purchase $600 billion of long term treasuries in 8 months caused much uproar and speculation as to: 1) whether or not another round of quantitative easing would be effective; and 2) what the effect would be on the dollar.
As 2010 came to a close, the unanswered questions about inflation, a fixed income bubble, the European debt crisis, and even war in Korea left the public with much to contemplate entering the new year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Foxhall Global Hard Asset VP Initial Class returned 3.39%. By comparison its primary and secondary benchmarks, the Dow Jones-UBS Commodity Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 16.67% and 0.13%, respectively.
STRATEGY REVIEW
The portfolio utilizes a proprietary three step investment process that: 1) identifies whether markets are in an up- or downtrend; 2) sets portfolio construction rules; and 3) selects securities based on relative strength. Transamerica Foxhall Global Hard Asset VP portfolio’s target allocation is 100% equities, and despite a rollercoaster year in both the global Commodities and Commodity Producers, the tactically managed portfolio ended the year with positive performance.
With volatility remaining persistently high throughout the year, the portfolio’s cash and short term treasury holdings varied greatly ranging from over 75% in the middle of the year to fully invested at the end of the year, when a steady upward trending market finally emerged. The dynamic adjustment in the mix of protective assets (such as cash and short term treasuries) and equities is one element of Foxhall’s volatility suppression methodology which is intended to minimize the damage done to portfolios during the time when markets decline while allowing reasonable participation in periods when markets are advancing but remain inherently unstable and reflective of an uncertain trend.
The portfolio is a highly concentrated portfolio designed to benefit from advances in highly volatile segments of the global markets. The portfolio’s best performing positions were international real estate exchange-traded funds (“ETFs”): a domestic real estate ETF was held at the beginning of 2010 and provided both stability during the January down market and outperformance during the ensuing market run up; and an international real estate ETF near the year end provided great outperformance. Foxhall’s proprietary relative strength process identified positions such as these throughout the year as positions that were trending up and likely to outperform, and once such identification is made, Foxhall realigns assets to best take advantage of the trends. Other top performing positions were the WisdomTree Dreyfus Brazilian Real ETF and the PowerShares DB Silver Fund.
Positions that detracted most from performance were Commodity Producer positions such as the Guggenheim Timber ETF, which struggled during the down periods in January, and the Market Vectors Steel ETF, which saw poor performance in April.
Paul Dietrich
David H. Morton
David Sade
Co-Portfolio Managers
Foxhall Capital Management, Inc.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Foxhall Global Hard Asset VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 3.39 | % | | | 4.54 | % | | | 07/01/2009 | |
Dow Jones-UBS Commodity * | | | 16.67 | % | | | 20.59 | | | | | |
BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 0.15 | % | | | | |
| |
| Service Class | | | 3.10 | % | | | 4.28 | % | | | 07/01/2009 | |
| |
NOTES
| | |
| * | | The Dow Jones-UBS Commodity Index (“Dow Jones-UBS Commodity”) and the Bank of America Merrill Lynch 3 Month Treasury Bill Index (“BofA Merrill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors�� units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Foxhall Global Hard Asset VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Foxhall Global Hard Asset VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,106.70 | | | $ | 5.31 | | | $ | 1,020.16 | | | $ | 5.09 | | | | 1.00 | % |
| Service Class | | | 1,000.00 | | | | 1,106.00 | | | | 6.64 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Investment Companies | | | 91.7 | % |
| Securities Lending Collateral | | | 22.2 | |
| Repurchase Agreement | | | 8.3 | |
| Other Assets and Liabilities — Net | | | (22.2 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Foxhall Global Hard Asset VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 91.7% | | | | | | | | |
Capital Markets - 91.7% | | | | | | | | |
| Greenhaven Continous Commodity Index Fund | | | 291,166 | | | $ | 9,594 | |
| iShares MSCI Canada Index Fund ^ | | | 67,809 | | | | 2,102 | |
| iShares S&P Emerging Markets Infrastructure Index Fund | | | 48,525 | | | | 1,665 | |
| iShares S&P Global Infrastructure Index Fund ^ | | | 200,149 | | | | 7,017 | |
| iShares S&P North American Natural Resources Sector Index Fund ^ | | | 100,007 | | | | 4,169 | |
| Market Vectors — Hard Asset Producers ETF | | | 319,482 | | | | 12,444 | |
| Vanguard Materials ETF ^ | | | 29,269 | | | | 2,418 | |
| | | | | | | | |
Total Investment Companies (cost $36,777) | | | | | | | 39,409 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 22.2% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 9,529,112 | | | | 9,529 | |
Total Securities Lending Collateral (cost $9,529) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 8.3% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $3,569 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $3,643. | | $ | 3,569 | | | | 3,569 | |
Total Repurchase Agreement (cost $3,569) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $49,875) # | | | | | | | 52,507 | |
| Other Assets and Liabilities — Net | | | | | | | (9,552 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 42,955 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $9,292. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $49,875. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $2,677 and $45, respectively. Net unrealized appreciation for tax purposes is $2,632. |
DEFINITION:
ETF Exchange-Traded Fund
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Companies | | $ | 39,409 | | | $ | — | | | $ | — | | | $ | 39,409 | |
| Securities Lending Collateral | | | 9,529 | | | | — | | | | — | | | | 9,529 | |
| Repurchase Agreement | | | — | | | | 3,569 | | | | — | | | | 3,569 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 48,938 | | | $ | 3,569 | | | $ | — | | | $ | 52,507 | |
| | | | | | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Foxhall Global Hard Asset VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investments in investment companies, at value
(cost: $46,306)
(including securities loaned of $9,292) | | $ | 48,938 | |
| Repurchase agreement, at value (cost: $3,569) | | | 3,569 | |
| Receivables: | | | | |
| Shares sold | | | 117 | |
| Securities lending income (net) | | | 4 | |
| Dividends | | | 5 | |
| Prepaid expenses | | | 1 | |
| | | | |
| | | | 52,634 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 97 | |
| Management and advisory fees | | | 34 | |
| Distribution and service fees | | | 7 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 2 | |
| Other | | | 2 | |
| Collateral for securities on loan | | | 9,529 | |
| | | | |
| | | | 9,679 | |
| | | | |
Net assets | | $ | 42,955 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 40 | |
| Additional paid-in capital | | | 40,576 | |
| Undistributed (accumulated) net investment income (loss) | | | 100 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | (393 | ) |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 2,632 | |
| | | | |
Net assets | | $ | 42,955 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 9,786 | |
| Service Class | | | 33,169 | |
Shares outstanding: | | | | |
| Initial Class | | | 920 | |
| Service Class | | | 3,129 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 10.64 | |
| Service Class | | | 10.60 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 360 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 33 | |
| | | | |
| | | | 393 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 226 | |
| Printing and shareholder reports | | | 4 | |
| Custody | | | 11 | |
| Administration | | | 5 | |
| Legal | | | 2 | |
| Audit and tax | | | 15 | |
| Trustees | | | 1 | |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 42 | |
| Other | | | — | (A) |
| | | | |
| Total expenses | | | 306 | |
| | | | |
| Less waiver/reimbursement | | | (13 | ) |
| | | | |
| Net expenses | | | 293 | |
| | | | |
| | | | | |
Net investment income | | | 100 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | (393 | ) |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 2,570 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 2,177 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 2,277 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Foxhall Global Hard Asset VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 100 | | | $ | 42 | |
| Net realized gain (loss) from investments in investment companies | | | (393 | ) | | | 90 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 2,570 | | | | 62 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 2,277 | | | | 194 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (12 | ) | | | — | |
| Service Class | | | (27 | ) | | | — | |
| | | | | | | |
| | | | (39 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (27 | ) | | | — | |
| Service Class | | | (66 | ) | | | — | |
| | | | | | | |
| | | | (93 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (132 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 3,999 | | | | 7,027 | |
| Service Class | | | 31,732 | | | | 3,381 | |
| | | | | | | |
| | | | 35,731 | | | | 10,408 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 39 | | | | — | |
| Service Class | | | 93 | | | | — | |
| | | | | | | |
| | | | 132 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (1,685 | ) | | | (151 | ) |
| Service Class | | | (3,695 | ) | | | (124 | ) |
| | | | | | | |
| | | | (5,380 | ) | | | (275 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 30,483 | | | | 10,133 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 32,628 | | | | 10,327 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 10,327 | | | | — | |
| | | | | | | |
| End of year | | $ | 42,955 | | | $ | 10,327 | |
| | | | | | | |
Undistributed net investment income | | $ | 100 | | | $ | 42 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 401 | | | | 698 | |
| Service Class | | | 3,178 | | | | 328 | |
| | | | | | | |
| | | | 3,579 | | | | 1,026 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 4 | | | | — | |
| Service Class | | | 10 | | | | — | |
| | | | | | | |
| | | | 14 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (168 | ) | | | (15 | ) |
| Service Class | | | (375 | ) | | | (12 | ) |
| | | | | | | |
| | | | (543 | ) | | | (27 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 237 | | | | 683 | |
| Service Class | | | 2,813 | | | | 316 | |
| | | | | | | |
| | | | 3,050 | | | | 999 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on July 1, 2009. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Foxhall Global Hard Asset VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | Initial Class | | | Service Class | |
| | | December 31, | | | Jul 1 to Dec | | | December 31, | | | Jul 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.34 | | | $ | 10.00 | | | $ | 10.33 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.02 | | | | 0.07 | | | | 0.05 | | | | 0.23 | |
| Net realized and unrealized gain | | | 0.33 | | | | 0.27 | | | | 0.26 | | | | 0.10 | |
| | | | | | | | | | | | | |
| Total operations | | | 0.35 | | | | 0.34 | | | | 0.31 | | | | 0.33 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.02 | ) | | | — | | | | (0.01 | ) | | | — | |
| From net realized gains | | | (0.03 | ) | | | — | | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | |
| Total distributions | | | (0.05 | ) | | | — | | | | (0.04 | ) | | | — | |
| | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.64 | | | $ | 10.34 | | | $ | 10.60 | | | $ | 10.33 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(D) | | | 3.39 | % | | | 3.40 | %(E) | | | 3.10 | % | | | 3.30 | %(E) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 9,786 | | | $ | 7,065 | | | $ | 33,169 | | | $ | 3,262 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.00 | % | | | 1.00 | %(G) | | | 1.25 | % | | | 1.25 | %(G) |
| Before reimbursement/fee waiver | | | 1.05 | % | | | 2.19 | %(G) | | | 1.30 | % | | | 2.44 | %(G) |
Net investment income, to average net assets(C) | | | 0.22 | % | | | 1.30 | %(G) | | | 0.48 | % | | | 4.57 | %(G) |
Portfolio turnover rate(H) | | | 718 | % | | | 248 | %(E) | | | 718 | % | | | 248 | %(E) |
| | |
| (A) | | Commenced operations on July 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Foxhall Global Hard Asset VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Foxhall Global Hard Asset VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from investment companies, if any, are recorded on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Foxhall Global Hard Asset VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.90 | % |
| Over $500 million up to $1 billion | | | 0.875 | % |
| Over $1 billion | | | 0.85 | % |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Foxhall Global Hard Asset VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $13. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| |
| Fiscal Year 2009: | | $ | 29 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 13 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 194,381 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 166,382 | |
| U.S. Government | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Foxhall Global Hard Asset VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | (3 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 3 | |
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $393 | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 101 | |
| Long-term Capital Gain | | | 31 | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 100 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (393 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 2,632 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Foxhall Global Hard Asset VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Foxhall Global Hard Asset VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Foxhall Global Hard Asset VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Foxhall Global Hard Asset VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Foxhall Global Hard Asset VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund made a Long-Term Capital Gain Designation of $31 for the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Growth Opportunities VP
(unaudited)
MARKET ENVIRONMENT
Equity markets in the U.S. continued their upward trajectory for the year 2010 as the global economy recovered and fears of a double dip recession abated. Concerns regarding the European debt markets and the Chinese economy overheating contributed to some volatile periods during the year. However, mid-term election results, the extension of Bush-era tax cuts and accommodative monetary policies from the Federal Reserve Board (“Fed”) helped the year end on a significantly strong note.
Early in the period, positive data on U.S. gross domestic product, improvements in corporate earnings and the end of the worst recession in decades boosted investor confidence. Equity markets moved higher as the possibility of a sustained economic recovery prompted renewed business growth.
As the summer months approached, a perfect storm of global and domestic events provoked investor skepticism in equity markets, driving them lower. A sovereign debt crisis and fiscal austerity measures in Europe, coupled with tighter fiscal policies in China (to dampen growth), heightened investor concerns about whether the rate of global economic expansion was sustainable. Meanwhile, in the U.S., the impact of stubbornly high unemployment, the Gulf of Mexico oil spill and the unexpected “flash crash” in the equity markets ultimately sent global and domestic investors fleeing to the relative safety of U.S. Treasuries.
As the period came to a close, equity markets and investor sentiment turned markedly positive. The key impetus for the market’s appreciation was the Fed announcement in October of another round of quantitative easing (“QE2”). This announcement mitigated investor concerns about a double-dip recession and created a strong sense of optimism for solid future economic growth and a prolonged lower interest rate environment. Additionally, the political, legislative, business, international and consumer fronts saw a confluence of positive momentum: the election of a pro-business Congress; the extension of Bush-era tax cuts; robust third quarter reported earnings; strong economic growth in China despite tighter monetary policy; and healthy consumer holiday spending. These positive results, combined with the Fed’s agenda to inject further liquidity into the system, created an optimal environment for stocks to move upwards and post positive gains for the year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Growth Opportunities VP Initial Class returned 35.66%. By comparison its benchmark, Russell Midcap® Growth Index, returned 26.38%.
STRATEGY REVIEW
Throughout the period, we adhered to our bottom-up investment process, seeking companies with proven management, strong cash-flow characteristics and sustainable competitive advantages. We also positioned the portfolio for a positive economic outlook while staying true to our big-picture catalysts. Catalysts may be driven by company changes, such as a new product, or by industry changes, such as widespread adoption of smart phones, and will typically endure for years, contributing to performance over time.
Stock selection in the technology (e.g., Salesforce.com) and producer durables sectors, and strong returns for BorgWarner, Inc. were the primary contributors to relative outperformance during the period. Salesforce.com, a provider of relationship management software, has shown strong growth compared to many of its competitors and fits nicely into our productivity enhancement catalyst. BorgWarner, Inc. continues to take market share as its turbo chargers answer the need for greater automotive fuel efficiency to meet new environmental standards. Additionally, the company is benefiting from the growth in total automobile production globally, driven by countries like China.
Detracting from relative performance were weak returns from individual holding Strayer Education, Inc., and stock selection in the healthcare (e.g., Intuitive Surgical, Inc.) and materials & processing sectors. Strayer Education, Inc., an education services holding company, saw its stock price decline as the government’s scrutiny of for-profit education companies and their ability to collect on student loans proved to be a sticking point with some investors. As a result, we have reduced our position pending the outcome of these issues, but continue to believe in Strayer’s long-term growth potential. Intuitive Surgical Inc., the maker of the da Vinci® Surgical System, continues to grow very rapidly; however, their stock declined over concerns about reduced hospital capital expenditures and lower utilization.
Edward S. Han
John J. Huber, CFA
Co-Portfolio Managers
Transamerica Investment Management, LLC
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Growth Opportunities VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 35.66 | % | | | 7.26 | % | | | 9.56 | % | | | 05/02/2001 | |
Russell Midcap® Growth* | | | 26.38 | % | | | 4.88 | % | | | 4.52 | % | | | | |
| |
| Service Class | | | 35.28 | % | | | 6.98 | % | | | 12.12 | % | | | 05/01/2003 | |
| |
| | |
| |
| NOTES |
| |
| * | | The Russell Midcap® Growth Index (“Russell Midcap® Growth”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Growth Opportunities VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Growth Opportunities VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,399.00 | | | $ | 5.26 | | | $ | 1,020.82 | | | $ | 4.43 | | | | 0.87 | % |
| Service Class | | | 1,000.00 | | | | 1,397.00 | | | | 6.77 | | | | 1,019.56 | | | | 5.70 | | | | 1.12 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stock | | | 85.8 | % |
| Securities Lending Collateral | | | 22.5 | |
| Repurchase Agreement | | | 4.1 | |
| Other Assets and Liabilities — Net | | | (12.4 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Growth Opportunities VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 85.8% | | | | | | | | |
Air Freight & Logistics - 5.5% | | | | | | | | |
| CH Robinson Worldwide, Inc. ^ | | | 138,845 | | | $ | 11,134 | |
| Expeditors International of Washington, Inc. | | | 108,414 | | | | 5,919 | |
Auto Components - 5.3% | | | | | | | | |
| BorgWarner, Inc. ‡^ | | | 161,128 | | | | 11,658 | |
| WABCO Holdings, Inc. ‡^ | | | 74,200 | | | | 4,521 | |
Biotechnology - 2.2% | | | | | | | | |
| BioMarin Pharmaceutical, Inc. ‡^ | | | 83,118 | | | | 2,238 | |
| Myriad Genetics, Inc. ‡^ | | | 136,250 | | | | 3,112 | |
| Onyx Pharmaceuticals, Inc. ‡^ | | | 42,467 | | | | 1,566 | |
Capital Markets - 3.5% | | | | | | | | |
| Cohen & Steers, Inc. ^ | | | 110,211 | | | | 2,877 | |
| Greenhill & Co., Inc. ^ | | | 59,795 | | | | 4,884 | |
| T. Rowe Price Group, Inc. | | | 47,430 | | | | 3,061 | |
Chemicals - 1.1% | | | | | | | | |
| Ecolab, Inc. ^ | | | 65,028 | | | | 3,279 | |
Commercial Banks - 3.5% | | | | | | | | |
| City National Corp. ^ | | | 177,488 | | | | 10,891 | |
Communications Equipment - 3.0% | | | | | | | | |
| Juniper Networks, Inc. ‡^ | | | 93,052 | | | | 3,435 | |
| Polycom, Inc. ‡^ | | | 146,253 | | | | 5,701 | |
Construction & Engineering - 2.6% | | | | | | | | |
| Foster Wheeler AG ‡^ | | | 231,475 | | | | 7,991 | |
Consumer Finance - 1.4% | | | | | | | | |
| Green Dot Corp. — Class A ‡^ | | | 74,764 | | | | 4,242 | |
Diversified Consumer Services - 1.1% | | | | | | | | |
| Strayer Education, Inc. ^ | | | 23,309 | | | | 3,548 | |
Diversified Financial Services - 2.6% | | | | | | | | |
| MSCI, Inc. — Class A ‡ | | | 208,322 | | | | 8,116 | |
Electrical Equipment - 2.9% | | | | | | | | |
| Cooper Industries PLC — Class A | | | 154,536 | | | | 9,008 | |
Energy Equipment & Services - 3.9% | | | | | | | | |
| Cameron International Corp. ‡ | | | 70,100 | | | | 3,556 | |
| Core Laboratories NV | | | 96,882 | | | | 8,628 | |
Food Products - 1.0% | | | | | | | | |
| Green Mountain Coffee Roasters, Inc. ‡^ | | | 93,213 | | | | 3,063 | |
Health Care Equipment & Supplies - 3.2% | | | | | | | | |
| Idexx Laboratories, Inc. ‡^ | | | 38,325 | | | | 2,653 | |
| Intuitive Surgical, Inc. ‡^ | | | 22,285 | | | | 5,745 | |
| Masimo Corp. ^ | | | 46,522 | | | | 1,352 | |
Hotels, Restaurants & Leisure - 1.9% | | | | | | | | |
| Wynn Resorts, Ltd. ^ | | | 55,794 | | | | 5,794 | |
Internet & Catalog Retail - 1.7% | | | | | | | | |
| NetFlix, Inc. ‡^ | | | 16,410 | | | | 2,883 | |
| priceline.com, Inc. ‡^ | | | 6,111 | | | | 2,442 | |
Internet Software & Services - 2.0% | | | | | | | | |
| Opentable, Inc. ‡^ | | | 40,695 | | | | 2,868 | |
| Rackspace Hosting, Inc. ‡^ | | | 105,261 | | | | 3,306 | |
Life Sciences Tools & Services - 2.6% | | | | | | | | |
| Covance, Inc. ‡^ | | | 54,214 | | | | 2,787 | |
| Illumina, Inc. ‡^ | | | 84,720 | | | | 5,366 | |
Machinery - 6.0% | | | | | | | | |
| Donaldson Co., Inc. ^ | | | 44,786 | | | | 2,610 | |
| Joy Global, Inc. | | | 69,102 | | | | 5,995 | |
| Kennametal, Inc. ^ | | | 244,012 | | | | 9,628 | |
Media - 4.3% | | | | | | | | |
| IMAX Corp. ‡^ | | | 465,581 | | | | 13,060 | |
Metals & Mining - 2.5% | | | | | | | | |
| Allegheny Technologies, Inc. ^ | | | 144,522 | | | | 7,974 | |
Oil, Gas & Consumable Fuels - 1.6% | | | | | | | | |
| Continental Resources, Inc. ‡^ | | | 83,860 | | | | 4,935 | |
Professional Services - 1.2% | | | | | | | | |
| Robert Half International, Inc. ^ | | | 123,249 | | | | 3,771 | |
Road & Rail - 3.2% | | | | | | | | |
| Kansas City Southern ‡ | | | 204,570 | | | | 9,791 | |
Semiconductors & Semiconductor Equipment - 2.8% | | | | | | | | |
| ARM Holdings PLC ADR ^ | | | 207,760 | | | | 4,311 | |
| Broadcom Corp. — Class A | | | 96,771 | | | | 4,214 | |
Software - 9.7% | | | | | | | | |
| Concur Technologies, Inc. ‡^ | | | 48,455 | | | | 2,516 | |
| Informatica Corp. ‡^ | | | 93,413 | | | | 4,113 | |
| Intuit, Inc. ‡^ | | | 139,695 | | | | 6,887 | |
| RealD, Inc. ‡ | | | 254,992 | | | | 6,609 | |
| Rovi Corp. ‡^ | | | 117,072 | | | | 7,261 | |
| Salesforce.com, Inc. ‡^ | | | 17,945 | | | | 2,369 | |
Specialty Retail - 1.5% | | | | | | | | |
| CarMax, Inc. ‡^ | | | 75,450 | | | | 2,406 | |
| Guess?, Inc. ^ | | | 47,047 | | | | 2,226 | |
Textiles, Apparel & Luxury Goods - 0.9% | | | | | | | | |
| Under Armour, Inc. — Class A ‡ | | | 52,919 | | | | 2,902 | |
Trading Companies & Distributors - 1.1% | | | | | | | | |
| WW Grainger, Inc. ^ | | | 24,364 | | | | 3,365 | |
| | | | | | | | |
Total Common Stocks (cost $191,242) | | | | | | | 264,567 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 22.5% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 69,523,377 | | | | 69,523 | |
Total Securities Lending Collateral (cost $69,523) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 4.1% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $12,589 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $12,842. | | $ | 12,589 | | | | 12,589 | |
Total Repurchase Agreement (cost $12,589) | | | | | | | | |
| | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $273,354) # | | | | | | | 346,679 | |
| | | | | | | | |
| Other Assets and Liabilities — Net | | | | | | | (38,157 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 308,522 | |
| | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Growth Opportunities VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTES TO THE SCHEDULE OF INVESTMENTS:
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $67,989. |
| |
| ‡ | | Non-income producing security. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $274,448. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $73,618 and $1,387, respectively. Net unrealized appreciation for tax purposes is $72,231. |
| |
| |
| DEFINITION: |
| |
| ADR American Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| | | | | | | | | |
| Common Stocks | | $ | 243,638 | | | $ | 20,929 | | | $ | — | | | $ | 264,567 | |
| Repurchase Agreement | | | — | | | | 12,589 | | | | — | | | | 12,589 | |
| Securities Lending Collateral | | | 69,523 | | | | — | | | | — | | | | 69,523 | |
| | | | | | | | | | | | | |
Total | | $ | 313,161 | | | $ | 33,518 | | | $ | — | | | $ | 346,679 | |
| | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Growth Opportunities VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $260,765) | | $ | 334,090 | |
| (including securities loaned of $67,989) | | | | |
| Repurchase agreement, at value (cost: $12,589) | | | 12,589 | |
| Receivables: | | | | |
| Shares sold | | | 31,786 | |
| Securities lending income (net) | | | 23 | |
| Dividends | | | 99 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 378,589 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 314 | |
| Management and advisory fees | | | 183 | |
| Distribution and service fees | | | 4 | |
| Administration fees | | | 5 | |
| Printing and shareholder reports fees | | | 20 | |
| Audit and tax fees | | | 9 | |
| Other | | | 9 | |
| Collateral for securities on loan | | | 69,523 | |
| | | | |
| | | | 70,067 | |
| | | | |
Net assets | | $ | 308,522 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 216 | |
| Additional paid-in capital | | | 250,360 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,151 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (16,530 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 73,325 | |
| | | | |
Net assets | | $ | 308,522 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 257,724 | |
| Service Class | | | 50,798 | |
Shares outstanding: | | | | |
| Initial Class | | | 18,004 | |
| Service Class | | | 3,600 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 14.32 | |
| Service Class | | | 14.11 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $14) | | $ | 3,155 | |
| Securities lending income (net) | | | 309 | |
| | | | |
| | | | 3,464 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 2,095 | |
| Printing and shareholder reports | | | 51 | |
| Custody | | | 34 | |
| Administration | | | 53 | |
| Legal | | | 14 | |
| Audit and tax | | | 14 | |
| Trustees | | | 10 | |
| Transfer agent | | | 2 | |
| Distribution and service: | | | | |
| Service Class | | | 33 | |
| Other | | | 6 | |
| | | | |
| Total expenses | | | 2,312 | |
| | | | |
| |
Net investment income | | | 1,152 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 40,254 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 30,076 | |
| | | | |
Net realized and unrealized gain | | | 70,330 | |
| | | | |
| |
Net increase in net assets resulting from operations | | $ | 71,482 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Growth Opportunities VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,152 | | | $ | 81 | |
| Net realized gain (loss) from investment securities | | | 40,254 | | | | (16,374 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities | | | 30,076 | | | | 91,146 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 71,482 | | | | 74,853 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (78 | ) | | | (818 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 24,862 | | | | 64,468 | |
| Service Class | | | 43,320 | | | | 4,750 | |
| | | | | | | |
| | | | 68,182 | | | | 69,218 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 78 | | | | 818 | |
| | | | | | | |
| | | | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (123,111 | ) | | | (28,948 | ) |
| Service Class | | | (7,786 | ) | | | (3,755 | ) |
| | | | | | | |
| | | | (130,897 | ) | | | (32,703 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | (62,637 | ) | | | 37,333 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 8,767 | | | | 111,368 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 299,755 | | | | 188,387 | |
| | | | | | | |
| End of year | | $ | 308,522 | | | $ | 299,755 | |
| | | | | | | |
Undistributed net investment income | | $ | 1,151 | | | $ | 77 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 2,052 | | | | 7,285 | |
| Service Class | | | 3,243 | | | | 520 | |
| | | | | | | |
| | | | 5,295 | | | | 7,805 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 7 | | | | 85 | |
| | | | | | | |
| | | | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (11,382 | ) | | | (3,412 | ) |
| Service Class | | | (710 | ) | | | (425 | ) |
| | | | | | | |
| | | | (12,092 | ) | | | (3,837 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (9,323 | ) | | | 3,958 | |
| Service Class | | | 2,533 | | | | 95 | |
| | | | | | | |
| | | | (6,790 | ) | | | 4,053 | |
| | | | | | | |
| | |
| Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Growth Opportunities VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.56 | | | $ | 7.74 | | | $ | 18.18 | | | $ | 16.00 | | | $ | 15.69 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(A) | | | 0.05 | | | | — | (B) | | | 0.03 | | | | (0.01 | ) | | | 0.01 | |
| Net realized and unrealized gain (loss) | | | 3.71 | | | | 2.85 | | | | (6.12 | ) | | | 3.58 | | | | 0.76 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 3.76 | | | | 2.85 | | | | (6.09 | ) | | | 3.57 | | | | 0.77 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | — | (B) | | | (0.03 | ) | | | — | | | | (0.01 | ) | | | (0.04 | ) |
| From net realized gains | | | — | | | | — | | | | (4.35 | ) | | | (1.38 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | (B) | | | (0.03 | ) | | | (4.35 | ) | | | (1.39 | ) | | | (0.46 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 14.32 | | | $ | 10.56 | | | $ | 7.74 | | | $ | 18.18 | | | $ | 16.00 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 35.66 | % | | | 36.86 | % | | | (40.90 | )% | | | 23.09 | % | | | 5.10 | % |
Net assets end of year (000’s) | | $ | 257,724 | | | $ | 288,629 | | | $ | 180,962 | | | $ | 485,162 | | | $ | 478,963 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.87 | % | | | 0.88 | % | | | 0.85 | % | | | 0.83 | % | | | 0.84 | % |
| Net investment income (loss), to average net assets | | | 0.45 | % | | | 0.04 | % | | | 0.25 | % | | | (0.08 | )% | | | 0.05 | % |
| Portfolio turnover rate | | | 57 | % | | | 60 | % | | | 47 | % | | | 73 | % | | | 68 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.43 | | | $ | 7.64 | | | $ | 18.00 | | | $ | 15.88 | | | $ | 15.59 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(A) | | | 0.03 | | | | (0.02 | ) | | | — | (B) | | | (0.06 | ) | | | (0.03 | ) |
| Net realized and unrealized gain (loss) | | | 3.65 | | | | 2.81 | | | | (6.05 | ) | | | 3.56 | | | | 0.75 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 3.68 | | | | 2.79 | | | | (6.05 | ) | | | 3.50 | | | | 0.72 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) |
| From net realized gains | | | — | | | | — | | | | (4.31 | ) | | | (1.38 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | | | | — | | | | (4.31 | ) | | | (1.38 | ) | | | (0.43 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 14.11 | | | $ | 10.43 | | | $ | 7.64 | | | $ | 18.00 | | | $ | 15.88 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 35.28 | % | | | 36.52 | % | | | (41.06 | )% | | | 22.74 | % | | | 4.90 | % |
Net assets end of year (000’s) | | $ | 50,798 | | | $ | 11,126 | | | $ | 7,425 | | | $ | 20,062 | | | $ | 16,847 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.12 | % | | | 1.13 | % | | | 1.10 | % | | | 1.08 | % | | | 1.09 | % |
| Net investment income (loss), to average net assets | | | 0.22 | % | | | (0.20 | )% | | | — | %(D) | | | (0.33 | )% | | | (0.20 | )% |
| Portfolio turnover rate | | | 57 | % | | | 60 | % | | | 47 | % | | | 73 | % | | | 68 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Rounds to less than ($0.01) or $0.01. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (D) | | Rounds to less than (0.01%) or 0.01%. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Growth Opportunities VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Growth Opportunities VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreement, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund securities exposes the Fund to risks such as the following: (i) the borrower may fail to return the loaned securities; (ii) the borrower may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund attempts to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $10, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Growth Opportunities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign securities, in which their 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010 is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Growth Opportunities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Investment Management, LLC (“TIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TIM, TFS and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TIM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation-Conservative VP | | $ | 3,300 | | | | 1.07 | % |
| | | | | | | | | |
| Transamerica Asset Allocation-Growth VP | | | 17,999 | | | | 5.83 | |
| | | | | | | | | |
| Transamerica Asset Allocation-Moderate VP | | | 22,816 | | | | 7.40 | |
| | | | | | | | | |
| Transamerica Asset Allocation-Moderate Growth VP | | | 41,723 | | | | 13.52 | |
| | | | | | | | | |
| | | | | | | |
| Total | | $ | 85,838 | | | | 27.82 | % |
| | | | | | | |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets at the following breakpoints:
| | | | | |
|
| First $250 million | | | 0.80 | % |
| Over $250 million up to $500 million | | | 0.75 | % |
| Over $500 million | | | 0.70 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.15% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Growth Opportunities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of average net assets. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 144,594 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 243,270 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, distribution reclasses for REITs, capital loss carryforwards, and post-October loss deferrals.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Growth Opportunities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | | | | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| | | $ | 15,436 | | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $39,458.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 78 | |
| Long-term Capital Gain | | | — | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 818 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 1,151 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (15,436 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 72,231 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
NOTE 6. SUBSEQUENT EVENTS
The Fund’s Board of Trustees has approved changes to Transamerica Growth Opportunities VP, including changes to the Fund name, sub-adviser, investment objective and principal investment strategies and risks. The Fund will change its name to Transamerica Morgan Stanley Growth Opportunities VP and sub-adviser from Transamerica Investment Management, LLC to Morgan Stanley Investment Management Inc. These changes are expected to occur on or about March 31, 2011, but may occur sooner.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Growth Opportunities VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Growth Opportunities VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Growth Opportunities VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Growth Opportunities VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Growth Opportunities VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Hanlon Balanced VP
(unaudited)
MARKET ENVIRONMENT
The first three quarters of 2010 were characterized by severe up and down performance swings. However, because of the equity market rally that occurred in the final quarter of the year, 2010 will go down as a successful one for stocks. The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) lost over 8% from mid January to early February, followed by a 15% rally until late April. From late April to early July the S&P 500 reversed and gave back 16%. The S&P 500 then proceeded to gain 10% over the next month, followed by a 7% decline over the following month. From early September onward, the market took off, gaining 20% into year-end.
Such a volatile year was the result of countless factors, no doubt. However, there were likely certain factors that played key roles. There was much uncertainty regarding whether the market was heading for a “double-dip recession” following the crash of 2008. While the equity markets wobbled back and forth with indecision, bond investors spent the first 8 months piling into Treasuries, jettisoning risk for perceived safety. Those who stuck with equities should have experienced gains, but likely endured many stressful months to get there; the risk of getting whip-sawed was high throughout 2010.
The housing market got a temporary, and perhaps superficial, boost from the expiring first-time homebuyer’s tax credit, but otherwise has struggled to find a bottom all year. Prices seem to have stabilized, but forecasts for 2011 are mixed.
On the job market front, unemployment remains high, at over 9%, yet there exists reasons to be optimistic for improvement in 2011.
Interest rates continued on their way to all-time lows, as the U.S. government and the Federal Reserve Board (“Fed”) continue to use their power to keep them low. However the 4th quarter saw rates reverse sharply, an unusual move considering it coincided with the Fed’s announcement to pump an additional $600 billion into the Treasury market. The fact that rates reversed so dramatically in the face of what most would consider bullish news for bonds has caused the chatter of the possible end of the 30 year bull market in bonds.
Gold continued its long-term bull market and showed little signs of slowing down.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Hanlon Balanced VP Initial Class returned (3.28)%. By comparison its primary and secondary benchmarks, the Dow Jones World Total Return Index, the Barclays Capital U.S. Aggregate Bond Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 14.32%, 6.54% and 0.13%, respectively.
STRATEGY REVIEW
Transamerica Hanlon Balanced VP employs the use of a tactical, intermediate-term trend following strategy. The violent whip-sawing markets are among the most difficult for this style of investment management. Due to the large amount of discretion and freedom accorded to us by the prospectus, Hanlon attempts to participate in up-trending markets, but be defensive in down-trending markets, sometimes investing in 100% money markets in down-trending markets. This past year has indeed proved difficult for this investment technique.
The Fund began the year overweight in High Yield Bonds with some smaller equity positions (both foreign and domestic). We attempted to navigate the bumpy market by scaling in and out of these positions, using the freedom to go to large cash positions at times. The Fund was overweight in cash with some smaller gold Exchange Traded Funds (“ETF”) and dollar ETF positions for much of the first half of the year. The third quarter was characterized by a move in and then out of various equity positions, during which we got caught in a whip-saw and booked a moderate loss. Most of the last quarter of the year was spent in various equity funds.
The majority of the biggest gains were seen in the 4th quarter. Hanlon identified a strong uptrend in the energy sector, holding several different ETFs to gain exposure there. In particular, the most successful positions consisted of both the Oil Equipment & Services Industry and Coal. The iShares Dow Jones US Oil Equipment & Services Index Fund (IEZ), the SPDR S&P Oil & Gas Equipment & Services ETF (XES), and the Market Vectors Coal ETF (KOL) were among the biggest winners. There was also relative strength exhibited in certain individual emerging and Latin American markets. We profited there, holding positions in the iShares Morgan Stanley Capital International (“MSCI”) All Peru Capped Index (EPU), the iShares MSCI Mexico Investable Market Index (EWW), the iShares MSCI Thailand Investable Market Index (THD), the iShares MSCI Taiwan Index Fund, and the Market Vectors Indonesia Index ETF. The remaining gains are mostly attributable to various ETFs representing the Broad Domestic Equity Market. A gold ETF also contributed to some of the gains.
In the end, the solid performance in the 4th quarter was not enough to recover from draw-down sustained earlier in the year. Several whipsaw moves in the markets attributed to the low investment returns. High Yield Bond funds and Small-Cap ETFs were the biggest whipsaws, represented by the iShares iBoxx $ High Yield Corporate Bond Fund (HYG), the SPDR Barclays Capital High Yield Bond Fund ETF (JNK), and the Vanguard Small Cap ETF (VT).
Sean Hanlon
Jeff Vogl
Donald Williams
Co-Portfolio Managers
Hanlon Investment Management, Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Hanlon Balanced VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | (3.28 | )% | | | 6.02 | % | | | 05/01/2009 | |
| Dow Jones World Total Return* | | | 14.32 | % | | | 29.86 | % | | | | |
| Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 7.13 | % | | | | |
| BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 0.15 | % | | | | |
| |
| Service Class | | | (3.46 | )% | | | 5.79 | % | | | 05/01/2009 | |
| |
| | |
| |
| NOTES |
| |
| * | | The Dow Jones World Total Return Index (“Dow Jones World Total Return”), the Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) and the Bank of America Merrill Lynch 3 Month Treasury Bill Index (“BofA Merrill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Hanlon Balanced VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Hanlon Balanced VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,020.00 | | | $ | 5.09 | | | $ | 1,020.16 | | | $ | 5.09 | | | | 1.00 | % |
| Service Class | | | 1,000.00 | | | | 1,019.10 | | | | 6.36 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Investment Companies | | | 94.3 | % |
| Securities Lending Collateral | | | 20.9 | |
| Repurchase Agreement | | | 5.1 | |
| Other Assets and Liabilities — Net | | | (20.3 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Hanlon Balanced VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 94.3% | | | | | | | | |
Capital Markets - 91.9% | | | | | | | | |
| Consumer Staples Select Sector SPDR Fund | | | 58,201 | | | $ | 1,706 | |
| CurrencyShares Australian Dollar Trust | | | 13,548 | | | | 1,391 | |
| CurrencyShares Canadian Dollar Trust ^ | | | 13,707 | | | | 1,364 | |
| CurrencyShares Swiss Franc Trust | | | 13,115 | | | | 1,393 | |
| Health Care Select Sector SPDR Fund ^ | | | 54,249 | | | | 1,709 | |
| iShares Barclays Short Treasury Bond Fund | | | 12,232 | | | | 1,348 | |
| iShares Dow Jones US Home Construction Index Fund ^ | | | 128,641 | | | | 1,695 | |
| iShares Dow Jones US Oil Equipment & Services Index Fund | | | 31,533 | | | | 1,777 | |
| iShares iBoxx $ High Yield Corporate Bond Fund ^ | | | 30,232 | | | | 2,730 | |
| iShares MSCI ACWI Index Fund | | | 37,061 | | | | 1,731 | |
| iShares MSCI Taiwan Index Fund ^ | | | 114,077 | | | | 1,782 | |
| iShares Russell 1000 Growth Index Fund ^ | | | 29,277 | | | | 1,676 | |
| iShares Russell 1000 Value Index Fund | | | 26,538 | | | | 1,722 | |
| iShares S&P 100 Index Fund ^ | | | 30,308 | | | | 1,718 | |
| iShares S&P 500 Value Index Fund ^ | | | 28,907 | | | | 1,723 | |
| iShares S&P MidCap 400 Growth Index Fund | | | 17,386 | | | | 1,751 | |
| PIMCO Enhanced Short Maturity Strategy Fund | | | 13,007 | | | | 1,310 | |
| PowerShares DB Agriculture Fund | | | 54,600 | | | | 1,766 | |
| PowerShares DB U.S. Dollar Index Bullish Fund ^ | | | 59,159 | | | | 1,344 | |
| ProShares Short 20+ Year Treasury ETF | | | 60,365 | | | | 2,671 | |
| SPDR Barclays Capital High Yield Bond Fund ETF ^ | | | 70,477 | | | | 2,800 | |
| SPDR KBW Insurance ETF ^ | | | 40,286 | | | | 1,734 | |
| SPDR S&P Homebuilders ETF | | | 98,095 | | | | 1,706 | |
| SPDR S&P International Small Cap ETF | | | 56,998 | | | | 1,758 | |
| SPDR S&P Oil & Gas Equipment & Services ETF ^ | | | 47,835 | | | | 1,756 | |
| SSC Government Money Market Fund | | | 3,598,435 | | | | 3,598 | |
| SSgA Money Market Fund | | | 3,598,435 | | | | 3,598 | |
| SSgA Prime Money Market Fund | | | 3,598,435 | | | | 3,598 | |
| State Street Institutional Liquid Reserves Fund | | | 3,598,435 | | | | 3,598 | |
| Vanguard High Dividend Yield ETF | | | 40,443 | | | | 1,708 | |
| WisdomTree Dreyfus Brazilian Real Fund ^ | | | 53,123 | | | | 1,410 | |
| WisdomTree Equity Income Fund | | | 43,578 | | | | 1,696 | |
| WisdomTree LargeCap Dividend Fund | | | 37,120 | | | | 1,711 | |
Value — Large Cap - 2.4% | | | | | | | | |
| Vanguard Value ETF ^ | | | 32,214 | | | | 1,718 | |
| | | | | | | | |
Total Investment Companies (cost $65,944) | | | | | | | 66,696 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 20.9% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 14,784,166 | | | | 14,784 | |
Total Securities Lending Collateral (cost $14,784) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 5.1% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $3,598 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $3,671. | | $ | 3,598 | | | | 3,598 | |
Total Repurchase Agreement (cost $3,598) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $84,326) # | | | | | | | 85,078 | |
| Other Assets and Liabilities — Net | | | | | | | (14,380 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 70,698 | |
| | | | | | | | |
| | |
| NOTES TO SCHEDULE OF INVESTMENTS: |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $14,446. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $84,483. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $891 and $296, respectively. Net unrealized appreciation for tax purposes is $595. |
| |
| DEFINITIONS: |
| |
| ETF | | Exchange-Traded Fund |
| |
| SPDR | | Standard & Poor’s Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 66,696 | | | $ | — | | | $ | — | | | $ | 66,696 | |
| Securities Lending Collateral | | | 14,784 | | | | — | | | | — | | | | 14,784 | |
| Repurchase Agreement | | | — | | | | 3,598 | | | | — | | | | 3,598 | |
| | | | | | | | | | | | | |
Total | | $ | 81,480 | | | $ | 3,598 | | | $ | — | | | $ | 85,078 | |
| | | | | | | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Hanlon Balanced VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in investment companies, at value (cost: $80,728) | | $ | 81,480 | |
| (including securities loaned of $14,446) | | | | |
| Repurchase agreement, at value (cost: $3,598) | | | 3,598 | |
| Receivables: | | | | |
| Investment securities sold | | | 3,436 | |
| Shares sold | | | 606 | |
| Interest | | | 1 | |
| Securities lending income (net) | | | 9 | |
| Dividends | | | 79 | |
| Prepaid expenses | | | 1 | |
| | | | |
| | | | 89,210 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 3,639 | |
| Shares redeemed | | | 16 | |
| Management and advisory fees | | | 48 | |
| Distribution and service fees | | | 12 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 2 | |
| Other | | | 3 | |
| Collateral for securities on loan | | | 14,784 | |
| | | | |
| | | | 18,512 | |
| | | | |
Net assets | | $ | 70,698 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 65 | |
| Additional paid-in capital | | | 69,983 | |
| Undistributed (accumulated) net investment income (loss) | | | 646 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | (748 | ) |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 752 | |
| | | | |
Net assets | | $ | 70,698 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 10,832 | |
| Service Class | | | 59,866 | |
Shares outstanding: | | | | |
| Initial Class | | | 987 | |
| Service Class | | | 5,479 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 10.97 | |
| Service Class | | | 10.93 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 1,130 | |
| Interest income | | | 15 | |
| Securities lending income (net) | | | 51 | |
| | | | |
| | | | 1,196 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 350 | |
| Printing and shareholder reports | | | 5 | |
| Custody | | | 14 | |
| Administration | | | 8 | |
| Legal | | | 3 | |
| Audit and tax | | | 15 | |
| Trustees | | | 1 | |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 76 | |
| Other | | | 1 | |
| | | | |
| Total expenses | | | 473 | |
| | | | |
| Less waiver/reimbursement | | | (8 | ) |
| | | | |
| Net expenses | | | 465 | |
| | | | |
| | | | | |
Net investment income | | | 731 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | (926 | ) |
| Distributions from investments in investment companies | | | 100 | |
| | | | |
| | | | (826 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 488 | |
| | | | |
Net realized and unrealized loss on investments in investment companies | | | (338 | ) |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 393 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
The notes to the financial statements are an integral part of this report.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Hanlon Balanced VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 731 | | | $ | 164 | |
| Net realized gain (loss) from investments in and distributions from investment companies | | | (826 | ) | | | 73 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 488 | | | | 264 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 393 | | | | 501 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (32 | ) | | | — | |
| Service Class | | | (132 | ) | | | — | |
| | | | | | | |
| | | | (164 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (15 | ) | | | — | |
| Service Class | | | (65 | ) | | | — | |
| | | | | | | |
| | | | (80 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (244 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 7,867 | | | | 4,875 | |
| Service Class | | | 61,723 | | | | 3,170 | |
| | | | | | | |
| | | | 69,590 | | | | 8,045 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 47 | | | | — | |
| Service Class | | | 197 | | | | — | |
| | | | | | | |
| | | | 244 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (1,951 | ) | | | (236 | ) |
| Service Class | | | (5,587 | ) | | | (57 | ) |
| | | | | | | |
| | | | (7,538 | ) | | | (293 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 62,296 | | | | 7,752 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 62,445 | | | | 8,253 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 8,253 | | | | — | |
| | | | | | | |
| End of year | | $ | 70,698 | | | $ | 8,253 | |
| | | | | | | |
Undistributed net investment income | | $ | 646 | | | $ | 164 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 718 | | | | 466 | |
| Service Class | | | 5,697 | | | | 285 | |
| | | | | | | |
| | | | 6,415 | | | | 751 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 5 | | | | — | |
| Service Class | | | 19 | | | | — | |
| | | | | | | |
| | | | 24 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (180 | ) | | | (22 | ) |
| Service Class | | | (517 | ) | | | (5 | ) |
| | | | | | | |
| | | | (697 | ) | | | (27 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 543 | | | | 444 | |
| Service Class | | | 5,199 | | | | 280 | |
| | | | | | | |
| | | | 5,742 | | | | 724 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| Note: | | Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Hanlon Balanced VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | December 31, | | | May 1 to Dec | | | December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.40 | | | $ | 10.00 | | | $ | 11.38 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.21 | | | | 0.49 | | | | 0.20 | | | | 0.62 | |
| Net realized and unrealized gain (loss) | | | (0.59 | ) | | | 0.91 | | | | (0.60 | ) | | | 0.76 | |
| | | | | | | | | | | | | |
| Total operations | | | (0.38 | ) | | | 1.40 | | | | (0.40 | ) | | | 1.38 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.03 | ) | | | — | | | | (0.03 | ) | | | — | |
| From net realized gains | | | (0.02 | ) | | | — | | | | (0.02 | ) | | | — | |
| | | | | | | | | | | | | |
| Total distributions | | | (0.05 | ) | | | — | | | | (0.05 | ) | | | — | |
| | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.97 | | | $ | 11.40 | | | $ | 10.93 | | | $ | 11.38 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(D) | | | (3.28 | )% | | | 14.00 | %(E) | | | (3.46 | )% | | | 13.80 | %(E) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 10,832 | | | $ | 5,067 | | | $ | 59,866 | | | $ | 3,186 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.00 | % | | | 1.00 | %(G) | | | 1.25 | % | | | 1.25 | %(G) |
| Before reimbursement/fee waiver | | | 1.02 | % | | | 2.06 | %(G) | | | 1.27 | % | | | 2.31 | %(G) |
Net investment income, to average net assets(C) | | | 1.96 | % | | | 6.78 | %(G) | | | 1.85 | % | | | 8.50 | %(G) |
Portfolio turnover rate(H) | | | 981 | % | | | 48 | % (E) | | | 981 | % | | | 48 | %(E) |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
| |
| Note: | | Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Hanlon Balanced VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Hanlon Balanced VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $6, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Hanlon Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Hanlon Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.90 | % |
| Over $500 million up to $1 billion | | | 0.875 | % |
| Over $1 billion | | | 0.85 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount waived by the adviser was $8. The following amounts were available for recapture at December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2009: | | $ | 25 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 8 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Hanlon Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 264,894 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 219,140 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | (85 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 85 | |
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $644 | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 242 | |
| Long-term Capital Gain | | | 2 | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Hanlon Balanced VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 699 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (644 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 595 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Hanlon Balanced VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Hanlon Balanced VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Hanlon Balanced VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Hanlon Balanced VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Hanlon Balanced VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $2 for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Hanlon Growth VP
(unaudited)
MARKET ENVIRONMENT
The first three quarters of 2010 were characterized by severe up and down performance swings. However, because of the equity market rally that occurred in the final quarter of the year, 2010 will go down as a successful one for stocks. The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) lost over 8% from mid January to early February, followed by a 15% rally until late April. From late April to early July the S&P 500 reversed and gave back 16%. The S&P 500 then proceeded to gain 10% over the next month, followed by a 7% decline over the following month. From early September onward, the market took off, gaining 20% into year-end.
Such a volatile, mostly range-bound year was the result of countless factors, no doubt. However, there were likely certain factors that played key roles. There was much uncertainty regarding whether the market was heading for a “double-dip recession” following the crash of 2008. While the equity markets wobbled back and forth with indecision, bond investors spent the first 8 months piling into Treasuries, jettisoning risk for perceived safety. Those who stuck with equities should have experienced gains, but likely endured many stressful months to get there; the risk of getting whip-sawed was high throughout 2010.
The housing market got a temporary, and perhaps superficial, boost from the expiring first-time homebuyer’s tax credit, but otherwise has struggled to find a bottom all year. Prices seem to have stabilized, but forecasts for 2011 are mixed.
On the job market front, unemployment remains high, at over 9%, yet there exists reasons to be optimistic for improvement in 2011.
Interest rates continued on their way to all-time lows, as the US government and the Federal Reserve Board (“Fed”) continue to use their power to keep them low. However the 4th quarter saw rates reverse sharply, an unusual move considering it coincided with the Fed’s announcement to pump an additional $600 billion into the Treasury market. The fact that rates reversed so dramatically in the face of what most would consider bullish news for bonds has caused the chatter of the possible end of the 30 year bull market in bonds.
Gold continued its long-term bull market and showed little signs of slowing down.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Hanlon Growth VP Initial Class returned (0.44)%. By comparison its primary and secondary benchmarks, the Dow Jones World Total Return Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 14.32% and 0.13%, respectively.
STRATEGY REVIEW
Transamerica Hanlon Growth VP employs the use of a tactical, intermediate-term trend following strategy. The violent whip-sawing markets are among the most difficult for this style of investment management. Due to the large amount of discretion and freedom accorded to us by the prospectus, Hanlon attempts to participate in up-trending markets, but be defensive in down-trending markets, sometimes investing in 100% money markets in down-trending markets. This past year has indeed proved difficult for this investment technique.
The Fund began the year overweight in High Yield Bonds with some smaller equity positions (both foreign and domestic). We attempted to navigate the bumpy market by scaling in and out of these positions, using the freedom to go to large cash positions at times. The Fund was overweight in cash with some smaller gold Exchange Traded Funds (“ETF”) and dollar ETF positions for much of the first half of the year. The third quarter was characterized by a move in and then out of various equity positions, during which we got caught in a whip-saw and booked a moderate loss. Most of the last quarter of the year was spent in various equity funds.
The majority of the biggest gains were seen in the 4th quarter. Hanlon identified a strong uptrend in the energy sector, holding several different ETFs to gain exposure there. In particular, the most successful positions consisted of both the Oil Equipment & Services Industry and Coal. The iShares Dow Jones US Oil Equipment & Services Index Fund (IEZ), the SPDR S&P Oil & Gas Equipment & Services ETF (XES), and the Market Vectors Coal ETF (KOL) were among the biggest winners. There was also relative strength exhibited in certain individual emerging and Latin American markets. We profited there, holding positions in the iShares Morgan Stanley Capital International (“MSCI”) All Peru Capped Index (EPU), the iShares MSCI Mexico Investable Market Index (EWW), the iShares MSCI Thailand Investable Market Index (THD), the iShares MSCI Taiwan Index Fund, and the Market Vectors Indonesia Index ETF. The remaining gains are mostly attributable to various ETFs representing the Broad Domestic Equity Market. A gold ETF also contributed to some of the gains.
In the end, the solid performance in the 4th quarter was not enough to recover from draw-down sustained earlier in the year. Several whipsaw moves in the markets attributed to the low investment returns. High Yield Bond funds and Small-Cap ETFs were the biggest whipsaws, represented by the iShares iBoxx High Yield Corporate Bond Fund (HYG), the SPDR Barclays Capital High Yield Bond (JNK), and the Vanguard Small Cap ETF (VT).
Sean Hanlon
Jeff Vogl
Donald Williams
Co-Portfolio Managers
Hanlon Investment Management, Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Hanlon Growth VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | (0.44 | )% | | | 8.55 | % | | | 05/01/2009 | |
| Dow Jones World Total Return* | | | 14.32 | % | | | 29.86 | % | | | | |
| BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 0.15 | % | | | | |
| |
| Service Class | | | (0.70 | )% | | | 8.26 | % | | | 05/01/2009 | |
| |
NOTES
| | |
| * | | The Dow Jones World Total Return Index (“Dow Jones World Total Return”) and the Bank of America Merrill Lynch 3 Month Treasury Bill (“BofA Merrill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Hanlon Growth VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
Transamerica Hanlon
Growth VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,055.10 | | | $ | 5.18 | | | $ | 1,020.16 | | | $ | 5.09 | | | | 1.00 | % |
| Service Class | | | 1,000.00 | | | | 1,054.40 | | | | 6.47 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Investment Companies | | | 99.6 | % |
| Securities Lending Collateral | | | 20.2 | |
| Repurchase Agreement | | | 0.7 | |
| Other Assets and Liabilities — Net | | | (20.5 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Hanlon Growth VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 99.6% | | | | | | | | |
Capital Markets - 94.7% | | | | | | | | |
| Consumer Staples Select Sector SPDR Fund | | | 78,110 | | | $ | 2,289 | |
| Health Care Select Sector SPDR Fund | | | 72,829 | | | | 2,294 | |
| iShares Dow Jones US Home Construction Index Fund ^ | | | 172,701 | | | | 2,276 | |
| iShares Dow Jones US Oil Equipment & Services Index Fund | | | 41,909 | | | | 2,362 | |
| iShares MSCI ACWI Index Fund | | | 50,276 | | | | 2,348 | |
| iShares MSCI Taiwan Index Fund ^ | | | 152,676 | | | | 2,384 | |
| iShares Russell 1000 Growth Index Fund ^ | | | 33,064 | | | | 1,893 | |
| iShares Russell 1000 Value Index Fund ^ | | | 35,627 | | | | 2,311 | |
| iShares S&P 100 Index Fund ^ | | | 40,689 | | | | 2,306 | |
| iShares S&P 500 Value Index Fund ^ | | | 38,808 | | | | 2,313 | |
| iShares S&P MidCap 400 Growth Index Fund ^ | | | 23,217 | | | | 2,338 | |
| PowerShares DB Agriculture Fund | | | 73,677 | | | | 2,383 | |
| SPDR KBW Insurance ETF ^ | | | 54,067 | | | | 2,327 | |
| SPDR S&P Homebuilders ETF ^ | | | 131,692 | | | | 2,290 | |
| SPDR S&P International Small Cap ETF | | | 77,237 | | | | 2,382 | |
| SPDR S&P Oil & Gas Equipment & Services ETF ^ | | | 63,245 | | | | 2,322 | |
| SSC Government Money Market Fund | | | 331,547 | | | | 332 | |
| SSgA Money Market Fund | | | 331,547 | | | | 332 | |
| SSgA Prime Money Market Fund | | | 331,547 | | | | 332 | |
| State Street Institutional Liquid Reserves Fund | | | 331,547 | | | | 332 | |
| Vanguard High Dividend Yield ETF | | | 54,295 | | | | 2,292 | |
| WisdomTree Equity Income Fund | | | 58,486 | | | | 2,276 | |
| WisdomTree LargeCap Dividend Fund | | | 49,834 | | | | 2,297 | |
Value - Large Cap - 4.9% | | | | | | | | |
| Vanguard Value ETF | | | 43,248 | | | | 2,306 | |
| | | | | | | | |
Total Investment Companies (cost $46,212) | | | | | | | 47,317 | |
| | | | | | | | |
SECURITIES LENDING COLLATERAL - 20.2% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 9,577,574 | | | $ | 9,578 | |
Total Securities Lending Collateral (cost $9,578) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 0.7% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲ , dated 12/31/2010, to be repurchased at $332 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $340. | | $ | 332 | | | | 332 | |
Total Repurchase Agreement (cost $332) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $56,122) # | | | | | | | 57,227 | |
| Other Assets and Liabilities - Net | | | | | | | (9,728 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 47,499 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $9,364. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $56,150. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $1,167 and $90, respectively. Net unrealized appreciation for tax purposes is $1,077. |
| |
| DEFINITIONS: |
| |
| ETF | | Exchange-Traded Fund |
| |
| SPDR | | Standard & Poor’s Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 47,317 | | | $ | — | | | $ | — | | | $ | 47,317 | |
| Securities Lending Collateral | | | 9,578 | | | | — | | | | — | | | | 9,578 | |
| Repurchase Agreement | | | — | | | | 332 | | | | — | | | | 332 | |
| | | | | | | | | | | | | |
Total | | $ | 56,895 | | | $ | 332 | | | $ | — | | | $ | 57,227 | |
| | | | | | | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Hanlon Growth VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in investment companies, at value (cost: $55,790) (including securities loaned of $9,364) | | $ | 56,895 | |
| Repurchase agreement, at value (cost: $332) | | | 332 | |
| Receivables: | | | | |
| Investment securities sold | | | 4,567 | |
| Shares sold | | | 46 | |
| Income from loaned securities | | | 4 | |
| Dividends | | | 5 | |
| | | | |
| | | | 61,849 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 4,709 | |
| Shares redeemed | | | 13 | |
| Management and advisory fees | | | 30 | |
| Distribution and service fees | | | 7 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 2 | |
| Other | | | 3 | |
| Collateral for securities on loan | | | 9,578 | |
| | | | |
| | | | 14,350 | |
| | | | |
Net assets | | $ | 47,499 | |
| | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 42 | |
| Additional paid-in capital | | | 45,673 | |
| Undistributed (accumulated) net investment income (loss) | | | 497 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | 183 | |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 1,104 | |
| | | | |
Net assets | | $ | 47,499 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 14,602 | |
| Service Class | | | 32,897 | |
Shares outstanding: | | | | |
| Initial Class | | | 1,294 | |
| Service Class | | | 2,927 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.29 | |
| Service Class | | | 11.24 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 780 | |
| Interest income | | | 11 | |
| Securities lending income (net) | | | 31 | |
| | | | |
| | | | 822 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 273 | |
| Printing and shareholder reports | | | 7 | |
| Custody | | | 13 | |
| Administration | | | 6 | |
| Legal | | | 3 | |
| Audit and tax | | | 15 | |
| Trustees | | | 1 | |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 43 | |
| Other | | | — | (A) |
| | | | |
| Total expenses | | | 361 | |
| | | | |
| Less waiver/reimbursement | | | (14 | ) |
| | | | |
| Net expenses | | | 347 | |
| | | | |
| | | | | |
Net investment income | | | 475 | |
| | | | |
| |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | 227 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 567 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 794 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 1,269 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Hanlon Growth VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 475 | | | $ | 329 | |
| Net realized gain from investments in investment companies | | | 227 | | | | 195 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 567 | | | | 537 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 1,269 | | | | 1,061 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (121 | ) | | | — | |
| Service Class | | | (207 | ) | | | — | |
| | | | | | | |
| | | | (328 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (81 | ) | | | — | |
| Service Class | | | (137 | ) | | | — | |
| | | | | | | |
| | | | (218 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (546 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 6,129 | | | | 11,145 | |
| Service Class | | | 36,387 | | | | 2,035 | |
| | | | | | | |
| | | | 42,516 | | | | 13,180 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 202 | | | | — | |
| Service Class | | | 344 | | | | — | |
| | | | | | | |
| | | | 546 | | | | ��� | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (2,220 | ) | | | (1,485 | ) |
| Service Class | | | (6,820 | ) | | | (2 | ) |
| | | | | | | |
| | | | (9,040 | ) | | | (1,487 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 34,022 | | | | 11,693 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 34,745 | | | | 12,754 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 12,754 | | | | — | |
| | | | | | | |
| End of year | | $ | 47,499 | | | $ | 12,754 | |
| | | | | | | |
Undistributed net investment income | | $ | 497 | | | $ | 329 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 555 | | | | 1,066 | |
| Service Class | | | 3,347 | | | | 182 | |
| | | | | | | |
| | | | 3,902 | | | | 1,248 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 20 | | | | — | |
| Service Class | | | 33 | | | | — | |
| | | | | | | |
| | | | 53 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (206 | ) | | | (141 | ) |
| Service Class | | | (635 | ) | | | — | (B) |
| | | | | | | |
| | | | (841 | ) | | | (141 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 369 | | | | 925 | |
| Service Class | | | 2,745 | | | | 182 | |
| | | | | | | |
| | | | 3,114 | | | | 1,107 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Rounds to less than 1 or (1) share. |
| |
| Note: | | Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Hanlon Growth VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | | December 31, | | | May 1 to Dec | | | December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.52 | | | $ | 10.00 | | | $ | 11.50 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.19 | | | | 0.48 | | | | 0.15 | | | | 0.62 | |
| Net realized and unrealized gain (loss) | | | (0.26 | ) | | | 1.04 | | | | (0.25 | ) | | | 0.88 | |
| | | | | | | | | | | | | |
| Total operations | | | (0.07 | ) | | | 1.52 | | | | (0.10 | ) | | | 1.50 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.10 | ) | | | — | | | | (0.10 | ) | | | — | |
| From net realized gains | | | (0.06 | ) | | | — | | | | (0.06 | ) | | | — | |
| | | | | | | | | | | | | |
| Total distributions | | | (0.16 | ) | | | — | | | | (0.16 | ) | | | — | |
| | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.29 | | | $ | 11.52 | | | $ | 11.24 | | | $ | 11.50 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(D) | | | (0.44 | )% | | | 15.20 | %(E) | | | (0.70 | )% | | | 15.00 | %(E) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 14,602 | | | $ | 10,661 | | | $ | 32,897 | | | $ | 2,093 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.00 | % | | | 1.00 | %(G) | | | 1.25 | % | | | 1.25 | %(G) |
| Before reimbursement/fee waiver | | | 1.05 | % | | | 1.53 | %(G) | | | 1.30 | % | | | 1.78 | %(G) |
Net investment income, to average net assets(C) | | | 1.75 | % | | | 6.64 | %(G) | | | 1.42 | % | | | 8.51 | %(G) |
Portfolio turnover rate(H) | | | 1068 | % | | | 68 | %(E) | | | 1068 | % | | | 68 | %(E) |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
| |
| Note: | | Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Hanlon Growth VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Hanlon Growth VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $8, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Hanlon Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Hanlon Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.90 | % |
| Over $500 million up to $1 billion | | | 0.875 | % |
| Over $1 billion | | | 0.85 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $14. The following amounts were available for recapture at December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2009: | | $ | 26 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 14 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Hanlon Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 228,095 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 194,954 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | 21 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (21 | ) |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 540 | |
| Long-term Capital Gain | | | 6 | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 707 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 1,077 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Hanlon Growth VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Hanlon Growth VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Hanlon Growth VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Hanlon Growth VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Hanlon Growth VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $6 for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Hanlon Growth and Income VP
(unaudited)
MARKET ENVIRONMENT
The first three quarters of 2010 were characterized by severe up and down performance swings. However, because of the equity market rally that occurred in the final quarter of the year, 2010 will go down as a successful one for stocks. The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) lost over 8% from mid January to early February, followed by a 15% rally until late April. From late April to early July the S&P 500 reversed and gave back 16%. The S&P 500 then proceeded to gain 10% over the next month, followed by a 7% decline over the following month. From early September onward, the market took off, gaining 20% into year-end.
Such a volatile, mostly range-bound year was the result of countless factors, no doubt. However, there were likely certain factors that played key roles. There was much uncertainty regarding whether the market was heading for a “double-dip recession” following the crash of 2008. While the equity markets wobbled back and forth with indecision, bond investors spent the first 8 months piling into Treasuries, jettisoning risk for perceived safety. Those who stuck with equities should have experienced gains, but likely endured many stressful months to get there; the risk of getting whip-sawed was high throughout 2010.
The housing market got a temporary, and perhaps superficial, boost from the expiring first-time homebuyer’s tax credit, but otherwise has struggled to find a bottom all year. Prices seem to have stabilized, but forecasts for 2011 are mixed.
On the job market front, unemployment remains high, at over 9%, yet there exists reasons to be optimistic for improvement in 2011.
Interest rates continued on their way to all-time lows, as the U.S. government and the Federal Reserve Board (“Fed”) continue to use their power to keep them low. However the 4th quarter saw rates reverse sharply, an unusual move considering it coincided with the Fed’s announcement to pump an additional $600 billion into the Treasury market. The fact that rates reversed so dramatically in the face of what most would consider bullish news for bonds has caused the chatter of the possible end of the 30 year bull market in bonds.
Gold continued its long-term bull market and showed little signs of slowing down.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Hanlon Growth and Income VP Initial Class returned (1.85)%. By comparison its primary and secondary benchmarks, the Dow Jones World Total Return Index, the Barclays Capital U.S. Aggregate Bond Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 14.32%, 6.54% and 0.13%, respectively.
STRATEGY REVIEW
Transamerica Hanlon Growth and Income VP employs the use of a tactical, intermediate-term trend following strategy. The violent whip-sawing markets are among the most difficult for this style of investment management. Due to the large amount of discretion and freedom accorded to us by the prospectus, Hanlon attempts to participate in up-trending markets, but be defensive in down-trending markets, sometimes investing in 100% money markets in down-trending markets. This past year has indeed proved difficult for this investment technique.
The Fund began the year overweight in High Yield Bonds with some smaller equity positions (both foreign and domestic). We attempted to navigate the bumpy market by scaling in and out of these positions, using the freedom to go to large cash positions at times. The Fund was overweight in cash with some smaller gold Exchange Traded Funds (“ETF”) and dollar ETF positions for much of the first half of the year. The third quarter was characterized by a move in and then out of various equity positions, during which we got caught in a whip-saw and booked a moderate loss. Most of the last quarter of the year was spent in various equity funds.
The majority of the biggest gains were seen in the 4th quarter. Hanlon identified a strong uptrend in the energy sector, holding several different ETFs to gain exposure there. In particular, the most successful positions consisted of both the Oil Equipment & Services Industry and Coal. The iShares Dow Jones US Oil Equipment & Services Index Fund (IEZ), the SPDR S&P Oil & Gas Equipment & Services ETF (XES), and the Market Vectors Coal ETF (KOL) were among the biggest winners. There was also relative strength exhibited in certain individual emerging and Latin American markets. We profited there, holding positions in the iShares Morgan Stanley Capital International (“MSCI”) All Peru Capped Index (EPU), the iShares MSCI Mexico Investable Market Index (EWW), the iShares MSCI Thailand Investable Market Index (THD), the iShares MSCI Taiwan Index, and the Market Vectors Indonesia Index ETF. The remaining gains are mostly attributable to various ETFs representing the Broad Domestic Equity Market. A gold ETF also contributed to some of the gains.
In the end, the solid performance in the 4th quarter was not enough to recover from draw-down sustained earlier in the year. Several whipsaw moves in the markets attributed to the low investment returns. High Yield Bond funds and Small-Cap ETFs were the biggest whipsaws, represented by the iShares iBoxx $ High Yield Corporate Bond Fund (HYG), the SPDR Barclays Capital High Yield Bond Fund ETF (JNK), and the Vanguard Small Cap ETF (VT).
Sean Hanlon
Jeff Vogl
Donald Williams
Co-Portfolio Managers
Hanlon Investment Management, Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Hanlon Growth and Income VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | (1.85 | )% | | | 7.12 | % | | | 05/01/2009 | |
| Dow Jones World Total Return * | | | 14.32 | % | | | 29.86 | % | | | | |
| Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 7.13 | % | | | | |
| BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 0.15 | % | | | | |
| |
| Service Class | | | (2.12 | )% | | | 6.89 | % | | | 05/01/2009 | |
| |
NOTES
| | |
| * | | The Dow Jones World Total Return Index (“Dow Jones World Total Return”), the Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) and the Bank of America Merrill Lynch 3-Month Treasury Bill Index (“BofA Merrill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Hanlon Growth and Income VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
Transamerica Hanlon
Growth and Income VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,036.80 | | | $ | 5.13 | | | $ | 1,020.16 | | | $ | 5.09 | | | | 1.00 | % |
| Service Class | | | 1,000.00 | | | | 1,036.00 | | | | 6.41 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Investment Companies | | | 98.3 | % |
| Securities Lending Collateral | | | 22.4 | |
| Repurchase Agreement | | | 2.0 | |
| Other Assets and Liabilities — Net | | | (22.7 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Hanlon Growth and Income VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 98.3% | | | | | | | | |
Capital Markets - 94.7% | | | | | | | | |
| Consumer Staples Select Sector SPDR Fund | | | 54,540 | | | $ | 1,599 | |
| CurrencyShares Australian Dollar Trust | | | 8,557 | | | | 878 | |
| CurrencyShares Canadian Dollar Trust ^ | | | 8,633 | | | | 859 | |
| CurrencyShares Swiss Franc Trust | | | 8,269 | | | | 878 | |
| Health Care Select Sector SPDR Fund ^ | | | 50,877 | | | | 1,603 | |
| iShares Barclays Short Treasury Bond Fund | | | 3,768 | | | | 415 | |
| iShares Dow Jones US Home Construction Index Fund ^ | | | 120,645 | | | | 1,590 | |
| iShares Dow Jones US Oil Equipment & Services Index Fund | | | 28,991 | | | | 1,634 | |
| iShares iBoxx $ High Yield Corporate Bond Fund ^ | | | 9,463 | | | | 854 | |
| iShares MSCI ACWI Index Fund | | | 34,946 | | | | 1,632 | |
| iShares MSCI Taiwan Index Fund ^ | | | 105,444 | | | | 1,647 | |
| iShares Russell 1000 Growth Index Fund | | | 27,167 | | | | 1,556 | |
| iShares Russell 1000 Value Index Fund ^ | | | 24,888 | | | | 1,614 | |
| iShares S&P 100 Index Fund ^ | | | 28,424 | | | | 1,611 | |
| iShares S&P 500 Value Index Fund ^ | | | 27,110 | | | | 1,615 | |
| iShares S&P MidCap 400 Growth Index Fund | | | 16,074 | | | | 1,619 | |
| PIMCO Enhanced Short Maturity Strategy Fund | | | 4,019 | | | | 405 | |
| PowerShares DB Agriculture Fund | | | 51,637 | | | | 1,671 | |
| PowerShares DB U.S. Dollar Index Bullish Fund ^ | | | 37,271 | | | | 846 | |
| ProShares Short 20+ Year Treasury ETF | | | 18,911 | | | | 837 | |
| SPDR Barclays Capital High Yield Bond Fund ETF ^ | | | 22,197 | | | | 881 | |
| SPDR KBW Insurance ETF ^ | | | 37,752 | | | | 1,624 | |
| SPDR S&P Homebuilders ETF ^ | | | 91,998 | | | | 1,600 | |
| SPDR S&P International Small Cap ETF | | | 54,050 | | | | 1,667 | |
| SPDR S&P Oil & Gas Equipment & Services ETF ^ | | | 44,033 | | | | 1,616 | |
| SSC Government Money Market Fund | | | 892,508 | | | | 893 | |
| SSgA Money Market Fund | | | 892,508 | | | | 893 | |
| SSgA Prime Money Market Fund | | | 892,508 | | | | 893 | |
| State Street Institutional Liquid Reserves Fund | | | 892,508 | | | | 893 | |
| Vanguard High Dividend Yield ETF | | | 37,929 | | | | 1,601 | |
| WisdomTree Dreyfus Brazilian Real Fund ^ | | | 33,304 | | | | 884 | |
| WisdomTree Equity Income Fund | | | 40,837 | | | | 1,589 | |
| WisdomTree LargeCap Dividend Fund | | | 34,813 | | | | 1,605 | |
Value - Large Cap - 3.6% | | | | | | | | |
| Vanguard Value ETF | | | 30,212 | | | | 1,611 | |
| | | | | | | | |
Total Investment Companies (cost $42,877) | | | | | | | 43,613 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 22.4% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 9,961,659 | | | | 9,962 | |
Total Securities Lending Collateral (cost $9,962) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 2.0% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $893 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $911. | | $ | 893 | | | | 893 | |
Total Repurchase Agreement (cost $893) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $53,732) # | | | | | | | 54,468 | |
| Other Assets and Liabilities - Net | | | | | | | (10,085 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 44,383 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $9,733. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $53,810. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $843 and $185, respectively. Net unrealized appreciation for tax purposes is $658. |
| |
| DEFINITIONS: |
| |
| ETF | | Exchange-Traded Fund |
| |
| SPDR | | Standard & Poor’s Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 43,613 | | | $ | — | | | $ | — | | | $ | 43,613 | |
| Securities Lending Collateral | | | 9,962 | | | | — | | | | — | | | | 9,962 | |
| Repurchase Agreement | | | — | | | | 893 | | | | — | | | | 893 | |
| | | | | | | | | | | | | |
Total | | $ | 53,575 | | | $ | 893 | | | $ | — | | | $ | 54,468 | |
| | | | | | | | | | | | | |
The notes to the financial statements are an integral part of this report.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Hanlon Growth and Income VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in investment companies, at value (cost: $52,839) (including securities loaned of $9,733) | | $ | 53,575 | |
| Repurchase agreement, at value (cost: $893) | | | 893 | |
| Receivables: | | | | |
| Investment securities sold | | | 3,200 | |
| Shares sold | | | 65 | |
| Securities lending income (net) | | | 5 | |
| Dividends | | | 25 | |
| | | | |
| | | | 57,763 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 3,354 | |
| Shares redeemed | | | 17 | |
| Management and advisory fees | | | 28 | |
| Distribution and service fees | | | 7 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 1 | |
| Other | | | 3 | |
| Collateral for securities on loan | | | 9,962 | |
| | | | |
| | | | 13,380 | |
| | | | |
Net assets | | $ | 44,383 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 40 | |
| Additional paid-in capital | | | 43,406 | |
| Undistributed (accumulated) net investment income (loss) | | | 470 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | (269 | ) |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 736 | |
| | | | |
Net assets | | $ | 44,383 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 9,743 | |
| Service Class | | | 34,640 | |
Shares outstanding: | | | | |
| Initial Class | | | 877 | |
| Service Class | | | 3,131 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.11 | |
| Service Class | | | 11.07 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 763 | |
| Interest income | | | 10 | |
| Securities lending income (net) | | | 34 | |
| | | | |
| | | | 807 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 246 | |
| Printing and shareholder reports | | | 5 | |
| Custody | | | 14 | |
| Administration | | | 5 | |
| Legal | | | 2 | |
| Audit and tax | | | 15 | |
| Trustees | | | 1 | |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 48 | |
| Other | | | — | (A) |
| | | | |
| Total expenses | | | 336 | |
| | | | |
| Less waiver/reimbursement | | | (15 | ) |
| | | | |
| Net expenses | | | 321 | |
| | | | |
| | | | | |
Net investment income | | | 486 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | (338 | ) |
| Distributions from investments in investment companies | | | 63 | |
| | | | |
| | | | (275 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 403 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 128 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 614 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
The notes to the financial statements are an integral part of this report.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Hanlon Growth and Income VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 486 | | | $ | 196 | |
| Net realized gain (loss) from investments in and distributions from investment companies | | | (275 | ) | | | 103 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 403 | | | | 333 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 614 | | | | 632 | |
| | | | | | | |
| |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (53 | ) | | | — | |
| Service Class | | | (143 | ) | | | — | |
| | | | | | | |
| | | | (196 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (30 | ) | | | — | |
| Service Class | | | (83 | ) | | | — | |
| | | | | | | |
| | | | (113 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (309 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 4,879 | | | | 6,679 | |
| Service Class | | | 39,105 | | | | 2,232 | |
| | | | | | | |
| | | | 43,984 | | | | 8,911 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 83 | | | | — | |
| Service Class | | | 226 | | | | — | |
| | | | | | | |
| | | | 309 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (1,785 | ) | | | (544 | ) |
| Service Class | | | (7,427 | ) | | | (2 | ) |
| | | | | | | |
| | | | (9,212 | ) | | | (546 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 35,081 | | | | 8,365 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 35,386 | | | | 8,997 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 8,997 | | | | — | |
| | | | | | | |
| End of year | | $ | 44,383 | | | $ | 8,997 | |
| | | | | | | |
Undistributed net investment income | | $ | 470 | | | $ | 196 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 445 | | | | 638 | |
| Service Class | | | 3,602 | | | | 200 | |
| | | | | | | |
| | | | 4,047 | | | | 838 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 8 | | | | — | |
| Service Class | | | 22 | | | | — | |
| | | | | | | |
| | | | 30 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (163 | ) | | | (51 | ) |
| Service Class | | | (693 | ) | | | — | (B) |
| | | | | | | |
| | | | (856 | ) | | | (51 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 290 | | | | 587 | |
| Service Class | | | 2,931 | | | | 200 | |
| | | | | | | |
| | | | 3,221 | | | | 787 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Rounds to less than (1) share. |
| |
| Note: | | Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Hanlon Growth and Income VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | | December 31, | | | May 1 to Dec | | | December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.43 | | | $ | 10.00 | | | $ | 11.42 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.21 | | | | 0.48 | | | | 0.18 | | | | 0.58 | |
| Net realized and unrealized gain (loss) | | | (0.43 | ) | | | 0.95 | | | | (0.43 | ) | | | 0.84 | |
| | | | | | | | | | | | | |
| Total operations | | | (0.22 | ) | | | 1.43 | | | | (0.25 | ) | | | 1.42 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.06 | ) | | | — | | | | (0.06 | ) | | | — | |
| From net realized gains | | | (0.04 | ) | | | — | | | | (0.04 | ) | | | — | |
| | | | | | | | | | | | | |
| Total distributions | | | (0.10 | ) | | | — | | | | (0.10 | ) | | | — | |
| | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.11 | | | $ | 11.43 | | | $ | 11.07 | | | $ | 11.42 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(D) | | | (1.85 | )% | | | 14.30 | %(E) | | | (2.12 | )% | | | 14.20 | %(E) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 9,743 | | | $ | 6,712 | | | $ | 34,640 | | | $ | 2,285 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.00 | % | | | 1.00 | %(G) | | | 1.25 | % | | | 1.25 | %(G) |
| Before reimbursement/fee waiver | | | 1.06 | % | | | 1.88 | %(G) | | | 1.31 | % | | | 2.13 | %(G) |
Net investment income, to average net assets(C) | | | 1.94 | % | | | 6.73 | %(G) | | | 1.71 | % | | | 8.02 | %(G) |
Portfolio turnover rate(H) | | | 1006 | % | | | 56 | %(E) | | | 1006 | % | | | 56 | %(E) |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
| |
| Note: | | Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Hanlon Growth and Income VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Hanlon Growth and Income VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $6, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Hanlon Growth and Income VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Hanlon Growth and Income VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.90 | % |
| Over $500 million up to $1 billion | | | 0.875 | % |
| Over $1 billion | | | 0.85 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount waived by the adviser was $15. The following amounts were available for recapture at December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2009: | | $ | 25 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 15 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Hanlon Growth and Income VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 193,662 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 161,553 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | (16 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 16 | |
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $206 | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 306 | |
| Long-term Capital Gain | | | 3 | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Hanlon Growth and Income VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 485 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (206 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 658 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Hanlon Growth and Income VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Hanlon Growth and Income VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Hanlon Growth and Income VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Hanlon Growth and Income VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Hanlon Growth and Income VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $3 for the year ended December 31, 2010.
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| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Hanlon Managed Income VP
(unaudited)
MARKET ENVIRONMENT
While the equity markets wobbled back and forth with indecision, bond investors spent the first eight months piling into Treasuries, jettisoning risk for perceived safety. Those who stuck with equities should have experienced gains, but likely endured many stressful months to get there; the risk of getting whipsawed was high throughout 2010. Such a volatile, mostly range-bound year was the result of countless factors, no doubt. Uncertainty regarding whether the market was heading for a “double-dip recession” following the crash of 2008 was just one of the many concerns.
The housing market got a temporary, and perhaps superficial, boost from the expiring first-time homebuyer’s tax credit, but otherwise has struggled to find a bottom all year. Prices seem to have stabilized, but forecasts for 2011 are mixed.
On the job market front, unemployment remains high, at over 9%, yet there exists reasons to be optimistic for improvement in 2011.
Interest rates continued on their way to all-time lows, as the U.S. government and the Federal Reserve Board (“Fed”) continue to use their power to keep rates low. However the 4th quarter saw rates reverse sharply, an unusual move considering it coincided with the Fed’s announcement to pump an additional $600 billion into the Treasury market. The fact that rates reversed so dramatically in the face of what most would consider bullish news for bonds has caused the chatter of the possible end of the 30 year bull market in bonds.
Gold continued its long-term bull market and showed little signs of slowing down.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Hanlon Managed Income VP Initial Class returned 0.39%. By comparison its primary and secondary benchmarks, the Barclays Capital U.S. Aggregate Bond Index and the Bank of America Merrill Lynch 3-Month Treasury Bill Index, returned 6.54% and 0.13%, respectively.
STRATEGY REVIEW
Transamerica Hanlon Managed Income VP employs the use of a tactical, intermediate-term trend following strategy. Exchange Traded Funds (“ETF”) are the primary security type for gaining exposure to asset classes and fund styles. Due to the large amount of discretion and freedom accorded to us by the prospectus, Hanlon attempts to participate in up-trending markets, but be defensive in down-trending markets, sometimes investing in 100% money markets in these environments. At various times throughout the year the Fund had exposure to all of the permissible asset classes; money markets/cash, fixed income, interest rate direction and currency.
Viewing the year 2010 in hindsight, interest rates dropped throughout the year to levels not seen in a long time, if ever. Our strategies experienced some whipsawing and were unable to demonstrate much value for the one year period. Especially challenging were November and December as interest rates jumped considerably in a three week period in November. The Fund’s performance fluctuated with the bond markets throughout the year, but overall was mostly flat. Performance was positive through October, but the Fed‘s QE2 (quantitative easing) in November took major portions of the bond market to lower levels; this fund included.
Sean Hanlon
Jeff Vogl
Donald Williams
Co-Portfolio Managers
Hanlon Investment Management, Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Hanlon Managed Income VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 0.39 | % | | | 6.63 | % | | | 05/01/2009 | |
| Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 7.13 | % | | | | |
| BofA Merrill Lynch 3-Month Treasury Bill * | | | 0.13 | % | | | 0.15 | % | | | | |
| |
| Service Class | | | 0.12 | % | | | 6.40 | % | | | 05/01/2009 | |
| |
NOTES
| | |
| * | | The Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) and the Bank of America Merrill Lynch 3 Month Treasury Bill Index (“BofA Merrill Lynch 3-Month Treasury Bill”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Hanlon Managed Income VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
Transamerica Hanlon
Managed Income VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,003.00 | | | $ | 4.90 | | | $ | 1,020.32 | | | $ | 4.94 | | | | 0.97 | % |
| Service Class | | | 1,000.00 | | | | 1,001.20 | | | | 6.15 | | | | 1,019.06 | | | | 6.21 | | | | 1.22 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net | |
| Asset Type | | Assets | |
| |
| Investment Companies | | | 88.9 | % |
| Securities Lending Collateral | | | 13.9 | |
| Repurchase Agreement | | | 11.1 | |
| Other Assets and Liabilities - Net | | | (13.9 | ) |
| |
Total | | | 100.0 | % |
| | | | |
| | |
| |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Hanlon Managed Income VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 88.9% | | | | | | | | |
Capital Markets - 88.9% | | | | | | | | |
| CurrencyShares Australian Dollar Trust | | | 56,494 | | | $ | 5,800 | |
CurrencyShares Canadian Dollar Trust ^ | | | 56,639 | | | | 5,638 | |
| CurrencyShares Swiss Franc Trust | | | 54,259 | | | | 5,763 | |
| iShares Barclays Short Treasury Bond Fund | | | 100,183 | | | | 11,044 | |
iShares iBoxx $ High Yield Corporate Bond Fund ^ | | | 294,350 | | | | 26,577 | |
| PIMCO Enhanced Short Maturity Strategy Fund | | | 108,045 | | | | 10,881 | |
PowerShares DB U.S. Dollar Index Bullish Fund ^ | | | 241,686 | | | | 5,489 | |
| ProShares Short 20+ Year Treasury ETF | | | 497,934 | | | | 22,034 | |
SPDR Barclays Capital High Yield Bond Fund ETF ^ | | | 681,193 | | | | 27,049 | |
| SSC Government Money Market Fund | | | 31,546,829 | | | | 31,547 | |
| SSgA Money Market Fund | | | 31,546,829 | | | | 31,547 | |
| SSgA Prime Money Market Fund | | | 31,546,829 | | | | 31,547 | |
| State Street Institutional Liquid Reserves Fund | | | 31,546,829 | | | | 31,547 | |
WisdomTree Dreyfus Brazilian Real Fund ^ | | | 216,837 | | | | 5,757 | |
| | | | | | | | |
Total Investment Companies (cost $251,818) | | | | | | | 252,220 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 13.9% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 39,578,960 | | | $ | 39,579 | |
Total Securities Lending Collateral (cost $39,579) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 11.1% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $31,547 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $32,180. | | $ | 31,547 | | | | 31,547 | |
Total Repurchase Agreement (cost $31,547) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $322,944) # | | | | | | | 323,346 | |
| Other Assets and Liabilities - Net | | | | | | | (39,509 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 283,837 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $38,655. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $323,199. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $825 and $678, respectively. Net unrealized appreciation for tax purposes is $147. |
DEFINITIONS:
| ETF | | Exchange-Traded Fund |
| |
| SPDR | | Standard & Poor’s Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 252,220 | | | $ | — | | | $ | — | | | $ | 252,220 | |
| Securities Lending Collateral | | | 39,579 | | | | — | | | | — | | | | 39,579 | |
| Repurchase Agreement | | | — | | | | 31,547 | | | | — | | | | 31,547 | |
| | | | | | | | | | | | | |
Total | | $ | 291,799 | | | $ | 31,547 | | | $ | — | | | $ | 323,346 | |
| | | | | | | | | | | | | |
| | |
| |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Hanlon Managed Income VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in investment companies, at value (cost: $291,397) (including securities loaned of $38,655) | | $ | 291,799 | |
| Repurchase agreement, at value (cost: $31,547) | | | 31,547 | |
| Receivables: | | | | |
| Shares sold | | | 583 | |
| Interest | | | 8 | |
| Securities lending income (net) | | | 40 | |
| Dividends | | | 773 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 324,752 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 816 | |
| Shares redeemed | | | 204 | |
| Management and advisory fees | | | 238 | |
| Distribution and service fees | | | 53 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 5 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 5 | |
| Other | | | 8 | |
| Collateral for securities on loan | | | 39,579 | |
| | | | |
| | | | 40,915 | |
| | | | |
Net assets | | $ | 283,837 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 257 | |
| Additional paid-in capital | | | 283,971 | |
| Undistributed (accumulated) net investment income (loss) | | | 3,154 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | (3,947 | ) |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 402 | |
| | | | |
Net assets | | $ | 283,837 | |
| | | | |
| | | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 29,069 | |
| Service Class | | | 254,768 | |
Shares outstanding: | | | | |
| Initial Class | | | 2,623 | |
| Service Class | | | 23,077 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.08 | |
| Service Class | | | 11.04 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 5,285 | |
| Interest income | | | 58 | |
| Securities lending income (net) | | | 237 | |
| | | | |
| | | | 5,580 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,485 | |
| Printing and shareholder reports | | | 15 | |
| Custody | | | 21 | |
| Administration | | | 33 | |
| Legal | | | 14 | |
| Audit and tax | | | 18 | |
| Trustees | | | 5 | |
| Transfer agent | | | 2 | |
| Distribution and service: | | | | |
| Service Class | | | 348 | |
| Other | | | 2 | |
| | | | |
| Total expenses | | | 1,943 | |
| | | | |
| Recaptured Expenses | | | 24 | |
| | | | |
| Net expenses | | | 1,967 | |
| | | | |
| | | | | |
Net investment income | | | 3,613 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | (4,811 | ) |
| Distributions from investments in investment companies | | | 421 | |
| | | | |
| | | | (4,390 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 327 | |
| | | | |
Net realized and unrealized loss on investments in investment companies | | | (4,063 | ) |
| | | | |
| |
Net decrease In net assets resulting from operations | | $ | (450 | ) |
| | | | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Hanlon Managed Income VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 3,613 | | | $ | 372 | |
| Net realized gain (loss) from investments in and distributions from investment companies | | | (4,390 | ) | | | 609 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 327 | | | | 75 | |
| | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (450 | ) | | | 1,056 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (49 | ) | | | — | |
| Service Class | | | (322 | ) | | | — | |
| | | | | | | |
| | | | (371 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (83 | ) | | | — | |
| Service Class | | | (543 | ) | | | — | |
| | | | | | | |
| | | | (626 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (997 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 16,623 | | | | 17,429 | |
| Service Class | | | 255,782 | | | | 20,050 | |
| | | | | | | |
| | | | 272,405 | | | | 37,479 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 132 | | | | — | |
| Service Class | | | 865 | | | | — | |
| | | | | | | |
| | | | 997 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (5,433 | ) | | | (632 | ) |
| Service Class | | | (19,974 | ) | | | (614 | ) |
| | | | | | | |
| | | | (25,407 | ) | | | (1,246 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 247,995 | | | | 36,233 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 246,548 | | | | 37,289 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 37,289 | | | | — | |
| | | | | | | |
| End of year | | $ | 283,837 | | | $ | 37,289 | |
| | | | | | | |
Undistributed net investment income | | $ | 3,154 | | | $ | 372 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 1,496 | | | | 1,663 | |
| Service Class | | | 23,042 | | | | 1,815 | |
| | | | | | | |
| | | | 24,538 | | | | 3,478 | |
| | | | | | | |
| Shares issued-reinvested from | | | | | | | | |
| distributions: | | | | | | | | |
| Initial Class | | | 12 | | | | — | |
| Service Class | | | 78 | | | | — | |
| | | | | | | |
| | | | 90 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (489 | ) | | | (59 | ) |
| Service Class | | | (1,802 | ) | | | (56 | ) |
| | | | | | | |
| | | | (2,291 | ) | | | (115 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 1,019 | | | | 1,604 | |
| Service Class | | | 21,318 | | | | 1,759 | |
| | | | | | | |
| | | | 22,337 | | | | 3,363 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on May 1, 2009. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Hanlon Managed Income VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | | December 31, | | | May 1 to Dec | | | December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.09 | | | $ | 10.00 | | | $ | 11.08 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.24 | | | | 0.35 | | | | 0.24 | | | | 0.39 | |
| Net realized and unrealized gain (loss) | | | (0.20 | ) | | | 0.74 | | | | (0.23 | ) | | | 0.69 | |
| | | | | | | | | | | | | |
| Total operations | | | 0.04 | | | | 1.09 | | | | 0.01 | | | | 1.08 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.02 | ) | | | — | | | | (0.02 | ) | | | — | |
| From net realized gains | | | (0.03 | ) | | | — | | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | |
| Total distributions | | | (0.05 | ) | | | — | | | | (0.05 | ) | | | — | |
| | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.08 | | | $ | 11.09 | | | $ | 11.04 | | | $ | 11.08 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(D) | | | 0.39 | % | | | 10.90 | %(E) | | | 0.12 | % | | | 10.80 | %(E) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 29,069 | | | $ | 17,794 | | | $ | 254,768 | | | $ | 19,495 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | |
| After reimbursement/recaptured expense | | | 0.98 | % | | | 1.00 | %(G) | | | 1.23 | % | | | 1.25 | %(G) |
| Before reimbursement/recaptured expense | | | 0.97 | % | | | 1.32 | %(G) | | | 1.22 | % | | | 1.57 | %(G) |
Net investment income, to average net assets(C) | | | 2.15 | % | | | 4.90 | %(G) | | | 2.20 | % | | | 5.29 | %(G) |
Portfolio turnover rate(H) | | | 525 | % | | | 99 | %(E) | | | 525 | % | | | 99 | %(E) |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Hanlon Managed Income VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Hanlon Managed Income VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $15, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | |
| |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Hanlon Managed Income VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1 — Unadjusted quoted prices in active markets for identical securities.
Level 2 — Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Hanlon Managed Income VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.90 | % |
| Over $500 million up to $1 billion | | | 0.875 | % |
| Over $1 billion | | | 0.85 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount recaptured by the adviser was $24. There were no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 624,229 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 517,055 | |
| U.S. Government | | | — | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Hanlon Managed Income VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | (460 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 460 | |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 992 | |
| Long-term Capital Gain | | | 5 | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 4,615 | |
| | | | | |
| Undistributed Long-term Capital Gain | | $ | 68 | |
| | | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | | |
| Post October Capital Loss Deferral | | $ | (5,221 | ) |
| | | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 147 | |
| | | | | |
| Other Temporary Differences | | $ | — | |
| | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Hanlon Managed Income VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Hanlon Managed Income VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Hanlon Managed Income VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Hanlon Managed Income VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Hanlon Managed Income VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $5 for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Index 35 VP
(unaudited)
MARKET ENVIRONMENT
After a sharp retreat in May and June and a rather boring summer, stocks rebounded sharply and posted double-digit gains for the second year in a row. The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) gained over approximately 15% for the full year, and smaller stocks did much better, with the Russell 2000® Index up approximately 27%. Bonds also performed well as treasuries posted an unprecedented rally prior to a fourth quarter selloff and spreads narrowed substantially throughout most of the year. The riskiest bonds led the way higher in price over the calendar year.
The economy followed a similar path. During the latter part of the second quarter and throughout the summer, widespread fears of a double dip recession took hold. The recovery seemed to gain traction when the Federal Reserve Board’s (“Fed”) second round of quantitative easing (“QE2”) was announced. In addition, the election results seemed to also help on the confidence front.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Index 35 VP Initial Class returned 9.72%. By comparison its primary and secondary benchmarks, the Barclays Capital U.S. Aggregate Bond Index and the Transamerica Index 35 VP Blended Benchmark Index, returned 6.54% and 10.25%, respectively.
The blended benchmark is comprised of the Barclays Capital U.S. Aggregate Bond Index (65%), the Morgan Stanley Capital International U.S. Broad Market Index (25%) and the Financial Times Stock Exchange All-World ex U.S. Index (10%).
STRATEGY REVIEW
Our index funds are designed to closely track market benchmarks and 2010 was an excellent year for doing just that. The sharp decline in equities in the second quarter was a difficult period as there were some very large upswings in the market that served to exaggerate any small overweights or underweights in the portfolio. The trending equity markets we have enjoyed in the US since late August serve us better than choppy markets. Over longer term investment horizons, we fully believe we will be able to provide investors the index returns they expect at an extremely low cost.
Jeffrey A. Whitehead, CFA
Portfolio Manager
AEGON USA Investment Management, LLC
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Index 35 VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 9.72 | % | | | 8.66 | % | | | 11/19/2009 | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.03 | % | | | | |
Transamerica Index 35 VP Blended Benchmark* | | | 10.25 | % | | | 9.35 | % | | | | |
| |
| Service Class | | | 9.42 | % | | | 8.39 | % | | | 11/19/2009 | |
| |
NOTES
| | |
| * | | The Transamerica Index 35 VP Blended Benchmark is composed of the following benchmarks: Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) 65%, Financial Times Stock Exchange All-World ex U.S. Index (“FTSE All World ex US”) 10% and Morgan Stanley Capital International U.S. Broad Market Index (“MSCI US Broad Market”) 25%. All benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Index 35 VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Index 35 VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,087.50 | | | $ | 1.95 | | | $ | 1,023.34 | | | $ | 1.89 | | | | 0.37 | % |
| Service Class | | | 1,000.00 | | | | 1,086.60 | | | | 3.26 | | | | 1,022.08 | | | | 3.16 | | | | 0.62 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Capital Markets | | | 76.3 | % |
| Growth - Large Cap | | | 9.2 | |
| Value - Large Cap | | | 3.8 | |
| Growth - Small Cap | | | 3.2 | |
| Repurchase Agreement | | | 3.2 | |
| Emerging Market - Equity | | | 2.9 | |
| Region Fund - European | | | 2.3 | |
| Region Fund - Asian Pacific | | | 1.4 | |
| Securities Lending Collateral | | | 1.3 | |
| Other Assets and Liabilities - Net | | | (3.6 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Index 35 VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 99.1% | | | | | | | | |
Capital Markets - 76.3% | | | | | | | | |
| Vanguard Europe Pacific ETF | | | 65,833 | | | $ | 2,380 | |
| Vanguard Index Stock Market ETF | | | 135,940 | | | | 8,827 | |
| Vanguard Intermediate-Term Bond ETF | | | 167,134 | | | | 13,787 | |
| Vanguard Long-Term Bond ETF | | | 67,491 | | | | 5,338 | |
| Vanguard Short-Term Bond ETF | | | 259,250 | | | | 20,858 | |
| Vanguard Total Bond Market ETF | | | 168,485 | | | | 13,524 | |
Emerging Market - Equity - 2.9% | | | | | | | | |
| Vanguard Emerging Markets ETF | | | 52,000 | | | | 2,504 | |
Growth - Large Cap - 9.2% | | | | | | | | |
| Vanguard Growth ETF | | | 73,217 | | | | 4,497 | |
| Vanguard Large-Capital ETF | | | 56,636 | | | | 3,263 | |
Growth - Small Cap - 3.2% | | | | | | | | |
Vanguard Small-Capital ETF ^ | | | 37,339 | | | | 2,712 | |
Region Fund - Asian Pacific - 1.4% | | | | | | | | |
| Vanguard Pacific ETF | | | 20,930 | | | | 1,194 | |
Region Fund - European - 2.3% | | | | | | | | |
| Vanguard European ETF | | | 40,480 | | | | 1,987 | |
Value - Large Cap - 3.8% | | | | | | | | |
| Vanguard Value ETF | | | 60,864 | | | | 3,246 | |
| | | | | | | | |
Total Investment Companies (cost $81,999) | | | | | | | 84,117 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 1.3% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 1,142,856 | | | $ | 1,143 | |
Total Securities Lending Collateral (cost $1,143) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 3.2% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $2,709 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $2,764. | | $ | 2,709 | | | | 2,709 | |
Total Repurchase Agreement (cost $2,709) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $85,851) # | | | | | | | 87,969 | |
| Other Assets and Liabilities - Net | | | | | | | (3,021 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 84,948 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $1,118. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $85,860. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $2,675 and $566, respectively. Net unrealized appreciation for tax purposes is $2,109. |
DEFINITION:
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 84,117 | | | $ | — | | | $ | — | | | $ | 84,117 | |
| Repurchase Agreement | | | — | | | | 2,709 | | | | — | | | | 2,709 | |
| Securities Lending Collateral | | | 1,143 | | | | — | | | | — | | | | 1,143 | |
| | | | | | | | | | | | | |
Total | | $ | 85,260 | | | $ | 2,709 | | | $ | — | | | $ | 87,969 | |
| | | | | | | | | | | | | |
| | |
| |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Index 35 VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in investment companies, at value (cost: $83,142) (including securities loaned of $1,118) | | $ | 85,260 | |
| Repurchase agreement, at value (cost: $2,709) | | | 2,709 | |
| Cash | | | 244 | |
| Receivables: | | | | |
| Investment securities sold | | | 250 | |
| Shares sold | | | 145 | |
| Securities lending income (net) | | | 1 | |
| | | | |
| | | | 88,609 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 2,470 | |
| Shares redeemed | | | 1 | |
| Management and advisory fees | | | 10 | |
| Distribution and service fees | | | 17 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 7 | |
| Other | | | 5 | |
| Collateral for securities on loan | | | 1,143 | |
| | | | |
| | | | 3,661 | |
| | | | |
Net assets | | $ | 84,948 | |
| | | | |
| |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 78 | |
| Additional paid-in capital | | | 81,220 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,067 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | 465 | |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 2,118 | |
| | | | |
Net assets | | $ | 84,948 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 275 | |
| Service Class | | | 84,673 | |
Shares outstanding: | | | | |
| Initial Class | | | 25 | |
| Service Class | | | 7,740 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 10.97 | |
| Service Class | | | 10.94 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 1,269 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 8 | |
| | | | |
| | | | 1,277 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 108 | |
| Custody | | | 22 | |
| Administration | | | 7 | |
| Legal | | | 2 | |
| Audit and tax | | | 11 | |
| Trustees | | | 1 | |
| Transfer agent | | | 1 | |
| Distribution and service: | | | | |
| Service Class | | | 84 | |
| Other | | | — | (A) |
| | | | |
| Total expenses | | | 236 | |
| | | | |
| Less waiver/reimbursement | | | (26 | ) |
| | | | |
| Net expenses | | | 210 | |
| | | | |
| | | | | |
Net investment income | | | 1,067 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | 278 | |
| Distributions from investments in investment companies | | | 187 | |
| | | | |
| | | | 465 | |
| | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 2,132 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 2,597 | |
| | | | |
| |
Net increase In net assets resulting from operations | | $ | 3,664 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Index 35 VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,067 | | | $ | 10 | |
| Net realized gain from investments in and distributions from investment companies | | | 465 | | | | — | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 2,132 | | | | (14 | ) |
| | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 3,664 | | | | (4 | ) |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | — | (B) | | | — | |
| Service Class | | | (10 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (10 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | — | | | | 250 | |
| Service Class | | | 82,232 | | | | 1,764 | |
| | | | | | | |
| | | | 82,232 | | | | 2,014 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | — | (B) | | | — | |
| Service Class | | | 10 | | | | — | |
| | | | | | | |
| | | | 10 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Service Class | | | (2,953 | ) | | | (5 | ) |
| | | | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 79,289 | | | | 2,009 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 82,943 | | | | 2,005 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 2,005 | | | | — | |
| | | | | | | |
| End of year | | $ | 84,948 | | | $ | 2,005 | |
| | | | | | | |
Undistributed net investment income | | $ | 1,067 | | | $ | 10 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | — | | | | 25 | |
| Service Class | | | 7,843 | | | | 176 | |
| | | | | | | |
| | | | 7,843 | | | | 201 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | — | (C) | | | — | |
| Service Class | | | 1 | | | | — | |
| | | | | | | |
| | | | 1 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Service Class | | | (279 | ) | | | (1 | ) |
| | | | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | — | | | | 25 | |
| Service Class | | | 7,565 | | | | 175 | |
| | | | | | | |
| | | | 7,565 | | | | 200 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on November 19, 2009. |
| |
| (B) | | Rounds to less than $1 or ($1). |
| |
| (C) | | Rounds to less than 1 share. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Index 35 VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | | December 31, | | | Nov 19 to Dec | | | December 31, | | | Nov 19 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.27 | | | | 0.07 | | | | 0.33 | | | | 0.10 | |
| Net realized and unrealized gain (loss) | | | 0.70 | | | | (0.07 | ) | | | 0.61 | | | | (0.10 | ) |
| | | | | | | | | | | | | |
| Total operations | | | 0.97 | | | | 0.00 | | | | 0.94 | | | | 0.00 | |
| | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | |
| From net investment income | | | — | (D) | | | — | | | | — | (D) | | | — | |
Net asset value | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.97 | | | $ | 10.00 | | | $ | 10.94 | | | $ | 10.00 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total return(E) | | | 9.72 | % | | | — | %(F) | | | 9.42 | % | | | — | %(F) |
| | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 275 | | | $ | 250 | | | $ | 84,673 | | | $ | 1,755 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | |
Expenses to average net assets(G) | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 0.37 | % | | | 0.37 | %(H) | | | 0.62 | % | | | 0.62 | %(H) |
| Before reimbursement/fee waiver | | | 0.45 | % | | | 27.72 | %(H) | | | 0.70 | % | | | 27.97 | %(H) |
Net investment income, to average net assets(C) | | | 2.60 | % | | | 5.92 | %(H) | | | 3.14 | % | | | 8.60 | %(H) |
Portfolio turnover rate(I) | | | 13 | % | | | 1 | %(F) | | | 13 | % | | | 1 | %(F) |
| | |
| (A) | | Commenced operations on November 19, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Rounds to less than $(.01) per share. |
| |
| (E) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (F) | | Not annualized. |
| |
| (G) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (H) | | Annualized. |
| |
| (I) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Index 35 VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Index 35 VP (the “Fund”) is part of TST.
The Fund currently offers two share classes; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Index 35 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reporting day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
AEGON USA Investment Management, LLC (“AUIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, AUIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, AUIM, TFS, and TCI.
At the commencement of operations, TAM invested in the Fund. As of December 31, 2010, TAM had remaining investments in the Fund as follows:
| | | | | | | | | |
| | | | | | | % of Fund’s | |
| | | Value | | | Net Assets | |
| Initial Class | | $ | 274 | | | | 0.32 | % |
| | | | | | | |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $50 million | | | 0.32 | % |
| Over $50 million up to $250 million | | | 0.30 | % |
| Over $250 million | | | 0.28 | % |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Index 35 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.37% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain ordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $26. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| |
| Fiscal Year 2009: | | $ | 34 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 26 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 84,183 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 4,414 | |
| U.S. Government | | | — | |
| | |
| |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Index 35 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for the open tax year (2009, or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 10 | |
| Long-term Capital Gain | | | — | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 1,354 | |
| | | | | |
| Undistributed Long-term Capital Gain | | $ | 187 | |
| | | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 2,109 | |
| | | | | |
| Other Temporary Differences | | $ | — | |
| | | | | |
| | |
| |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Index 35 VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Index 35 VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Index 35 VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Index 35 VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Index 35 VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Index 50 VP
(unaudited)
MARKET ENVIRONMENT
After a sharp retreat in May and June and a rather boring summer, stocks rebounded sharply and posted double-digit gains for the second year in a row. The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) gained over 15% for the full year, and smaller stocks did much better, with the Russell 2000® Index up approximately 27%. Bonds also performed well as treasuries posted an unprecedented rally prior to a fourth quarter selloff and spreads narrowed substantially throughout most of the year. The riskiest bonds led the way higher in price over the calendar year.
The economy followed a similar path. During the latter part of the second quarter and throughout the summer, widespread fears of a double dip recession took hold. The recovery seemed to gain traction when the Federal Reserve Board’s (“Fed”) second round of quantitative easing (“QE2”) was announced. In addition, the election results seemed to also help on the confidence front.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Index 50 VP Initial Class returned 11.07%. By comparison its primary and secondary benchmarks, the Barclays Capital U.S. Aggregate Bond Index and Transamerica Index 50 VP Blended Benchmark Index, returned 6.54% and 11.60%, respectively.
The blended benchmark is comprised of the Barclays Capital U.S. Aggregate Bond Index (50%), the Morgan Stanley Capital International U.S. Broad Market Index (34%) and the Financial Times Stock Exchange All-World ex U.S. Index (16%).
STRATEGY REVIEW
Our index funds are designed to closely track market benchmarks and 2010 was an excellent year for doing just that. The sharp decline in equities in the second quarter was a difficult period as there were some very large upswings in the market that served to exaggerate any small overweights or underweights in the portfolio. The trending equity markets we have enjoyed in the US since late August serve us better than choppy markets. Over longer term investment horizons, we fully believe to be able to provide investors the index returns they expect at an extremely low cost.
Jeffrey A. Whitehead, CFA
Portfolio Manager
AEGON USA Investment Management, LLC
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Index 50 VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 11.07 | % | | | 2.66 | % | | | 05/01/2008 | |
| Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.88 | % | | | | |
| Transamerica Index 50 VP Blended Benchmark* | | | 11.60 | % | | | 2.92 | % | | | | |
| |
| Service Class | | | 10.69 | % | | | 2.40 | % | | | 05/01/2008 | |
| |
NOTES
| | |
| * | | The Transamerica Index 50 VP Blended Benchmark is composed of the following benchmarks: Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) 50%, Financial Times Stock Exchange All-World ex U.S. Index (“FTSE All World ex US”) 16% and Morgan Stanley Capital International U.S. Broad Market Index (“MSCI US Broad Market”) 34%. All benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Index 50 VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Index 50 VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,125.90 | | | $ | 1.98 | | | $ | 1,023.34 | | | $ | 1.89 | | | | 0.37 | % |
| Service Class | | | 1,000.00 | | | | 1,124.50 | | | | 3.32 | | | | 1,022.08 | | | | 3.16 | | | | 0.62 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Capital Markets | | | 67.8 | % |
| Growth — Large Cap | | | 12.3 | |
| Value — Large Cap | | | 6.2 | |
| Emerging Market — Equity | | | 4.2 | |
| Region Fund — European | | | 3.8 | |
| Securities Lending Collateral | | | 3.2 | |
| Growth — Small Cap | | | 2.9 | |
| Region Fund — Asian Pacific | | | 2.1 | |
| Repurchase Agreement | | | 1.3 | |
| Other Assets and Liabilities — Net | | | (3.8 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Index 50 VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 99.3% | | | | | | | | |
Capital Markets - 67.8% | | | | | | | | |
| Vanguard Europe Pacific ETF | | | 424,550 | | | $ | 15,347 | |
Vanguard Index Stock Market ETF ^ | | | 798,840 | | | | 51,869 | |
| Vanguard Total Bond Market ETF | | | 2,114,736 | | | | 169,749 | |
Emerging Market — Equity - 4.2% | | | | | | | | |
| Vanguard Emerging Markets ETF | | | 301,438 | | | | 14,514 | |
Growth — Large Cap - 12.3% | | | | | | | | |
Vanguard Growth ETF ^ | | | 383,603 | | | | 23,561 | |
Vanguard Large-Capital ETF ^ | | | 339,161 | | | | 19,539 | |
Growth — Small Cap - 2.9% | | | | | | | | |
| Vanguard Small-Capital ETF | | | 138,509 | | | | 10,060 | |
Region Fund — Asian Pacific - 2.1% | | | | | | | | |
| Vanguard Pacific ETF | | | 131,033 | | | | 7,474 | |
Region Fund — European - 3.8% | | | | | | | | |
Vanguard European ETF ^ | | | 273,317 | | | | 13,417 | |
Value — Large Cap - 6.2% | | | | | | | | |
| Vanguard Value ETF | | | 405,766 | | | | 21,640 | |
| | | | | | | | |
Total Investment Companies (cost $317,907) | | | | | | | 347,170 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 3.2% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 11,231,500 | | | | 11,232 | |
Total Securities Lending Collateral (cost $11,232) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 1.3% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $4,443 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $4,533. | | $ | 4,443 | | | | 4,443 | |
Total Repurchase Agreement (cost $4,443) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $333,582) # | | | | | | | 362,845 | |
| Other Assets and Liabilities — Net | | | | | | | (13,172 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 349,673 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $10,986. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $334,271. Aggregate gross/net unrealized appreciation for all securities in which there is an excess of value over tax cost was $28,574. |
DEFINITION:
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 347,170 | | | $ | — | | | $ | — | | | $ | 347,170 | |
| Repurchase Agreement | | | — | | | | 4,443 | | | | — | | | | 4,443 | |
| Securities Lending Collateral | | | 11,232 | | | | — | | | | — | | | | 11,232 | |
| | | | | | | | | | | | | |
Total | | $ | 358,402 | | | $ | 4,443 | | | $ | — | | | $ | 362,845 | |
| | | | | | | | | | | | | |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | |
Annual Report 2010 |
Page 4
Transamerica Index 50 VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investments in investment companies, at value
(cost: $329,139)
(including securities loaned of $10,986) | | $ | 358,402 | |
| Repurchase agreement, at value (cost: $4,443) | | | 4,443 | |
| Cash | | | 745 | |
| Receivables: | | | | |
| Investment securities sold | | | 175 | |
| Shares sold | | | 820 | |
| Securities lending income (net) | | | 7 | |
| Prepaid expenses | | | 3 | |
| | | | |
| | | | 364,595 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 3,465 | |
| Shares redeemed | | | 2 | |
| Management and advisory fees | | | 128 | |
| Distribution and service fees | | | 71 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 6 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 3 | |
| Other | | | 8 | |
| Collateral for securities on loan | | | 11,232 | |
| | | | |
| | | | 14,922 | |
| | | | |
Net assets | | $ | 349,673 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 336 | |
| Additional paid-in capital | | | 307,209 | |
| Undistributed (accumulated) net investment income (loss) | | | 6,577 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | 6,288 | |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 29,263 | |
| | | | |
Net assets | | $ | 349,673 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 1,597 | |
| Service Class | | | 348,076 | |
Shares outstanding: | | | | |
| Initial Class | | | 152 | |
| Service Class | | | 33,465 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 10.46 | |
| Service Class | | | 10.40 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 8,136 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 42 | |
| | | | |
| | | | 8,178 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 778 | |
| Printing and shareholder reports | | | 13 | |
| Custody | | | 26 | |
| Administration | | | 52 | |
| Legal | | | 15 | |
| Audit and tax | | | 11 | |
| Trustees | | | 9 | |
| Transfer agent | | | 2 | |
| Distribution and service: | | | | |
| Service Class | | | 643 | |
| Other | | | 4 | |
| | | | |
| Total expenses | | | 1,553 | |
| | | | |
| Recaptured Expenses | | | 43 | |
| | | | |
| Net expenses | | | 1,596 | |
| | | | |
Net investment income | | | 6,582 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | 7,020 | |
| Distributions from investments in investment companies | | | 492 | |
| | | | |
| | | | 7,512 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 14,780 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 22,292 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 28,874 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | |
Annual Report 2010 |
Page 5
Transamerica Index 50 VP
STATEMENT OF CHANHES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | December 31, |
| | | 2010 | | 2009 |
From operations: | | | | | | | | |
| Net investment income | | $ | 6,582 | | | $ | 3,016 | |
| Net realized gain from investments in and distributions from investment companies | | | 7,512 | | | | 2,029 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 14,780 | | | | 14,957 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 28,874 | | | | 20,002 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (6 | ) | | | (1 | ) |
| Service Class | | | (3,010 | ) | | | (338 | ) |
| | | | | | | |
| | | | (3,016 | ) | | | (339 | ) |
| | | | | | | |
From net realized gains: | | | | | | | | |
| Initial Class | | | (4 | ) | | | — | |
| Service Class | | | (2,756 | ) | | | — | |
| | | | | | | |
| | | | (2,760 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (5,776 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 1,748 | | | | 261 | |
| Service Class | | | 155,680 | | | | 159,370 | |
| | | | | | | |
| | | | 157,428 | | | | 159,631 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 10 | | | | 1 | |
| Service Class | | | 5,766 | | | | 338 | |
| | | | | | | |
| | | | 5,776 | | | | 339 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (583 | ) | | | (235 | ) |
| Service Class | | | (27,867 | ) | | | (10,363 | ) |
| | | | | | | |
| | | | (28,450 | ) | | | (10,598 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 134,754 | | | | 149,372 | |
| | | | | | | |
| |
Net increase in net assets | | | 157,852 | | | | 169,035 | |
| | | | | | | |
| |
Net assets: | | | | | | | | |
| Beginning of year | | | 191,821 | | | | 22,786 | |
| | | | | | | |
| End of year | | $ | 349,673 | | | $ | 191,821 | |
| | | | | | | |
Undistributed net investment income | | $ | 6,577 | | | $ | 3,011 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 170 | | | | 30 | |
| Service Class | | | 15,741 | | | | 18,389 | |
| | | | | | | |
| | | | 15,911 | | | | 18,419 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 1 | | | | — | (A) |
| Service Class | | | 607 | | | | 37 | |
| | | | | | | |
| | | | 608 | | | | 37 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (58 | ) | | | (29 | ) |
| Service Class | | | (2,834 | ) | | | (1,190 | ) |
| | | | | | | |
| | | | (2,892 | ) | | | (1,219 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 113 | | | | 1 | |
| Service Class | | | 13,514 | | | | 17,236 | |
| | | | | | | |
| | | | 13,627 | | | | 17,237 | |
| | | | | | | |
| | |
| (A) | | Rounds to less than 1 share. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | |
Annual Report 2010 |
Page 6
Transamerica Index 50 VP
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | | Year Ended December 31, | | | May 1 to Dec | | | Year Ended December 31, | | | May 1 to Dec | |
| | 2010 | | | 2009 | | | 31, 2008(A) | | | 2010 | | | 2009 | | | 31, 2008(A) | |
Net asset value | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.63 | | | $ | 8.28 | | | $ | 10.00 | | | $ | 9.60 | | | $ | 8.26 | | | $ | 10.00 | |
| Investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.34 | | | | 0.26 | | | | 0.25 | | | | 0.25 | | | | 0.28 | | | | 0.38 | |
| Net realized and unrealized gain (loss) | | | 0.71 | | | | 1.12 | | | | (1.97 | ) | | | 0.76 | | | | 1.08 | | | | (2.12 | ) |
| | | | | | | | | | | | | | | | | | | |
| Total operations | | | 1.05 | | | | 1.38 | | | | (1.72 | ) | | | 1.01 | | | | 1.36 | | | | (1.74 | ) |
| | | | | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.12 | ) | | | (0.03 | ) | | | — | | | | (0.11 | ) | | | (0.02 | ) | | | — | |
| From net realized gains | | | (0.10 | ) | | | — | | | | — | | | | (0.10 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | |
| Total distributions | | | (0.22 | ) | | | (0.03 | ) | | | — | | | | (0.21 | ) | | | (0.02 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 10.46 | | | $ | 9.63 | | | $ | 8.28 | | | $ | 10.40 | | | $ | 9.60 | | | $ | 8.26 | |
| | | | | | | | | | | | | | | | | | | |
Total return(D) | | | 11.07 | % | | | 16.62 | % | | | (17.20 | )%(E) | | | 10.69 | % | | | 16.53 | % | | | (17.40 | )%(E) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 1,597 | | | $ | 378 | | | $ | 315 | | | $ | 348,076 | | | $ | 191,443 | | | $ | 22,471 | |
| Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | | | | | | | | | |
After reimbursement/recaptured
expense | | | 0.37 | % | | | 0.37 | % | | | 0.37 | %(G) | | | 0.62 | % | | | 0.62 | % | | | 0.62 | %(G) |
| Before reimbursement/recaptured expense | | | 0.35 | % | | | 0.38 | % | | | 1.23 | %(G) | | | 0.60 | % | | | 0.63 | % | | | 1.48 | %(G) |
Net investment income, to average net assets(C) | | | 3.33 | % | | | 2.91 | % | | | 4.21 | %(G) | | | 2.55 | % | | | 3.09 | % | | | 7.06 | %(G) |
Portfolio turnover rate(H) | | | 12 | % | | | 27 | % | | | 17 | %(E) | | | 12 | % | | | 27 | % | | | 17 | %(E) |
| | |
| (A) | | Commenced operations on May 1, 2008. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | |
Annual Report 2010 |
Page 7
Transamerica Index 50 VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Index 50 VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian, and pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Index 50 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, lnc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
AEGON USA Investment Management, LLC (“AUIM”) is both an affiliate of the Fund and is sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, AUIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, AUIM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $50 million | | | 0.32 | % |
| Over $50 million up to $250 million | | | 0.30 | % |
| Over $250 million | | | 0.28 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.37% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | |
Annual Report 2010 |
Page 9
Transamerica Index 50 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
During the year ended December 31, 2010, the amount recaptured by the adviser was $43. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2009: | | $ | 12 | | | 12/31/2012 |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 166,851 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 31,921 | |
| U.S. Government | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Index 50 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for the open tax years (2008-2010), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 5,511 | |
| Long-term Capital Gain | | | 265 | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 339 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 8,169 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 5,389 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 28,574 | |
| | | | |
| Other Temporary Differences | | $ | (4 | ) |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Index 50 VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Index 50 VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Index 50 VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Index 50 VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Index 50 VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $265 for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Index 75 VP
(unaudited)
MARKET ENVIRONMENT
After a sharp retreat in May and June and a rather boring summer, stocks rebounded sharply and posted double-digit gains for the second year in a row. The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) gained over 15% for the full year, and smaller stocks did much better, with the Russell 2000® Index up approximately 27%. Bonds also performed well as treasuries posted an unprecedented rally prior to a fourth quarter selloff and spreads narrowed substantially throughout most of the year. The riskiest bonds led the way higher in price over the calendar year.
The economy followed a similar path. During the latter part of the second quarter and throughout the summer, widespread fears of a double dip recession took hold. The recovery seemed to gain traction when the Federal Reserve Board’s (“Fed”) second round of quantitative easing (“QE2”) was announced. In addition, the election results seemed to also help on the confidence front.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Index 75 VP Initial Class returned 13.15%. By comparison its primary and secondary benchmarks, the Morgan Stanley Capital International U.S. Broad Market Index and the Transamerica Index 75 VP Blended Benchmark Index, returned 17.28% and 13.80%, respectively.
The blended benchmark is comprised of the Morgan Stanley Capital International U.S. Broad Market Index (52%), the Barclays Capital U.S. Aggregate Bond Index (25%) and the Financial Times Stock Exchange All-World ex U.S. Index (23%).
STRATEGY REVIEW
Our index funds are designed to closely track market benchmarks and 2010 was an excellent year for doing just that. The sharp decline in equities in the second quarter was a difficult period as there were some very large upswings in the market that served to exaggerate any small overweights or underweights in the portfolio. The trending equity markets we have enjoyed in the U.S. since late August serve us better than choppy markets. Over longer term investment horizons, we fully believe we will be able to provide investors the index returns they expect at an extremely low cost.
Jeffrey A. Whitehead, CFA
Portfolio Manager
AEGON USA Investment Management, LLC
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Index 75 VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 13.15 | % | | | 0.85 | % | | | 05/01/2008 | |
| MSCI US Broad Market* | | | 17.28 | % | | | 0.01 | % | | | | |
| Transamerica Index 75 VP Blended Benchmark* | | | 13.80 | % | | | 1.26 | % | | | | |
| |
| Service Class | | | 13.00 | % | | | 0.55 | % | | | 05/01/2008 | |
| |
NOTES
| | |
| * | | The Transamerica Index 75 VP Blended Benchmark is composed of the following benchmarks: Morgan Stanley Capital International U.S. Broad Market Index (“MSCI US Broad Market”) 52%, Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) 25% and Financial Times Stock Exchange All-World ex U.S. Index (“FTSE All World ex .US”) 23%. All benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Index 75 VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica Index 75 VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,188.20 | | | $ | 1.88 | | | $ | 1,023.49 | | | $ | 1.73 | | | | 0.34 | % |
| Service Class | | | 1,000.00 | | | | 1,187.10 | | | | 3.25 | | | | 1,022.23 | | | | 3.01 | | | | 0.59 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Capital Markets | | | 50.3 | % |
| Growth — Large Cap | | | 19.0 | |
| Value — Large Cap | | | 11.3 | |
| Securities Lending Collateral | | | 7.8 | |
| Emerging Market — Equity | | | 6.2 | |
| Region Fund — European | | | 6.1 | |
| Growth — Small Cap | | | 3.6 | % |
| Region Fund — Asian Pacific | | | 2.9 | |
| Repurchase Agreement | | | 1.8 | |
| Other Assets and Liabilities — Net | | | (9.0 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Index 75 VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 99.4% | | | | | | | | |
Capital Markets - 50.3% | | | | | | | | |
| Vanguard Europe Pacific ETF | | | 1,116,600 | | | $ | 40,365 | |
Vanguard Index Stock Market ETF ^ | | | 2,285,320 | | | | 148,386 | |
Vanguard Total Bond Market ETF ^ | | | 2,095,541 | | | | 168,210 | |
Emerging Market — Equity - 6.2% | | | | | | | | |
| Vanguard Emerging Markets ETF | | | 909,230 | | | | 43,779 | |
Growth — Large Cap - 19.0% | | | | | | | | |
Vanguard Growth ETF ^ | | | 1,474,775 | | | | 90,580 | |
Vanguard Large-Capital ETF ^ | | | 769,616 | | | | 44,338 | |
Growth — Small Cap - 3.6% | | | | | | | | |
Vanguard Small-Capital ETF ^ | | | 351,058 | | | | 25,497 | |
Region Fund — Asian Pacific - 2.9% | | | | | | | | |
| Vanguard Pacific ETF | | | 363,194 | | | | 20,717 | |
Region Fund — European - 6.1% | | | | | | | | |
Vanguard European ETF ^ | | | 880,980 | | | | 43,247 | |
Value — Large Cap - 11.3% | | | | | | | | |
Vanguard Value ETF ^ | | | 1,497,352 | | | | 79,854 | |
| | | | | | | | | |
| | | | | | | | |
Total Investment Companies (cost $596,618) | | | | | | | 704,973 | |
| | | | | | | | |
SECURITIES LENDING COLLATERAL - 7.8% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 54,924,066 | | | | 54,924 | |
Total Securities Lending Collateral (cost $54,924) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 1.8% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $12,498 on 01/03/2011. Collateralized by a U.S. Government Obligation, 1.38%, due 05/15/2013, with a value of $12,752. | | $ | 12,498 | | | | 12,498 | |
Total Repurchase Agreement (cost $12,498) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $664,040) # | | | | | | | 772,395 | |
| Other Assets and Liabilities — Net | | | | | | | (63,773 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 708,622 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $53,707. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $671,125. Aggregate gross/net unrealized appreciation for all securities in which there is an excess of value over tax cost was $101,270. |
DEFINITION:
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 704,973 | | | $ | — | | | $ | — | | | $ | 704,973 | |
| Repurchase Agreement | | | — | | | | 12,498 | | | | — | | | | 12,498 | |
| Securities Lending Collateral | | | 54,924 | | | | — | | | | — | | | | 54,924 | |
| | | | | | | | | | | | | |
Total | | $ | 759,897 | | | $ | 12,498 | | | $ | — | | | $ | 772,395 | |
| | | | | | | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Index 75 VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investments in investment companies, at value
(cost: $651,541)
(including securities loaned of $53,707) | | $ | 759,897 | |
| Repurchase agreement, at value (cost: $12,498) | | | 12,498 | |
| Cash | | | 727 | |
| Receivables: | | | | |
| Investment securities sold | | | 97 | |
| Shares sold | | | 1,093 | |
| Income from loaned securities | | | 24 | |
| Prepaid expenses | | | 6 | |
| | | | |
| | | | 774,342 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 10,436 | |
| Shares redeemed | | | 7 | |
| Management and advisory fees | | | 171 | |
| Distribution and service fees | | | 145 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 12 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 4 | |
| Other | | | 14 | |
| Collateral for securities on loan | | | 54,924 | |
| | | | |
| | | | 65,720 | |
| | | | |
Net assets | | $ | 708,622 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 717 | |
| Additional paid-in capital | | | 585,574 | |
| Undistributed (accumulated) net investment income (loss) | | | 12,217 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | 1,759 | |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 108,355 | |
| | | | |
Net assets | | $ | 708,622 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 2,686 | |
| Service Class | | | 705,936 | |
Shares outstanding: | | | | |
| Initial Class | | | 270 | |
| Service Class | | | 71,408 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 9.96 | |
| Service Class | | | 9.89 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 15,270 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 138 | |
| | | | |
| | | | 15,408 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,579 | |
| Printing and shareholder reports | | | 25 | |
| Custody | | | 33 | |
| Administration | | | 108 | |
| Legal | | | 31 | |
| Audit and tax | | | 12 | |
| Trustees | | | 19 | |
| Transfer agent | | | 5 | |
| Distribution and service: | | | | |
| Service Class | | | 1,353 | |
| Other | | | 11 | |
| | | | |
| Total expenses | | | 3,176 | |
| | | | |
| Recaptured expenses | | | 3 | |
| | | | |
| Net expenses | | | 3,179 | |
| | | | |
| | | | | |
Net investment income | | | 12,229 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | 9,054 | |
| Distributions from investments in investment companies | | | 485 | |
| | | | |
| | | | 9,539 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 52,857 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 62,396 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 74,625 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Index 75 VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 12,229 | | | $ | 6,509 | |
| Net realized gain (loss) from investments in and distributions from investment companies | | | 9,539 | | | | (1,678 | ) |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 52,857 | | | | 61,004 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 74,625 | | | | 65,835 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (14 | ) | | | (2 | ) |
| Service Class | | | (6,494 | ) | | | (1,073 | ) |
| | | | | | | |
| | | | (6,508 | ) | | | (1,075 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (12 | ) | | | — | (A) |
| Service Class | | | (5,518 | ) | | | (2 | ) |
| | | | | | | |
| | | | (5,530 | ) | | | (2 | ) |
| | | | | | | |
Total distributions to shareholders | | | (12,038 | ) | | | (1,077 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 1,744 | | | | 691 | |
| Service Class | | | 226,062 | | | | 326,168 | |
| | | | | | | |
| | | | 227,806 | | | | 326,859 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 26 | | | | 2 | |
| Service Class | | | 12,012 | | | | 1,075 | |
| | | | | | | |
| | | | 12,038 | | | | 1,077 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (244 | ) | | | (2,206 | ) |
| Service Class | | | (25,975 | ) | | | (17,564 | ) |
| | | | | | | |
| | | | (26,219 | ) | | | (19,770 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 213,625 | | | | 308,166 | |
| | | | | | | |
| |
Net increase in net assets | | | 276,212 | | | | 372,924 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 432,410 | | | | 59,486 | |
| | | | | | | |
| End of year | | $ | 708,622 | | | $ | 432,410 | |
| | | | | | | |
Undistributed net investment income | | $ | 12,217 | | | $ | 6,496 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 181 | | | | 84 | |
| Service Class | | | 24,656 | | | | 42,613 | |
| | | | | | | |
| | | | 24,837 | | | | 42,697 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 3 | | | | — | (B) |
| Service Class | | | 1,403 | | | | 128 | |
| | | | | | | |
| | | | 1,406 | | | | 128 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (27 | ) | | | (284 | ) |
| Service Class | | | (2,854 | ) | | | (2,373 | ) |
| | | | | | | |
| | | | (2,881 | ) | | | (2,657 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 157 | | | | (200 | ) |
| Service Class | | | 23,205 | | | | 40,368 | |
| | | | | | | |
| | | | 23,362 | | | | 40,168 | |
| | | | | | | |
| | |
| (A) | | Rounds to less than $1 or ($1). |
| |
| (B) | | Rounds to less than 1 share. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Index 75 VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | | | Service Class | |
| | Year Ended December 31, | | | May 1 to Dec | | | Year Ended December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 31, 2008(A) | | | 2010 | | | 2009 | | | 31, 2008(A) | |
Net asset value | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 9.01 | | | $ | 7.31 | | | $ | 10.00 | | | $ | 8.95 | | | $ | 7.29 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.28 | | | | 0.16 | | | | 0.33 | | | | 0.20 | | | | 0.23 | | | | 0.38 | |
| Net realized and unrealized gain (loss) | | | 0.87 | | | | 1.57 | | | | (3.02 | ) | | | 0.93 | | | | 1.46 | | | | (3.09 | ) |
| | | | | | | | | | | | | | | | | | | |
| Total operations | | | 1.15 | | | | 1.73 | | | | (2.69 | ) | | | 1.13 | | | | 1.69 | | | | (2.71 | ) |
| | | | | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.11 | ) | | | (0.03 | ) | | | — | | | | (0.10 | ) | | | (0.03 | ) | | | — | |
| From net realized gains | | | (0.09 | ) | | | — | (D) | | | — | | | | (0.09 | ) | | | — | (D) | | | — | |
| | | | | | | | | | | | | | | | | | | |
| Total distributions | | | (0.20 | ) | | | (0.03 | ) | | | — | | | | (0.19 | ) | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 9.96 | | | $ | 9.01 | | | $ | 7.31 | | | $ | 9.89 | | | $ | 8.95 | | | $ | 7.29 | |
| | | | | | | | | | | | | | | | | | | |
Total return(E) | | | 13.15 | % | | | 23.68 | % | | | (26.90 | )%(F) | | | 13.00 | % | | | 23.18 | % | | | (27.10 | )%(F) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 2,686 | | | $ | 1,016 | | | $ | 2 | | | $ | 705,936 | | | $ | 431,394 | | | $ | 57 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(G) | | | | | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/recaptured expense | | | 0.34 | % | | | 0.37 | % | | | 0.37 | %(H) | | | 0.59 | % | | | 0.62 | % | | | 0.62 | %(H) |
Before reimbursement/recaptured
expense | | | 0.34 | % | | | 0.35 | % | | | 0.67 | %(H) | | | 0.59 | % | | | 0.60 | % | | | 0.92 | %(H) |
Net investment income, to average net assets(C) | | | 2.99 | % | | | 2.17 | % | | | 6.63 | %(H) | | | 2.25 | % | | | 2.75 | % | | | 7.71 | %(H) |
Portfolio turnover rate(I) | | | 7 | % | | | 24 | % | | | 11 | %(F) | | | 7 | % | | | 24 | % | | | 11 | %(F) |
| | |
| (A) | | Commenced operations on May 1, 2008. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Rounds to less than $(.01) per share. |
| |
| (E) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (F) | | Not annualized. |
| |
| (G) | | Do not include expenses of the investment companies in which the fund invests. |
| |
| (H) | | Annualized. |
| |
| (I) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Index 75 VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Index 75 VP (the “Fund”) is part of TST.
The Fund currently offers two share classes; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian, and pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Index 75 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Level 3—Unobservable inputs, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
AEGON USA Investment Management, LLC (“AUIM”) is both an affiliate of the Fund and is sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, AUIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, AUIM, TFS, and TCI.
At the commencement of operations, TAM invested in the Fund. As of December 31, 2010, TAM had remaining investments in the Fund as follows:
| | | | | | | | | |
| | | | | | | % of Fund’s |
| | | Values | | Net Assets |
| |
| Initial Class | | $ | 256 | | | | 0.04 | % |
| Service Class | | | 254 | | | | 0.04 | |
| |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Index 75 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $50 million | | | 0.32 | % |
| Over $50 million up to $250 million | | | 0.30 | % |
| Over $250 million | | | 0.28 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.37% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount recaptured by the adviser was $3. There were no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 251,304 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 37,502 | |
| U.S. Government | | | — | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Index 75 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2008 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 11,748 | |
| Long-term Capital Gain | | | 290 | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 1,077 | |
| Long-term Capital Gain | | | — | |
| |
| The tax basis components of distributable earnings as of December 31, 2010 are as follows: |
| |
|
| Undistributed Ordinary Income | | $ | 13,146 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 7,926 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 101,270 | |
| | | | |
| Other Temporary Differences | | $ | (11 | ) |
| | | | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Index 75 VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Index 75 VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Index 75 VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Index 75 VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Index 75 VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $290 for the year ended December 31, 2010.
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Index 100 VP
(unaudited)
MARKET ENVIRONMENT
After a sharp retreat in May and June and a rather boring summer, stocks rebounded sharply and posted double-digit gains for the second year in a row. The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) gained over 15% for the full year, and smaller stocks did much better, with the Russell 2000® Index up approximately 27%. Bonds also performed well as treasuries posted an unprecedented rally prior to a fourth quarter selloff and spreads narrowed substantially throughout most of the year. The riskiest bonds led the way higher in price over the calendar year.
The economy followed a similar path. During the latter part of the second quarter and throughout the summer, widespread fears of a double dip recession took hold. The recovery seemed to gain traction when the Federal Reserve Board’s (“Fed”) second round of quantitative easing (“QE2”) was announced. In addition, the election results seemed to also help on the confidence front.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Index 100 VP Initial Class returned 14.70% . By comparison its primary and secondary benchmarks, the Morgan Stanley Capital International U.S. Broad Market Index and the Transamerica Index 100 VP Blended Benchmark Index, returned 17.28% and 15.99%, respectively.
The blended benchmark is comprised of the Morgan Stanley Capital International U.S. Broad Market Index (75%) and the Financial Times Stock Exchange All-World ex U.S. Index (25%).
STRATEGY REVIEW
Our index funds are designed to closely track market benchmarks and 2010 was an excellent year for doing just that. The sharp decline in equities in the second quarter was a difficult period as there were some very large upswings in the market that served to exaggerate any small overweights or underweights in the portfolio. The trending equity markets we have enjoyed in the U.S. since late August serve us better than choppy markets. Over longer term investment horizons, we fully believe to be able to provide investors the index returns they expect at an extremely low cost.
Jeffrey A. Whitehead, CFA
Portfolio Manager
AEGON USA Investment Management, LLC
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Index 100 VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 14.70 | % | | | 15.68 | % | | | 11/19/2009 | |
| MSCI US Broad Market* | | | 17.28 | % | | | 16.66 | % | | | | |
| Transamerica Index 100 VP Blended Benchmark* | | | 15.99 | % | | | 15.03 | % | | | | |
| |
| Service Class | | | 14.41 | % | | | 15.41 | % | | | 11/19/2009 | |
| |
NOTES
| | |
| * | | The Transamerica Index 100 VP Blended Benchmark is composed of the following benchmarks: Morgan Stanley Capital International U.S. Broad Market Index (“MSCI US Broad Market”) 75% and Financial Times Stock Exchange All-World ex U.S. Index (“FTSE All World ex US”) 25%. All benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on inception date of the Initial Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Index 100 VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | Expense Ratio (C) |
| |
| Transamerica Index 100 VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,247.90 | | | $ | 2.27 | | | $ | 1,023.19 | | | $ | 2.04 | | | | 0.40 | % |
| Service Class | | | 1,000.00 | | | | 1,247.40 | | | | 3.68 | | | | 1,021.93 | | | | 3.31 | | | | 0.65 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Capital Markets | | | 35.8 | % |
| Growth - Large Cap | | | 25.3 | |
| Value - Large Cap | | | 15.1 | |
| Region Fund - European | | | 8.2 | |
| Emerging Market - Equity | | | 7.3 | |
| Securities Lending Collateral | | | 5.9 | % |
| Growth - Small Cap | | | 3.9 | |
| Region Fund - Asian Pacific | | | 3.6 | |
| Repurchase Agreement | | | 3.5 | |
| Other Assets and Liabilities - Net | | | (8.6 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Index 100 VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 99.2% | | | | | | | | |
Capital Markets - 35.8% | | | | | | | | |
| Vanguard Europe Pacific ETF | | | 46,445 | | | $ | 1,679 | |
| Vanguard Index Stock Market ETF ^ | | | 103,380 | | | | 6,713 | |
Emerging Market - Equity - 7.3% | | | | | | | | |
| Vanguard Emerging Markets ETF | | | 35,430 | | | | 1,706 | |
Growth - Large Cap - 25.3% | | | | | | | | |
| Vanguard Growth ETF | | | 65,223 | | | | 4,006 | |
| Vanguard Large-Capital ETF | | | 33,162 | | | | 1,910 | |
Growth - Small Cap - 3.9% | | | | | | | | |
| Vanguard Small-Capital ETF ^ | | | 12,554 | | | | 912 | |
Region Fund - Asian Pacific - 3.6% | | | | | | | | |
| Vanguard Pacific ETF | | | 14,900 | | | | 850 | |
Region Fund - European - 8.2% | | | | | | | | |
| Vanguard European ETF ^ | | | 38,910 | | | | 1,910 | |
Value - Large Cap - 15.1% | | | | | | | | |
| Vanguard Value ETF | | | 66,096 | | | | 3,525 | |
| | | | | | | | |
Total Investment Companies (cost $21,281) | | | | | | | 23,211 | |
| | | | | | | | |
| |
SECURITIES LENDING COLLATERAL - 5.9% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 1,379,402 | | | | 1,379 | |
Total Securities Lending Collateral (cost $1,379) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 3.5% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $829 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $849. | | $ | 829 | | | | 829 | |
Total Repurchase Agreement (cost $829) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $23,489) # | | | | | | | 25,419 | |
| Other Assets and Liabilities - Net | | | | | | | (2,006 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 23,413 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $1,351. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $23,537. Aggregate gross/net unrealized appreciation for all securities in which there is an excess of value over tax cost was $1,882. |
DEFINITION:
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 23,211 | | | $ | — | | | $ | — | | | $ | 23,211 | |
| Repurchase Agreement | | | — | | | | 829 | | | | — | | | | 829 | |
| Securities Lending Collateral | | | 1,379 | | | | — | | | | — | | | | 1,379 | |
| | | | | | | | | | | | | |
Total | | $ | 24,590 | | | $ | 829 | | | $ | — | | | $ | 25,419 | |
| | | | | | | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Index 100 VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
| Assets: | | | | |
| Investments in investment companies, at value (cost: $22,660) (including securities loaned of $1,351) | | $ | 24,590 | |
| Repurchase agreement, at value (cost: $829) | | | 829 | |
| Receivables: | | | | |
| Shares sold | | | 30 | |
| Income from loaned securities | | | 1 | |
| Due from advisor | | | 4 | |
| | | | |
| | | | 25,454 | |
| | | | |
| Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 629 | |
| Shares redeemed | | | 7 | |
| Distribution and service fees | | | 5 | |
| Transfer agent fees | | | — | (A) |
| Administration fees | | | 1 | |
| Audit and tax fees | | | 7 | |
| Printing and shareholder reports fees | | | 10 | |
| Other | | | 3 | |
| Collateral for securities on loan | | | 1,379 | |
| | | | |
| | | | 2,041 | |
| | | | |
| Net assets | | $ | 23,413 | |
| | | | |
| | | | | |
| Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 20 | |
| Additional paid-in capital | | | 21,199 | |
| Undistributed (accumulated) net investment income (loss) | | | 295 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies | | | (31 | ) |
| Net unrealized appreciation (depreciation) on investments in investment companies | | | 1,930 | |
| | | | |
| Net assets | | $ | 23,413 | |
| | | | |
| Net assets by class: | | | | |
| Initial Class | | $ | 294 | |
| Service Class | | | 23,119 | |
| Shares outstanding: | | | | |
| Initial Class | | | 25 | |
| Service Class | | | 1,970 | |
| Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.76 | |
| Service Class | | | 11.73 | |
| | |
| (A) | | Rounds to less than $1. |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from investment companies | | $ | 351 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 5 | |
| | | | |
| | | | 356 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 30 | |
| Custody | | | 14 | |
| Administration | | | 2 | |
| Legal | | | 1 | |
| Audit and tax | | | 11 | |
| Trustees | | | — | (A) |
| Transfer agent | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 23 | |
| Other | | | — | (A) |
| | | | |
| Total expenses | | | 81 | |
| | | | |
| Less waiver/reimbursement | | | (20 | ) |
| | | | |
| Net expenses | | | 61 | |
| | | | |
| |
Net investment income | | | 295 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in investment companies | | | (31 | ) |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in investment companies | | | 1,924 | |
| | | | |
Net realized and unrealized gain on investments in investment companies | | | 1,893 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 2,188 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Index 100 VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment income | | $ | 295 | | | $ | 7 | |
| Net realized gain (loss) from investments in investment companies | | | (31 | ) | | | 1 | |
| Change in net unrealized appreciation (depreciation) on investments in investment companies | | | 1,924 | | | | 6 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 2,188 | | | | 14 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | — | (B) | | | — | |
| Service Class | | | (7 | ) | | | — | |
| | | | | | | |
| | | | (7 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | (B) | | | — | |
| Service Class | | | (1 | ) | | | — | |
| | | | | | | |
| | | | (1 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (8 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | — | | | | 250 | |
| Service Class | | | 23,418 | | | | 633 | |
| | | | | | | |
| | | | 23,418 | | | | 883 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | — | (B) | | | — | |
| Service Class | | | 8 | | | | — | |
| | | | | | | |
| | | | 8 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Service Class | | | (3,090 | ) | | | — | |
| | | | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 20,336 | | | | 883 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 22,516 | | | | 897 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 897 | | | | — | |
| | | | | | | |
| End of year | | $ | 23,413 | | | $ | 897 | |
| | | | | | | |
Undistributed net investment income | | $ | 295 | | | $ | 7 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | — | | | | 25 | |
| Service Class | | | 2,212 | | | | 62 | |
| | | | | | | |
| | | | 2,212 | | | | 87 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | — | (C) | | | — | |
| Service Class | | | 1 | | | | — | |
| | | | | | | |
| | | | 1 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Service Class | | | (305 | ) | | | — | |
| | | | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | — | (C) | | | 25 | |
| Service Class | | | 1,908 | | | | 62 | |
| | | | | | | |
| | | | 1,908 | | | | 87 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on November 19, 2009. |
| |
| (B) | | Rounds to less than $1 or ($1). |
| |
| (C) | | Rounds to less than 1 share. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Index 100 VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | |
| | | Initial Class | |
| | | December 31, | | | Nov 19 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | |
| Beginning of year | | $ | 10.26 | | | $ | 10.00 | |
Investment operations | | | | | | | | |
Net investment income(B),(C) | | | 0.20 | | | | 0.10 | |
| Net realized and unrealized gain | | | 1.31 | | | | 0.16 | |
| | | | | | | |
| Total operations | | | 1.51 | | | | 0.26 | |
| | | | | | | |
Distributions | | | | | | | | |
| From net investment income | | | (0.01 | ) | | | — | |
| From net realized gains | | | — | (D) | | | — | |
| | | | | | | |
| Total distributions | | | (0.01 | ) | | | — | |
| | | | | | | |
Net asset value | | | | | | | | |
| End of year | | $ | 11.76 | | | $ | 10.26 | |
| | | | | | | |
| |
Total return(E) | | | 14.70 | % | | | 2.60 | %(F) |
| | | | | | | | | |
Net assets end of year (000’s) | | $ | 294 | | | $ | 257 | |
Ratio and supplemental data | | | | | | | | |
Expenses to average net assets(G) | | | | | | | | |
| After reimbursement/fee waiver | | | 0.40 | % | | | 0.40 | %(H) |
| Before reimbursement/fee waiver | | | 0.62 | % | | | 61.05 | %(H) |
Net investment income, to average net assets(C) | | | 1.94 | % | | | 8.52 | %(H) |
Portfolio turnover rate(I) | | | 13 | % | | | 7 | %(F) |
| | | | | | | | | |
| | | Service Class | |
| | | December 31, | | | Nov 19 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | |
| Beginning of year | | $ | 10.26 | | | $ | 10.00 | |
Investment operations | | | | | | | | |
Net investment income(B),(C) | | | 0.34 | | | | 0.14 | |
| Net realized and unrealized gain | | | 1.14 | | | | 0.12 | |
| | | | | | | |
| Total operations | | | 1.48 | | | | 0.26 | |
| | | | | | | |
Distributions | | | | | | | | |
| From net investment income | | | (0.01 | ) | | | — | |
| From net realized gains | | | — | (D) | | | — | |
| | | | | | | |
| Total distributions | | | (0.01 | ) | | | — | |
| | | | | | | |
Net asset value | | | | | | | | |
| End of year | | $ | 11.73 | | | $ | 10.26 | |
| | | | | | | |
| |
Total return(E) | | | 14.41 | % | | | 2.60 | %(F) |
| | | | | | | | | |
Net assets end of year (000’s) | | $ | 23,119 | | | $ | 640 | |
Ratio and supplemental data | | | | | | | | |
Expenses to average net assets(G) | | | | | | | | |
| After reimbursement/fee waiver | | | 0.65 | % | | | 0.65 | %(H) |
| Before reimbursement/fee waiver | | | 0.87 | % | | | 61.30 | %(H) |
Net investment income, to average net assets(C) | | | 3.16 | % | | | 12.07 | %(H) |
Portfolio turnover rate(I) | | | 13 | % | | | 7 | %(F) |
| | |
| (A) | | Commenced operations on November 19, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Rounds to less than $(.01) per share. |
| |
| (E) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (F) | | Not annualized. |
| |
| (G) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (H) | | Annualized. |
| |
| (I) | | Does not include the portfolio activity of the underlying funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Index 100 VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Index 100 VP (the “Fund”) is part of TST.
The Fund currently offers two share classes; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Index 100 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
AEGON USA Investment Management, LLC (“AUIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, AUIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, AUIM, TFS, and TCI.
At the commencement of operations, TAM invested in the Fund. As of December 31, 2010, TAM had remaining investments in the Fund as follows:
| | | | | | | | | |
| | | | | | | % of Fund’s |
| | | Value | | Net Assets |
| |
| Initial Class | | $ | 294 | | | | 1.26 | % |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $50 million | | | 0.32 | % |
| Over $50 million up to $250 million | | | 0.30 | % |
| Over $250 million | | | 0.28 | % |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Index 100 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.40% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $20. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| |
| Fiscal Year 2009: | | $ | 40 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 20 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 21,919 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 1,272 | |
| U.S. Government | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Index 100 VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 8 | |
| Long-term Capital Gain | | | — | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 312 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 1,882 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Index 100 VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Index 100 VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Index 100 VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Index 100 VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Index 100 VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica International Moderate Growth VP
(unaudited)
MARKET ENVIRONMENT
Global equity markets rose over the 12-month period ending December 31, 2010, but the period was characterized by volatility as markets struggled to adjust to an anemic global economic recovery. The cautious optimism toward recovery that had helped fuel global stock-market gains during the last part of 2009 gave way to renewed concerns in the spring. The European debt crisis threatened that region’s growth prospects, with consequences for the rest of the developed world, while an uptick in U.S. unemployment in April and a downward revision of the first quarter’s gross domestic product (“GDP”) estimate fueled worries that the economy would fall back into recession. The European debt crisis was doubly bad for U.S.-based international investors, because not only did European equity markets fall, but the euro plunged against the dollar, sending dollar-denominated returns even lower in the spring. Things changed direction during the summer and, especially, early fall, reflecting an easing of concerns over Europe’s debt troubles and the threat of a double-dip recession. The dollar began to weaken against major currencies, a move that picked up steam in September when the Federal Reserve Board (“Fed”) indicated it was prepared to engage in another round of quantitative easing (“QE2”). As international markets rose during September and October, dollar-based investors gained even more. While emerging markets were affected over the course of the year by these same macro factors, on the whole they consistently outperformed developed markets, a reflection of their superior growth prospects and sound financial footing compared with many developed economies.
Fixed-income investments in the U.S. performed well for most of the year as corporate profits recovered and yields fell. With the Fed’s QE2 plan looming, the yield on the 10-year Treasury dropped to 2.39% in early October. But it rose again toward the end of the year, finishing at 3.30%, as the improving economy and rich bond prices led to a sell-off. Overall, the Barclays Capital U.S. Aggregate Bond Index gained 6.54% in 2010, despite losing 1.3% in the fourth quarter.
PERFORMANCE
For the year ended December 31, 2010, Transamerica International Moderate Growth VP Initial Class returned 10.50%. By comparison its primary and secondary benchmarks, the Morgan Stanley Capital International World ex-US Index (“MSCI World ex US”) and the Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”), returned 9.43% and 6.54%, respectively.
STRATEGY REVIEW
This fund-of-funds portfolio is structured to provide broad coverage of international equity markets moderated by exposure to U.S. fixed-income securities. Its underlying equity-fund holdings cover a range of international equity investing styles and market capitalizations, as well as emerging markets and global real estate. The portfolio typically devotes about 65% of assets to international developed-markets equity, and another 5% combined to emerging-markets equity and debt. The remaining 30% of assets is devoted to U.S. bonds. The U.S. fixed-income holdings are mostly in intermediate investment-grade bonds, with smaller amounts in Treasury Inflation Protected Securities, short-term investment-grade bonds, and high-yield bonds.
Although the portfolio devoted only about 70% of assets toward equities during 2010, it gained more than the all-equity MSCI World ex-U.S index. All but one of the Portfolio’s underlying equity holdings outperformed the index, several by wide margins. These included Transamerica Thornburg International Value, which was helped by its emerging-markets stake, as well as Transamerica Neuberger Berman International and Transamerica Schroders International Small Cap, both of which benefited from the huge run-up in smaller-cap stocks. Smaller cap stocks were less impacted by fallout from the European debt crisis than were many larger stocks in Europe. Nearly all of the Portfolio’s underlying bond holdings outpaced the Barclays Capital U.S. Aggregate Bond, most notably Transamerica Loomis Sayles Bond. That fund’s exposure to high-yield corporates and convertibles provided equity-like returns. Transamerica PIMCO Total Return and Transamerica PIMCO Real Return TIPS also outpaced the index.
The only significant underperformance among the Portfolio’s underlying managers came from Transamerica AllianceBernstein International Value. Near the end of the year, AllianceBernstein was replaced as the manager of that fund by Hansberger Global Investors, Inc. (and the fund was renamed Transamerica Hansberger International Value).
Jon Hale, CFA
Michael Stout, CFA
Hal Ratner
Dan McNeela, CFA
Co-Portfolio Managers
Morningstar Associates, LLC
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica International Moderate Growth VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| |
| Initial Class | | | 10.50 | % | | | 0.80 | % | | | 05/01/2006 | |
MSCI World ex-US* | | | 9.43 | % | | | 0.79 | % | | | | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 6.41 | % | | | | |
| |
| Service Class | | | 10.24 | % | | | 0.54 | % | | | 05/01/2006 | |
| |
NOTES
| | |
| * | | The Morgan Stanley Capital International — World ex-US Index (“MSCI World ex-US”) and the Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on inception date of the initial class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
International investing involves special risks including currency fluctuations, political instability, and different financial accounting standards. This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica International Moderate Growth VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid During | | Ending | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | Period (A) | | Account Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica International Moderate Growth VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,180.00 | | | $ | 0.77 | | | $ | 1,024.50 | | | $ | 0.71 | | | | 0.14 | % |
| Service Class | | | 1,000.00 | | | | 1,177.80 | | | | 2.14 | | | | 1,023.24 | | | | 1.99 | | | | 0.39 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Global/International Stocks | | | 69.8 | % |
| Bonds | | | 19.1 | |
| Tactical and Specialty | | | 6.7 | |
| Inflation-Protected Securities | | | 4.4 | |
| Other Assets and Liabilities - net | | | (0.0 | )* |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| * | | Rounds to less than (0.1%) |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica International Moderate Growth VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
INVESTMENT COMPANIES - 100.0% | | | | | | | | |
Bonds - 19.1% | | | | | | | | |
| Transamerica JPMorgan Core Bond € | | | 2,414,696 | | | $ | 24,702 | |
| Transamerica PIMCO Total Return VP Җ | | | 4,078,821 | | | | 47,233 | |
| Transamerica Short-Term Bond € | | | 2,453,081 | | | | 25,169 | |
Global/International Stocks - 69.8% | | | | | | | | |
| Transamerica Hansberger International Value € | | | 8,308,464 | | | | 66,218 | |
| Transamerica MFS International Equity € | | | 10,498,398 | | | | 92,597 | |
| Transamerica Neuberger Berman International € | | | 7,225,902 | | | | 66,912 | |
| Transamerica Schroders International Small Cap € | | | 4,172,721 | | | | 42,353 | |
| Transamerica Thornburg International Value € | | | 7,769,453 | | | | 88,261 | |
Inflation-Protected Securities - 4.4% | | | | | | | | |
| Transamerica PIMCO Real Return TIPS € | | | 2,088,000 | | | | 22,195 | |
Tactical and Specialty - 6.7% | | | | | | | | |
| Transamerica Clarion Global Real Estate Securities VP Җ | | | 1,120,851 | | | | 12,666 | |
| Transamerica Loomis Sayles Bond € | | | 2,032,768 | | | | 21,567 | |
| | | | | | | | |
| Total Investment Companies (cost $497,206) # | | | | | | | 509,873 | |
| Other Assets and Liabilities - Net | | | | | | | (167 | ) |
| | | | | | | | |
Net Assets | | | | | | $ | 509,706 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| € | | The portfolio invests its assets in the Class I2 shares of the affiliated fund of Transamerica Funds. |
| |
| Җ | | The portfolio invests its assets in the Initial Class shares of the affiliated fund of Transamerica Series Trust. |
| |
| # | | Aggregate cost for federal income tax purposes is $497,217. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $35,011 and $22,355, respectively. Net unrealized appreciation for tax purposes is $12,656. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Companies | | $ | 509,873 | | | $ | — | | | $ | — | | | $ | 509,873 | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica International Moderate Growth VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in affiliated investment companies at value (cost: $497,206) | | $ | 509,873 | |
| Receivables: | | | | |
| Shares sold | | | 107 | |
| Dividends | | | 5 | |
| Prepaid expenses | | | 5 | |
| | | | |
| | | | 509,990 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 102 | |
| Shares redeemed | | | 8 | |
| Management and advisory fees | | | 43 | |
| Distribution and service fees | | | 102 | |
| Administration fees | | | 5 | |
| Audit and tax fees | | | 4 | |
| Printing and shareholder reports fees | | | 11 | |
| Other | | | 9 | |
| | | | |
| | | | 284 | |
| | | | |
Net assets | | $ | 509,706 | |
| | | | |
| |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 562 | |
| Additional paid-in capital | | | 539,270 | |
| Undistributed (accumulated) net investment income (loss) | | | 9,758 | |
| Undistributed (accumulated) net realized gain (loss) from investments in affiliated investment companies | | | (52,551 | ) |
| Net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 12,667 | |
| | | | |
Net assets | | $ | 509,706 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 21,033 | |
| Service Class | | | 488,673 | |
Shares outstanding: | | | | |
| Initial Class | | | 2,304 | |
| Service Class | | | 53,927 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 9.13 | |
| Service Class | | | 9.06 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income from affiliated investment companies | | $ | 11,476 | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 456 | |
| Printing and shareholder reports | | | 33 | |
| Custody | | | 18 | |
| Administration | | | 57 | |
| Legal | | | 25 | |
| Audit and tax | | | 9 | |
| Trustees | | | 16 | |
| Transfer agent | | | 4 | |
| Distribution and service: | | | | |
| Service Class | | | 1,091 | |
| Other | | | 10 | |
| | | | |
| Total expenses | | | 1,719 | |
| | | | |
| | | | | |
Net investment income | | | 9,757 | |
| | | | |
| | | | | |
Net realized gain (loss) from: | | | | |
| Investments in affiliated investment companies | | | (17,249 | ) |
| Distributions from investments in affiliated investment companies | | | 5,486 | |
| | | | |
| | | | (11,763 | ) |
| | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investments in affiliated investment companies | | | 47,590 | |
| | | | |
Net realized and unrealized gain on investments in affiliated investment companies | | | 35,827 | |
| | | | |
| | | | | |
Net increase In net assets resulting from operations | | $ | 45,584 | |
| | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica International Moderate Growth VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 9,757 | | | $ | 11,526 | |
| Net realized gain (loss) from investments and distributions from investments in affiliated investment companies | | | (11,763 | ) | | | (28,781 | ) |
| Change in net unrealized appreciation (depreciation) on investments in affiliated investment companies | | | 47,590 | | | | 107,321 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 45,584 | | | | 90,066 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (517 | ) | | | (442 | ) |
| Service Class | | | (11,009 | ) | | | (8,449 | ) |
| | | | | | | |
Total distributions to shareholders | | | (11,526 | ) | | | (8,891 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 3,410 | | | | 4,437 | |
| Service Class | | | 68,156 | | | | 117,423 | |
| | | | | | | |
| | | | 71,566 | | | | 121,860 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 517 | | | | 442 | |
| Service Class | | | 11,009 | | | | 8,449 | |
| | | | | | | |
| | | | 11,526 | | | | 8,891 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (3,762 | ) | | | (4,458 | ) |
| Service Class | | | (45,514 | ) | | | (36,703 | ) |
| | | | | | | |
| | | | (49,276 | ) | | | (41,161 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 33,816 | | | | 89,590 | |
| | | | | | | |
Net increase in net assets | | | 67,874 | | | | 170,765 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 441,832 | | | | 271,067 | |
| | | | | | | |
| End of year | | $ | 509,706 | | | $ | 441,832 | |
| | | | | | | |
Undistributed net investment income | | $ | 9,758 | | | $ | 11,527 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 396 | | | | 591 | |
| Service Class | | | 7,980 | | | | 16,016 | |
| | | | | | | |
| | | | 8,376 | | | | 16,607 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 64 | | | | 56 | |
| Service Class | | | 1,374 | | | | 1,068 | |
| | | | | | | |
| | | | 1,438 | | | | 1,124 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (442 | ) | | | (621 | ) |
| Service Class | | | (5,469 | ) | | | (5,321 | ) |
| | | | | | | |
| | | | (5,911 | ) | | | (5,942 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 18 | | | | 26 | |
| Service Class | | | 3,885 | | | | 11,763 | |
| | | | | | | |
| | | | 3,903 | | | | 11,789 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica International Moderate Growth VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | | | | |
| | | Year Ended December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 31, 2006(A) | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 8.50 | | | $ | 6.72 | | | $ | 11.12 | | | $ | 10.43 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.20 | | | | 0.25 | | | | 0.26 | | | | 0.56 | | | | 0.85 | |
| Net realized and unrealized gain (loss) | | | 0.66 | | | | 1.73 | | | | (4.14 | ) | | | 0.34 | | | | (0.42 | ) |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.86 | | | | 1.98 | | | | (3.88 | ) | | | 0.90 | | | | 0.43 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.23 | ) | | | (0.20 | ) | | | (0.21 | ) | | | (0.13 | ) | | | — | |
| From net realized gains | | | — | | | | — | | | | (0.31 | ) | | | (0.08 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.23 | ) | | | (0.20 | ) | | | (0.52 | ) | | | (0.21 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 9.13 | | | $ | 8.50 | | | $ | 6.72 | | | $ | 11.12 | | | $ | 10.43 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(D) | | | 10.50 | % | | | 29.69 | % | | | (36.12 | )% | | | 8.69 | % | | | 4.30 | %(E) |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 21,033 | | | $ | 19,430 | | | $ | 15,195 | | | $ | 24,495 | | | $ | 7,516 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/recapture | | | 0.14 | % | | | 0.14 | % | | | 0.15 | % | | | 0.19 | %(H) | | | 0.25 | %(G) |
| Before reimbursement/recapture | | | 0.14 | % | | | 0.14 | % | | | 0.15 | % | | | 0.19 | %(H) | | | 0.39 | %(G) |
Net investment income, to average net assets(C) | | | 2.34 | % | | | 3.43 | % | | | 2.76 | % | | | 5.05 | % | | | 12.92 | %(G) |
Portfolio turnover rate(I) | | | 20 | % | | | 31 | % | | | 19 | % | | | 1 | % | | | 1 | %(E) |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | | | | |
| | | Year Ended December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 31, 2006(A) | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 8.44 | | | $ | 6.68 | | | $ | 11.08 | | | $ | 10.41 | | | $ | 10.00 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(B),(C) | | | 0.18 | | | | 0.25 | | | | 0.28 | | | | 0.57 | | | | 0.84 | |
| Net realized and unrealized gain (loss) | | | 0.66 | | | | 1.70 | | | | (4.17 | ) | | | 0.31 | | | | (0.43 | ) |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.84 | | | | 1.95 | | | | (3.89 | ) | | | 0.88 | | | | 0.41 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.22 | ) | | | (0.19 | ) | | | (0.20 | ) | | | (0.13 | ) | | | — | |
| From net realized gains | | | — | | | | — | | | | (0.31 | ) | | | (0.08 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.22 | ) | | | (0.19 | ) | | | (0.51 | ) | | | (0.21 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 9.06 | | | $ | 8.44 | | | $ | 6.68 | | | $ | 11.08 | | | $ | 10.41 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total return(D) | | | 10.24 | % | | | 29.33 | % | | | (36.32 | )% | | | 8.49 | % | | | 4.10 | %(E) |
| | | | | | | | | | | | | | | | | | | | | |
Net assets end of year (000’s) | | $ | 488,673 | | | $ | 422,402 | | | $ | 255,872 | | | $ | 225,620 | | | $ | 44,053 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/recapture | | | 0.39 | % | | | 0.39 | % | | | 0.40 | % | | | 0.44 | %(H) | | | 0.50 | %(G) |
| Before reimbursement/recapture | | | 0.39 | % | | | 0.39 | % | | | 0.40 | % | | | 0.44 | %(H) | | | 0.64 | %(G) |
Net investment income, to average net assets(C) | | | 2.13 | % | | | 3.40 | % | | | 3.08 | % | | | 5.18 | % | | | 12.63 | %(G) |
Portfolio turnover rate(I) | | | 20 | % | | | 31 | % | | | 19 | % | | | 1 | % | | | 1 | %(E) |
| | |
| (A) | | Commenced operations on May 1, 2006. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying affiliated investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
| |
| (H) | | Ratio is inclusive of recaptured expenses by the investment adviser. The impact of recaptured expenses was 0.02% and 0.02% for Initial Class and Service Class, respectively. |
| |
| (I) | | Does not include the portfolio activity of the underlying affiliated funds. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica International Moderate Growth VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica International Moderate Growth VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Interest income is accrued as earned. Dividend income and capital gain distributions from affiliated investment companies, if any, are recorded on the ex-dividend date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica International Moderate Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.10% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.25% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica International Moderate Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.0125% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 128,662 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 91,116 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements.The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $1,994 | | December 31, 2016 |
| 25,690 | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $280.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica International Moderate Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 11,526 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 8,891 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 9,758 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (27,684 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 12,656 | |
| | | | |
| Other Temporary Differences | | $ | (24,856 | ) |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica International Moderate Growth VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustee of Transamerica Series Trust and Shareholders of Transamerica International Moderate Growth VP:
We have audited the accompanying statement of assets and liabilities of Transamerica International Moderate Growth VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica International Moderate Growth VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica International Moderate Growth VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Jennison Growth VP
(unaudited)
MARKET ENVIRONMENT
U.S. equity market’s strength at the beginning and end of 2010, aided by continued, albeit slow, economic growth, more than offset declines during the year’s middle months, when expansion appeared to be losing steam. In early 2010, distressed sale prices, low interest rates, increased mortgage credit, and tax credits stimulated housing activity. Manufacturing activity increased and corporate profits improved, largely due to workforce and inventory reductions.
Clouds began to gather into the first quarter, however, as the pace of improvement decelerated. Markets grappled with the effects of reduced stimulus, persistently subpar job growth, and flagging confidence indicators. In Europe, a sovereign debt crisis in several European Union member states weakened the euro and prompted the European Central Bank to intervene. Attempts in China to cool the domestic property market raised fears that global growth might slow more than anticipated.
Domestic markets saw additional volatility linked to turns in Washington policy debates. In March, an overhaul in the U.S. health care system was enacted. In July, sweeping financial regulatory legislation was passed.
At the end of the period, consumer spending, retail sales, and personal income were rising, as was consumer confidence. However, business production and housing measures were mixed, overall job growth remained anemic, and credit expansion continued to be weak. Given the overall uncertainty, businesses prolonged their pause in investing and hiring.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Jennison Growth VP Initial Class returned 12.26%. By comparison its benchmark, the Russell 1000® Growth Index (“Russell 1000® Growth”), returned 16.71%.
STRATEGY REVIEW
The Russell 1000® Growth benchmark rose 16.71% in 2010, exceeding the broad market Standard & Poor’s 500 Composite Stock Index’s 15.06% gain. Advances exceeded 20% in the consumer discretionary, industrials, and materials sectors. Returns were more modest in health care. In the growth index, the utilities sector lost ground. The Fund generated double-digit returns but underperformed the benchmark, primarily due to the financials and health care sectors. In addition, while the Fund had many holdings with large returns, these positions had relatively small portfolio weights.
The Fund is built from the bottom up, with stocks selected one at a time, based on the fundamentals of individual companies. In health care, stock selection and an overweight position were detrimental, especially earlier in the period when uncertainty about U.S. regulatory reform and Europe’s sovereign debt crisis took a toll. Baxter International, Inc. fell on weakness in its blood plasma products business, while Gilead Sciences, Inc. declined on concerns that health care reforms and exposure to European markets would reduce its growth rate. We eliminated the Fund’s positions in both stocks.
Although a relatively small weight in the Fund, financials holdings detracted from return, reflecting in part exposure to industries most likely to be affected by yet undefined regulation. Charles Schwab Corp. declined, as low interest rates precipitated fee waivers on money market funds and reduced income on cash balances, reducing the company’s material earnings power. We continue to like Charles Schwab Corp.’s resilient business model and best-in-class organic growth. We believe its sustainable competitive advantages include dominant market share, a leading brand name, and unit cost economies of scale.
Holdings in consumer staples failed to keep pace, as the benchmark’s tobacco constituents, not held in the Fund, outperformed dramatically. Underweight positions in industrials, materials, and energy detracted from relative performance, as well.
Stock selection contributed positively to return in information technology, where Baidu, Inc., VMware, Inc. — Class A, Salesforce.com, Inc., NetApp, Inc., and Apple, Inc. each rose 50% or more. Baidu, Inc. is the world’s dominant Chinese-language Internet search engine. We believe the Chinese search market is still in its early growth stage and like Baidu, Inc.’s improving execution and exploration of long-term monetization opportunities. Cloud-computing pioneer VMware, Inc. — Class A used product cycles to upgrade customers to bigger license agreements and increased its share in the market of servers not yet virtualized. The increased acceptance of “software as a service,” another type of cloud-based opportunity, helped Salesforce.com, Inc. expand to new markets and deepen relationships with existing customers. NetApp, Inc., which provides technology that simplifies storing, managing, protecting, and archiving enterprise data, rose on growth in the storage business spurred by increased digital content. The strong launch of iPad, international opportunities, and secular growth in Mac personal computers made 2010 another good year for Apple, Inc.
Security selection was also beneficial in energy, where oil services company Schlumberger, Ltd. advanced. The company continues to develop new products and technologies providing dominant market share in what we consider important secular growth markets. An overweight position in consumer discretionary also worked well.
Michael A. Del Balso
Spiros Segalas
Kathleen A. McCarragher
Co-Portfolio Managers
Jennison Associates LLC
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Jennison Growth VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 12.26 | % | | | 2.54 | % | | | 0.23 | % | | | 11/18/1996 | |
Russell 1000® Growth * | | | 16.71 | % | | | 3.75 | % | | | 0.02 | % | | | | |
| |
| Service Class | | | 11.97 | % | | | 2.30 | % | | | 7.00 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Russell 1000® Growth Index (“Russell 1000® Growth”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an Index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
The historical financial information for periods prior to May 1, 2002 has been derived from the financial history of the predecessor portfolio, Growth Portfolio of Transamerica Variable Insurance Fund, Inc.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Jennison Growth VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, dividend expense on short sales, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Jennison Growth VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,254.50 | | | $ | 4.32 | | | $ | 1,021.37 | | | $ | 3.87 | | | | 0.76 | % |
| Service Class | | | 1,000.00 | | | | 1,251.20 | | | | 5.73 | | | | 1,020.11 | | | | 5.14 | | | | 1.01 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 99.5 | % |
| Repurchase Agreement | | | 0.7 | |
| Securities Lending Collateral | | | 0.1 | |
| Other Assets and Liabilities — Net | | | (0.3 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Jennison Growth VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 99.5% | | | | | | | | |
Aerospace & Defense - 4.2% | | | | | | | | |
| Boeing Co. | | | 236,847 | | | $ | 15,457 | |
| Precision Castparts Corp. | | | 192,717 | | | | 26,828 | |
| United Technologies Corp. | | | 271,540 | | | | 21,376 | |
Air Freight & Logistics - 1.5% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 95,750 | | | | 7,678 | |
| Expeditors International of Washington, Inc. | | | 138,851 | | | | 7,581 | |
| United Parcel Service, Inc. - Class B | | | 100,946 | | | | 7,327 | |
Automobiles - 0.2% | | | | | | | | |
| Bayerische Motoren Werke AG | | | 36,887 | | | | 2,906 | |
Beverages - 1.3% | | | | | | | | |
| Anheuser-Busch InBev NV ADR | | | 346,523 | | | | 19,783 | |
Biotechnology - 2.1% | | | | | | | | |
| Celgene Corp. ‡ | | | 406,927 | | | | 24,066 | |
| Vertex Pharmaceuticals, Inc. ‡ | | | 223,547 | | | | 7,831 | |
Capital Markets - 2.8% | | | | | | | | |
| Charles Schwab Corp. | | | 988,078 | | | | 16,906 | |
| Goldman Sachs Group, Inc. | | | 149,813 | | | | 25,193 | |
Chemicals - 0.9% | | | | | | | | |
| Monsanto Co. | | | 198,295 | | | | 13,809 | |
Communications Equipment - 5.0% | | | | | | | | |
| Cisco Systems, Inc. ‡ | | | 776,249 | | | | 15,704 | |
| Juniper Networks, Inc. ‡ | | | 855,997 | | | | 31,603 | |
| QUALCOMM, Inc. | | | 551,596 | | | | 27,298 | |
Computers & Peripherals - 7.9% | | | | | | | | |
| Apple, Inc. ‡ | | | 228,902 | | | | 73,836 | |
| Hewlett-Packard Co. | | | 282,644 | | | | 11,899 | |
| NetApp, Inc. ‡ | | | 598,268 | | | | 32,881 | |
Electronic Equipment & Instruments - 1.8% | | | | | | | | |
| Agilent Technologies, Inc. ‡ | | | 634,714 | | | | 26,296 | |
Energy Equipment & Services - 3.2% | | | | | | | | |
| Schlumberger, Ltd. | | | 563,108 | | | | 47,020 | |
Food & Staples Retailing - 3.0% | | | | | | | | |
| Costco Wholesale Corp. | | | 305,024 | | | | 22,026 | |
| Whole Foods Market, Inc. ‡ | | | 460,535 | | | | 23,298 | |
Food Products - 3.2% | | | | | | | | |
| Kraft Foods, Inc. - Class A | | | 525,115 | | | | 16,547 | |
| Mead Johnson Nutrition Co. - Class A | | | 245,854 | | | | 15,304 | |
| Unilever PLC | | | 500,152 | | | | 15,307 | |
Health Care Providers & Services - 2.9% | | | | | | | | |
| Express Scripts, Inc. ‡ | | | 440,826 | | | | 23,827 | |
| Medco Health Solutions, Inc. ‡ | | | 317,961 | | | | 19,481 | |
Hotels, Restaurants & Leisure - 4.3% | | | | | | | | |
| Marriott International, Inc. - Class A | | | 618,906 | | | | 25,709 | |
| McDonald’s Corp. | | | 206,139 | | | | 15,823 | |
| Starbucks Corp. | | | 687,599 | | | | 22,093 | |
Internet & Catalog Retail - 4.8% | | | | | | | | |
| Amazon.com, Inc. ‡ | | | 381,716 | | | | 68,709 | |
| priceline.com, Inc. ‡ | | | 6,938 | | | | 2,772 | |
Internet Software & Services - 5.8% | | | | | | | | |
| Baidu, Inc. ADR ‡ | | | 225,140 | | | | 21,733 | |
| Google, Inc. - Class A ‡ | | | 70,924 | | | | 42,127 | |
| Mail.ru Group, Ltd. - 144A GDR ‡ Ə | | | 209,453 | | | | 7,540 | |
| Tencent Holdings, Ltd. | | | 491,785 | | | | 10,819 | |
| Youku.com, Inc. ADR ‡ ^ | | | 140,400 | | | | 4,915 | |
IT Services - 7.1% | | | | | | | | |
| Cognizant Technology Solutions Corp. - Class A ‡ | | | 90,797 | | | | 6,655 | |
| International Business Machines Corp. | | | 329,918 | | | | 48,418 | |
| Mastercard, Inc. - Class A | | | 133,799 | | | | 29,986 | |
| Visa, Inc. - Class A | | | 289,774 | | | | 20,394 | |
Life Sciences Tools & Services - 1.0% | | | | | | | | |
| Illumina, Inc. ‡ ^ | | | 240,726 | | | | 15,248 | |
Machinery - 2.7% | | | | | | | | |
| Deere & Co. | | | 257,417 | | | | 21,378 | |
| Ingersoll-Rand PLC | | | 385,664 | | | | 18,161 | |
Media - 2.6% | | | | | | | | |
| Walt Disney Co. | | | 1,030,079 | | | | 38,638 | |
Multiline Retail - 2.7% | | | | | | | | |
| Dollar General Corp. ‡ ^ | | | 486,613 | | | | 14,924 | |
| Target Corp. | | | 409,616 | | | | 24,631 | |
Oil, Gas & Consumable Fuels - 3.6% | | | | | | | | |
| Apache Corp. | | | 232,180 | | | | 27,683 | |
| Occidental Petroleum Corp. | | | 264,946 | | | | 25,991 | |
Personal Products - 0.6% | | | | | | | | |
| Estee Lauder Cos., Inc. - Class A | | | 110,358 | | | | 8,906 | |
Pharmaceuticals - 4.3% | | | | | | | | |
| Abbott Laboratories | | | 157,823 | | | | 7,561 | |
| Allergan, Inc. | | | 246,909 | | | | 16,955 | |
| Shire PLC ADR | | | 293,600 | | | | 21,250 | |
| Teva Pharmaceutical Industries, Ltd. ADR | | | 331,514 | | | | 17,282 | |
Road & Rail - 1.1% | | | | | | | | |
| Union Pacific Corp. | | | 170,928 | | | | 15,838 | |
Semiconductors & Semiconductor Equipment - 2.7% | | | | | | | | |
| Altera Corp. | | | 455,395 | | | | 16,203 | |
| Broadcom Corp. - Class A | | | 468,606 | | | | 20,408 | |
| Marvell Technology Group, Ltd. ‡ | | | 163,244 | | | | 3,028 | |
Software - 6.9% | | | | | | | | |
| Oracle Corp. | | | 1,102,152 | | | | 34,498 | |
| Red Hat, Inc. ‡ | | | 312,076 | | | | 14,246 | |
| Salesforce.com, Inc. ‡ | | | 202,560 | | | | 26,738 | |
| VMware, Inc. - Class A ‡ | | | 305,323 | | | | 27,146 | |
Specialty Retail - 1.9% | | | | | | | | |
| Staples, Inc. | | | 332,237 | | | | 7,565 | |
| Tiffany & Co. ^ | | | 266,060 | | | | 16,568 | |
| Urban Outfitters, Inc. ‡ | | | 134,500 | | | | 4,816 | |
Textiles, Apparel & Luxury Goods - 6.4% | | | | | | | | |
| Coach, Inc. | | | 394,595 | | | | 21,825 | |
| LVMH Moet Hennessy Louis Vuitton SA ADR | | | 89,691 | | | | 2,973 | |
| Nike, Inc. - Class B | | | 454,526 | | | | 38,826 | |
| Phillips-Van Heusen Corp. | | | 150,566 | | | | 9,487 | |
| Polo Ralph Lauren Corp. - Class A | | | 216,173 | | | | 23,978 | |
Wireless Telecommunication Services - 1.0% | | | | | | | | |
| American Tower Corp. - Class A ‡ | | | 274,960 | | | | 14,199 | |
| | | | | | | | |
Total Common Stocks (cost $1,198,827) | | | | | | | 1,483,711 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 0.1% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 2,032,098 | | | | 2,032 | |
Total Securities Lending Collateral (cost $2,032) | | | | | | | | |
The notes to the financial statements are an integral part of this report.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Jennison Growth VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 0.7% | | | | | | | | |
| State Street Bank & Trust Co. 0.01% ▲, dated 12/31/2010, to be repurchased at $9,849 on 01/03/2011. Collateralized by a U.S. Government Obligation, 3.13%, due 04/30/2017, with a value of $10,050. | | $ | 9,849 | | | $ | 9,849 | |
Total Repurchase Agreement (cost $9,849) | | | | | | | | |
| | | | | | | | |
| | | | | |
| Total Investment Securities (cost $1,210,708) # | | | | | | | 1,495,592 | |
| Other Assets and Liabilities — Net | | | | | | | (4,189 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 1,491,403 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | | |
|
| ‡ | | Non-income producing security. |
| | | |
| Ə | | Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. This security had a market value of $7,540, or 0.51%, of the fund’s net assets. |
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $1,988. |
| | | |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| | | |
| # | | Aggregate cost for federal income tax purposes is $1,218,587. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $288,610 and $11,605, respectively. Net unrealized appreciation for tax purposes is $277,005. |
DEFINITIONS:
| | | |
|
144A | | 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2010, these securities aggregated $7,540, or 0.51%, of the fund’s net assets. |
| | | |
ADR | | American Depositary Receipt |
| | | |
GDR | | Global Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | $ | 1,367,689 | | | $ | 116,022 | | | $ | — | | | $ | 1,483,711 | |
| Repurchase Agreement | | | — | | | | 9,849 | | | | — | | | | 9,849 | |
| Securities Lending Collateral | | | 2,032 | | | | — | | | | — | | | | 2,032 | |
| | | | | | | | | | | | | |
Total | | $ | 1,369,721 | | | $ | 125,871 | | | $ | — | | | $ | 1,495,592 | |
| | | | | | | | | | | | | |
The notes to the financial statements are an integral part of this report.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Jennison Growth VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $1,200,859) (including securities loaned of $1,988) | | $ | 1,485,743 | |
| Repurchase agreement, at value (cost: $9,849) | | | 9,849 | |
| Receivables: | | | | |
| Investment securities sold | | | 2,138 | |
| Shares sold | | | 230 | |
| Securities lending income (net) | | | 8 | |
| Dividends | | | 1,283 | |
| Dividend reclaims | | | 80 | |
| Prepaid expenses | | | 13 | |
| | | | |
| | | | 1,499,344 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 4,207 | |
| Shares redeemed | | | 704 | |
| Management and advisory fees | | | 879 | |
| Distribution and service fees | | | 7 | |
| Deferred foreign taxes | | | 1 | |
| Transfer agent fees | | | 1 | |
| Administration fees | | | 25 | |
| Printing and shareholder reports fees | | | 17 | |
| Audit and tax fees | | | 8 | |
| Other | | | 60 | |
| Collateral for securities on loan | | | 2,032 | |
| | | | |
| | | | 7,941 | |
| | | | |
Net assets | | $ | 1,491,403 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 1,889 | |
| Additional paid-in capital | | | 1,340,905 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,686 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (137,962 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 284,884 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Net assets | | $ | 1,491,403 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 1,456,916 | |
| Service Class | | | 34,487 | |
Shares outstanding: | | | | |
| Initial Class | | | 184,425 | |
| Service Class | | | 4,432 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 7.90 | |
| Service Class | | | 7.78 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $118) | | $ | 9,939 | |
| Interest income | | | 2 | |
| Securities lending income (net) | | | 30 | |
| | | | |
| | | | 9,971 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 7,578 | |
| Printing and shareholder reports | | | 76 | |
| Custody | | | 123 | |
| Administration | | | 212 | |
| Legal | | | 63 | |
| Audit and tax | | | 16 | |
| Trustees | | | 36 | |
| Transfer agent | | | 8 | |
| Distribution and service: | | | | |
| Service Class | | | 53 | |
| Other | | | 74 | |
| | | | |
| Total expenses | | | 8,239 | |
| | | | |
| | | | | |
Net investment income | | | 1,732 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 11,149 | |
| Foreign currency transactions | | | (47 | ) |
| | | | |
| | | | 11,102 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 116,866 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 116,867 | |
| | | | |
Net realized and unrealized gain | | | 127,969 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 129,701 | |
| | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Jennison Growth VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,732 | | | $ | 533 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | 11,102 | | | | 1,549 | |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 116,867 | | | | 123,283 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 129,701 | | | | 125,365 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (481 | ) | | | (570 | ) |
| Service Class | | | (7 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (488 | ) | | | (570 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 90,438 | | | | 165,450 | |
| Service Class | | | 9,820 | | | | 2,691 | |
| | | | | | | |
| | | | 100,258 | | | | 168,141 | |
| | | | | | | |
| Proceeds from fund acquisition: | | | | | | | | |
| Initial Class | | | 882,358 | | | | — | |
| Service Class | | | 25,347 | | | | — | |
| | | | | | | |
| | | | 907,705 | | | | — | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 481 | | | | 570 | |
| Service Class | | | 7 | | | | — | |
| | | | | | | |
| | | | 488 | | | | 570 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (119,686 | ) | | | (6,049 | ) |
| Service Class | | | (6,799 | ) | | | (551 | ) |
| | | | | | | |
| | | | (126,485 | ) | | | (6,600 | ) |
| | | | | | | |
Net increase in net assets from capital shares transactions | | | 881,966 | | | | 162,111 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 1,011,179 | | | | 286,906 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 480,224 | | | | 193,318 | |
| | | | | | | |
| End of year | | $ | 1,491,403 | | | $ | 480,224 | |
| | | | | | | |
Undistributed net investment income | | $ | 1,686 | | | $ | 488 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 12,719 | | | | 30,171 | |
| Service Class | | | 1,418 | | | | 431 | |
| | | | | | | |
| | | | 14,137 | | | | 30,602 | |
| | | | | | | |
| Shares issued on fund acquisition: | | | | | | | | |
| Initial Class | | | 121,025 | | | | — | |
| Service Class | | | 3,524 | | | | — | |
| | | | | | | |
| | | | 124,549 | | | | — | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 76 | | | | 92 | |
| Service Class | | | 1 | | | | — | |
| | | | | | | |
| | | | 77 | | | | 92 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (17,136 | ) | | | (1,027 | ) |
| Service Class | | | (989 | ) | | | (93 | ) |
| | | | | | | |
| | | | (18,125 | ) | | | (1,120 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 116,684 | | | | 29,236 | |
| Service Class | | | 3,954 | | | | 338 | |
| | | | | | | |
| | | | 120,638 | | | | 29,574 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Jennison Growth VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 7.04 | | | $ | 5.00 | | | $ | 8.25 | | | $ | 7.86 | | | $ | 8.55 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.01 | | | | 0.01 | | | | 0.02 | | | | 0.01 | | | | 0.01 | |
| Net realized and unrealized gain (loss) | | | 0.85 | | | | 2.04 | | | | (2.99 | ) | | | 0.86 | | | | 0.08 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.86 | | | | 2.05 | | | | (2.97 | ) | | | 0.87 | | | | 0.09 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | — | (B) | | | (0.01 | ) | | | (0.01 | ) | | | (0.01 | ) | | | — | |
| From net realized gains | | | — | | | | — | | | | (0.27 | ) | | | (0.47 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | (B) | | | (0.01 | ) | | | (0.28 | ) | | | (0.48 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 7.90 | | | $ | 7.04 | | | $ | 5.00 | | | $ | 8.25 | | | $ | 7.86 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 12.26 | % | | | 41.00 | % | | | (37.01 | %) | | | 11.51 | % | | | 1.96 | % |
Net assets end of year (000’s) | | $ | 1,456,916 | | | $ | 476,900 | | | $ | 192,623 | | | $ | 161,847 | | | $ | 145,174 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.78 | % | | | 0.85 | % | | | 0.86 | % | | | 0.86 | % | | | 0.87 | % |
| Net investment income, to average net assets | | | 0.17 | % | | | 0.16 | % | | | 0.29 | % | | | 0.16 | % | | | 0.07 | % |
| Portfolio turnover rate | | | 72 | % | | | 76 | % | | | 74 | % | | | 72 | % | | | 78 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 6.95 | | | $ | 4.94 | | | $ | 8.16 | | | $ | 7.79 | | | $ | 8.51 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment loss(A) | | | (0.01 | ) | | | (0.01 | ) | | | — | (B) | | | (0.01 | ) | | | (0.02 | ) |
| Net realized and unrealized gain (loss) | | | 0.84 | | | | 2.02 | | | | (2.95 | ) | | | 0.85 | | | | 0.08 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.83 | | | | 2.01 | | | | (2.95 | ) | | | 0.84 | | | | 0.06 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | — | (B) | | | — | | | | — | | | | — | | | | — | |
| From net realized gains | | | — | | | | — | | | | (0.27 | ) | | | (0.47 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | (B) | | | — | | | | (0.27 | ) | | | (0.47 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 7.78 | | | $ | 6.95 | | | $ | 4.94 | | | $ | 8.16 | | | $ | 7.79 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 11.97 | % | | | 40.69 | % | | | (37.11 | %) | | | 11.28 | % | | | 1.60 | % |
Net assets end of year (000’s) | | $ | 34,487 | | | $ | 3,324 | | | $ | 695 | | | $ | 1,223 | | | $ | 838 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.03 | % | | | 1.10 | % | | | 1.11 | % | | | 1.11 | % | | | 1.12 | % |
| Net investment income (loss), to average net assets | | | (0.07 | %) | | | (0.13 | %) | | | 0.01 | % | | | (0.13 | %) | | | (0.21 | %) |
| Portfolio turnover rate | | | 72 | % | | | 76 | % | | | 74 | % | | | 72 | % | | | 78 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Rounds to less than ($0.01) or $0.01. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Jennison Growth VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Jennison Growth VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities is translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $175, are included in net realized gain (loss) in the Statement of Operations.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Jennison Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Jennison Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation- Conservative VP | | $ | 91,651 | | | | 6.15 | % |
| Transamerica Asset Allocation- Growth VP | | | 182,187 | | | | 12.22 | |
| Transamerica Asset Allocation- Moderate VP | | | 265,361 | | | | 17.79 | |
| Transamerica Asset Allocation- Moderate Growth VP | | | 659,560 | | | | 44.22 | |
| Transamerica BlackRock Tactical Allocation VP | | | 22,634 | | | | 1.52 | |
| | | | | | | |
| Total | | $ | 1,221,393 | | | | 81.90 | % |
| | | | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Jennison Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
Effective May 1, 2010
| | | | | |
|
| First $250 million | | | 0.80 | % |
| Over $250 million up to $500 million | | | 0.75 | % |
| Over $500 million up to $1 billion | | | 0.70 | % |
| Over $1 billion | | | 0.60 | % |
Prior to May 1, 2010
| | | | | |
|
| First $250 million | | | 0.80 | % |
| Over $250 million up to $500 million | | | 0.775 | % |
| Over $500 million up to $1 billion | | | 0.70 | % |
| Over $1 billion up to $1.5 billion | | | 0.675 | % |
| Over $1.5 billion | | | 0.65 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.94% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Jennison Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 775,884 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 764,068 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | 121,125 | |
| Undistributed (accumulated) net investment income (loss) | | $ | (46 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (121,079 | ) |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | | | | | |
| | | Capital Loss | | |
| | | Carryforwards | | Available Through |
| | | $ | 7,786 | | | December 31, 2015 |
| | | $ | 122,296 | | | December 31, 2016 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $7,890.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 488 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 570 | |
| Long-term Capital Gain | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Jennison Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 1,703 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (130,082 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | (17 | ) |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 277,005 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
NOTE 6. REORGANIZATION
On April 30, 2010, Transamerica Jennison Growth VP acquired all of the net assets of Transamerica T. Rowe Price Growth Stock VP and Transamerica Marsico Growth VP pursuant to a Plan of Reorganization. Transamerica Jennison Growth VP is the accounting survivor. The purpose of the transaction was to achieve a more cohesive, focused, and streamlined fund complex. The acquisition was accomplished by a tax-free exchange of 124,549 shares of Transamerica Jennison Growth VP for 17,804 shares of Transamerica T. Rowe Price Growth Stock VP and 54,612 shares of Transamerica Marsico Growth VP outstanding on April 30, 2010. Transamerica T. Rowe Price Growth Stock VP’s net assets at that date, $368,799, including $38,491 unrealized appreciation, were combined with those of Transamerica Jennison Growth VP. Transamerica Marsico Growth VP’s net assets at that date, $538,906, including $42,496 unrealized appreciation, were combined with those of Transamerica Jennison Growth VP. The aggregate net assets of Transamerica Jennison Growth VP immediately before the acquisition was $514,061; the combined net assets of Transamerica Jennison Growth VP immediately after the acquisition was $1,421,766. In the acquisition, Transamerica Jennison Growth VP retained certain capital loss carryforwards from Transamerica T. Rowe Price Growth Stock VP and Transamerica Marsico Growth VP in the amount of $119,654. Shares issued with the acquisition was as follows:
Transamerica T. Rowe Price Growth Stock VP
| | | | | | | | | |
| Class | | Shares | | Amount |
| Initial | | | 49,524 | | | | $361,068 | |
| Service | | | 1,075 | | | | 7,731 | |
Transamerica Marsico Growth VP
| | | | | | | | | |
| Class | | Shares | | Amount |
| Initial | | | 71,501 | | | | $521,290 | |
| Service | | | 2,449 | | | | 17,616 | |
The exchange ratio of the reorganization for the Fund is as follows (Transamerica Jennison Growth VP shares issuable/ Transamerica T. Rowe Price Growth Stock VP):
Transamerica T. Rowe Price Growth Stock VP
| | | | | |
| Class | | Exchange Ratio |
| Initial | | | 2.84 | |
| Service | | | 2.86 | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Jennison Growth VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The exchange ratio of the reorganization for the class is as follows (Transamerica Jennison Growth VP shares issuable/ Transamerica Marsico Growth VP):
Transamerica Marsico Growth VP
| | | | | |
| Class | | Exchange Ratio |
| Initial | | | 1.35 | |
| Service | | | 1.36 | |
Assuming the reorganization had been completed on January 1, 2010, the beginning of the annual reporting period of the Fund, the Fund’s pro forma results of operations for the year ended December 31, 2010, are as follows:
| | | | | |
|
| Net investment income | | $ | 2,067 | |
| Net realized and unrealized gain | | | 180,203 | |
| Net increase in net assets resulting from operations | | | 182,270 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Transamerica T. Rowe Price Growth Stock VP and Transamerica Marsico Growth VP that have been included in the Fund’s Statement of Operations since April 30, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Jennison Growth VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Jennison Growth VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Jennison Growth VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Jennison Growth VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica Jennison Growth VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica JPMorgan Core Bond VP
(unaudited)
MARKET ENVIRONMENT
The year began with the economy showing signs of improvement from the significant market dislocations, mass layoffs and unprecedented policy actions of last year. During the fourth quarter, a number of questions regarding U.S. mid-term elections, tax policy and the size of the Federal Reserve Board’s (“Fed”) second round of quantitative easing (“QE2”) were finally answered.
Unemployment continued to be an issue for the economy during the year. The amount of part-time workers on payrolls and the historically low work week gave employers incentives to increase the hours of their existing employees rather than hiring members of the unemployed workforce. The unemployment rate declined to 9.4% at the end of 2010 from 10.0% in December 2009.
Housing remained a major concern in the market as excess supply of new and existing homes continued to depress housing prices. Housing transaction volumes were higher in the middle of the year as homebuyers brought purchases into 2010 to take advantage of a tax credit, but declined broadly after the credit expired.
The sovereign debt crisis in the Eurozone plagued global markets during the second quarter. Even after the announcement of €750 billion bailout package, the European sovereign debt crisis left an overall bleak economic picture in Europe.
The Fed views stable inflation expectations as a critical condition to ensure that monetary policy is transmitted efficiently to the real economy. The Fed announced at the November meeting that it would purchase an additional $600 billion in Treasury securities through the middle of 2011. Leading up to the Fed’s announcement of QE2, yields fell and financial market prices rose. However, after these questions were answered, and fears about peripheral European sovereign debt dissipated somewhat, Treasury yields began to rise.
Treasury prices rallied for the year as investors continued to react to disappointing economic data. During the fourth quarter, Treasury prices retreated across the board, making the rally of 2010 less substantial. Specifically, the spread between two-and five-year yields decreased to 1.42% at the end of December 2010 from 1.54% at the end of December 2009.
PERFORMANCE
For the year ended December 31, 2010, Transamerica JPMorgan Core Bond VP Initial Class returned 8.24%. By comparison its benchmark, the Barclays Capital U.S. Aggregate Bond Index, returned 6.54%.
STATEGY REVIEW
The Portfolio remained overweight in seasoned AAA-rated, mortgage-backed securities (“MBS”), with most of its exposure in seasoned collateralized mortgage obligations (“CMO”). We continue to favor seasoned agency CMOs, along with select high-quality, non-agency structures.
Corporate earnings remained at or above expectations on whole, with companies continuing to run their balance sheets lean. A low rate environment also contributed to record corporate debt issuance over the period. As such, the credit sector outperformed comparable-duration Treasuries by 192 basis points, with financial names being among the best performers within the benchmark.
The Portfolio’s sector allocations did not change dramatically throughout the year. We remained overweight in mortgage securities, underweight in agency debentures, and slightly underweight in corporate bonds.
From a ratings perspective, lower credit-quality issues outperformed AAA issues, as investors looked to add incremental risk and yield to their portfolios. Specifically, A and BBB securities produced 1.31% and 2.58% excess return, respectively, versus duration-neutral AAA issues (Barclays). The Portfolio’s underweight in the BBB segment of the market was a slight detractor from performance for the year.
The Portfolio’s duration ended the year at 4.41 years compared to 4.77 years for the benchmark.
Douglas S. Swanson
Portfolio Manager
J.P. Morgan Investment Management Inc.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica JPMorgan Core Bond VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 8.24 | % | | | 6.84 | % | | | 6.31 | % | | | 10/02/1986 | |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.80 | % | | | 5.84 | % | | | | |
| |
| Service Class | | | 7.99 | % | | | 6.56 | % | | | 5.32 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital U.S. Aggregate Bond”) is an unmanaged index used as a general measure of market performance. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica JPMorgan Core Bond VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica JPMorgan Core Bond VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,021.50 | | | $ | 2.85 | | | $ | 1,022.38 | | | $ | 2.85 | | | | 0.56 | % |
| Service Class | | | 1,000.00 | | | | 1,020.80 | | | | 4.13 | | | | 1,021.12 | | | | 4.13 | | | | 0.81 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the Fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| U.S. Government Agency Obligations | | | 41.7 | % |
| U.S. Government Obligations | | | 24.3 | |
| Corporate Debt Securities | | | 17.9 | |
| Mortgage-Backed Securities | | | 12.5 | |
| Asset-Backed Securities | | | 1.3 | |
| Repurchase Agreement | | | 1.1 | |
| Foreign Government Obligations | | | 0.3 | |
| Convertible Bond | | | 0.2 | % |
| Municipal Government Obligations | | | 0.1 | |
| Securities Lending Collateral | | | 0.1 | |
| Other Assets and Liabilities - Net | | | 0.5 | |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
U.S. GOVERNMENT OBLIGATIONS - 24.3% | | | | | | | | |
| U.S. Treasury Bond | | | | | | | | |
| 7.50%, 11/15/2016 | | $ | 3,050 | | | $ | 3,920 | |
| 8.00%, 11/15/2021 | | | 500 | | | | 707 | |
| 8.13%, 08/15/2019 | | | 537 | | | | 748 | |
| 8.50%, 02/15/2020 | | | 815 | | | | 1,166 | |
| 8.75%, 05/15/2017 - 08/15/2020 | | | 1,000 | | | | 1,425 | |
| 8.88%, 08/15/2017 - 02/15/2019 | | | 2,210 | | | | 3,096 | |
| 9.88%, 11/15/2015 | | | 300 | | | | 411 | |
| 11.25%, 02/15/2015 | | | 250 | | | | 346 | |
| U.S. Treasury Inflation Indexed Note | | | | | | | | |
| 2.38%, 04/15/2011 | | | 3,195 | | | | 3,224 | |
| 3.50%, 01/15/2011 | | | 628 | | | | 629 | |
| U.S. Treasury Note | | | | | | | | |
| 2.13%, 12/31/2015 | | | 275 | | | | 276 | |
| 2.63%, 07/31/2014 - 04/30/2016 | | | 2,300 | | | | 2,374 | |
| 3.13%, 10/31/2016 - 05/15/2019 | | | 950 | | | | 972 | |
| 3.25%, 12/31/2016 - 03/31/2017 | | | 4,750 | | | | 4,968 | |
| 3.50%, 02/15/2018 | | | 100 | | | | 105 | |
| 4.75%, 08/15/2017 | | | 535 | | | | 607 | |
| U.S. Treasury STRIPS | | | | | | | | |
| 0.55%, 08/15/2012 ▲ | | | 250 | | | | 248 | |
| 1.14%, 02/15/2014 ▲ | | | 300 | | | | 289 | |
| 1.32%, 05/15/2014 ▲ | | | 270 | | | | 258 | |
| 1.54%, 11/15/2014 ▲ | | | 100 | | | | 94 | |
| 2.14%, 02/15/2016 ▲ | | | 1,650 | | | | 1,479 | |
| 2.25%, 05/15/2016 ▲ | | | 2,200 | | | | 1,950 | |
| 2.40%, 08/15/2016 ▲ | | | 1,850 | | | | 1,618 | |
| 2.47%, 11/15/2016 ▲ | | | 500 | | | | 433 | |
| 2.57%, 02/15/2017 ▲ | | | 9,350 | | | | 7,992 | |
| 2.79%, 11/15/2017 ▲ | | | 250 | | | | 206 | |
| 2.85%, 02/15/2018 ▲ | | | 50 | | | | 41 | |
| 2.96%, 08/15/2018 ▲ | | | 100 | | | | 80 | |
| 3.06%, 02/15/2019 ▲ | | | 145 | | | | 113 | |
| 3.11%, 02/15/2019 ▲ | | | 155 | | | | 121 | |
| 3.18%, 05/15/2019 ▲ | | | 150 | | | | 115 | |
| 3.24%, 08/15/2019 ▲ | | | 850 | | | | 644 | |
| 3.41%, 02/15/2020 ▲ | | | 150 | | | | 110 | |
| 3.44%, 05/15/2020 ▲ | | | 150 | | | | 109 | |
| 3.50%, 05/15/2020 ▲ | | | 550 | | | | 397 | |
| 3.54%, 08/15/2020 ▲ | | | 750 | | | | 534 | |
| 3.60%, 11/15/2020 ▲ | | | 100 | | | | 70 | |
| 3.76%, 08/15/2021 ▲ | | | 200 | | | | 135 | |
| 3.82%, 11/15/2021 ▲ | | | 750 | | | | 496 | |
| 3.88%, 02/15/2022 ▲ | | | 350 | | | | 228 | |
| 4.05%, 02/15/2023 ▲ | | | 750 | | | | 462 | |
| 4.19%, 05/15/2024 ▲ | | | 200 | | | | 115 | |
| 4.25%, 11/15/2024 ▲ | | | 200 | | | | 111 | |
| 4.41%, 02/15/2026 ▲ | | | 100 | | | | 52 | |
| 4.49%, 11/15/2026 ▲ | | | 150 | | | | 74 | |
| 4.51%, 05/15/2027 ▲ | | | 200 | | | | 96 | |
| 4.53%, 08/15/2027 ▲ | | | 100 | | | | 47 | |
| 4.57%, 05/15/2028 ▲ | | | 50 | | | | 23 | |
| 4.59%, 02/15/2029 - 05/15/2029 ▲ | | | 650 | | | | 285 | |
| 4.62%, 02/15/2030 ▲ | | | 225 | | | | 94 | |
| 4.65%, 08/15/2031 ▲ | | | 350 | | | | 136 | |
| 4.66%, 02/15/2032 - 08/15/2032 ▲ | | | 250 | | | | 94 | |
| 4.70%, 02/15/2035 ▲ | | | 50 | | | | 16 | |
| | | | | | | | |
Total U.S. Government Obligations (cost $41,829) | | | | | | | 44,339 | |
| | | | | | | | |
| |
U.S. GOVERNMENT AGENCY OBLIGATIONS - 41.7% | | | | | | | | |
| Fannie Mae | | | | | | | | |
| Zero Coupon, 06/01/2017 | | | 300 | | | | 244 | |
| 0.51%, 06/27/2036 * | | | 536 | | | | 534 | |
| 0.61%, 04/25/2035 - 08/25/2036 * | | | 368 | | | | 368 | |
| 2.55%, 01/01/2036 * | | | 180 | | | | 188 | |
| 4.00%, 07/01/2018 - 04/25/2033 | | | 579 | | | | 589 | |
| 4.50%, 08/01/2018 - 08/25/2033 | | | 3,270 | | | | 3,456 | |
| 5.00%, 12/01/2016 - 07/25/2023 | | | 3,438 | | | | 3,702 | |
| 5.29%, 01/01/2038 * | | | 241 | | | | 256 | |
| 5.50%, 03/01/2017 - 04/25/2038 | | | 3,137 | | | | 3,389 | |
| 5.75%, 06/25/2033 | | | 750 | | | | 814 | |
| 6.00%, 08/01/2014 - 08/25/2037 | | | 3,701 | | | | 3,991 | |
| 6.43%, 12/25/2042 * | | | 287 | | | | 329 | |
| 6.50%, 03/01/2017 - 05/25/2044 | | | 1,931 | | | | 2,135 | |
| 6.79%, 07/25/2023 * | | | 623 | | | | 735 | |
| 7.00%, 09/01/2017 - 11/25/2031 | | | 1,086 | | | | 1,222 | |
| 7.12%, 08/25/2033 * | | | 217 | | | | 209 | |
| 7.35%, 12/25/2042 * | | | 137 | | | | 156 | |
| 8.00%, 05/25/2022 - 06/01/2039 | | | 223 | | | | 261 | |
| 8.68%, 03/25/2034 * | | | 107 | | | | 102 | |
| 9.00%, 10/01/2019 - 06/01/2025 | | | 70 | | | | 76 | |
| 9.50%, 06/25/2018 | | | 113 | | | | 129 | |
| 10.00%, 03/25/2032 * | | | 27 | | | | 30 | |
| 10.79%, 07/25/2035 * | | | 185 | | | | 190 | |
| 12.07%, 09/25/2033 * | | | 79 | | | | 88 | |
| 13.11%, 07/25/2033 * | | | 274 | | | | 291 | |
| 13.48%, 03/25/2038 * | | | 66 | | | | 74 | |
| 14.01%, 12/25/2032 * | | | 67 | | | | 78 | |
| 14.19%, 12/25/2031 * | | | 62 | | | | 67 | |
| 14.99%, 11/25/2031 * | | | 150 | | | | 186 | |
| 15.78%, 05/25/2034 * | | | 141 | | | | 164 | |
| 16.72%, 07/25/2035 * | | | 267 | | | | 322 | |
| 18.81%, 04/25/2034 - 05/25/2034 * | | | 708 | | | | 900 | |
| 19.08%, 08/25/2032 * | | | 155 | | | | 192 | |
| 22.96%, 05/25/2034 * | | | 52 | | | | 68 | |
| 23.61%, 03/25/2036 * | | | 147 | | | | 207 | |
| 24.34%, 02/25/2032 * | | | 38 | | | | 53 | |
| 25.16%, 10/25/2036 * | | | 67 | | | | 92 | |
| 25.52%, 12/25/2036 * | | | 87 | | | | 131 | |
| Fannie Mae, PO | | | | | | | | |
| 01/25/2019 - 11/25/2036 | | | 3,139 | | | | 2,753 | |
| Fannie Mae, IO | | | | | | | | |
| 0.98%, 08/25/2042 * | | | 1,470 | | | | 52 | |
| 4.00%, 10/25/2014 | | | 601 | | | | 42 | |
| 5.00%, 03/25/2023 | | | 464 | | | | 51 | |
| 5.50%, 05/25/2033 | | | 84 | | | | 3 | |
| 5.59%, 09/25/2038 * | | | 1,258 | | | | 152 | |
| 5.65%, 02/25/2038 * | | | 1,054 | | | | 134 | |
| 5.84%, 06/25/2037 * | | | 693 | | | | 96 | |
| 5.92%, 12/25/2039 * | | | 345 | | | | 38 | |
| 5.94%, 03/25/2038 * | | | 313 | | | | 36 | |
| 6.16%, 04/25/2040 * | | | 496 | | | | 62 | |
| 6.24%, 06/25/2023 * | | | 265 | | | | 27 | |
| 6.28%, 09/25/2037 * | | | 237 | | | | 34 | |
| 6.29%, 02/25/2039 * | | | 343 | | | | 42 | |
| 6.32%, 06/25/2036 * | | | 330 | | | | 48 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
U.S. GOVERNMENT AGENCY OBLIGATIONS - (continued) | | | | | | | | |
| Fannie Mae, IO (continued) | | | | | | | | |
| 6.36%, 01/25/2038 * | | $ | 219 | | | $ | 14 | |
| 6.50%, 05/25/2033 | | | 175 | | | | 36 | |
| 6.89%, 07/25/2037 * | | | 552 | | | | 90 | |
| 7.00%, 06/25/2033 | | | 161 | | | | 31 | |
| Fannie Mae STRIPS | | | | | | | | |
| 4.29%, 11/15/2021 ▲ | | | 400 | | | | 250 | |
| Freddie Mac | | | | | | | | |
| 0.00%, 01/15/2035 - 05/15/2036 * | | | 10 | | | | 9 | |
| 0.70%, 02/15/2037 * | | | 125 | | | | 125 | |
| 2.72%, 09/01/2034 * | | | 156 | | | | 163 | |
| 4.00%, 05/01/2019 - 03/15/2032 | | | 713 | | | | 742 | |
| 4.31%, 11/01/2036 * | | | 154 | | | | 162 | |
| 4.50%, 12/15/2018 | | | 1,000 | | | | 1,056 | |
| 4.72%, 09/20/2012 | | | 221 | | | | 232 | |
| 5.00%, 10/01/2017 - 03/15/2026 | | | 1,017 | | | | 1,081 | |
| 5.50%, 09/15/2013 - 05/15/2038 | | | 3,837 | | | | 4,231 | |
| 5.54%, 05/01/2036 * | | | 297 | | | | 316 | |
| 6.00%, 12/15/2013 - 09/15/2036 | | | 3,115 | | | | 3,382 | |
| 6.02%, 06/01/2036 * | | | 526 | | | | 563 | |
| 6.04%, 10/01/2036 * | | | 152 | | | | 160 | |
| 6.23%, 03/01/2037 * | | | 183 | | | | 194 | |
| 6.26%, 02/01/2037 * | | | 372 | | | | 396 | |
| 6.38%, 03/15/2032 | | | 441 | | | | 484 | |
| 6.40%, 11/15/2023 | | | 159 | | | | 170 | |
| 6.42%, 12/01/2036 * | | | 105 | | | | 112 | |
| 6.50%, 10/15/2013 - 02/25/2043 | | | 4,384 | | | | 4,902 | |
| 6.63%, 07/01/2036 * | | | 176 | | | | 185 | |
| 6.69%, 10/01/2036 * | | | 115 | | | | 122 | |
| 6.71%, 08/01/2036 * | | | 203 | | | | 213 | |
| 6.97%, 10/15/2015 * | | | 416 | | | | 425 | |
| 7.00%, 03/15/2024 - 02/25/2043 | | | 4,335 | | | | 4,914 | |
| 7.25%, 09/15/2030 - 12/15/2030 | | | 700 | | | | 822 | |
| 7.30%, 07/25/2032 * | | | 327 | | | | 380 | |
| 7.50%, 02/15/2023 - 08/15/2030 | | | 451 | | | | 510 | |
| 7.50%, 08/25/2042 * | | | 134 | | | | 156 | |
| 8.00%, 01/15/2030 | | | 504 | | | | 591 | |
| 8.50%, 09/15/2020 | | | 96 | | | | 115 | |
| 8.61%, 10/15/2033 - 11/15/2033 * | | | 223 | | | | 213 | |
| 8.68%, 01/15/2034 - 04/15/2034 * | | | 758 | | | | 722 | |
| 8.76%, 10/15/2033 * | | | 55 | | | | 52 | |
| 9.80%, 07/15/2032 * | | | 232 | | | | 260 | |
| 11.48%, 09/15/2033 - 02/15/2034 * | | | 161 | | | | 158 | |
| 12.77%, 07/15/2033 * | | | 335 | | | | 354 | |
| 13.68%, 05/15/2030 * | | | 141 | | | | 156 | |
| 14.28%, 09/15/2033 * | | | 78 | | | | 90 | |
| 16.63%, 02/15/2040 * | | | 100 | | | | 127 | |
| 23.54%, 06/15/2034 * | | | 278 | | | | 381 | |
| Freddie Mac, PO | | | | | | | | |
| 03/15/2019 - 07/15/2036 | | | 2,913 | | | | 2,589 | |
| Freddie Mac, IO | | | | | | | | |
| 1.34%, 09/15/2011 | | | 739 | | | | 5 | |
| 1.42%, 09/15/2012 | | | 454 | | | | 8 | |
| 5.00%, 09/15/2035 | | | 455 | | | | 93 | |
| 5.50%, 07/15/2024 | | | 141 | | | | 11 | |
| 5.74%, 11/15/2037 - 02/15/2039 * | | | 1,283 | | | | 130 | |
| 5.94%, 06/15/2038 * | | | 1,369 | | | | 160 | |
| 6.16%, 11/15/2037 * | | | 467 | | | | 69 | |
| 6.54%, 04/15/2038 * | | | 345 | | | | 50 | |
| 6.74%, 02/15/2033 * | | | 139 | | | | 5 | |
| 6.84%, 03/13/2033 - 07/15/2036 * | | | 899 | | | | 89 | |
| 7.29%, 02/15/2033 * | | | 61 | | | | 4 | |
| 7.44%, 07/15/2017 * | | | 347 | | | | 35 | |
| 7.74%, 03/15/2032 * | | | 151 | | | | 30 | |
| Ginnie Mae | | | | | | | | |
| 5.00%, 04/16/2023 | | | 1,000 | | | | 1,071 | |
| 5.50%, 12/20/2013 | | | 333 | | | | 355 | |
| 6.00%, 08/20/2016 | | | 336 | | | | 364 | |
| 6.50%, 03/15/2023 - 06/20/2033 | | | 5,609 | | | | 6,318 | |
| 7.00%, 07/15/2017 - 10/20/2031 | | | 134 | | | | 141 | |
| 7.33%, 11/20/2030 | | | 44 | | | | 51 | |
| 7.50%, 11/20/2029 - 09/20/2030 | | | 305 | | | | 346 | |
| 8.00%, 01/15/2016 - 06/20/2030 | | | 204 | | | | 237 | |
| 8.50%, 02/16/2030 | | | 509 | | | | 618 | |
| 9.00%, 05/16/2027 | | | 34 | | | | 42 | |
| 12.88%, 10/20/2037 * | | | 195 | | | | 216 | |
| 15.81%, 06/17/2035 * | | | 127 | | | | 155 | |
| 16.15%, 05/18/2034 * | | | 113 | | | | 136 | |
| 18.95%, 04/16/2034 * | | | 116 | | | | 142 | |
| 19.42%, 09/20/2037 * | | | 110 | | | | 142 | |
| 28.18%, 09/20/2034 * | | | 132 | | | | 186 | |
| 31.37%, 04/20/2031 * | | | 32 | | | | 53 | |
| Ginnie Mae, PO | | | | | | | | |
| 03/16/2033 - 11/16/2037 | | | 695 | | | | 605 | |
| Ginnie Mae, IO | | | | | | | | |
| 5.44%, 12/20/2038 * | | | 330 | | | | 34 | |
| 5.50%, 01/20/2032 - 10/16/2037 | | | 1,017 | | | | 134 | |
| 5.57%, 02/20/2038 * | | | 547 | | | | 60 | |
| 5.74%, 11/20/2037 * | | | 539 | | | | 61 | |
| 5.82%, 06/20/2039 * | | | 510 | | | | 56 | |
| 5.84%, 10/20/2034 - 08/20/2039 * | | | 1,421 | | | | 151 | |
| 5.94%, 03/20/2037 - 06/20/2038 * | | | 1,022 | | | | 109 | |
| 6.01%, 04/20/2039 * | | | 576 | | | | 59 | |
| 6.04%, 09/20/2035 - 03/20/2039 * | | | 1,405 | | | | 177 | |
| 6.09%, 03/20/2039 * | | | 585 | | | | 66 | |
| 6.14%, 05/16/2038 - 06/16/2039 * | | | 2,102 | | | | 258 | |
| 6.21%, 06/16/2037 * | | | 446 | | | | 52 | |
| 6.24%, 03/16/2034 - 10/20/2037 * | | | 1,411 | | | | 169 | |
| 6.29%, 11/20/2037 - 12/20/2037 * | | | 532 | | | | 64 | |
| 6.44%, 07/20/2036 * | | | 390 | | | | 48 | |
| 6.49%, 11/20/2033 - 07/20/2037 * | | | 954 | | | | 136 | |
| 6.50%, 03/20/2039 | | | 252 | | | | 39 | |
| 6.51%, 08/20/2037 * | | | 826 | | | | 115 | |
| 6.55%, 04/16/2037 * | | | 230 | | | | 36 | |
| 6.64%, 03/20/2038 * | | | 278 | | | | 38 | |
| 6.69%, 10/20/2032 * | | | 500 | | | | 77 | |
| 7.69%, 04/16/2032 * | | | 257 | | | | 53 | |
| Tennessee Valley Authority | | | | | | | | |
| 4.63%, 09/15/2060 | | | 22 | | | | 21 | |
| Tennessee Valley Authority Generic STRIPS | | | | | | | | |
| 3.83%, 05/01/2019 ▲ | | | 200 | | | | 145 | |
| | | | | | | | |
Total U.S. Government Agency Obligations (cost $71,124) | | | | | | | 76,049 | |
| | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
FOREIGN GOVERNMENT OBLIGATIONS - 0.3% | | | | | | | | |
| Province of Ontario Canada | | | | | | | | |
| 2.70%, 06/16/2015 | | $ | 100 | | | $ | 102 | |
| United Mexican States | | | | | | | | |
| 6.38%, 01/16/2013 | | | 75 | | | | 82 | |
| 7.50%, 04/08/2033 | | | 300 | | | | 368 | |
| | | | | | | | |
Total Foreign Government Obligations (cost $471) | | | | | | | 552 | |
| | | | | | | | |
| |
MORTGAGE-BACKED SECURITIES - 12.5% | | | | | | | | |
| American General Mortgage Loan Trust | | | | | | | | |
| Series 2009-1, Class A4 | | | | | | | | |
| 5.75%, 09/25/2048 - 144A * | | | 250 | | | | 259 | |
| Series 2009-1, Class A5 | | | | | | | | |
| 5.75%, 09/25/2048 - 144A * | | | 200 | | | | 209 | |
| Series 2009-1, Class A7 | | | | | | | | |
| 5.75%, 09/25/2048 - 144A * | | | 200 | | | | 202 | |
| Series 2010-1A, Class A1 | | | | | | | | |
| 5.15%, 03/25/2058 - 144A * | | | 164 | | | | 171 | |
| ASG Resecuritization Trust | | | | | | | | |
| Series 2009-1, Class A60 | | | | | | | | |
| 5.41%, 06/26/2037 - 144A * | | | 317 | | | | 322 | |
| Series 2009-2, Class A55 | | | | | | | | |
| 5.55%, 05/24/2036 - 144A * | | | 153 | | | | 158 | |
| Series 2009-3, Class A65 | | | | | | | | |
| 5.39%, 03/26/2037 - 144A * | | | 362 | | | | 363 | |
| Series 2009-4, Class A60 | | | | | | | | |
| 6.00%, 06/28/2037 - 144A | | | 378 | | | | 395 | |
| Series 2010-3, Class 2A22 | | | | | | | | |
| 0.48%, 10/28/2036 - 144A * | | | 250 | | | | 246 | |
| Banc of America Alternative Loan Trust | | | | | | | | |
| Series 2003-7, Class 2A4 | | | | | | | | |
| 5.00%, 09/25/2018 | | | 69 | | | | 70 | |
| Banc of America Commercial Mortgage, Inc. | | | | | | | | |
| Series 2005-3, Class AM | | | | | | | | |
| 4.73%, 07/10/2043 | | | 50 | | | | 49 | |
| Series 2005-6, Class ASB | | | | | | | | |
| 5.20%, 09/10/2047 * | | | 150 | | | | 159 | |
| Banc of America Funding Corp. | | | | | | | | |
| Series 2010-R11A, Class 1A6 | | | | | | | | |
| 5.54%, 08/26/2035 - 144A * | | | 197 | | | | 197 | |
| Banc of America Funding Corp., PO | | | | | | | | |
| Series 2004-1 | | | | | | | | |
| 03/25/2034 | | | 97 | | | | 71 | |
| Series 2005-7, Class 30 | | | | | | | | |
| 11/25/2035 | | | 171 | | | | 93 | |
| Series 2005-8, Class 30 | | | | | | | | |
| 01/25/2036 | | | 62 | | | | 32 | |
| Banc of America Mortgage Securities, Inc. | | | | | | | | |
| Series 2004-3, Class 1A26 | | | | | | | | |
| 5.50%, 04/25/2034 | | | 400 | | | | 408 | |
| BCAP LLC Trust | | | | | | | | |
| Series 2010-RR7, Class 2A1 | | | | | | | | |
| 5.10%, 07/26/2045 - 144A * | | | 478 | | | | 484 | |
| Bear Stearns Adjustable Rate Mortgage Trust | | | | | | | | |
| Series 2006-1, Class A1 | | | | | | | | |
| 4.63%, 02/25/2036 * | | | 304 | | | | 270 | |
| Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
| Series 2003-1, Class 2A5 | | | | | | | | |
| 5.25%, 10/25/2033 | | | 315 | | | | 327 | |
| Commercial Mortgage Pass-Through Certificates | | | | | | | | |
| Series 2001-J2A, Class B | | | | | | | | |
| 6.30%, 07/16/2034 - 144A | | | 4,000 | | | | 4,091 | |
| Countrywide Alternative Loan Trust, PO | | | | | | | | |
| Series 2003-J1 | | | | | | | | |
| 10/25/2033 | | | 94 | | | | 74 | |
| Countrywide Alternative Loan Trust | | | | | | | | |
| Series 2004-18CB, Class 2A4 | | | | | | | | |
| 5.70%, 09/25/2034 | | | 187 | | | | 187 | |
| Series 2004-2CB, Class 1A9 | | | | | | | | |
| 5.75%, 03/25/2034 | | | 372 | | | | 372 | |
| Series 2005-26CB, Class A10 | | | | | | | | |
| 12.58%, 07/25/2035 * | | | 26 | | | | 26 | |
| Series 2005-28CB, Class 1A4 | | | | | | | | |
| 5.50%, 08/25/2035 | | | 492 | | | | 420 | |
| Series 2005-54CB, Class 1A11 | | | | | | | | |
| 5.50%, 11/25/2035 | | | 200 | | | | 168 | |
| Countrywide Alternative Loan Trust, IO | | | | | | | | |
| Series 2005-20CB, Class 3A8 | | | | | | | | |
| 4.49%, 07/25/2035 * | | | 905 | | | | 99 | |
| Series 2005-22T1, Class A2 | | | | | | | | |
| 4.81%, 06/25/2035 * | | | 1,975 | | | | 190 | |
| Series 2005-J1, Class 1A4 | | | | | | | | |
| 4.84%, 02/25/2035 * | | | 1,074 | | | | 119 | |
| Countrywide Home Loan Mortgage Pass- Through Trust | | | | | | | | |
| Series 2004-7, Class 2A1 | | | | | | | | |
| 2.43%, 06/25/2034 * | | | 81 | | | | 75 | |
| Series 2004-8, Class 2A1 | | | | | | | | |
| 4.50%, 06/25/2019 | | | 175 | | | | 176 | |
| Series 2004-HYB1, Class 2A | | | | | | | | |
| 3.07%, 05/20/2034 * | | | 78 | | | | 66 | |
| Series 2005-22, Class 2A1 | | | | | | | | |
| 3.10%, 11/25/2035 * | | | 434 | | | | 334 | |
| Credit Suisse First Boston Mortgage Securities Corp., PO | | | | | | | | |
| Series 2002-34, Class 3P | | | | | | | | |
| 01/25/2033 | | | 86 | | | | 62 | |
| Credit Suisse First Boston Mortgage Securities Corp. | | | | | | | | |
| Series 2003-27, Class 5A4 | | | | | | | | |
| 5.25%, 11/25/2033 | | | 272 | | | | 273 | |
| Series 2004-5, Class 3A1 | | | | | | | | |
| 5.25%, 08/25/2019 | | | 130 | | | | 135 | |
| Credit Suisse Mortgage Capital Certificates | | | | | | | | |
| Series 2010-11R, Class A1 | | | | | | | | |
| 1.26%, 06/28/2047 - 144A * | | | 337 | | | | 332 | |
| Deutsche Mortgage Securities, Inc. | | | | | | | | |
| Series 2010-RS2, Class A1 | | | | | | | | |
| 1.51%, 06/28/2047 - 144A * | | | 333 | | | | 333 | |
| First Horizon Asset Securities, Inc. | | | | | | | | |
| Series 2004-AR7, Class 2A1 | | | | | | | | |
| 2.81%, 02/25/2035 * | | | 74 | | | | 73 | |
| GE Capital Commercial Mortgage Corp. | | | | | | | | |
| Series 2001-2, Class B | | | | | | | | |
| 6.44%, 08/11/2033 | | | 3,000 | | | | 3,071 | |
| GMAC Mortgage Corp., Loan Trust | | | | | | | | |
| Series 2003-J7, Class A10 | | | | | | | | |
| 5.50%, 11/25/2033 | | | 139 | | | | 145 | |
| GSMPS Mortgage Loan Trust | | | | | | | | |
| Series 2005-RP2, Class 1AF | | | | | | | | |
| 0.61%, 03/25/2035 - 144A * | | | 380 | | | | 320 | |
| GSR Mortgage Loan Trust | | | | | | | | |
| Series 2005-7F, Class 3A9 | | | | | | | | |
| 6.00%, 09/25/2035 | | | 364 | | | | 327 | |
| Series 2006-1F, Class 2A4 | | | | | | | | |
| 6.00%, 02/25/2036 | | | 223 | | | | 198 | |
| Series 2007-1F, Class 2A4 | | | | | | | | |
| 5.50%, 01/25/2037 | | | 500 | | | | 457 | |
| IndyMac Index Mortgage Loan Trust, IO | | | | | | | | |
| Series 2005-AR11, Class A7 | | | | | | | | |
| 0.32%, 08/25/2035 * | | | 1,770 | | | | 15 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
MORTGAGE-BACKED SECURITIES - (continued) | | | | | | | | |
| MASTR Adjustable Rate Mortgages Trust | | | | | | | | |
| Series 2004-13, Class 2A1 | | | | | | | | |
| 2.83%, 04/21/2034 * | | $ | 153 | | | $ | 147 | |
| Series 2004-3, Class 4A2 | | | | | | | | |
| 2.39%, 04/25/2034 * | | | 71 | | | | 65 | |
| MASTR Alternative Loans Trust | | | | | | | | |
| Series 2004-10, Class 1A1 | | | | | | | | |
| 4.50%, 09/25/2019 | | | 202 | | | | 205 | |
| MASTR Resecuritization Trust, PO | | | | | | | | |
| Series 2005, Class 3 | | | | | | | | |
| 05/28/2035 - 144A | | | 380 | | | | 259 | |
| Merrill Lynch Mortgage Trust | | | | | | | | |
| Series 2005-MCP1, Class ASB | | | | | | | | |
| 4.67%, 06/12/2043 * | | | 269 | | | | 281 | |
| Mortgage IT Trust | | | | | | | | |
| Series 2005-1, Class 1A1 | | | | | | | | |
| 0.58%, 02/25/2035 * | | | 90 | | | | 67 | |
| Nomura Asset Acceptance Corp. | | | | | | | | |
| Series 2003-A1, Class A2 | | | | | | | | |
| 6.00%, 05/25/2033 | | | 33 | | | | 34 | |
| Series 2003-A1, Class A5 | | | | | | | | |
| 7.00%, 04/25/2033 | | | 20 | | | | 21 | |
| PHH Alternative Mortgage Trust, IO | | | | | | | | |
| Series 2007-2, Class 2X | | | | | | | | |
| 6.00%, 05/25/2037 | | | 552 | | | | 101 | |
| RBSSP Resecuritization Trust | | | | | | | | |
| Series 2010-9, Class 7A5 | | | | | | | | |
| 4.00%, 05/26/2037 - 144A * | | | 250 | | | | 241 | |
| Residential Accredit Loans, Inc. | | | | | | | | |
| Series 2003-QS3, Class A2 | | | | | | | | |
| 15.93%, 02/25/2018 * | | | 39 | | | | 43 | |
| Series 2002-QS16, Class A3 | | | | | | | | |
| 16.08%, 10/25/2017 * | | | 43 | | | | 48 | |
| Series 2003-QS19, Class A1 | | | | | | | | |
| 5.75%, 10/25/2033 | | | 211 | | | | 219 | |
| Series 2004-QS3, Class CB | | | | | | | | |
| 5.00%, 03/25/2019 | | | 274 | | | | 285 | |
| Residential Funding Mortgage Securities I, PO | | | | | | | | |
| Series 2004-S6, Class 2A6 | | | | | | | | |
| 06/25/2034 | | | 77 | | | | 56 | |
| Structured Asset Securities Corp. | | | | | | | | |
| Series 2003-21, Class 1A3 | | | | | | | | |
| 5.50%, 07/25/2033 | | | 54 | | | | 55 | |
| Series 2003-29, Class 1A1 | | | | | | | | |
| 4.75%, 09/25/2018 | | | 617 | | | | 627 | |
| Series 2003-33H, Class 1A1 | | | | | | | | |
| 5.50%, 10/25/2033 | | | 235 | | | | 233 | |
| Series 2005-6, Class 4A1 | | | | | | | | |
| 5.00%, 05/25/2035 | | | 70 | | | | 68 | |
| Series 2005-6, Class 5A8 | | | | | | | | |
| 13.38%, 05/25/2035 * | | | 8 | | | | 8 | |
| TIAA Seasoned Commercial Mortgage Trust | | | | | | | | |
| Series 2007-C4, Class A3 | | | | | | | | |
| 6.05%, 08/15/2039 * | | | 50 | | | | 55 | |
| Vendee Mortgage Trust | | | | | | | | |
| Series 1997-1, Class 2Z | | | | | | | | |
| 7.50%, 02/15/2027 | | | 887 | | | | 1,049 | |
| WaMu Mortgage Pass-Through Certificates, IO | | | | | | | | |
| Series 2005-2, Class 1A4 | | | | | | | | |
| 4.79%, 04/25/2035 * | | | 1,506 | | | | 211 | |
| Series 2005-3, Class CX | | | | | | | | |
| 5.50%, 05/25/2035 | | | 498 | | | | 86 | |
| WaMu Mortgage Pass-Through Certificates, PO | | | | | | | | |
| Series 2002-S7, Class 2P | | | | | | | | |
| 11/25/2017 | | | 157 | | | | 136 | |
| Series 2003-MS7, Class P | | | | | | | | |
| 03/25/2033 | | | 77 | | | | 62 | |
| WaMu Mortgage Pass-Through Certificates | | | | | | | | |
| Series 2003-S9, Class A8 | | | | | | | | |
| 5.25%, 10/25/2033 | | | 292 | | | | 292 | |
| Series 2003-S11, Class 2A5 | | | | | | | | |
| 16.33%, 11/25/2033 * | | | 72 | | | | 79 | |
| Series 2004-AR3, Class A2 | | | | | | | | |
| 2.71%, 06/25/2034 * | | | 79 | | | | 77 | |
| Series 2005-4, Class CB7 | | | | | | | | |
| 5.50%, 06/25/2035 | | | 485 | | | | 413 | |
| Wells Fargo Mortgage Backed Securities Trust | | | | | | | | |
| Series 2003-K, Class 1A1 | | | | | | | | |
| 4.47%, 11/25/2033 * | | | 118 | | | | 119 | |
| Series 2004-7, Class 2A2 | | | | | | | | |
| 5.00%, 07/25/2019 | | | 145 | | | | 151 | |
| Series 2004-BB, Class A4 | | | | | | | | |
| 2.75%, 01/25/2035 * | | | 194 | | | | 192 | |
| Series 2004-EE, Class 3A1 | | | | | | | | |
| 2.97%, 12/25/2034 * | | | 89 | | | | 87 | |
| Series 2004-V, Class 1A1 | | | | | | | | |
| 2.89%, 10/25/2034 * | | | 164 | | | | 160 | |
Total Mortgage-Backed Securities (cost $22,047) | | | | | | | 22,855 | |
| |
ASSET-BACKED SECURITIES - 1.3% | | | | | | | | |
| AH Mortgage Advance Trust | | | | | | | | |
| Series 2010-ADV1, Class A1 | | | | | | | | |
| 3.97%, 08/15/2022 - 144A | | | 210 | | | | 211 | |
| AmeriCredit Automobile Receivables Trust | | | | | | | | |
| Series 2008-AF, Class A3 | | | | | | | | |
| 5.68%, 12/12/2012 | | | 23 | | | | 23 | |
| Series 2010-3, Class A3 | | | | | | | | |
| 1.14%, 04/08/2015 | | | 110 | | | | 110 | |
| Bank of America Auto Trust | | | | | | | | |
| Series 2010-2, Class A4 | | | | | | | | |
| 1.94%, 06/15/2017 | | | 125 | | | | 126 | |
| Chase Funding Mortgage Loan Asset-Backed Certificates | | | | | | | | |
| Series 2003-6, Class 1A7 | | | | | | | | |
| 4.28%, 11/25/2034 * | | | 167 | | | | 160 | |
| Chrysler Financial Auto Securitization Trust | | | | | | | | |
| Series 2010-A, Class A3 | | | | | | | | |
| 0.91%, 08/08/2013 | | | 200 | | | | 200 | |
| CNH Equipment Trust | | | | | | | | |
| Series 2009-A, Class A3 | | | | | | | | |
| 5.28%, 11/15/2012 | | | 67 | | | | 68 | |
| Credit-Based Asset Servicing and Securitization LLC | | | | | | | | |
| Series 2006-CB1, Class AF2 | | | | | | | | |
| 5.23%, 01/25/2036 * | | | 36 | | | | 25 | |
| Ford Credit Auto Owner Trust | | | | | | | | |
| Series 2009-B, Class A3 | | | | | | | | |
| 2.79%, 08/15/2013 | | | 129 | | | | 131 | |
| Series 2009-B, Class A4 | | | | | | | | |
| 4.50%, 07/15/2014 | | | 125 | | | | 133 | |
| GE Capital Credit Card Master Note Trust | | | | | | | | |
| Series 2009-2, Class A | | | | | | | | |
| 3.69%, 07/15/2015 | | | 200 | | | | 208 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
ASSET-BACKED SECURITIES - (continued) | | | | | | | | |
| Hyundai Auto Receivables Trust | | | | | | | | |
| Series 2010-B, Class A3 | | | | | | | | |
| 0.97%, 04/15/2015 | | $ | 60 | | | $ | 60 | |
| Series 2010-B, Class A4 | | | | | | | | |
| 1.63%, 03/15/2017 | | | 65 | | | | 64 | |
| John Deere Owner Trust | | | | | | | | |
| Series 2009-A, Class A3 | | | | | | | | |
| 2.59%, 10/15/2013 | | | 76 | | | | 77 | |
| LAI Vehicle Lease Securitization Trust | | | | | | | | |
| Series 2010-A, Class A | | | | | | | | |
| 2.55%, 03/15/2016 - 144A | | | 250 | | | | 248 | |
| Nissan Auto Receivables Owner Trust | | | | | | | | |
| Series 2010-A, Class A3 | | | | | | | | |
| 0.87%, 07/15/2014 | | | 95 | | | | 95 | |
| Series 2010-A, Class A4 | | | | | | | | |
| 1.31%, 09/15/2016 | | | 60 | | | | 60 | |
| Structured Asset Investment Loan Trust | | | | | | | | |
| Series 2005-5, Class A9 | | | | | | | | |
| 0.53%, 06/25/2035 * | | | 100 | | | | 93 | |
| Toyota Auto Receivables Owner Trust | | | | | | | | |
| Series 2010-C, Class A3 | | | | | | | | |
| 0.77%, 04/15/2014 | | | 150 | | | | 150 | |
| USAA Auto Owner Trust | | | | | | | | |
| Series 2009-2, Class A3 | | | | | | | | |
| 1.54%, 10/15/2012 | | | 95 | | | | 96 | |
| Series 2009-2, Class A4 | | | | | | | | |
| 2.53%, 06/17/2013 | | | 115 | | | | 118 | |
| | | | | | | | |
Total Asset-Backed Securities (cost $2,433) | | | | | | | 2,456 | |
| | | | | | | | |
| |
MUNICIPAL GOVERNMENT OBLIGATIONS - 0.1% | | | | | | | | |
| Port Authority of New York & New Jersey | | | | | | | | |
| 5.65%, 11/01/2040 | | | 100 | | | | 96 | |
| State of Illinois | | | | | | | | |
| 5.10%, 06/01/2033 | | | 200 | | | | 150 | |
| | | | | | | | |
Total Municipal Government Obligations (cost $300) | | | | | | | 246 | |
| | | | | | | | |
| |
CORPORATE DEBT SECURITIES - 17.9% | | | | | | | | |
Aerospace & Defense - 0.6% | | | | | | | | |
| Lockheed Martin Corp. | | | | | | | | |
| 5.72%, 06/01/2040 - 144A | | | 51 | | | | 53 | |
| Systems 2001 Asset Trust LLC | | | | | | | | |
| 6.66%, 09/15/2013 - 144A | | | 727 | | | | 799 | |
Automobiles - 0.0% ∞ | | | | | | | | |
| Daimler Finance North America LLC | | | | | | | | |
| 7.30%, 01/15/2012 | | | 50 | | | | 53 | |
Beverages - 0.3% | | | | | | | | |
| Anheuser-Busch InBev Worldwide, Inc. | | �� | | | | | | |
| 7.75%, 01/15/2019 - 144A | | | 165 | | | | 205 | |
| Coca-Cola Co. | | | | | | | | |
| 3.63%, 03/15/2014 | | | 50 | | | | 53 | |
| 4.88%, 03/15/2019 | | | 65 | | | | 71 | |
| Coca-Cola Refreshments USA, Inc. | | | | | | | | |
| 8.50%, 02/01/2012 | | | 50 | | | | 54 | |
| FBG Finance, Ltd. | | | | | | | | |
| 5.13%, 06/15/2015 - 144A | | | 75 | | | | 80 | |
| PepsiCo, Inc. | | | | | | | | |
| 7.90%, 11/01/2018 | | | 5 | | | | 6 | |
Biotechnology - 0.1% | | | | | | | | |
| Amgen, Inc. | | | | | | | | |
| 4.50%, 03/15/2020 | | | 12 | | | | 12 | |
| 5.70%, 02/01/2019 | | | 50 | | | | 58 | |
| 5.75%, 03/15/2040 | | | 41 | | | | 43 | |
Capital Markets - 1.8% | | | | | | | | |
| Bank of New York Mellon Corp. | | | | | | | | |
| 2.95%, 06/18/2015 | | | 60 | | | | 61 | |
| 4.60%, 01/15/2020 | | | 30 | | | | 31 | |
| 5.13%, 08/27/2013 | | | 35 | | | | 38 | |
| BlackRock, Inc. | | | | | | | | |
| 6.25%, 09/15/2017 | | | 100 | | | | 113 | |
| BP Capital Markets PLC | | | | | | | | |
| 3.13%, 03/10/2012 | | | 50 | | | | 51 | |
| 5.25%, 11/07/2013 | | | 150 | | | | 162 | |
| Charles Schwab Corp. | | | | | | | | |
| 4.95%, 06/01/2014 | | | 20 | | | | 22 | |
| Credit Suisse USA, Inc. | | | | | | | | |
| 4.88%, 01/15/2015 | | | 300 | | | | 324 | |
| 5.13%, 01/15/2014 | | | 125 | | | | 136 | |
| Goldman Sachs Group, Inc. | | | | | | | | |
| 3.70%, 08/01/2015 | | | 40 | | | | 41 | |
| 5.95%, 01/18/2018 | | | 70 | | | | 76 | |
| 6.00%, 06/15/2020 | | | 28 | | | | 30 | |
| 6.15%, 04/01/2018 | | | 100 | | | | 110 | |
| 6.25%, 09/01/2017 | | | 175 | | | | 193 | |
| 6.60%, 01/15/2012 | | | 50 | | | | 53 | |
| 7.50%, 02/15/2019 | | | 310 | | | | 362 | |
| Jefferies Group, Inc. | | | | | | | | |
| 6.45%, 06/08/2027 | | | 75 | | | | 72 | |
| 8.50%, 07/15/2019 | | | 100 | | | | 114 | |
| Lehman Brothers Holdings, Inc. | | | | | | | | |
| 7.88%, 08/15/2010 Џ | | | 1,000 | | | | 231 | |
| Macquarie Group, Ltd. | | | | | | | | |
| 7.30%, 08/01/2014 - 144A | | | 75 | | | | 82 | |
| Morgan Stanley | | | | | | | | |
| 4.75%, 04/01/2014 | | | 145 | | | | 148 | |
| 5.30%, 03/01/2013 | | | 250 | | | | 267 | |
| 5.50%, 07/24/2020 | | | 138 | | | | 139 | |
| 5.63%, 09/23/2019 | | | 100 | | | | 102 | |
| 6.75%, 04/15/2011 | | | 100 | | | | 102 | |
| Nomura Holdings, Inc. | | | | | | | | |
| 5.00%, 03/04/2015 | | | 75 | | | | 78 | |
| Northern Trust Corp. | | | | | | | | |
| 5.50%, 08/15/2013 | | | 23 | | | | 25 | |
| UBS AG | | | | | | | | |
| 5.75%, 04/25/2018 | | | 100 | | | | 109 | |
Chemicals - 0.4% | | | | | | | | |
| Dow Chemical Co. | | | | | | | | |
| 4.25%, 11/15/2020 | | | 38 | | | | 36 | |
| 6.13%, 02/01/2011 | | | 160 | | | | 161 | |
| E.I. du Pont de Nemours & Co. | | | | | | | | |
| 1.95%, 01/15/2016 | | | 58 | | | | 56 | |
| 4.90%, 01/15/2041 | | | 25 | | | | 24 | |
| 6.00%, 07/15/2018 | | | 150 | | | | 173 | |
| Monsanto Co. | | | | | | | | |
| 7.38%, 08/15/2012 | | | 100 | | | | 110 | |
| Potash Corp. of Saskatchewan, Inc. | | | | | | | | |
| 4.88%, 03/01/2013 | | | 40 | | | | 43 | |
| PPG Industries, Inc. | | | | | | | | |
| 5.75%, 03/15/2013 | | | 35 | | | | 38 | |
| Praxair, Inc. | | | | | | | | |
| 4.38%, 03/31/2014 | | | 75 | | | | 80 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Commercial Banks - 1.7% | | | | | | | | |
| Bank of Nova Scotia | | | | | | | | |
| 1.65%, 10/29/2015 - 144A | | $ | 100 | | | $ | 96 | |
| Barclays Bank PLC | | | | | | | | |
| 2.50%, 01/23/2013 | | | 100 | | | | 102 | |
| 3.90%, 04/07/2015 | | | 100 | | | | 103 | |
| 5.13%, 01/08/2020 | | | 100 | | | | 102 | |
| BB&T Corp. | | | | | | | | |
| 3.38%, 09/25/2013 | | | 50 | | | | 52 | |
| 3.85%, 07/27/2012 | | | 100 | | | | 104 | |
| 3.95%, 04/29/2016 | | | 50 | | | | 52 | |
| 4.90%, 06/30/2017 | | | 30 | | | | 31 | |
| 6.85%, 04/30/2019 | | | 75 | | | | 86 | |
| Corp. Andina de Fomento | | | | | | | | |
| 5.20%, 05/21/2013 | | | 100 | | | | 108 | |
| KeyCorp | | | | | | | | |
| 6.50%, 05/14/2013 | | | 50 | | | | 54 | |
| National Australia Bank, Ltd. | | | | | | | | |
| 2.75%, 09/28/2015 - 144A | | | 200 | | | | 197 | |
| 3.75%, 03/02/2015 - 144A | | | 100 | | | | 103 | |
| PNC Funding Corp. | | | | | | | | |
| 4.38%, 08/11/2020 | | | 67 | | | | 66 | |
| 5.13%, 02/08/2020 | | | 65 | | | | 68 | |
| 5.25%, 11/15/2015 | | | 25 | | | | 27 | |
| 5.63%, 02/01/2017 | | | 25 | | | | 27 | |
| 6.70%, 06/10/2019 | | | 50 | | | | 58 | |
| Rabobank Nederland NV | | | | | | | | |
| 2.13%, 10/13/2015 | | | 52 | | | | 50 | |
| Stadshypotek AB | | | | | | | | |
| 1.45%, 09/30/2013 - 144A | | | 314 | | | | 314 | |
| SunTrust Banks, Inc. | | | | | | | | |
| 6.38%, 04/01/2011 | | | 250 | | | | 253 | |
| U.S. Bancorp | | | | | | | | |
| 2.88%, 11/20/2014 | | | 42 | | | | 43 | |
| Wachovia Bank NA | | | | | | | | |
| 6.00%, 11/15/2017 | | | 250 | | | | 277 | |
| Wachovia Corp. | | | | | | | | |
| 5.50%, 05/01/2013 | | | 295 | | | | 321 | |
| 5.75%, 02/01/2018 | | | 325 | | | | 362 | |
| Wells Fargo & Co. | | | | | | | | |
| 3.75%, 10/01/2014 | | | 100 | | | | 104 | |
Commercial Services & Supplies - 0.1% | | | | | | | | |
| Allied Waste North America, Inc. | | | | | | | | |
| 6.88%, 06/01/2017 | | | 50 | | | | 55 | |
| Pitney Bowes, Inc. | | | | | | | | |
| 4.88%, 08/15/2014 | | | 90 | | | | 95 | |
| Waste Management, Inc. | | | | | | | | |
| 7.38%, 03/11/2019 | | | 35 | | | | 42 | |
Communications Equipment - 0.1% | | | | | | | | |
| Cisco Systems, Inc. | | | | | | | | |
| 5.50%, 02/22/2016 | | | 50 | | | | 57 | |
| 5.90%, 02/15/2039 | | | 70 | | | | 78 | |
Computers & Peripherals - 0.2% | | | | | | | | |
| Dell, Inc. | | | | | | | | |
| 7.10%, 04/15/2028 | | | 25 | | | | 28 | |
| Hewlett-Packard Co. | | | | | | | | |
| 2.95%, 08/15/2012 | | | 40 | | | | 41 | |
| 4.75%, 06/02/2014 | | | 50 | | | | 55 | |
| 5.40%, 03/01/2017 | | | 50 | | | | 56 | |
| 6.13%, 03/01/2014 | | | 100 | | | | 112 | |
| HP Enterprise Services LLC - Series B | | | | | | | | |
| 6.00%, 08/01/2013 | | | 50 | | | | 56 | |
| | | | | | | | | |
|
Consumer Finance - 0.8% | | | | | | | | |
| American Express Credit Corp. - Series C | | | | | | | | |
| 5.88%, 05/02/2013 | | | 145 | | | | 158 | |
| American General Finance Corp. | | | | | | | | |
| 5.38%, 10/01/2012 | | | 60 | | | | 57 | |
| Capital One Financial Corp. | | | | | | | | |
| 5.70%, 09/15/2011 | | | 20 | | | | 21 | |
| 6.25%, 11/15/2013 | | | 75 | | | | 82 | |
| 6.75%, 09/15/2017 | | | 60 | | | | 69 | |
| 7.38%, 05/23/2014 | | | 40 | | | | 46 | |
| HSBC Finance Corp. | | | | | | | | |
| 5.25%, 01/15/2014 | | | 100 | | | | 107 | |
| 6.38%, 10/15/2011 ^ | | | 760 | | | | 792 | |
| Toyota Motor Credit Corp. | | | | | | | | |
| 3.20%, 06/17/2015 | | | 58 | | | | 60 | |
Diversified Financial Services - 4.3% | | | | | | | | |
| Allstate Life Global Funding Trust | | | | | | | | |
| 5.38%, 04/30/2013 | | | 70 | | | | 76 | |
| ASIF Global Financing XIX | | | | | | | | |
| 4.90%, 01/17/2013 - 144A | | | 500 | | | | 515 | |
| Bank of America Corp. - Series L | | | | | | | | |
| 7.38%, 05/15/2014 | | | 100 | | | | 111 | |
| Bank of America Corp. | | | | | | | | |
| 5.63%, 07/01/2020 | | | 45 | | | | 46 | |
| 5.75%, 12/01/2017 | | | 65 | | | | 68 | |
| Blackstone Holdings Finance Co., LLC | | | | | | | | |
| 5.88%, 03/15/2021 - 144A | | | 100 | | | | 96 | |
| Caterpillar Financial Services Corp. - Series F | | | | | | | | |
| 4.90%, 08/15/2013 | | | 100 | | | | 109 | |
| 6.20%, 09/30/2013 | | | 125 | | | | 140 | |
| 7.05%, 10/01/2018 | | | 125 | | | | 151 | |
| Citigroup, Inc. | | | | | | | | |
| 4.59%, 12/15/2015 | | | 40 | | | | 42 | |
| 5.38%, 08/09/2020 | | | 36 | | | | 37 | |
| 5.50%, 04/11/2013 | | | 50 | | | | 53 | |
| 5.63%, 08/27/2012 | | | 400 | | | | 420 | |
| 6.00%, 08/15/2017 | | | 300 | | | | 325 | |
| 6.01%, 01/15/2015 | | | 50 | | | | 55 | |
| 8.13%, 07/15/2039 | | | 50 | | | | 64 | |
| 8.50%, 05/22/2019 | | | 50 | | | | 62 | |
| CME Group, Inc. | | | | | | | | |
| 5.40%, 08/01/2013 | | | 250 | | | | 275 | |
| Conoco Funding Co. | | | | | | | | |
| 7.25%, 10/15/2031 | | | 50 | | | | 62 | |
| ConocoPhillips Canada Funding Co. I | | | | | | | | |
| 5.63%, 10/15/2016 | | | 100 | | | | 114 | |
| Countrywide Financial Corp. | | | | | | | | |
| 6.25%, 05/15/2016 | | | 75 | | | | 77 | |
| Countrywide Home Loans, Inc. | | | | | | | | |
| 4.00%, 03/22/2011 | | | 225 | | | | 227 | |
| Diageo Capital PLC | | | | | | | | |
| 4.83%, 07/15/2020 | | | 25 | | | | 26 | |
| Diageo Finance BV | | | | | | | | |
| 5.50%, 04/01/2013 | | | 75 | | | | 82 | |
| General Electric Capital Corp. | | | | | | | | |
| 2.25%, 11/09/2015 | | | 225 | | | | 216 | |
| 5.63%, 05/01/2018 | | | 500 | | | | 545 | |
| 5.88%, 02/15/2012 | | | 1,020 | | | | 1,074 | |
| 5.90%, 05/13/2014 | | | 150 | | | | 166 | |
| 6.00%, 06/15/2012 | | | 1,020 | | | | 1,091 | |
| John Deere Capital Corp. | | | | | | | | |
| 5.25%, 10/01/2012 | | | 75 | | | | 81 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Diversified Financial Services - (continued) | | | | | | | | |
| MassMutual Global Funding II | | | | | | | | |
| 3.63%, 07/16/2012 - 144A | | $ | 100 | | | $ | 104 | |
| Merrill Lynch & Co., Inc. | | | | | | | | |
| 5.45%, 07/15/2014 | | | 235 | | | | 247 | |
| 6.15%, 04/25/2013 | | | 170 | | | | 182 | |
| 6.88%, 04/25/2018 | | | 60 | | | | 66 | |
| Merrill Lynch & Co., Inc. - Series C | | | | | | | | |
| 6.40%, 08/28/2017 | | | 220 | | | | 233 | |
| National Rural Utilities Cooperative Finance Corp. | | | | | | | | |
| 4.75%, 03/01/2014 | | | 75 | | | | 81 | |
| Principal Life Global Funding I | | | | | | | | |
| 5.05%, 03/15/2015 - 144A | | | 100 | | | | 106 | |
| 6.25%, 02/15/2012 - 144A | | | 350 | | | | 365 | |
| Rio Tinto Finance USA, Ltd. | | | | | | | | |
| 3.50%, 11/02/2020 | | | 12 | | | | 11 | |
| 8.95%, 05/01/2014 | | | 35 | | | | 42 | |
| Textron Financial Corp. | | | | | | | | |
| 5.40%, 04/28/2013 | | | 40 | | | | 41 | |
| Tyco International Finance SA | | | | | | | | |
| 8.50%, 01/15/2019 | | | 40 | | | | 51 | |
Diversified Telecommunication Services - 1.2% | | | | | | | | |
| AT&T Corp. | | | | | | | | |
| 8.00%, 11/15/2031 | | | 4 | | | | 5 | |
| AT&T, Inc. | | | | | | | | |
| 4.95%, 01/15/2013 | | | 210 | | | | 225 | |
| 5.10%, 09/15/2014 | | | 45 | | | | 49 | |
| 5.35%, 09/01/2040 - 144A | | | 113 | | | | 106 | |
| 5.50%, 02/01/2018 | | | 75 | | | | 83 | |
| 5.60%, 05/15/2018 | | | 75 | | | | 84 | |
| 5.88%, 02/01/2012 | | | 150 | | | | 158 | |
| BellSouth Corp. | | | | | | | | |
| 5.20%, 09/15/2014 | | | 5 | | | | 5 | |
| 6.00%, 10/15/2011 | | | 250 | | | | 261 | |
| BellSouth Telecommunications, Inc. | | | | | | | | |
| 6.30%, 12/15/2015 | | | 38 | | | | 40 | |
| British Telecommunications PLC | | | | | | | | |
| 9.88%, 12/15/2030 | | | 150 | | | | 200 | |
| Deutsche Telekom International Finance BV | | | | | | | | |
| 4.88%, 07/08/2014 | | | 75 | | | | 81 | |
| GTE Corp. | | | | | | | | |
| 6.84%, 04/15/2018 | | | 200 | | | | 227 | |
| Telecom Italia Capital SA | | | | | | | | |
| 4.95%, 09/30/2014 | | | 100 | | | | 102 | |
| 5.25%, 11/15/2013 | | | 60 | | | | 63 | |
| Telefonica Emisiones SAU | | | | | | | | |
| 5.86%, 02/04/2013 | | | 100 | | | | 107 | |
| 5.88%, 07/15/2019 | | | 40 | | | | 41 | |
| Verizon Global Funding Corp. | | | | | | | | |
| 5.85%, 09/15/2035 | | | 25 | | | | 26 | |
| Verizon Pennsylvania, Inc. | | | | | | | | |
| 8.35%, 12/15/2030 | | | 400 | | | | 464 | |
Electric Utilities - 1.0% | | | | | | | | |
| Carolina Power & Light Co. | | | | | | | | |
| 5.30%, 01/15/2019 | | | 70 | | | | 78 | |
| CenterPoint Energy Houston Electric, LLC - Series M2 | | | | | | | | |
| 5.75%, 01/15/2014 | | | 60 | | | | 66 | |
| Cleveland Electric Illuminating Co. | | | | | | | | |
| 7.88%, 11/01/2017 | | | 50 | | | | 60 | |
| Columbus Southern Power Co. - Series G | | | | | | | | |
| 6.05%, 05/01/2018 | | | 30 | | | | 34 | |
| Duke Energy Corp. | | | | | | | | |
| 5.63%, 11/30/2012 | | | 100 | | | | 109 | |
| 6.25%, 01/15/2012 | | | 100 | | | | 106 | |
| Duke Energy Indiana, Inc. | | | | | | | | |
| 6.35%, 08/15/2038 | | | 80 | | | | 92 | |
| Exelon Generation Co., LLC | | | | | | | | |
| 4.00%, 10/01/2020 | | | 60 | | | | 56 | |
| Florida Power & Light Co. | | | | | | | | |
| 5.95%, 02/01/2038 ^ | | | 50 | | | | 55 | |
| Florida Power Corp. | | | | | | | | |
| 4.80%, 03/01/2013 | | | 50 | | | | 54 | |
| Georgia Power Co. | | | | | | | | |
| 4.75%, 09/01/2040 | | | 11 | | | | 10 | |
| Indiana Michigan Power Co. | | | | | | | | |
| 7.00%, 03/15/2019 ^ | | | 30 | | | | 35 | |
| Jersey Central Power & Light Co. | | | | | | | | |
| 7.35%, 02/01/2019 | | | 15 | | | | 18 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | |
| 11.88%, 07/01/2012 | | | 90 | | | | 102 | |
| Nevada Power Co. | | | | | | | | |
| 5.38%, 09/15/2040 | | | 12 | | | | 12 | |
| Nextera Energy Capital Holdings, Inc. | | | | | | | | |
| 6.00%, 03/01/2019 | | | 25 | | | | 28 | |
| 7.88%, 12/15/2015 | | | 30 | | | | 36 | |
| Niagara Mohawk Power Corp. | | | | | | | | |
| 4.88%, 08/15/2019 - 144A | | | 40 | | | | 42 | |
| Ohio Power Co. | | | | | | | | |
| 5.75%, 09/01/2013 | | | 100 | | | | 111 | |
| Oncor Electric Delivery Co., LLC | | | | | | | | |
| 5.95%, 09/01/2013 | | | 20 | | | | 22 | |
| 6.80%, 09/01/2018 | | | 25 | | | | 29 | |
| PacifiCorp | | | | | | | | |
| 5.65%, 07/15/2018 | | | 25 | | | | 29 | |
| PECO Energy Co. | | | | | | | | |
| 5.35%, 03/01/2018 | | | 50 | | | | 55 | |
| PSEG Power LLC | | | | | | | | |
| 5.13%, 04/15/2020 | | | 92 | | | | 96 | |
| Public Service Co., of Colorado | | | | | | | | |
| 5.80%, 08/01/2018 | | | 20 | | | | 23 | |
| 6.50%, 08/01/2038 | | | 45 | | | | 53 | |
| Public Service Electric & Gas Co. | | | | | | | | |
| 5.30%, 05/01/2018 | | | 30 | | | | 34 | |
| 5.38%, 11/01/2039 | | | 14 | | | | 14 | |
| 6.33%, 11/01/2013 | | | 60 | | | | 67 | |
| Southern California Edison Co. | | | | | | | | |
| 4.15%, 09/15/2014 | | | 25 | | | | 27 | |
| 5.50%, 08/15/2018 | | | 65 | | | | 73 | |
| 6.05%, 03/15/2039 | | | 60 | | | | 67 | |
| Southern Co. | | | | | | | | |
| 4.15%, 05/15/2014 | | | 85 | | | | 89 | |
| Virginia Electric and Power Co. | | | | | | | | |
| 5.40%, 04/30/2018 | | | 100 | | | | 112 | |
| Wisconsin Electric Power Co. | | | | | | | | |
| 6.00%, 04/01/2014 | | | 35 | | | | 39 | |
Electronic Equipment & Instruments - 0.0% ∞ | | | | | | | | |
| Arrow Electronics, Inc. | | | | | | | | |
| 3.38%, 11/01/2015 | | | 20 | | | | 19 | |
Energy Equipment & Services - 0.3% | | | | | | | | |
| Halliburton Co. | | | | | | | | |
| 7.45%, 09/15/2039 | | | 100 | | | | 128 | |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Energy Equipment & Services - (continued) | | | | | | | | |
| Spectra Energy Capital LLC | | | | | | | | |
| 5.50%, 03/01/2014 | | $ | 125 | | | $ | 136 | |
| 8.00%, 10/01/2019 | | | 50 | | | | 61 | |
| TransCanada PipeLines, Ltd. | | | | | | | | |
| 4.00%, 06/15/2013 | | | 50 | | | | 53 | |
| 7.13%, 01/15/2019 | | | 70 | | | | 86 | |
| Transocean, Inc. | | | | | | | | |
| 6.50%, 11/15/2020 | | | 75 | | | | 80 | |
Food & Staples Retailing - 0.0% ∞ | | | | | | | | |
| CVS Caremark Corp. | | | | | | | | |
| 6.13%, 09/15/2039 | | | 20 | | | | 22 | |
| Kroger Co. | | | | | | | | |
| 5.40%, 07/15/2040 | | | 12 | | | | 11 | |
Food Products - 0.3% | | | | | | | | |
| Bunge NA Finance, LP | | | | | | | | |
| 5.90%, 04/01/2017 | | | 16 | | | | 16 | |
| Bunge, Ltd. Finance Corp. | | | | | | | | |
| 5.88%, 05/15/2013 | | | 35 | | | | 37 | |
| 8.50%, 06/15/2019 | | | 25 | | | | 29 | |
| Cargill, Inc. | | | | | | | | |
| 6.00%, 11/27/2017 - 144A | | | 100 | | | | 113 | |
| General Mills, Inc. | | | | | | | | |
| 6.00%, 02/15/2012 | | | 18 | | | | 19 | |
| Kellogg Co. | | | | | | | | |
| 4.25%, 03/06/2013 | | | 80 | | | | 85 | |
| Kraft Foods, Inc. | | | | | | | | |
| 6.13%, 02/01/2018 | | | 100 | | | | 115 | |
| 6.75%, 02/19/2014 | | | 50 | | | | 57 | |
| 6.88%, 02/01/2038 | | | 50 | | | | 58 | |
| 7.00%, 08/11/2037 | | | 75 | | | | 88 | |
Gas Utilities - 0.1% | | | | | | | | |
| Atmos Energy Corp. | | | | | | | | |
| 8.50%, 03/15/2019 | | | 35 | | | | 44 | |
| Southern California Gas Co. | | | | | | | | |
| 4.80%, 10/01/2012 | | | 100 | | | | 106 | |
Health Care Equipment & Supplies - 0.0% ∞ | | | | | | | | |
| Baxter International, Inc. | | | | | | | | |
| 4.00%, 03/01/2014 | | | 25 | | | | 27 | |
Health Care Providers & Services - 0.0% ∞ | | | | | | | | |
| WellPoint, Inc. | | | | | | | | |
| 5.88%, 06/15/2017 | | | 13 | | | | 14 | |
| 7.00%, 02/15/2019 | | | 9 | | | | 11 | |
Household Durables - 0.0% ∞ | | | | | | | | |
| Newell Rubbermaid, Inc. | | | | | | | | |
| 4.70%, 08/15/2020 | | | 33 | | | | 33 | |
Household Products - 0.0% ∞ | | | | | | | | |
| Kimberly-Clark Corp. | | | | | | | | |
| 7.50%, 11/01/2018 ^ | | | 15 | | | | 19 | |
Industrial Conglomerates - 0.0% ∞ | | | | | | | | |
| Koninklijke Philips Electronics NV | | | | | | | | |
| 7.20%, 06/01/2026 | | | 20 | | | | 24 | |
Insurance - 0.8% | | | | | | | | |
| Aflac, Inc. | | | | | | | | |
| 6.45%, 08/15/2040 | | | 17 | | | | 17 | |
| AON Corp. | | | | | | | | |
| 3.50%, 09/30/2015 | | | 23 | | | | 23 | |
| 6.25%, 09/30/2040 | | | 18 | | | | 19 | |
| Berkshire Hathaway Finance Corp. | | | | | | | | |
| 2.45%, 12/15/2015 | | | 33 | | | | 33 | |
| 4.00%, 04/15/2012 | | | 100 | | | | 104 | |
| 4.60%, 05/15/2013 | | | 100 | | | | 108 | |
| 5.40%, 05/15/2018 | | | 50 | | | | 55 | |
| CNA Financial Corp. | | | | | | | | |
| 5.85%, 12/15/2014 | | | 50 | | | | 53 | |
| 5.88%, 08/15/2020 | | | 45 | | | | 45 | |
| Jackson National Life Global Funding | | | | | | | | |
| 5.38%, 05/08/2013 - 144A | | | 100 | | | | 107 | |
| Metropolitan Life Global Funding I | | | | | | | | |
| 5.13%, 04/10/2013 - 144A | | | 100 | | | | 108 | |
| New York Life Global Funding | | | | | | | | |
| 3.00%, 05/04/2015 - 144A | | | 200 | | | | 204 | |
| Pricoa Global Funding I | | | | | | | | |
| 5.45%, 06/11/2014 - 144A | | | 150 | | | | 166 | |
| Protective Life Secured Trusts | | | | | | | | |
| 4.00%, 04/01/2011 | | | 250 | | | | 251 | |
| Travelers Cos., Inc. | | | | | | | | |
| 5.80%, 05/15/2018 | | | 50 | | | | 56 | |
| Travelers Life & Annunity Global Funding I | | | | | | | | |
| 5.13%, 08/15/2014 - 144A | | | 100 | | | | 110 | |
IT Services - 0.2% | | | | | | | | |
| International Business Machines Corp. | | | | | | | | |
| 6.22%, 08/01/2027 | | | 250 | | | | 289 | |
Machinery - - 0.0% ∞ | | | | | | | | |
| Ingersoll-Rand Co. Ltd. | | | | | | | | |
| 6.39%, 11/15/2027 | | | 25 | | | | 27 | |
| PACCAR, Inc. | | | | | | | | |
| 6.38%, 02/15/2012 | | | 15 | | | | 16 | |
| Parker Hannifin Corp. | | | | | | | | |
| 5.50%, 05/15/2018 | | | 20 | | | | 22 | |
Media - 1.9% | | | | | | | | |
| CBS Corp. | | | | | | | | |
| 5.75%, 04/15/2020 | | | 17 | | | | 18 | |
| 7.88%, 07/30/2030 | | | 45 | | | | 53 | |
| 8.88%, 05/15/2019 | | | 20 | | | | 25 | |
| Comcast Cable Holdings LLC | | | | | | | | |
| 9.80%, 02/01/2012 | | | 500 | | | | 544 | |
| Comcast Corp. | | | | | | | | |
| 5.50%, 03/15/2011 | | | 250 | | | | 252 | |
| 6.50%, 01/15/2017 | | | 50 | | | | 58 | |
| 6.50%, 11/15/2035 | | | 50 | | | | 54 | |
| COX Communications, Inc. | | | | | | | | |
| 6.75%, 03/15/2011 | | | 1,000 | | | | 1,012 | |
| DIRECTV Holdings LLC | | | | | | | | |
| 4.60%, 02/15/2021 | | | 125 | | | | 123 | |
| Historic TW, Inc. | | | | | | | | |
| 9.15%, 02/01/2023 | | | 500 | | | | 656 | |
| News America Holdings, Inc. | | | | | | | | |
| 8.88%, 04/26/2023 | | | 80 | | | | 104 | |
| News America, Inc. | | | | | | | | |
| 7.30%, 04/30/2028 | | | 50 | | | | 56 | |
| TCI Communications, Inc. | | | | | | | | |
| 8.75%, 08/01/2015 | | | 100 | | | | 123 | |
| Thomson Reuters Corp. | | | | | | | | |
| 4.70%, 10/15/2019 | | | 15 | | | | 16 | |
| 5.95%, 07/15/2013 | | | 35 | | | | 39 | |
| Time Warner Cable, Inc. | | | | | | | | |
| 6.75%, 07/01/2018 | | | 60 | | | | 70 | |
| 7.30%, 07/01/2038 | | | 100 | | | | 117 | |
| 8.25%, 02/14/2014 | | | 50 | | | | 58 | |
| Time Warner Entertainment Co., LP | | | | | | | | |
| 8.38%, 07/15/2033 | | | 25 | | | | 32 | |
| Viacom, Inc. | | | | | | | | |
| 6.25%, 04/30/2016 | | | 50 | | | | 57 | |
Metals & Mining - 0.0% ∞ | | | | | | | | |
| BHP Billiton Finance USA, Ltd. | | | | | | | | |
| 5.50%, 04/01/2014 | | | 50 | | | | 55 | |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At ecember 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Multiline Retail - 0.1% | | | | | | | | |
| Kohl’s Corp. | | | | | | | | |
| 6.25%, 12/15/2017 | | $ | 15 | | | $ | 17 | |
| Target Corp. | | | | | | | | |
| 6.00%, 01/15/2018 | | | 100 | | | | 116 | |
Multi-Utilities - 0.2% | | | | | | | | |
| Dominion Resources, Inc. - Series B | | | | | | | | |
| 6.25%, 06/30/2012 | | | 144 | | | | 155 | |
| PG&E Corp. | | | | | | | | |
| 5.75%, 04/01/2014 | | | 100 | | | | 109 | |
| Sempra Energy | | | | | | | | |
| 6.50%, 06/01/2016 | | | 50 | | | | 58 | |
| 8.90%, 11/15/2013 | | | 50 | | | | 59 | |
Office Electronics - 0.0% ∞ | | | | | | | | |
| Xerox Corp. | | | | | | | | |
| 6.75%, 02/01/2017 | | | 50 | | | | 58 | |
Oil, Gas & Consumable Fuels - 0.6% | | | | | | | | |
| Anadarko Petroleum Corp. | | | | | | | | |
| 5.75%, 06/15/2014 | | | 50 | | | | 54 | |
| 8.70%, 03/15/2019 | | | 80 | | | | 98 | |
| Canadian Natural Resources, Ltd. | | | | | | | | |
| 5.90%, 02/01/2018 | | | 25 | | | | 28 | |
| ConocoPhillips | | | | | | | | |
| 5.75%, 02/01/2019 | | | 75 | | | | 85 | |
| EnCana Corp. | | | | | | | | |
| 6.50%, 05/15/2019 | | | 50 | | | | 59 | |
| ENI SpA | | | | | | | | |
| 5.70%, 10/01/2040 - 144A | | | 125 | | | | 120 | |
| Marathon Oil Corp. | | | | | | | | |
| 8.38%, 05/01/2012 | | | 150 | | | | 163 | |
| Petro-Canada | | | | | | | | |
| 6.05%, 05/15/2018 | | | 40 | | | | 45 | |
| 6.80%, 05/15/2038 | | | 50 | | | | 57 | |
| Shell International Finance BV | | | | | | | | |
| 6.38%, 12/15/2038 | | | 150 | | | | 178 | |
| Statoil ASA | | | | | | | | |
| 3.13%, 08/17/2017 | | | 33 | | | | 33 | |
| Talisman Energy, Inc. | | | | | | | | |
| 7.75%, 06/01/2019 | | | 10 | | | | 12 | |
| Total Capital SA | | | | | | | | |
| 2.30%, 03/15/2016 | | | 100 | | | | 98 | |
Pharmaceuticals - 0.1% | | | | | | | | |
| AstraZeneca PLC | | | | | | | | |
| 5.40%, 06/01/2014 | | | 50 | | | | 55 | |
| Eli Lilly & Co. | | | | | | | | |
| 3.55%, 03/06/2012 | | | 50 | | | | 52 | |
| GlaxoSmithKline Capital, Inc. | | | | | | | | |
| 4.38%, 04/15/2014 | | | 50 | | | | 54 | |
Real Estate Investment Trusts - 0.1% | | | | | | | | |
| Simon Property Group, LP | | | | | | | | |
| 5.63%, 08/15/2014 | | | 50 | | | | 55 | |
| 6.10%, 05/01/2016 | | | 60 | | | | 67 | |
| 6.75%, 05/15/2014 | | | 30 | | | | 34 | |
| WEA Finance LLC | | | | | | | | |
| 6.75%, 09/02/2019 - 144A | | | 68 | | | | 75 | |
Road & Rail - 0.2% | | | | | | | | |
| Burlington Northern Santa Fe LLC | | | | | | | | |
| 3.60%, 09/01/2020 | | | 25 | | | | 24 | |
| 5.65%, 05/01/2017 | | | 50 | | | | 56 | |
| 6.70%, 08/01/2028 | | | 50 | | | | 56 | |
| CSX Corp. | | | | | | | | |
| 6.30%, 03/15/2012 | | | 25 | | | | 27 | |
| Norfolk Southern Corp. | | | | | | | | |
| 6.75%, 02/15/2011 | | | 50 | | | | 50 | |
| Ryder System, Inc. | | | | | | | | |
| 3.60%, 03/01/2016 | | | 25 | | | | 25 | |
| Union Pacific Corp. | | | | | | | | |
| 5.65%, 05/01/2017 | | | 50 | | | | 55 | |
| Union Pacific Corp. - Series 2003-1 | | | | | | | | |
| 4.70%, 01/02/2024 | | | 86 | | | | 90 | |
Software - 0.1% | | | | | | | | |
| Intuit, Inc. | | | | | | | | |
| 5.75%, 03/15/2017 | | | 15 | | | | 16 | |
| Microsoft Corp. | | | | | | | | |
| 1.63%, 09/25/2015 | | | 60 | | | | 59 | |
| Oracle Corp. | | | | | | | | |
| 5.25%, 01/15/2016 | | | 30 | | | | 34 | |
| 5.75%, 04/15/2018 | | | 100 | | | | 114 | |
| 6.50%, 04/15/2038 | | | 30 | | | | 35 | |
Specialty Retail - 0.1% | | | | | | | | |
| Home Depot, Inc. | | | | | | | | |
| 5.40%, 03/01/2016 | | | 85 | | | | 95 | |
| Staples, Inc. | | | | | | | | |
| 9.75%, 01/15/2014 | | | 45 | | | | 55 | |
Transportation Infrastructure - 0.0% ∞ | | | | | | | | |
| United Parcel Service of America, Inc. | | | | | | | | |
| 8.38%, 04/01/2020 | | | 35 | | | | 46 | |
Water Utilities - 0.1% | | | | | | | | |
| American Water Capital Corp. | | | | | | | | |
| 6.09%, 10/15/2017 | | | 100 | | | | 112 | |
Wireless Telecommunication Services - 0.1% | | | | | | | | |
| Vodafone Group PLC | | | | | | | | |
| 5.00%, 09/15/2015 | | | 115 | | | | 126 | |
| | | | | | | | |
Total Corporate Debt Securities (cost $31,505) | | | | | | | 32,796 | |
| | | | | | | | |
| | | | | | | | | |
CONVERTIBLE BOND - 0.2% | | | | | | | | |
Diversified Financial Services - 0.2% | | | | | | | | |
| BA Covered Bond Issuer | | | | | | | | |
| 5.50%, 06/14/2012 - 144A | | | 400 | | | | 421 | |
Total Convertible Bond (cost $399) | | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
| |
SECURITIES LENDING COLLATERAL - 0.1% | | | | | | | | |
| State Street Navigator Securities Lending | | | | | | | | |
| Trust - Prime Portfolio, 0.36% ▲ | | | 155,760 | | | | 156 | |
| | | | | | | | | |
Total Securities Lending Collateral (cost $156) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 1.1% | | | | | | | | |
| State Street Bank & Trust Co. | | | | | | | | |
0.01% ▲, dated 12/31/2010, to be
repurchased at $1,986 on 01/03/2011.
Collateralized by a U.S. Government Agency
Obligation, 4.00%, due 12/25/2024, with a
value of $2,029. | | $ | 1,986 | | | | 1,986 | |
Total Repurchase Agreement (cost $1,986) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $172,250) # | | | | | | | 181,856 | |
| Other Assets and Liabilities - Net | | | | | | | 984 | |
| | | | | | | | |
| |
Net Assets | | | | | | $ | 182,840 | |
| | | | | | | | |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica JPMorgan Core Bond VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| * | | Floating or variable rate note. Rate is listed as of 12/31/2010. |
| |
| ∞ | | Percentage rounds to less than 0.1%. |
| |
| Џ | | In default. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $153. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $172,250. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $11,997 and $2,391, respectively. Net unrealized appreciation for tax purposes is $9,606. |
DEFINITIONS:
| | |
| 144A | | 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2010, these securities aggregated $13,728, or 7.51%, of the fund’s net assets. |
| |
| IO | | Interest Only |
| |
| PO | | Principal Only |
| |
| STRIPS | | Separate Trading of Registered Interest and Principal of Securities |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Asset-Backed Securities | | $ | — | | | $ | 2,456 | | | $ | — | | | $ | 2,456 | |
| Convertible Bonds | | | — | | | | 421 | | | | — | | | | 421 | |
| Corporate Debt Securities | | | — | | | | 32,796 | | | | — | | | | 32,796 | |
| Foreign Government Obligations | | | — | | | | 552 | | | | — | | | | 552 | |
| Mortgage-Backed Securities | | | — | | | | 22,855 | | | | — | | | | 22,855 | |
| Municipal Government Obligations | | | — | | | | 246 | | | | — | | | | 246 | |
| Repurchase Agreement | | | — | | | | 1,986 | | | | — | | | | 1,986 | |
| Securities Lending Collateral | | | 156 | | | | — | | | | — | | | | 156 | |
| U.S. Government Agency Obligations | | | — | | | | 76,049 | | | | — | | | | 76,049 | |
| U.S. Government Obligations | | | — | | | | 44,339 | | | | — | | | | 44,339 | |
| | | | | | | | | | | | | |
Total | | $ | 156 | | | $ | 181,700 | | | $ | — | | | $ | 181,856 | |
| | | | | | | | | | | | | |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica JPMorgan Core Bond VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $170,264)
(including securities loaned of $153) | | $ | 179,870 | |
| Repurchase agreement, at value (cost: $1,986) | | | 1,986 | |
| Cash | | | 4 | |
| Receivables: | | | | |
| Investment securities sold | | | 80 | |
| Shares sold | | | 196 | |
| Interest | | | 1,258 | |
| Other | | | 12 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 183,408 | |
| | | | |
| |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 287 | |
| Management and advisory fees | | | 71 | |
| Distribution and service fees | | | 3 | |
| Administration fees | | | 3 | |
| Printing and shareholder reports fees | | | 24 | |
| Audit and tax fees | | | 5 | |
| Other | | | 19 | |
| Collateral for securities on loan | | | 156 | |
| | | | |
| | | | 568 | |
| | | | |
Net assets | | $ | 182,840 | |
| | | | |
| |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 144 | |
| Additional paid-in capital | | | 162,786 | |
| Undistributed (accumulated) net investment income (loss) | | | 10,003 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | 301 | |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 9,606 | |
| | | | |
Net assets | | $ | 182,840 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 169,683 | |
| Service Class | | | 13,157 | |
Shares outstanding: | | | | |
| Initial Class | | | 13,444 | |
| Service Class | | | 983 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 12.62 | |
| Service Class | | | 13.39 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
Interest income (including withholding taxes on foreign interest of $— (A)) | | | 10,280 | |
| Securities lending income (net) | | | 1 | |
| | | | |
| | | | 10,281 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 796 | |
| Printing and shareholder reports | | | 50 | |
| Custody | | | 96 | |
| Administration | | | 35 | |
| Legal | | | 9 | |
| Audit and tax | | | 9 | |
| Trustees | | | 6 | |
| Transfer agent | | | 2 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 37 | |
| Other | | | 4 | |
| | | | |
| Total expenses | | | 1,044 | |
| | | | |
| |
Net investment income | | | 9,237 | |
| | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 1,468 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 2,946 | |
| | | | |
Net realized and unrealized gain | | | 4,414 | |
| | | | |
| |
Net increase in net assets resulting from operations | | $ | 13,651 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica JPMorgan Core Bond VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 9,237 | | | $ | 10,248 | |
| Net realized gain (loss) from investment securities | | | 1,468 | | | | 261 | |
| Change in net unrealized appreciation (depreciation) on investment securities | | | 2,946 | | | | 5,502 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 13,651 | | | | 16,011 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (10,157 | ) | | | (7,248 | ) |
| Service Class | | | (753 | ) | | | (723 | ) |
| | | | | | | |
| | | | (10,910 | ) | | | (7,971 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (1,183 | ) |
| Service Class | | | — | | | | (125 | ) |
| | | | | | | |
| | | | — | | | | (1,308 | ) |
| | | | | | | |
Total distributions to shareholders | | | (10,910 | ) | | | (9,279 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 59,555 | | | | 48,382 | |
| Service Class | | | 5,434 | | | | 9,231 | |
| | | | | | | |
| | | | 64,989 | | | | 57,613 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 10,157 | | | | 8,431 | |
| Service Class | | | 753 | | | | 848 | |
| | | | | | | |
| | | | 10,910 | | | | 9,279 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (61,888 | ) | | | (38,581 | ) |
| Service Class | | | (9,955 | ) | | | (8,264 | ) |
| | | | | | | |
| | | | (71,843 | ) | | | (46,845 | ) |
| | | | | | | |
Net increase in net assets from capital shares transactions | | | 4,056 | | | | 20,047 | |
| | | | | | | |
Net increase in net assets | | | 6,797 | | | | 26,779 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 176,043 | | | | 149,264 | |
| | | | | | | |
| End of year | | $ | 182,840 | | | $ | 176,043 | |
| | | | | | | |
Undistributed net investment income | | $ | 10,003 | | | $ | 10,911 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 4,632 | | | | 3,977 | |
| Service Class | | | 400 | | | | 718 | |
| | | | | | | |
| | | | 5,032 | | | | 4,695 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 805 | | | | 693 | |
| Service Class | | | 56 | | | | 66 | |
| | | | | | | |
| | | | 861 | | | | 759 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (4,852 | ) | | | (3,138 | ) |
| Service Class | | | (733 | ) | | | (633 | ) |
| | | | | | | |
| | | | (5,585 | ) | | | (3,771 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 585 | | | | 1,532 | |
| Service Class | | | (277 | ) | | | 151 | |
| | | | | | | |
| | | | 308 | | | | 1,683 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica JPMorgan Core Bond VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 12.41 | | | $ | 11.95 | | | $ | 11.81 | | | $ | 11.66 | | | $ | 11.83 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.67 | | | | 0.73 | | | | 0.58 | | | | 0.52 | | | | 0.53 | |
| Net realized and unrealized gain (loss) | | | 0.35 | | | | 0.40 | | | | 0.06 | | | | 0.26 | | | | (0.07 | ) |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.02 | | | | 1.13 | | | | 0.64 | | | | 0.78 | | | | 0.46 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.81 | ) | | | (0.58 | ) | | | (0.50 | ) | | | (0.63 | ) | | | (0.63 | ) |
| From net realized gains | | | — | | | | (0.09 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.81 | ) | | | (0.67 | ) | | | (0.50 | ) | | | (0.63 | ) | | | (0.63 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 12.62 | | | $ | 12.41 | | | $ | 11.95 | | | $ | 11.81 | | | $ | 11.66 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 8.24 | % | | | 9.58 | % | | | 5.58 | % | | | 6.85 | % | | | 3.92 | % |
Net assets end of year (000’s) | | $ | 169,683 | | | $ | 159,532 | | | $ | 135,307 | | | $ | 142,788 | | | $ | 157,167 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.57 | % | | | 0.57 | % | | | 0.55 | % | | | 0.58 | % | | | 0.57 | % |
| Net investment income, to average net assets | | | 5.24 | % | | | 5.95 | % | | | 4.88 | % | | | 4.46 | % | | | 4.54 | % |
| Portfolio turnover rate | | | 25 | % | | | 18 | % | | | 28 | % | | | 4 | % | | | 5 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 13.11 | | | $ | 12.58 | | | $ | 12.43 | | | $ | 12.24 | | | $ | 12.41 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.68 | | | | 0.74 | | | | 0.58 | | | | 0.52 | | | | 0.53 | |
| Net realized and unrealized gain (loss) | | | 0.37 | | | | 0.43 | | | | 0.06 | | | | 0.27 | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.05 | | | | 1.17 | | | | 0.64 | | | | 0.79 | | | | 0.44 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.77 | ) | | | (0.55 | ) | | | (0.49 | ) | | | (0.60 | ) | | | (0.61 | ) |
| From net realized gains | | | — | | | | (0.09 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.77 | ) | | | (0.64 | ) | | | (0.49 | ) | | | (0.60 | ) | | | (0.61 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 13.39 | | | $ | 13.11 | | | $ | 12.58 | | | $ | 12.43 | | | $ | 12.24 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 7.99 | % | | | 9.38 | % | | | 5.25 | % | | | 6.61 | % | | | 3.63 | % |
Net assets end of year (000’s) | | $ | 13,157 | | | $ | 16,511 | | | $ | 13,957 | | | $ | 11,460 | | | $ | 10,591 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.82 | % | | | 0.82 | % | | | 0.80 | % | | | 0.83 | % | | | 0.82 | % |
| Net investment income, to average net assets | | | 5.03 | % | | | 5.73 | % | | | 4.65 | % | | | 4.21 | % | | | 4.29 | % |
| Portfolio turnover rate | | | 25 | % | | | 18 | % | | | 28 | % | | | 4 | % | | | 5 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica JPMorgan Core Bond VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica JPMorgan Core Bond VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Treasury inflation-protected securities (“TIPS”): The Fund invests in TIPS, specially structured bonds in which the principal amount is adjusted daily to keep pace with inflation as measured by the U.S. Consumer Price Index. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
| | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica JPMorgan Core Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
Market and credit risk: On September 6, 2008, the Federal Housing Finance Agency (“FHFA”) placed Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”) into conservatorship. As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and the assets of FNMA and FHLMC. On September 7, 2008, the U.S. Treasury announced additional steps taken by it in connection with the conservatorship. The U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of FNMA and FHLMC pursuant to which the U.S. Treasury will purchase up to an aggregate of $100 billion of each of FNMA and FHLMC to maintain a positive net worth in each enterprise. Second, the U.S. Treasury announced the creation of a new secured lending facility which is available to each of FNMA and FHLMC as a liquidity backstop. Third, the U.S. Treasury announced the creation of a temporary program to purchase mortgage-backed securities issued by each of FNMA and FHLMC. On February 18, 2009, the U.S. Treasury announced that it was doubling the size of its commitment to each enterprise under the Senior Preferred Stock Program to $200 billion. Both the liquidity backstop and the mortgage-backed securities purchase program expired December 31, 2009. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remains liable for all of its obligations associated with its mortgage-backed securities, including its guaranty obligations. The Senior Preferred Stock Purchase Agreement is intended to enhance each of FNMA’s and FHLMC’s ability to meet its obligations. The FHFA has indicated that the conservatorship of each enterprise will end when the FHFA determines that the FHFA’s plan to restore the enterprise to a safe and solvent condition has been completed.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica JPMorgan Core Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Corporate bonds: The fair value of corporate bonds 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 bonds 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.
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 as Level 3.
Short-term notes: Short-term notes are valued using amortized cost, which approximates fair value. To the extent the inputs are observable and timely, the values would be generally categorized in Level 2 of the fair value hierarchy.
Government securities: Government securities 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. Government securities generally are categorized in Level 2 of the fair value hierarchy.
U.S. government agency securities: U.S. government agency securities 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 securities. 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.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
| | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 19
Transamerica JPMorgan Core Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | % of Net |
| | | Value | | Assets |
| Transamerica BlackRock Tactical Allocation VP | | $ | 32,861 | | | | 17.97 | % |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $750 million | | | 0.45 | % |
| Over $750 million up to $1 billion | | | 0.40 | % |
| Over $1 billion | | | 0.375 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.70% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 20
Transamerica JPMorgan Core Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 20,016 | |
| U.S. Government | | | 25,128 | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 33,539 | |
| U.S. Government | | | 9,845 | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | 765 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (765 | ) |
The capital loss carryforwards utilized during the year ended December 31, 2010 were $121.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 10,910 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 7,971 | |
| Long-term Capital Gain | | | 1,308 | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 21
Transamerica JPMorgan Core Bond VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 10,002 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 302 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 9,606 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 22
Transamerica JPMorgan Core Bond VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica JPMorgan Core Bond VP:
We have audited the accompanying statement of assets and liabilities of Transamerica JPMorgan Core Bond VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica JPMorgan Core Bond VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 23
Transamerica JPMorgan Core Bond VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 24
Transamerica JPMorgan Enhanced Index VP
(unaudited)
MARKET ENVIRONMENT
Despite a year marred by various economic and political concerns, not to mention considerable market volatility, U.S. stocks managed to post healthy gains in 2010. The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) added over 15% for the year, thanks to a particularly strong fourth quarter when the index gained nearly 11%.
A struggle between the macro and micro environment was the overriding theme in 2010, pulling the market violently in different directions for much of the year. The micro, i.e., company fundamentals, won out earlier in the year as better earnings and low valuations drove stocks higher into the second quarter. However, the good times came to an end by late April as an onslaught of bad news unfolded, including the European sovereign debt crisis and uncontained oil spill in the Gulf of Mexico. These worries dominated the headlines and, with the exception of some brief optimism about the second-quarter earnings season in July, dragged the market lower through August.
It was not until the Federal Reserve Board’s (“Fed”) announcement in late August of further quantitative easing (“QE2”) by promising to buy some $600 billion of U.S. Treasuries that the market began its relatively uninterrupted advance. This was followed by yet another strong corporate earnings season with approximately 73% of S&P 500 companies exceeding earnings estimates, the seventh straight quarter of higher-than-expected corporate profits. Additionally, some political uncertainty abated as the November mid-term elections saw the House of Representatives swing decisively back to the Republicans, while the Senate narrowly remained in the hands of Democrats. Congress went on to pass an extension of the Bush-era tax cuts in December, which had been plaguing sentiment for much of the year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica JPMorgan Enhanced Index VP Initial Class returned 15.18%. By comparison its benchmark, the S&P 500, returned 15.06%.
STRATEGY REVIEW
The strategy outperformed its benchmark during 2010, with the industrial cyclical, basic materials, and semiconductors sectors contributing to results.
An overweight position in Cognizant Technology Solutions Corp. — Class A (“Cognizant Technology”) aided returns for the year. Shares rose after the company posted better-than-expected profit and revenue figures earlier in the year. Cognizant Technology attributed its positive results to increased business spending on new technology projects after a prolonged period of cost-cutting during the downturn. We continue to like the company as it has strong, stable margins, and solid growth prospects. An overweight position in SanDisk Corp. (“SanDisk”) also helped performance. The share price rallied after the company reported record quarterly earnings that also exceeded Wall Street analysts’ estimates, benefiting from continued strength in its original equipment manufacturers and retail businesses. We continue to favor the stock as we believe that demand for flash storage devices will continue to increase, giving us confidence in SanDisk’s sustainability and growth prospects.
On the negative side, stock selection in the energy, media, and health services and systems sectors hurt performance.
Our position in Time Warner, Inc. detracted from returns. During the first half of the year, an overweight in Time Warner, Inc. was the portfolio’s biggest contributor, benefiting from improving advertising trends and better pricing power. However, concerns about new media technology and the disintermediation of traditional cable distribution weighed on the company’s revenue stream and video subscription. Nevertheless, we continue to have high conviction in the company’s management team and believe that continued strength in advertising trends will benefit Time Warner, Inc. Additionally, an overweight position in Hewlett-Packard Co. negatively impacted performance, given Mark Hurd’s departure. The ex-CEO was instrumental to our investment thesis on the company. His absence, along with a further weakening of the personal computer market as it faces competition from tablet makers, fueled concerns about the company’s growth prospects.
Terance Chen, CFA
Scott Blasdell, CFA
Raffaele Zingone, CFA
Co-Portfolio Managers
J.P. Morgan Investment Management Inc.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica JPMorgan Enhanced Index VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 15.18 | % | | | 2.42 | % | | | 1.03 | % | | | 05/02/1997 | |
S&P 500* | | | 15.06 | % | | | 2.29 | % | | | 1.41 | % | | | | |
| |
| Service Class | | | 14.85 | % | | | 2.16 | % | | | 5.97 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica JPMorgan Enhanced Index VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica JPMorgan Enhanced Index VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,233.90 | | | $ | 4.73 | | | $ | 1,020.97 | | | $ | 4.28 | | | | 0.84 | % |
| Service Class | | | 1,000.00 | | | | 1,232.70 | | | | 6.13 | | | | 1,019.71 | | | | 5.55 | | | | 1.09 | |
| | |
| |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net | |
| Asset Type | | Assets | |
| |
| Common Stocks | | | 99.6 | % |
| Repurchase Agreement | | | 0.3 | |
| U.S. Government Obligation | | | 0.1 | |
| Securities Lending Collateral | | | 0.1 | |
Other Assets and Liabilities — Net(A) | | | (0.1 | ) |
| |
Total | | | 100.0 | % |
| | | | |
| | |
| (A) | | The Other Assets and Liabilities — Net category may include, but is not limited to, Forward Currency contracts, Futures Contracts, Swap Agreements, Written Options and Swaptions, and Securities Sold Short. |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica JPMorgan Enhanced Index VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 99.6% | | | | | | | | |
Aerospace & Defense - 3.1% | | | | | | | | |
| Honeywell International, Inc. | | | 29,900 | | | $ | 1,589 | |
| Northrop Grumman Corp. | | | 3,700 | | | | 240 | |
| United Technologies Corp. | | | 23,300 | | | | 1,834 | |
Air Freight & Logistics - 0.3% | | | | | | | | |
| FedEx Corp. | | | 3,200 | | | | 298 | |
Airlines - 0.0% ∞ | | | | | | | | |
| Southwest Airlines Co. | | | 2,000 | | | | 26 | |
Auto Components - 0.6% | | | | | | | | |
| Johnson Controls, Inc. | | | 19,600 | | | | 749 | |
Automobiles - 0.7% | | | | | | | | |
| Ford Motor Co. ‡ | | | 23,200 | | | | 390 | |
| General Motors Co. ‡ | | | 12,700 | | | | 468 | |
Beverages - 2.5% | | | | | | | | |
| Coca-Cola Co. | | | 24,000 | | | | 1,579 | |
| PepsiCo, Inc. | | | 21,600 | | | | 1,411 | |
Biotechnology - 1.9% | | | | | | | | |
| Alexion Pharmaceuticals, Inc. ‡ | | | 1,600 | | | | 129 | |
| Biogen Idec, Inc. ‡ | | | 8,700 | | | | 583 | |
| Celgene Corp. ‡ | | | 20,400 | | | | 1,207 | |
| Gilead Sciences, Inc. ‡ | | | 8,200 | | | | 297 | |
Capital Markets - 2.4% | | | | | | | | |
| Franklin Resources, Inc. | | | 100 | | | | 11 | |
| Goldman Sachs Group, Inc. | | | 7,900 | | | | 1,329 | |
| Legg Mason, Inc. | | | 9,500 | | | | 345 | |
| Morgan Stanley | | | 9,000 | | | | 245 | |
| State Street Corp. | | | 14,200 | | | | 658 | |
| TD Ameritrade Holding Corp. | | | 12,400 | | | | 235 | |
Chemicals - 2.3% | | | | | | | | |
| CF Industries Holdings, Inc. | | | 1,000 | | | | 135 | |
| Dow Chemical Co. | | | 29,800 | | | | 1,017 | |
| E.I. du Pont de Nemours & Co. | | | 22,400 | | | | 1,118 | |
| Georgia Gulf Corp. ‡ | | | 5,600 | | | | 135 | |
| PPG Industries, Inc. | | | 4,900 | | | | 412 | |
Commercial Banks - 3.2% | | | | | | | | |
| BB&T Corp. | | | 6,400 | | | | 168 | |
| Comerica, Inc. | | | 6,000 | | | | 253 | |
| First Horizon National Corp. | | | 5,805 | | | | 68 | |
| Huntington Bancshares, Inc. | | | 67,100 | | | | 462 | |
| M&T Bank Corp. | | | 900 | | | | 78 | |
| Regions Financial Corp. | | | 27,100 | | | | 190 | |
| SunTrust Banks, Inc. | | | 3,500 | | | | 103 | |
| U.S. Bancorp | | | 2,200 | | | | 59 | |
| Wells Fargo & Co. | | | 68,000 | | | | 2,108 | |
| Zions Bancorporation | | | 9,200 | | | | 223 | |
Commercial Services & Supplies - 0.1% | | | | | | | | |
| Avery Dennison Corp. | | | 3,100 | | | | 131 | |
Communications Equipment - 1.6% | | | | | | | | |
| Cisco Systems, Inc. ‡ | | | 44,400 | | | | 898 | |
| Juniper Networks, Inc. ‡ | | | 8,300 | | | | 306 | |
| QUALCOMM, Inc. | | | 14,600 | | | | 723 | |
Computers & Peripherals - 5.6% | | | | | | | | |
| Apple, Inc. ‡ | | | 12,500 | | | | 4,031 | |
| EMC Corp. ‡ | | | 48,500 | | | | 1,110 | |
| Hewlett-Packard Co. | | | 21,300 | | | | 897 | |
| SanDisk Corp. ‡ | | | 10,400 | | | | 519 | |
Construction Materials - 0.1% | | | | | | | | |
| Martin Marietta Materials, Inc. | | | 800 | | | | 74 | |
Consumer Finance - 1.2% | | | | | | | | |
| American Express Co. | | | 15,700 | | | | 674 | |
| Capital One Financial Corp. | | | 16,800 | | | | 715 | |
Containers & Packaging - 0.1% | | | | | | | | |
| Sealed Air Corp. | | | 2,400 | | | | 61 | |
Diversified Consumer Services - 0.0% ∞ | | | | | | | | |
| Apollo Group, Inc. — Class A ‡ | | | 1,200 | | | | 47 | |
Diversified Financial Services - 4.0% | | | | | | | | |
| Bank of America Corp. | | | 137,100 | | | | 1,829 | |
| Citigroup, Inc. ‡ | | | 450,400 | | | | 2,131 | |
| CME Group, Inc. — Class A | | | 200 | | | | 64 | |
| Invesco, Ltd. | | | 27,300 | | | | 657 | |
Diversified Telecommunication Services - 3.0% | | | | | | | | |
| AT&T, Inc. | | | 48,100 | | | | 1,413 | |
| CenturyLink, Inc. | | | 5,200 | | | | 240 | |
| Frontier Communications Corp. | | | 21,001 | | | | 204 | |
| Verizon Communications, Inc. | | | 46,000 | | | | 1,646 | |
Electric Utilities - 1.5% | | | | | | | | |
| American Electric Power Co., Inc. | | | 10,500 | | | | 378 | |
| Edison International | | | 8,700 | | | | 336 | |
| Nextera Energy, Inc. | | | 13,800 | | | | 717 | |
| Southern Co. | | | 9,000 | | | | 344 | |
Electronic Equipment & Instruments - 0.2% | | | | | | | | |
| Corning, Inc. | | | 9,500 | | | | 184 | |
Energy Equipment & Services - 2.2% | | | | | | | | |
| Baker Hughes, Inc. | | | 11,200 | | | | 640 | |
| Cameron International Corp. ‡ | | | 5,900 | | | | 299 | |
| FMC Technologies, Inc. ‡ | | | 800 | | | | 71 | |
| Halliburton Co. | | | 9,500 | | | | 388 | |
| Helmerich & Payne, Inc. | | | 2,700 | | | | 131 | |
| Rowan Cos., Inc. ‡ | | | 9,300 | | | | 325 | |
| Schlumberger, Ltd. | | | 8,800 | | | | 735 | |
Food & Staples Retailing - 2.3% | | | | | | | | |
| CVS Caremark Corp. | | | 21,220 | | | | 738 | |
| Kroger Co. | | | 17,900 | | | | 400 | |
| Sysco Corp. | | | 5,000 | | | | 147 | |
| Walgreen Co. | | | 8,700 | | | | 339 | |
| Wal-Mart Stores, Inc. | | | 20,100 | | | | 1,084 | |
Food Products - 1.7% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 5,400 | | | | 162 | |
| Campbell Soup Co. | | | 8,500 | | | | 295 | |
| ConAgra Foods, Inc. | | | 8,300 | | | | 187 | |
| General Mills, Inc. | | | 35,600 | | | | 1,268 | |
| Kellogg Co. | | | 2,700 | | | | 138 | |
Gas Utilities - 0.5% | | | | | | | | |
| National Fuel Gas Co. | | | 4,900 | | | | 321 | |
| Oneok, Inc. | | | 4,500 | | | | 250 | |
Health Care Equipment & Supplies - 1.2% | | | | | | | | |
| Baxter International, Inc. | | | 6,000 | | | | 304 | |
| Covidien PLC | | | 15,200 | | | | 694 | |
| CR Bard, Inc. | | | 4,800 | | | | 440 | |
Health Care Providers & Services - 1.8% | | | | | | | | |
| DaVita, Inc. ‡ | | | 5,000 | | | | 347 | |
| Humana, Inc. ‡ | | | 5,900 | | | | 323 | |
| McKesson Corp. | | | 6,800 | | | | 479 | |
| UnitedHealth Group, Inc. | | | 18,300 | | | | 661 | |
| WellPoint, Inc. ‡ | | | 5,500 | | | | 313 | |
Hotels, Restaurants & Leisure - 1.3% | | | | | | | | |
| Carnival Corp. | | | 7,500 | | | | 346 | |
| Darden Restaurants, Inc. | | | 13,900 | | | | 646 | |
| McDonald’s Corp. | | | 7,000 | | | | 537 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica JPMorgan Enhanced Index VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Household Durables - 0.6% | | | | | | | | |
| Lennar Corp. - - Class A | | | 9,400 | | | $ | 176 | |
| NVR, Inc. ‡ | | | 400 | | | | 277 | |
| Pulte Group, Inc. ‡ | | | 14,300 | | | | 108 | |
| Whirlpool Corp. | | | 1,400 | | | | 124 | |
Household Products - 3.9% | | | | | | | | |
| Colgate-Palmolive Co. | | | 14,700 | | | | 1,181 | |
| Kimberly-Clark Corp. | | | 10,200 | | | | 643 | |
| Procter & Gamble Co. | | | 40,500 | | | | 2,606 | |
Independent Power Producers & Energy Traders - 0.1% | | | | | | | | |
| AES Corp. ‡ | | | 12,700 | | | | 155 | |
Industrial Conglomerates - 3.8% | | | | | | | | |
| 3M Co. | | | 16,000 | | | | 1,381 | |
| General Electric Co. | | | 108,800 | | | | 1,990 | |
| Textron, Inc. | | | 5,200 | | | | 123 | |
| Tyco International, Ltd. | | | 24,100 | | | | 999 | |
Insurance - 3.4% | | | | | | | | |
| ACE, Ltd. | | | 12,100 | | | | 753 | |
| Aflac, Inc. | | | 7,300 | | | | 412 | |
| Berkshire Hathaway, Inc. - Class B ‡ | | | 11,300 | | | | 905 | |
| Everest RE Group, Ltd. | | | 700 | | | | 59 | |
| MetLife, Inc. | | | 20,700 | | | | 921 | |
| PartnerRe, Ltd. | | | 800 | | | | 64 | |
| Prudential Financial, Inc. | | | 10,000 | | | | 587 | |
| RenaissanceRe Holdings, Ltd. | | | 1,900 | | | | 121 | |
| XL Group PLC - - Class A | | | 10,100 | | | | 220 | |
Internet & Catalog Retail - 1.4% | | | | | | | | |
| Amazon.com, Inc. ‡ | | | 7,900 | | | | 1,422 | |
| Expedia, Inc. | | | 9,700 | | | | 243 | |
Internet Software & Services - 1.2% | | | | | | | | |
| eBay, Inc. ‡ | | | 7,800 | | | | 217 | |
| Google, Inc. - - Class A ‡ | | | 1,700 | | | | 1,010 | |
| Yahoo!, Inc. ‡ | | | 9,400 | | | | 156 | |
IT Services - 2.3% | | | | | | | | |
| Cognizant Technology Solutions Corp. - Class A ‡ | | | 13,600 | | | | 997 | |
| International Business Machines Corp. | | | 10,500 | | | | 1,541 | |
| Western Union Co. | | | 6,000 | | | | 111 | |
Leisure Equipment & Products - 0.1% | | | | | | | | |
| Mattel, Inc. | | | 3,700 | | | | 94 | |
Life Sciences Tools & Services - 0.3% | | | | | | | | |
| Thermo Fisher Scientific, Inc. ‡ | | | 6,100 | | | | 338 | |
Machinery - 1.2% | | | | | | | | |
| Cummins, Inc. | | | 2,200 | | | | 242 | |
| Deere & Co. | | | 2,200 | | | | 183 | |
| PACCAR, Inc. | | | 10,600 | | | | 608 | |
| Parker Hannifin Corp. | | | 3,800 | | | | 328 | |
Media - 3.0% | | | | | | | | |
| CBS Corp. - Class B | | | 27,800 | | | | 530 | |
| Comcast Corp. - Class A | | | 11,600 | | | | 255 | |
| DIRECTV - Class A ‡ | | | 9,200 | | | | 367 | |
| Gannett Co., Inc. ^ | | | 20,700 | | | | 312 | |
| Time Warner, Inc. | | | 30,500 | | | | 980 | |
| Walt Disney Co. | | | 25,400 | | | | 953 | |
Metals & Mining - 1.4% | | | | | | | | |
| Alcoa, Inc. | | | 25,300 | | | | 389 | |
| Cliffs Natural Resources, Inc. | | | 1,800 | | | | 140 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 8,830 | | | | 1,061 | |
Multiline Retail - 1.3% | | | | | | | | |
| Kohl’s Corp. ‡ | | | 7,000 | | | | 380 | |
| Macy’s, Inc. | | | 17,300 | | | | 438 | |
| Target Corp. | | | 11,700 | | | | 704 | |
Multi-Utilities - 1.4% | | | | | | | | |
| Ameren Corp. | | | 5,000 | | | | 141 | |
| NiSource, Inc. | | | 5,700 | | | | 100 | |
| PG&E Corp. | | | 9,200 | | | | 440 | |
| Public Service Enterprise Group, Inc. | | | 10,300 | | | | 328 | |
| Sempra Energy | | | 4,500 | | | | 236 | |
| Xcel Energy, Inc. | | | 16,500 | | | | 389 | |
Oil, Gas & Consumable Fuels - 9.4% | | | | | | | | |
| Anadarko Petroleum Corp. | | | 5,000 | | | | 381 | |
| Apache Corp. | | | 9,700 | | | | 1,157 | |
| Chevron Corp. | | | 33,800 | | | | 3,083 | |
| ConocoPhillips | | | 5,300 | | | | 361 | |
| Consol Energy, Inc. | | | 2,200 | | | | 107 | |
| Devon Energy Corp. | | | 7,700 | | | | 605 | |
| EOG Resources, Inc. | | | 3,900 | | | | 356 | |
| Exxon Mobil Corp. | | | 35,400 | | | | 2,588 | |
| Murphy Oil Corp. | | | 1,600 | | | | 119 | |
| Noble Energy, Inc. | | | 4,700 | | | | 405 | |
| Occidental Petroleum Corp. | | | 15,500 | | | | 1,521 | |
| Peabody Energy Corp. | | | 6,000 | | | | 384 | |
Pharmaceuticals - 5.4% | | | | | | | | |
| Abbott Laboratories | | | 40,400 | | | | 1,935 | |
| Bristol-Myers Squibb Co. | | | 14,400 | | | | 381 | |
| Johnson & Johnson | | | 17,100 | | | | 1,058 | |
| Merck & Co., Inc. | | | 58,037 | | | | 2,091 | |
| Mylan, Inc. ‡ | | | 14,900 | | | | 315 | |
| Pfizer, Inc. | | | 34,200 | | | | 599 | |
Real Estate Investment Trusts - 1.4% | | | | | | | | |
| Digital Realty Trust, Inc. ^ | | | 6,900 | | | | 356 | |
| HCP, Inc. | | | 1,300 | | | | 48 | |
| Hospitality Properties Trust | | | 4,700 | | | | 108 | |
| Host Hotels & Resorts, Inc. | | | 13,500 | | | | 241 | |
| Lasalle Hotel Properties | | | 4,500 | | | | 119 | |
| Omega Healthcare Investors, Inc. | | | 5,800 | | | | 130 | |
| Pennsylvania Real Estate Investment Trust | | | 19,100 | | | | 278 | |
| Plum Creek Timber Co., Inc. | | | 1,500 | | | | 56 | |
| ProLogis | | | 5,400 | | | | 78 | |
| Simon Property Group, Inc. | | | 1,100 | | | | 109 | |
| Strategic Hotels & Resorts, Inc. ‡ | | | 11,700 | | | | 62 | |
| Vornado Realty Trust | | | 700 | | | | 58 | |
Road & Rail - 2.5% | | | | | | | | |
| CSX Corp. | | | 19,100 | | | | 1,234 | |
| Norfolk Southern Corp. | | | 17,400 | | | | 1,093 | |
| Union Pacific Corp. | | | 7,100 | | | | 658 | |
Semiconductors & Semiconductor Equipment - 2.3% | | | | | | | | |
| Applied Materials, Inc. | | | 10,900 | | | | 153 | |
| Broadcom Corp. - Class A | | | 14,900 | | | | 649 | |
| Intel Corp. | | | 13,600 | | | | 286 | |
| Intersil Corp. - Class A | | | 13,200 | | | | 202 | |
| LAM Research Corp. ‡ | | | 200 | | | | 10 | |
| Marvell Technology Group, Ltd. ‡ | | | 7,000 | | | | 130 | |
| Micron Technology, Inc. ‡ | | | 14,400 | | | | 115 | |
| Novellus Systems, Inc. ‡ | | | 5,400 | | | | 175 | |
| NVIDIA Corp. ‡ | | | 24,700 | | | | 380 | |
| Xilinx, Inc. | | | 21,600 | | | | 626 | |
Software - 4.4% | | | | | | | | |
| Adobe Systems, Inc. ‡ | | | 16,800 | | | | 517 | |
| Citrix Systems, Inc. ‡ | | | 3,500 | | | | 239 | |
| Microsoft Corp. | | | 110,400 | | | | 3,083 | |
| Oracle Corp. | | | 43,000 | | | | 1,346 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica JPMorgan Enhanced Index VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Specialty Retail - 2.2% | | | | | | | | |
| AutoZone, Inc. ‡ | | | 2,500 | | | $ | 681 | |
| GameStop Corp. - Class A ‡ | | | 18,600 | | | | 426 | |
| Lowe’s Cos., Inc. | | | 20,300 | | | | 509 | |
| RadioShack Corp. | | | 900 | | | | 17 | |
| Staples, Inc. | | | 19,600 | | | | 446 | |
| TJX Cos., Inc. | | | 11,900 | | | | 528 | |
Textiles, Apparel & Luxury Goods - 0.4% | | | | | | | | |
| Nike, Inc. - Class B | | | 5,500 | | | | 470 | |
Tobacco - 0.3% | | | | | | | | |
| Altria Group, Inc. | | | 13,500 | | | | 332 | |
Water Utilities - 0.0% ∞ | | | | | | | | |
| American Water Works Co., Inc. | | | 700 | | | | 18 | |
Wireless Telecommunication Services - 0.5% | | | | | | | | |
| American Tower Corp. - Class A ‡ | | | 2,000 | | | | 103 | |
| Sprint Nextel Corp. ‡ | | | 115,700 | | | | 490 | |
| | | | | | | | |
Total Common Stocks (cost $104,345) | | | | | | | 116,932 | |
| | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
U.S. GOVERNMENT OBLIGATION - 0.1% | | | | | | | | |
| U.S. Treasury Note | | | | | | | | |
| 1.13%, 06/30/2011 ¥ | | $ | 145 | | | | 146 | |
Total U.S. Government Obligation (cost $146) | | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
| |
SECURITIES LENDING COLLATERAL - 0.1% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 123,126 | | | $ | 123 | |
Total Securities Lending Collateral (cost $123) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 0.3% | | | | | | | | |
| State Street Bank & Trust Co. | | | | | | | | |
| 0.01% ▲, dated 12/31/2010, to be repurchased at $407 on 01/03/2011. | | | | | | | | |
| Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $415. | | $ | 407 | | | | 407 | |
Total Repurchase Agreement (cost $407) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $105,021) # | | | | | | | 117,608 | |
| Other Assets and Liabilities - Net | | | | | | | (172 | ) |
| | | | | | | | |
| |
Net Assets | | | | | | $ | 117,436 | |
| | | | | | | | |
FUTURES CONTRACTS:
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Net Unrealized |
| Description | | Type | | Contracts Г | | Expiration Date | | Appreciation |
| |
| S&P 500 E-Mini Index | | Long | | | 10 | | | | 03/18/2011 | | | $ | 9 | |
| | |
| NOTES TO SCHEDULE OF INVESTMENTS: |
| |
| ∞ | | Percentage rounds to less than 0.1%. |
| |
| ‡ | | Non-income producing security. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $120. |
| |
| ¥ | | This security has been segregated with the broker to cover margin requirements for open future contracts. The value of this segregated security at 12/31/2010 is $146. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $111,185. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $7,062 and $639, respectively. Net unrealized appreciation for tax purposes is $6,423. |
| |
| Г | | Contract amounts are not in thousands. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Common Stocks | | $ | 114,266 | | | $ | 2,666 | | | $ | — | | | $ | 116,932 | |
| Repurchase Agreement | | | — | | | | 407 | | | | — | | | | 407 | |
| Securities Lending Collateral | | | 123 | | | | — | | | | — | | | | 123 | |
| U.S. Government Obligations | | | — | | | | 146 | | | | — | | | | 146 | |
| | | | | | | | | | | | | |
Total | | $ | 114,389 | | | $ | 3,219 | | | $ | — | | | $ | 117,608 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Futures Contracts - Appreciation | | $ | 9 | | | $ | — | | | $ | — | | | $ | 9 | |
| | |
| * | | Other financial instruments are derivative instruments including, but not limited to, Futures Contracts, Forward Foreign Currency Contracts, and Swap Contracts that are valued at unrealized appreciation (depreciation) on the instrument. |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica JPMorgan Enhanced Index VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $104,614)
(including securities loaned of $120) | | $ | 117,201 | |
| Repurchase agreement, at value (cost: $407) | | | 407 | |
| Receivables: | | | | |
| Investment securities sold | | | 13 | |
| Interest | | | 1 | |
| Dividends | | | 128 | |
| Prepaid expenses | | | 1 | |
| | | | |
| | | | 117,751 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 10 | |
| Shares redeemed | | | 76 | |
| Management and advisory fees | | | 78 | |
| Distribution and service fees | | | 2 | |
| Administration fees | | | 2 | |
| Printing and shareholder reports fees | | | 5 | |
| Audit and tax fees | | | 8 | |
| Variation margin | | | 1 | |
| Other | | | 10 | |
| Collateral for securities on loan | | | 123 | |
| | | | |
| | | | 315 | |
| | | | |
Net assets | | $ | 117,436 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 100 | |
| Additional paid-in capital | | | 122,622 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,236 | |
Undistributed (accumulated) net realized gain
(loss) from investment securities and futures | | | (19,118 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 12,587 | |
| Futures contracts | | | 9 | |
| | | | |
Net assets | | $ | 117,436 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 109,894 | |
| Service Class | | | 7,542 | |
Shares outstanding: | | | | |
| Initial Class | | | 9,343 | |
| Service Class | | | 640 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.76 | |
| Service Class | | | 11.79 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income | | $ | 2,173 | |
| Interest income | | | 1 | |
| Securities lending income (net) | | | 4 | |
| | | | |
| | | | 2,178 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 817 | |
| Printing and shareholder reports | | | 15 | |
| Custody | | | 54 | |
| Administration | | | 22 | |
| Legal | | | 6 | |
| Audit and tax | | | 12 | |
| Trustees | | | 4 | |
| Transfer agent | | | 1 | |
| Distribution and service: | | | | |
| Service Class | | | 15 | |
| Other | | | 2 | |
| | | | |
| Total expenses | | | 948 | |
| | | | |
| Less waiver/reimbursement | | | (6 | ) |
| | | | |
| Net expenses | | | 942 | |
| | | | |
| | | | | |
Net investment income | | | 1,236 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 11,133 | |
| Futures contracts | | | 61 | |
| | | | |
| | | | 11,194 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 3,168 | |
| Futures contracts | | | 5 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 3,173 | |
| | | | |
Net realized and unrealized gain | | | 14,367 | |
| | | | |
Net increase in net assets resulting from operations | | $ | 15,603 | |
| | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica JPMorgan Enhanced Index VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,236 | | | $ | 1,465 | |
| Net realized gain (loss) from investment securities and futures contracts | | | 11,194 | | | | (12,072 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and futures contracts | | | 3,173 | | | | 35,907 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 15,603 | | | | 25,300 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (1,390 | ) | | | (1,949 | ) |
| Service Class | | | (78 | ) | | | (60 | ) |
| | | | | | | |
Total distributions to shareholders | | | (1,468 | ) | | | (2,009 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 9,352 | | | | 14,249 | |
| Service Class | | | 3,843 | | | | 1,942 | |
| | | | | | | |
| | | | 13,195 | | | | 16,191 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 1,390 | | | | 1,949 | |
| Service Class | | | 78 | | | | 60 | |
| | | | | | | |
| | | | 1,468 | | | | 2,009 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (21,844 | ) | | | (14,425 | ) |
| Service Class | | | (1,948 | ) | | | (1,295 | ) |
| | | | | | | |
| | | | (23,792 | ) | | | (15,720 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | (9,129 | ) | | | 2,480 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 5,006 | | | | 25,771 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 112,430 | | | | 86,659 | |
| | | | | | | |
| End of year | | $ | 117,436 | | | $ | 112,430 | |
| | | | | | | |
Undistributed net investment income | | $ | 1,236 | | | $ | 1,468 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 878 | | | | 1,633 | |
| Service Class | | | 366 | | | | 203 | |
| | | | | | | |
| | | | 1,244 | | | | 1,836 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 143 | | | | 205 | |
| Service Class | | | 8 | | | | 6 | |
| | | | | | | |
| | | | 151 | | | | 211 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (2,080 | ) | | | (1,684 | ) |
| Service Class | | | (183 | ) | | | (141 | ) |
| | | | | | | |
| | | | (2,263 | ) | | | (1,825 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (1,059 | ) | | | 154 | |
| Service Class | | | 191 | | | | 68 | |
| | | | | | | |
| | | | (868 | ) | | | 222 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica JPMorgan Enhanced Index VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | �� | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.36 | | | $ | 8.15 | | | $ | 16.43 | | | $ | 16.35 | | | $ | 14.34 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.12 | | | | 0.14 | | | | 0.20 | | | | 0.19 | | | | 0.17 | |
| Net realized and unrealized gain (loss) | | | 1.42 | | | | 2.26 | | | | (5.49 | ) | | | 0.56 | | | | 2.01 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.54 | | | | 2.40 | | | | (5.29 | ) | | | 0.75 | | | | 2.18 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.14 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.21 | ) | | | (0.17 | ) |
| From net realized gains | | | — | | | | — | | | | (2.76 | ) | | | (0.46 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.14 | ) | | | (0.19 | ) | | | (2.99 | ) | | | (0.67 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.76 | | | $ | 10.36 | | | $ | 8.15 | | | $ | 16.43 | | | $ | 16.35 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 15.18 | % | | | 29.59 | % | | | (37.35 | %) | | | 4.54 | % | | | 15.31 | % |
Net assets end of year (000’s) | | $ | 109,894 | | | $ | 107,759 | | | $ | 83,543 | | | $ | 164,761 | | | $ | 193,322 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 0.84 | % | | | 0.84 | % | | | 0.82 | % | | | 0.81 | % | | | 0.81 | % |
| Before reimbursement/fee waiver | | | 0.85 | % | | | 0.85 | % | | | 0.82 | % | | | 0.81 | % | | | 0.81 | % |
| Net investment income, to average net assets | | | 1.13 | % | | | 1.57 | % | | | 1.59 | % | | | 1.13 | % | | | 1.16 | % |
| Portfolio turnover rate | | | 190 | % | | | 117 | % | | | 74 | % | | | 55 | % | | | 55 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.40 | | | $ | 8.17 | | | $ | 16.45 | | | $ | 16.37 | | | $ | 14.36 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.10 | | | | 0.12 | | | | 0.17 | | | | 0.15 | | | | 0.14 | |
| Net realized and unrealized gain (loss) | | | 1.42 | | | | 2.26 | | | | (5.50 | ) | | | 0.56 | | | | 2.00 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.52 | | | | 2.38 | | | | (5.33 | ) | | | 0.71 | | | | 2.14 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.13 | ) | | | (0.15 | ) | | | (0.19 | ) | | | (0.17 | ) | | | (0.13 | ) |
| From net realized gains | | | — | | | | — | | | | (2.76 | ) | | | (0.46 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.13 | ) | | | (0.15 | ) | | | (2.95 | ) | | | (0.63 | ) | | | (0.13 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.79 | | | $ | 10.40 | | | $ | 8.17 | | | $ | 16.45 | | | $ | 16.37 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 14.85 | % | | | 29.32 | % | | | (37.52 | %) | | | 4.30 | % | | | 14.96 | % |
Net assets end of year (000’s) | | $ | 7,542 | | | $ | 4,671 | | | $ | 3,116 | | | $ | 7,051 | | | $ | 6,851 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 1.09 | % | | | 1.09 | % | | | 1.07 | % | | | 1.06 | % | | | 1.06 | % |
| Before reimbursement/fee waiver | | | 1.10 | % | | | 1.10 | % | | | 1.07 | % | | | 1.06 | % | | | 1.06 | % |
| Net investment income, to average net assets | | | 0.90 | % | | | 1.32 | % | | | 1.32 | % | | | 0.88 | % | | | 0.91 | % |
| Portfolio turnover rate | | | 190 | % | | | 117 | % | | | 74 | % | | | 55 | % | | | 55 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica JPMorgan Enhanced Index VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica JPMorgan Enhanced Index VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Futures contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objective. The Fund uses futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker either in cash or securities an initial margin in an amount equal to a certain percentage of the contract amount.
Subsequent payments (variation margin) are paid or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or security prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize losses. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
The open futures contracts at December 31, 2010 are listed in the Schedule of Investments. The variation margin receivable or payable, as applicable, is included in the Statement of Assets and Liabilities.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $2, are included in net realized gain (loss) in the Statement of Operations.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica JPMorgan Enhanced Index VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign securities, in which their 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 (“ADR”), financial futures, Exchange Traded Funds (“ETF”), and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica JPMorgan Enhanced Index VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Government securities: Government securities 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. Government securities generally are categorized in Level 2 of the fair value hierarchy.
Derivative instruments: 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, 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. A substantial 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.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010 is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $750 million | | | 0.74 | % |
| Over $750 million up to $1 billion | | | 0.69 | % |
| Over $1 billion | | | 0.65 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.84% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica JPMorgan Enhanced Index VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $6. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| |
| Fiscal Year 2009: | | $ | 9 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 6 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 207,161 | |
| U.S. Government | | | 171 | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 216,537 | |
| U.S. Government | | | — | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica JPMorgan Enhanced Index VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund is subject to various risks in the normal course of pursuing its investment objective. The volume of derivatives held at year end is indicative of the volume held throughout the year. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | |
| Location | | Equity contracts |
| |
Asset Derivatives | | | | |
| Unrealized appreciation on futures contracts | | $ | 9 | * |
| | |
| * | | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | |
| Location | | Equity contracts | |
| | |
Realized Gain/(Loss) on derivative transactions recognized in income | | | | |
| Net realized gain on futures contracts | | $ | 61 | |
Change in Unrealized Appreciation/(Depreciation) on derivative recognized in income | | | | |
| Net increase in unrealized appreciation on futures contracts | | | 5 | |
| | | |
Total | | $ | 66 | |
| | | |
For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Fund may be required to post collateral on derivatives if the Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
NOTE 6. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, foreign bonds, net operating losses, distribution reclasses for REITs, capital loss carryforwards, and post-October loss deferrals.
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $12,945 | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 was $9,068.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica JPMorgan Enhanced Index VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 1,468 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 2,009 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 1,236 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (12,945 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 6,423 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica JPMorgan Enhanced Index VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica JPMorgan Enhanced Index VP:
We have audited the accompanying statement of assets and liabilities of Transamerica JPMorgan Enhanced Index VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica JPMorgan Enhanced Index VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica JPMorgan Enhanced Index VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica JPMorgan Mid Cap Value VP
(unaudited)
MARKET ENVIRONMENT
U.S. equity markets rallied during the back half of 2010, enabling market indexes to fully recover losses that followed the Lehman Brothers collapse in September 2008. The road back towards two-year highs was most certainly not a straight ride upward. After rising steadily during the first four months of the year, equities began to sell off in May as investors became fearful of a potential credit crisis in Europe and a slowdown in the Chinese economy. Approaching mid-year, continuously weaker than expected economic data brought the possibility of a double-dip recession to the forefront of investors’ minds.
Confidence increased in July as concerns about a potential credit crisis in Europe eased and earnings of U.S. corporations continued to exceed expectations. However, equities retreated again in August as downward revisions to the second quarter U.S. gross domestic product, rising weekly unemployment claims and disappointing home sales once again reignited concerns that the U.S. economy may fall back into recession. Equity markets advanced strongly in the final months of the year on the heels of repeated reassurances from the Fed that it is prepared “to provide additional accommodation” if needed to further support the economic recovery, and on expectations that the U.S. mid-term elections would split up what was viewed as a not so business-friendly Congress. The year finished with one of the strongest Decembers on record when a large piece of uncertainty was removed as Congress voted to extend the Bush-era tax cuts.
PERFORMANCE
For the year ended December 31, 2010, Transamerica JPMorgan Mid Cap Value VP Initial Class returned 22.99%. By comparison its benchmark, the Russell Midcap® Value Index, returned 24.75%.
STRATEGY REVIEW
Our strategy employs a bottom-up approach to stock selection, constructing portfolios based on company fundamentals, quantitative screening and proprietary fundamental analysis. While the strategy participated in much of the market’s advance, it underperformed its benchmark mostly due to stock selection in the healthcare sector as well as stock selection and an underweight in the energy sector. Alternatively, stock selection in the information technology and materials sectors made positive contributions to results.
A top contributor to performance was diversified insurance company Old Republic International Corp. The stock was a strong performer, driven by improving trends in the company’s mortgage guaranty segment while its title insurance business benefited from brisk refinancing activity. Another contributor was Tyco Electronics, Ltd., (“Tyco”) a global provider of engineered electronic components, network solutions, specialty products and undersea telecommunication systems. The company delivered solid results throughout the year. Tyco aggressively cut costs during the downturn and appears to be benefiting from the broad-based economic recovery.
H&R Block, Inc., a provider of tax, banking, and business and consulting services, was the top detractor from performance. The stock came under pressure as higher levels of unemployment led to a subsequent decline in tax returns and investor concerns about the continuing trend of individuals shifting to “do it yourself” tax preparation products. Given these headwinds, as well as significant turnover of senior management, we sold the stock and redeployed proceeds to more attractive investment opportunities.
Another detractor from performance was Wilmington Trust Corp., a mid-Atlantic financial services and banking provider. Shares declined significantly as severe credit losses began to accelerate across a greater portion of its loan portfolio. This resulted in the company announcing that it would merge with Buffalo-based M&T Bank Corp. To eliminate the risk of the merger not materializing, the stock was removed from the portfolio.
Gloria Fu, CFA
Lawrence Playford, CFA
Jonathan K.L. Simon
Co-Portfolio Managers
J.P. Morgan Investment Management Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica JPMorgan Mid Cap Value VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 22.99 | % | | | 4.70 | % | | | 5.66 | % | | | 05/03/1999 | |
Russell Midcap® Value * | | | 24.75 | % | | | 4.08 | % | | | 8.07 | % | | | | |
| |
| Service Class | | | 22.82 | % | | | 4.45 | % | | | 9.16 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Russell Midcap® Value Index (“Russell Midcap® Value”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an Index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica JPMorgan Mid Cap Value VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica JPMorgan Mid Cap Value VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,234.30 | | | $ | 5.07 | | | $ | 1,020.67 | | | $ | 4.58 | | | | 0.90 | % |
| Service Class | | | 1,000.00 | | | | 1,233.70 | | | | 6.47 | | | | 1,019.41 | | | | 5.85 | | | | 1.15 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 96.3 | % |
| Securities Lending Collateral | | | 25.2 | |
| Repurchase Agreement | | | 4.7 | |
| Other Assets and Liabilities - Net | | | (26.2 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica JPMorgan Mid Cap Value VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 96.3% | | | | | | | | |
Aerospace & Defense - 1.5% | | | | | | | | |
| Alliant Techsystems, Inc. ‡ ^ | | | 23,200 | | | $ | 1,727 | |
| L-3 Communications Holdings, Inc. ^ | | | 26,200 | | | | 1,847 | |
Auto Components - 0.7% | | | | | | | | |
| WABCO Holdings, Inc. ‡ ^ | | | 26,000 | | | | 1,584 | |
Beverages - 1.1% | | | | | | | | |
| Brown-Forman Corp. - Class B ^ | | | 27,374 | | | | 1,906 | |
| Dr. Pepper Snapple Group, Inc. | | | 18,500 | | | | 650 | |
Capital Markets - 2.9% | | | | | | | | |
| Ameriprise Financial, Inc. | | | 41,400 | | | | 2,382 | |
| LPL Investment Holdings, Inc. ‡ ^ | | | 12,800 | | | | 466 | |
| Northern Trust Corp. ^ | | | 28,900 | | | | 1,601 | |
| T. Rowe Price Group, Inc. ^ | | | 36,100 | | | | 2,330 | |
Chemicals - 3.4% | | | | | | | | |
| Albemarle Corp. ^ | | | 49,900 | | | | 2,783 | |
| PPG Industries, Inc. ^ | | | 33,100 | | | | 2,783 | |
| Sigma-Aldrich Corp. ^ | | | 35,900 | | | | 2,390 | |
Commercial Banks - 5.7% | | | | | | | | |
| BancorpSouth, Inc. ^ | | | 72,200 | | | | 1,152 | |
| BB&T Corp. ^ | | | 37,000 | | | | 973 | |
| City National Corp. ^ | | | 21,800 | | | | 1,338 | |
| Cullen/Frost Bankers, Inc. ^ | | | 21,300 | | | | 1,302 | |
| Fifth Third Bancorp ^ | | | 124,500 | | | | 1,828 | |
| M&T Bank Corp. ^ | | | 29,800 | | | | 2,593 | |
| SunTrust Banks, Inc. ^ | | | 69,500 | | | | 2,050 | |
| TCF Financial Corp. ^ | | | 38,600 | | | | 572 | |
| Zions Bancorporation ^ | | | 53,100 | | | | 1,287 | |
Commercial Services & Supplies - 1.8% | | | | | | | | |
| Republic Services, Inc. - Class A ^ | | | 138,550 | | | | 4,137 | |
Containers & Packaging - 2.0% | | | | | | | | |
| Ball Corp. ^ | | | 50,000 | | | | 3,402 | |
| Rock-Tenn Co. - Class A | | | 20,900 | | | | 1,128 | |
Distributors - 0.9% | | | | | | | | |
| Genuine Parts Co. ^ | | | 41,800 | | | | 2,146 | |
Diversified Telecommunication Services - 1.5% | | | | | | | | |
| CenturyLink, Inc. ^ | | | 52,200 | | | | 2,410 | |
| Windstream Corp. ^ | | | 67,560 | | | | 942 | |
Electric Utilities - 2.7% | | | | | | | | |
| Northeast Utilities ^ | | | 24,300 | | | | 775 | |
| Westar Energy, Inc. ^ | | | 107,500 | | | | 2,705 | |
| Wisconsin Energy Corp. ^ | | | 46,400 | | | | 2,730 | |
Electrical Equipment - 2.8% | | | | | | | | |
| AMETEK, Inc. ^ | | | 41,850 | | | | 1,643 | |
| Cooper Industries PLC - Class A | | | 31,600 | | | | 1,842 | |
| Regal Beloit Corp. ^ | | | 11,000 | | | | 734 | |
| Roper Industries, Inc. ^ | | | 27,800 | | | | 2,125 | |
Electronic Equipment & Instruments - 3.4% | | | | | | | | |
| Amphenol Corp. - Class A ^ | | | 38,400 | | | | 2,027 | |
| Arrow Electronics, Inc. ‡ ^ | | | 54,300 | | | | 1,860 | |
| Tyco Electronics, Ltd. ^ | | | 115,900 | | | | 4,103 | |
Food & Staples Retailing - 1.2% | | | | | | | | |
| Safeway, Inc. ^ | | | 125,700 | | | | 2,827 | |
Food Products - 2.3% | | | | | | | | |
| JM Smucker Co. | | | 51,500 | | | | 3,382 | |
| Ralcorp Holdings, Inc. ‡ ^ | | | 30,000 | | | | 1,950 | |
Gas Utilities - 4.1% | | | | | | | | |
| Energen Corp. | | | 78,400 | | | | 3,784 | |
| EQT Corp. ^ | | | 61,000 | | | | 2,735 | |
| Oneok, Inc. | | | 51,200 | | | | 2,840 | |
Health Care Equipment & Supplies - 1.6% | | | | | | | | |
| Becton, Dickinson and Co. ^ | | | 44,200 | | | | 3,736 | |
Health Care Providers & Services - 4.4% | | | | | | | | |
| AmerisourceBergen Corp. - Class A | | | 33,000 | | | | 1,126 | |
| Community Health Systems, Inc. ‡ ^ | | | 37,200 | | | | 1,390 | |
| Coventry Health Care, Inc. ‡ | | | 63,750 | | | | 1,683 | |
| Humana, Inc. ‡ | | | 31,300 | | | | 1,713 | |
| Lincare Holdings, Inc. ^ | | | 124,350 | | | | 3,336 | |
| VCA Antech, Inc. ‡ ^ | | | 41,300 | | | | 962 | |
Hotels, Restaurants & Leisure - 2.2% | | | | | | | | |
| Darden Restaurants, Inc. ^ | | | 34,924 | | | | 1,622 | |
| Marriott International, Inc. - Class A ^ | | | 44,719 | | | | 1,858 | |
| Yum! Brands, Inc. | | | 34,300 | | | | 1,682 | |
Household Durables - 3.0% | | | | | | | | |
| Fortune Brands, Inc. ^ | | | 49,800 | | | | 3,001 | |
| Jarden Corp. ^ | | | 43,900 | | | | 1,355 | |
| Snap-On, Inc. | | | 46,700 | | | | 2,642 | |
Household Products - 0.6% | | | | | | | | |
| Energizer Holdings, Inc. ‡ | | | 19,100 | | | | 1,392 | |
Industrial Conglomerates - 0.9% | | | | | | | | |
| Carlisle Cos., Inc. ^ | | | 52,000 | | | | 2,066 | |
Insurance - 10.4% | | | | | | | | |
| AON Corp. ^ | | | 40,300 | | | | 1,854 | |
| Arch Capital Group, Ltd. ‡ ^ | | | 9,100 | | | | 801 | |
| Cincinnati Financial Corp. ^ | | | 87,825 | | | | 2,783 | |
| Loews Corp. | | | 111,300 | | | | 4,332 | |
| Old Republic International Corp. ^ | | | 219,225 | | | | 2,988 | |
| OneBeacon Insurance Group, Ltd. - Class A ^ | | | 81,511 | | | | 1,236 | |
| Principal Financial Group, Inc. ^ | | | 55,900 | | | | 1,820 | |
| Symetra Financial Corp. ^ | | | 22,235 | | | | 305 | |
| Transatlantic Holdings, Inc. | | | 59,700 | | | | 3,082 | |
| WR Berkley Corp. ^ | | | 102,100 | | | | 2,795 | |
| XL Group PLC - - Class A ^ | | | 87,300 | | | | 1,905 | |
Internet & Catalog Retail - 0.8% | | | | | | | | |
| Expedia, Inc. ^ | | | 71,000 | | | | 1,781 | |
Media - 4.4% | | | | | | | | |
| Cablevision Systems Corp. - Class A | | | 32,000 | | | | 1,083 | |
| CBS Corp. - Class B ^ | | | 96,100 | | | | 1,831 | |
| Clear Channel Outdoor Holdings, Inc. - Class A ‡ ^ | | | 84,684 | | | | 1,189 | |
| DISH Network Corp. - Class A ‡ | | | 107,000 | | | | 2,103 | |
| Gannett Co., Inc. ^ | | | 133,500 | | | | 2,015 | |
| Omnicom Group, Inc. | | | 26,000 | | | | 1,191 | |
| Washington Post Co. - Class B ^ | | | 1,825 | | | | 802 | |
Multiline Retail - 1.0% | | | | | | | | |
| Macy’s, Inc. | | | 90,200 | | | | 2,282 | |
Multi-Utilities - 4.4% | | | | | | | | |
| CMS Energy Corp. ^ | | | 196,100 | | | | 3,648 | |
| NSTAR ^ | | | 52,100 | | | | 2,198 | |
| Sempra Energy ^ | | | 21,700 | | | | 1,139 | |
| Xcel Energy, Inc. | | | 134,000 | | | | 3,156 | |
Oil, Gas & Consumable Fuels - 7.4% | | | | | | | | |
| CVR Energy, Inc. ‡ ^ | | | 102,700 | | | | 1,559 | |
| Devon Energy Corp. | | | 46,000 | | | | 3,611 | |
| El Paso Corp. | | | 148,000 | | | | 2,036 | |
| Kinder Morgan Management LLC | | | 22,316 | | | | 1,492 | |
| Newfield Exploration Co. ‡ | | | 36,900 | | | | 2,661 | |
| Teekay Corp. ^ | | | 63,400 | | | | 2,097 | |
| Williams Cos., Inc. | | | 150,400 | | | | 3,719 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica JPMorgan Mid Cap Value VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Real Estate Investment Trusts - 3.3% | | | | | | | | |
| HCP, Inc. | | | 33,600 | | | $ | 1,236 | |
| Kimco Realty Corp. ^ | | | 57,100 | | | | 1,030 | |
| Public Storage ^ | | | 8,700 | | | | 882 | |
| Regency Centers Corp. ^ | | | 51,300 | | | | 2,167 | |
| Vornado Realty Trust | | | 26,360 | | | | 2,197 | |
Real Estate Management & Development - 0.9% | | | | | | | | |
| Brookfield Properties Corp. | | | 113,075 | | | | 1,982 | |
Software - 2.0% | | | | | | | | |
| Jack Henry & Associates, Inc. | | | 77,900 | | | | 2,270 | |
| Synopsys, Inc. ‡ ^ | | | 83,933 | | | | 2,259 | |
Specialty Retail - 7.6% | | | | | | | | |
| AutoZone, Inc. ‡ ^ | | | 6,750 | | | | 1,840 | |
| Bed Bath & Beyond, Inc. ‡ ^ | | | 54,100 | | | | 2,659 | |
| Gap, Inc. ^ | | | 205,500 | | | | 4,550 | |
| Sherwin-Williams Co. ^ | | | 31,800 | | | | 2,663 | |
| Staples, Inc. ^ | | | 50,800 | | | | 1,157 | |
| Tiffany & Co. ^ | | | 33,700 | | | | 2,098 | |
| TJX Cos., Inc. ^ | | | 54,200 | | | | 2,406 | |
Textiles, Apparel & Luxury Goods - 0.8% | | | | | | | | |
| Phillips-Van Heusen Corp. ^ | | | 29,500 | | | | 1,859 | |
Thrifts & Mortgage Finance - 0.9% | | | | | | | | |
| Capitol Federal Financial, Inc. ^ | | | 7,800 | | | | 93 | |
| People’s United Financial, Inc. ^ | | | 136,000 | | | | 1,905 | |
Tobacco - 0.3% | | | | | | | | |
| Lorillard, Inc. ^ | | | 8,400 | | | | 689 | |
Water Utilities - 0.4% | | | | | | | | |
| American Water Works Co., Inc. | | | 40,778 | | | | 1,031 | |
Wireless Telecommunication Services - 1.0% | | | | | | | | |
| Telephone & Data Systems, Inc. (Special Shares) - Class L | | | 73,732 | | | | 2,324 | |
| | | | | | | | |
Total Common Stocks (cost $176,353) | | | | | | | 222,126 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 25.2% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 58,067,739 | | | | 58,068 | |
Total Securities Lending Collateral (cost $58,068) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 4.7% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $10,946 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $11,167. | | $ | 10,946 | | | | 10,946 | |
Total Repurchase Agreement (cost $10,946) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $245,367) # | | | | | | | 291,140 | |
| Other Assets and Liabilities - Net | | | | | | | (60,513 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 230,627 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $56,734. |
| |
| ‡ | | Non-income producing security. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $250,917. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $41,981 and $1,758, respectively. Net unrealized appreciation for tax purposes is $40,223. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| Common Stocks | | $ | 216,118 | | | $ | 6,008 | | | $ | — | | | $ | 222,126 | |
| Repurchase Agreement | | | — | | | | 10,946 | | | | — | | | | 10,946 | |
| Securities Lending Collateral | | | 58,068 | | | | — | | | | — | | | | 58,068 | |
| | | | | | | | | | | | | |
Total | | $ | 274,186 | | | $ | 16,954 | | | $ | — | | | $ | 291,140 | |
| | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica JPMorgan Mid Cap Value VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $234,421)
(including securities loaned of $56,734) | | $ | 280,194 | |
| Repurchase agreement, at value (cost: $10,946) | | | 10,946 | |
| Receivables: | | | | |
| Investment securities sold | | | 181 | |
| Shares sold | | | 97 | |
| Securities lending income (net) | | | 10 | |
| Dividends | | | 297 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 291,727 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 2,818 | |
| Shares redeemed | | | 29 | |
| Management and advisory fees | | | 158 | |
| Distribution and service fees | | | 2 | |
| Administration fees | | | 4 | |
| Printing and shareholder reports fees | | | 4 | |
| Audit and tax fees | | | 8 | |
| Other | | | 9 | |
| Collateral for securities on loan | | | 58,068 | |
| | | | |
| | | | 61,100 | |
| | | | |
Net assets | | $ | 230,627 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 171 | |
| Additional paid-in capital | | | 219,583 | |
| Undistributed (accumulated) net investment income (loss) | | | 2,719 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (37,619 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 45,773 | |
| | | | |
Net assets | | $ | 230,627 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 218,048 | |
| Service Class | | | 12,579 | |
Shares outstanding: | | | | |
| Initial Class | | | 16,208 | |
| Service Class | | | 938 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 13.45 | |
| Service Class | | | 13.42 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $9) | | $ | 4,645 | |
| Interest income | | | 1 | |
| Securities lending income (net) | | | 44 | |
| | | | |
| | | | 4,690 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,838 | |
| Printing and shareholder reports | | | 19 | |
| Custody | | | 41 | |
| Administration | | | 45 | |
| Legal | | | 12 | |
| Audit and tax | | | 13 | |
| Trustees | | | 8 | |
| Transfer agent | | | 2 | |
| Distribution and service: | | | | |
| Service Class | | | 15 | |
| Other | | | 5 | |
| | | | |
| Total expenses | | | 1,998 | |
| | | | |
| |
Net investment income | | | 2,692 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 499 | |
| Foreign currency transactions | | | (3 | ) |
| | | | |
| | | | 496 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 40,193 | |
| | | | |
Net realized and unrealized gain | | | 40,689 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 43,381 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica JPMorgan Mid Cap Value VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 2,692 | | | $ | 3,763 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | 496 | | | | (27,660 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities | | | 40,193 | | | | 73,120 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 43,381 | | | | 49,223 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (3,540 | ) | | | (3,718 | ) |
| Service Class | | | (155 | ) | | | (2 | ) |
| | | | | | | |
| | | | (3,695 | ) | | | (3,720 | ) |
| | | | | | | |
| | | | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (6,395 | ) |
| Service Class | | | — | | | | (5 | ) |
| | | | | | | |
| | | | — | | | | (6,400 | ) |
| | | | | | | |
Total distributions to shareholders | | | (3,695 | ) | | | (10,120 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 14,079 | | | | 17,082 | |
| Service Class | | | 13,302 | | | | 516 | |
| | | | | | | |
| | | | 27,381 | | | | 17,598 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 3,540 | | | | 10,113 | |
| Service Class | | | 155 | | | | 7 | |
| | | | | | | |
| | | | 3,695 | | | | 10,120 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (76,018 | ) | | | (18,538 | ) |
| Service Class | | | (2,805 | ) | | | (62 | ) |
| | | | | | | |
| | | | (78,823 | ) | | | (18,600 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | (47,747 | ) | | | 9,118 | |
| | | | | | | |
| | | | | | | | | |
Net increase (decrease) in net assets | | | (8,061 | ) | | | 48,221 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 238,688 | | | | 190,467 | |
| | | | | | | |
| End of year | | $ | 230,627 | | | $ | 238,688 | |
| | | | | | | |
Undistributed net investment income | | $ | 2,719 | | | $ | 3,725 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 1,164 | | | | 1,622 | |
| Service Class | | | 1,100 | | | | 48 | |
| | | | | | | |
| | | | 2,264 | | | | 1,670 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 322 | | | | 988 | |
| Service Class | | | 14 | | | | 1 | |
| | | | | | | |
| | | | 336 | | | | 989 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (6,607 | ) | | | (1,858 | ) |
| Service Class | | | (237 | ) | | | (6 | ) |
| | | | | | | |
| | | | (6,844 | ) | | | (1,864 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | �� | | | | | | | |
| Initial Class | | | (5,121 | ) | | | 752 | |
| Service Class | | | 877 | | | | 43 | |
| | | | | | | |
| | | | (4,244 | ) | | | 795 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica JPMorgan Mid Cap Value VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.16 | | | $ | 9.25 | | | $ | 15.79 | | | $ | 16.60 | | | $ | 15.89 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.15 | | | | 0.18 | | | | 0.19 | | | | 0.19 | | | | 0.17 | |
| Net realized and unrealized gain (loss) | | | 2.37 | | | | 2.22 | | | | (4.89 | ) | | | 0.29 | | | | 2.39 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.52 | | | | 2.40 | | | | (4.70 | ) | | | 0.48 | | | | 2.56 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.23 | ) | | | (0.18 | ) | | | (0.20 | ) | | | (0.17 | ) | | | (0.15 | ) |
| From net realized gains | | | — | | | | (0.31 | ) | | | (1.64 | ) | | | (1.12 | ) | | | (1.70 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.23 | ) | | | (0.49 | ) | | | (1.84 | ) | | | (1.29 | ) | | | (1.85 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 13.45 | | | $ | 11.16 | | | $ | 9.25 | | | $ | 15.79 | | | $ | 16.60 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 22.99 | % | | | 26.41 | % | | | (32.88 | %) | | | 2.83 | % | | | 17.25 | % |
Net assets end of year (000’s) | | $ | 218,048 | | | $ | 238,019 | | | $ | 190,306 | | | $ | 336,861 | | | $ | 353,498 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.89 | % | | | 0.89 | % | | | 0.88 | % | | | 0.87 | % | | | 0.88 | % |
| Net investment income, to average net assets | | | 1.21 | % | | | 1.85 | % | | | 1.40 | % | | | 1.10 | % | | | 1.02 | % |
| Portfolio turnover rate | | | 37 | % | | | 34 | % | | | 43 | % | | | 45 | % | | | 40 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.15 | | | $ | 9.22 | | | $ | 15.73 | | | $ | 16.54 | | | $ | 15.83 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.12 | | | | 0.16 | | | | 0.14 | | | | 0.15 | | | | 0.13 | |
| Net realized and unrealized gain (loss) | | | 2.37 | | | | 2.21 | | | | (4.87 | ) | | | 0.28 | | | | 2.37 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.49 | | | | 2.37 | | | | (4.73 | ) | | | 0.43 | | | | 2.50 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.22 | ) | | | (0.13 | ) | | | (0.14 | ) | | | (0.12 | ) | | | (0.09 | ) |
| From net realized gains | | | — | | | | (0.31 | ) | | | (1.64 | ) | | | (1.12 | ) | | | (1.70 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.22 | ) | | | (0.44 | ) | | | (1.78 | ) | | | (1.24 | ) | | | (1.79 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 13.42 | | | $ | 11.15 | | | $ | 9.22 | | | $ | 15.73 | | | $ | 16.54 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 22.82 | % | | | 26.12 | % | | | (33.08 | %) | | | 2.53 | % | | | 16.96 | % |
Net assets end of year (000’s) | | $ | 12,579 | | | $ | 669 | | | $ | 161 | | | $ | 435 | | | $ | 516 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.14 | % | | | 1.14 | % | | | 1.13 | % | | | 1.12 | % | | | 1.13 | % |
| Net investment income, to average net assets | | | 1.02 | % | | | 1.63 | % | | | 1.08 | % | | | 0.89 | % | | | 0.77 | % |
| Portfolio turnover rate | | | 37 | % | | | 34 | % | | | 43 | % | | | 45 | % | | | 40 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica JPMorgan Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica JPMorgan Mid Cap Value VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $6, are included in net realized gain (loss) in the Statement of Operations.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica JPMorgan Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign securities, in which their 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica JPMorgan Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation- Conservative VP | | $ | 11,884 | | | | 5.15 | % |
| | | | | | | | | |
| Transamerica Asset Allocation- Growth VP | | | 29,952 | | | | 12.99 | |
| | | | | | | | | |
| Transamerica Asset Allocation- Moderate VP | | | 27,665 | | | | 12.00 | |
| | | | | | | | | |
| Transamerica Asset Allocation- Moderate Growth VP | | | 105,336 | | | | 45.67 | |
| | | | | | | | | |
| Transamerica BlackRock Tactical Allocation VP | | | 14,532 | | | | 6.30 | |
| | | | | | | |
| Total | | $ | 189,369 | | | | 82.11 | % |
| | | | | | | |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $100 million | | | 0.85 | % |
| Over $100 million | | | 0.80 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica JPMorgan Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 80,329 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 131,262 | |
| U.S. Government | | | — | |
| | | | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica JPMorgan Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | (3 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 3 | |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ 30,017 | | December 31, 2017 |
| $ 554 | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 3,695 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 3,720 | |
| Long-term Capital Gain | | | 6,400 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 2,719 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (30,571 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (1,498 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 40,223 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica JPMorgan Mid Cap Value VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica JPMorgan Mid Cap Value VP:
We have audited the accompanying statement of assets and liabilities of Transamerica JPMorgan Mid Cap Value VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica JPMorgan Mid Cap Value VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica JPMorgan Mid Cap Value VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica MFS International Equity VP
(unaudited)
MARKET ENVIRONMENT
The first quarter of the reporting period witnessed a continuation of the financial market and macroeconomic rebounds that had begun in early 2009. These recoveries in global activity and asset valuations were generally synchronized around the world, led importantly by emerging Asian economies, but broadening to include most of the global economy to varying degrees. Primary drivers of the recoveries included: an unwinding of the inventory destocking that took place earlier; the production of manufacturing and capital goods; as well as massive fiscal and monetary stimulus.
During most of the remainder of the period, heightened risk surrounding the public-debt profiles of several of the peripheral European countries impaired market sentiment. At the same time, the improving trend in global macroeconomic data began to weaken somewhat. These two dynamics caused many asset prices to retrench significantly, as many questioned the durability of the global recovery.
Towards the end of the period, the U.S. Federal Reserve Board (“Fed”) led markets to believe that further monetary loosening would be forthcoming if macroeconomic activity did not show signs of improvement. The prospects for more easing by the Fed improved market sentiment and drove risk-asset prices markedly higher. However, in a text-book case of “buy the rumor, sell the fact,” the weeks following the early November announcement of further quantitative easing (“QE2”) saw a sell-off in U.S. Treasury bonds. This rise in Treasury yields occurred despite risk-off behavior in equities and credit markets (which would normally result in Treasury yield compression), and appears to have been the result of a few factors: signs of improved U.S. and global economic activity; opposition to QE2 from some quarters; and crowded long positions in U.S. Treasuries. The December agreement on an expansionary U.S. fiscal package also boosted sentiment, leading markets to reach near-term highs in risky asset valuations in to year end.
PERFORMANCE
For the year ended December 31, 2010, Transamerica MFS International Equity VP Initial Class returned 10.50%. By comparison its benchmark, the Morgan Stanley Capital International Europe, Australasia & Far East Index (“MSCI-EAFE”), returned 8.21%.
STRATEGY REVIEW
Stock selection and an overweight position in the retailing sector were the primary drivers of performance relative to the MSCI-EAFE. A key factor in positive relative results within this sector was our decision to overweight strong-performing luxury goods companies LVMH Moët Hennessy Louis Vuitton SA (France), Richemont (Switzerland), and Burberry Group (United Kingdom).
Stock selection and an underweight position in the financial services sector was another positive factor for relative performance as this sector significantly underperformed the benchmark over the reporting period. Shares of Swiss private bank Julius Baer, which turned in strong performance for the period, were among the portfolio’s top relative contributors.
Stock selection in the industrial goods & services sector also boosted relative returns. Within this sector, our overweight positions in French electrical equipment maker Schneider Electric SA and industrial robotics and automation manufacturer Fanuc (Japan) contributed to relative results.
Elsewhere, the portfolio’s greater relative weighting in industrial gas supplier Linde AG (Germany) contributed to relative performance as the stock outperformed the broad market. Holdings of technology consulting firm Infosys Technologies Limited (India), railroad company Canadian National Railway (Canada), and our avoidance of weak-performing integrated oil company BP PLC (United Kingdom), also helped.
Stock selection in the health care sector detracted from relative performance. The portfolio’s overweight positions in pharmaceutical companies Roche Holding AG (Switzerland), Bayer AG (Germany), and Merck KGaA (Germany) were among the portfolio’s top relative detractors.
Elsewhere, our overweight positions in weak-performing oil and gas exploration company INPEX Holdings (Japan), French insurance giant AXA, Japanese optical glass maker HOYA, personal care products company Beiersdorf AG (Germany), and stock exchange Deutsche Boerse (Germany) held back relative performance. The portfolio’s holdings of Hong Kong-headquartered retailer Esprit Holdings Ltd. and French energy and environmental services giant GDF SUEZ also hindered relative returns.
During the reporting period, the portfolio’s currency exposure detracted from relative performance. All of MFS’ investment decisions are driven by the fundamentals of each individual opportunity and as such, it is common for our portfolios to have different currency exposure than the benchmark.
Daniel Ling
Marcus L. Smith
Co-Portfolio Managers
MFS® Investment Management
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica MFS International Equity VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 10.50 | % | | | 4.97 | % | | | 2.20 | % | | | 01/02/1997 | |
MSCI-EAFE* | | | 8.21 | % | | | 2.94 | % | | | 3.94 | % | | | | |
| |
| Service Class | | | 10.30 | % | | | 4.70 | % | | | 9.85 | % | | | 05/01/2003 | |
| |
| | | |
| NOTES |
|
| |
| * | | The Morgan Stanley Capital International Europe, Australasia, & Far East Index (“MSCI-EAFE”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 Years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
International investing involves special risks including fluctuations, political instability and different financial accounting standards. This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica MFS International Equity VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica MFS International Equity VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,250.60 | | | $ | 5.90 | | | $ | 1,019.96 | | | $ | 5.30 | | | | 1.04 | % |
| Service Class | | | 1,000.00 | | | | 1,248.30 | | | | 7.31 | | | | 1,018.70 | | | | 6.56 | | | | 1.29 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 99.0 | % |
| Securities Lending Collateral | | | 8.5 | |
| Repurchase Agreement | | | 0.8 | |
| Other Assets and Liabilities - Net | | | (8.3 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica MFS International Equity VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 99.0% | | | | | | | | |
Australia - 0.5% | | | | | | | | |
| Westpac Banking Corp. | | | 48,000 | | | $ | 1,090 | |
Austria - 0.6% | | | | | | | | |
| Erste Group Bank AG | | | 25,465 | | | | 1,202 | |
Brazil - 0.7% | | | | | | | | |
| Banco Santander Brasil SA ADR | | | 110,370 | | | | 1,501 | |
Canada - 2.8% | | | | | | | | |
| Canadian National Railway Co. | | | 89,450 | | | | 5,946 | |
China - 0.6% | | | | | | | | |
| CNOOC, Ltd. | | | 541,000 | | | | 1,290 | |
Czech Republic - 0.8% | | | | | | | | |
| Komercni Banka AS ‡ | | | 7,369 | | | | 1,744 | |
France - 13.5% | | | | | | | | |
| Air Liquide SA | | | 31,794 | | | | 4,021 | |
| AXA SA | | | 49,852 | | | | 829 | |
| Groupe Danone SA | | | 46,701 | | | | 2,934 | |
| Legrand SA | | | 46,293 | | | | 1,885 | |
| LVMH Moet Hennessy Louis Vuitton SA | | | 41,227 | | | | 6,782 | |
| Pernod-Ricard SA | | | 33,104 | | | | 3,113 | |
| Schneider Electric SA | | | 47,830 | | | | 7,159 | |
| Total SA | | | 34,070 | | | | 1,805 | |
Germany - 11.1% | | | | | | | | |
| Bayer AG | | | 49,166 | | | | 3,644 | |
| Beiersdorf AG | | | 55,640 | | | | 3,087 | |
| Deutsche Boerse AG | | | 40,060 | | | | 2,768 | |
| Linde AG | | | 55,810 | | | | 8,443 | |
| Man AG | | | 14,971 | | | | 1,783 | |
| Merck KGaA | | | 26,140 | | | | 2,093 | |
| SAP AG | | | 32,030 | | | | 1,634 | |
Hong Kong - 2.9% | | | | | | | | |
| AIA Group, Ltd. ‡ | | | 175,800 | | | | 494 | |
| China Unicom, Ltd. | | | 1,204,000 | | | | 1,722 | |
| Esprit Holdings, Ltd. | | | 363,500 | | | | 1,726 | |
| Li & Fung, Ltd. | | | 360,000 | | | | 2,105 | |
India - 3.2% | | | | | | | | |
| ICICI Bank, Ltd. ADR ^ | | | 60,690 | | | | 3,073 | |
| Infosys Technologies, Ltd. ADR ^ | | | 49,190 | | | | 3,743 | |
Japan - 11.6% | | | | | | | | |
| AEON Credit Service Co., Ltd. ^ | | | 33,000 | | | | 464 | |
| Canon, Inc. ^ | | | 72,000 | | | | 3,699 | |
| Denso Corp. ^ | | | 50,500 | | | | 1,736 | |
| Fanuc Corp. | | | 16,100 | | | | 2,461 | |
| Hirose Electric Co., Ltd. ^ | | | 3,800 | | | | 427 | |
| Hoya Corp. | | | 147,600 | | | | 3,569 | |
| INPEX Corp. | | | 558 | | | | 3,258 | |
| Konica Minolta Holdings, Inc. | | | 101,000 | | | | 1,044 | |
| Lawson, Inc. ^ | | | 54,600 | | | | 2,695 | |
| Nomura Holdings, Inc. ^ | | | 207,800 | | | | 1,319 | |
| Shin-Etsu Chemical Co., Ltd. | | | 69,800 | | | | 3,762 | |
Korea, Republic of - 1.5% | | | | | | | | |
| Samsung Electronics Co., Ltd. | | | 3,915 | | | | 3,270 | |
Mexico - 0.3% | | | | | | | | |
| America Movil SAB de CV - Series L ADR ^ | | | 12,480 | | | | 716 | |
Netherlands - 8.9% | | | | | | | | |
| Akzo Nobel NV | | | 59,970 | | | | 3,725 | |
| Heineken NV | | | 115,160 | | | | 5,647 | |
| ING Groep NV ‡ | | | 364,501 | | | | 3,546 | |
| Randstad Holding NV ‡ | | | 50,020 | | | | 2,640 | |
| Wolters Kluwer NV | | | 144,920 | | | | 3,176 | |
Singapore - 1.1% | | | | | | | | |
| Keppel Corp., Ltd. | | | 72,000 | | | | 635 | |
| Singapore Telecommunications, Ltd. | | | 704,700 | | | | 1,675 | |
South Africa - 1.0% | | | | | | | | |
| MTN Group, Ltd. | | | 102,790 | | | | 2,097 | |
Spain - 1.1% | | | | | | | | |
| Banco Santander SA | | | 137,364 | | | | 1,464 | |
| Red Electrica Corp. SA ^ | | | 16,153 | | | | 761 | |
Sweden - 0.8% | | | | | | | | |
| Svenska Cellulosa AB - Class B | | | 106,600 | | | | 1,683 | |
Switzerland - 14.9% | | | | | | | | |
| Cie Financiere Richemont SA | | | 41,815 | | | | 2,459 | |
| Givaudan SA | | | 2,336 | | | | 2,522 | |
| Julius Baer Group, Ltd. | | | 97,679 | | | | 4,574 | |
| Nestle SA | | | 129,511 | | | | 7,587 | |
| Roche Holding AG | | | 30,887 | | | | 4,528 | |
| Sonova Holding AG | | | 9,588 | | | | 1,236 | |
| Swiss Reinsurance Co., Ltd. | | | 27,290 | | | | 1,464 | |
| Synthes, Inc. | | | 30,312 | | | | 4,091 | |
| UBS AG ‡ | | | 181,681 | | | | 2,983 | |
Taiwan - 1.8% | | | | | | | | |
| Taiwan Semiconductor Manufacturing Co., | | | | | | | | |
| Ltd. ADR ^ | | | 305,457 | | | | 3,830 | |
United Kingdom - 19.3% | | | | | | | | |
| Barclays PLC | | | 256,235 | | | | 1,045 | |
| BG Group PLC | | | 83,309 | | | | 1,683 | |
| Burberry Group PLC | | | 101,370 | | | | 1,776 | |
| Compass Group PLC | | | 159,000 | | | | 1,440 | |
| Diageo PLC | | | 249,300 | | | | 4,606 | |
| Hays PLC | | | 603,320 | | | | 1,212 | |
| HSBC Holdings PLC | | | 620,006 | | | | 6,295 | |
| Reckitt Benckiser Group PLC | | | 113,410 | | | | 6,233 | |
| Royal Dutch Shell PLC - Class A ^ | | | 96,310 | | | | 3,211 | |
| Smiths Group PLC | | | 123,032 | | | | 2,388 | |
| Standard Chartered PLC | | | 132,688 | | | | 3,570 | |
| Tesco PLC | | | 523,650 | | | | 3,470 | |
| William Hill PLC | | | 218,250 | | | | 581 | |
| WPP PLC | | | 256,642 | | | | 3,159 | |
| | | | | | | | |
Total Common Stocks (cost $185,537) | | | | | | | 209,028 | |
| | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
SECURITIES LENDING COLLATERAL - 8.5% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 17,887,329 | | | | 17,887 | |
Total Securities Lending Collateral (cost $17,887) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
REPURCHASE AGREEMENT - 0.8% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲ , dated 12/31/2010, to be repurchased at $1,742 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $1,779. | | $ | 1,742 | | | | 1,742 | |
Total Repurchase Agreement (cost $1,742) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $205,166) # | | | | | | | 228,657 | |
| Other Assets and Liabilities - Net | | | | | | | (17,486 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 211,171 | |
| | | | | | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica MFS International Equity VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Percentage of | | | | |
| INVESTMENTS BY INDUSTRY (unaudited): | | Total Investments | | | Value | |
| |
| Chemicals | | | 9.8 | % | | $ | 22,473 | |
| Commercial Banks | | | 9.3 | | | | 20,984 | |
| Beverages | | | 5.8 | | | | 13,366 | |
| Oil, Gas & Consumable Fuels | | | 4.9 | | | | 11,247 | |
| Textiles, Apparel & Luxury Goods | | | 4.8 | | | | 11,017 | |
| Food Products | | | 4.6 | | | | 10,521 | |
| Pharmaceuticals | | | 4.5 | | | | 10,265 | |
| Electrical Equipment | | | 3.9 | | | | 9,044 | |
| Capital Markets | | | 3.9 | | | | 8,876 | |
| Semiconductors & Semiconductor Equipment | | | 3.1 | | | | 7,100 | |
| Media | | | 2.8 | | | | 6,335 | |
| Diversified Financial Services | | | 2.8 | | | | 6,314 | |
| Household Products | | | 2.7 | | | | 6,233 | |
| Food & Staples Retailing | | | 2.7 | | | | 6,165 | |
| Road & Rail | | | 2.6 | | | | 5,946 | |
| Health Care Equipment & Supplies | | | 2.3 | | | | 5,327 | |
| Office Electronics | | | 2.1 | | | | 4,743 | |
| Machinery | | | 1.9 | | | | 4,244 | |
| Electronic Equipment & Instruments | | | 1.7 | | | | 3,996 | |
| Professional Services | | | 1.7 | | | | 3,852 | |
| IT Services | | | 1.7 | | | | 3,743 | |
| Diversified Telecommunication Services | | | 1.5 | | | | 3,397 | |
| Personal Products | | | 1.4 | | | | 3,087 | |
| Industrial Conglomerates | | | 1.3 | | | | 3,023 | |
| Wireless Telecommunication Services | | | 1.2 | | | | 2,813 | |
| Insurance | | | 1.2 | | | | 2,787 | |
| Distributors | | | 0.8 | | | | 2,105 | |
| Hotels, Restaurants & Leisure | | | 0.9 | | | | 2,021 | |
| Auto Components | | | 0.8 | | | | 1,736 | |
| Specialty Retail | | | 0.8 | | | | 1,726 | |
| Paper & Forest Products | | | 0.7 | | | | 1,683 | |
| Software | | | 0.7 | | | | 1,634 | |
| Electric Utilities | | | 0.3 | | | | 761 | |
| Consumer Finance | | | 0.2 | | | | 464 | |
| | | | | | | |
| Investment Securities, at Value | | | 91.4 | | | | 209,028 | |
| | | | | | | |
| Short-Term Investments | | | 8.6 | | | | 19,629 | |
| | | | | | | |
| Total Investments | | | 100.0 | % | | $ | 228,657 | |
| | | | | | | |
| | |
| NOTES TO SCHEDULE OF INVESTMENTS: |
| |
| ‡ | | Non-income producing security. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $17,152. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $207,579. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $32,525 and $11,447, respectively. Net unrealized appreciation for tax purposes is $21,078. |
| |
| DEFINITION: |
| |
| ADR | | American Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| |
| Common Stocks | | $ | 8,163 | | | $ | 200,865 | | | $ | — | | | $ | 209,028 | |
| Repurchase Agreement | | | — | | | | 1,742 | | | | — | | | | 1,742 | |
| Securities Lending Collateral | | | 17,887 | | | | — | | | | — | | | | 17,887 | |
| | | | | | | | | | | | | |
Total | | $ | 26,050 | | | $ | 202,607 | | | $ | — | | | $ | 228,657 | |
| | | | | | | | | | | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica MFS International Equity VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $203,424)
(including securities loaned of $17,152) | | $ | 226,915 | |
| Repurchase agreement, at value (cost: $1,742) | | | 1,742 | |
| Foreign currency, at value(cost: $38) | | | 38 | |
| Receivables: | | | | |
| Investment securities sold | | | 23 | |
| Shares sold | | | 33 | |
| Securities lending income (net) | | | 7 | |
| Dividends | | | 205 | |
| Dividend reclaims | | | 493 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 229,458 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 176 | |
| Management and advisory fees | | | 160 | |
| Distribution and service fees | | | 4 | |
| Administration fees | | | 4 | |
| Printing and shareholder reports fees | | | 20 | |
| Audit and tax fees | | | 8 | |
| Other | | | 28 | |
| Collateral for securities on loan | | | 17,887 | |
| | | | |
| | | | 18,287 | |
| | | | |
Net assets | | $ | 211,171 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 302 | |
| Additional paid-in capital | | | 219,767 | |
| Undistributed (accumulated) net investment income (loss) | | | 2,445 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (34,893 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 23,491 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 59 | |
| | | | |
Net assets | | $ | 211,171 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 190,625 | |
| Service Class | | | 20,546 | |
Shares outstanding: | | | | |
| Initial Class | | | 27,204 | |
| Service Class | | | 2,969 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 7.01 | |
| Service Class | | | 6.92 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $494) | | $ | 4,516 | |
| Securities lending income (net) | | | 158 | |
| | | | |
| | | | 4,674 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,749 | |
| Printing and shareholder reports | | | 45 | |
| Custody | | | 163 | |
| Administration | | | 39 | |
| Legal | | | 11 | |
| Audit and tax | | | 13 | |
| Trustees | | | 7 | |
| Transfer agent | | | 2 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 39 | |
| Other | | | 4 | |
| | | | |
| Total expenses | | | 2,072 | |
| | | | |
| | | | | |
Net investment income | | | 2,602 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | (8,118 | ) |
| Foreign currency transactions | | | (148 | ) |
| | | | |
| | | | (8,266 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 24,072 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 18 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 24,090 | |
| | | | |
Net realized and unrealized gain | | | 15,824 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 18,426 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica MFS International Equity VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 2,602 | | | $ | 2,697 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | (8,266 | ) | | | (16,162 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 24,090 | | | | 62,899 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 18,426 | | | | 49,434 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (2,454 | ) | | | (4,533 | ) |
| Service Class | | | (204 | ) | | | (210 | ) |
| | | | | | | |
Total distributions to shareholders | | | (2,658 | ) | | | (4,743 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 25,431 | | | | 16,634 | |
| Service Class | | | 11,815 | | | | 6,625 | |
| | | | | | | |
| | | | 37,246 | | | | 23,259 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 2,454 | | | | 4,533 | |
| Service Class | | | 204 | | | | 210 | |
| | | | | | | |
| | | | 2,658 | | | | 4,743 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (43,075 | ) | | | (39,070 | ) |
| Service Class | | | (6,264 | ) | | | (3,466 | ) |
| | | | | | | |
| | | | (49,339 | ) | | | (42,536 | ) |
| | | | | | | |
Net decrease in net assets from capital shares transactions | | | (9,435 | ) | | | (14,534 | ) |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 6,333 | | | | 30,157 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 204,838 | | | | 174,681 | |
| | | | | | | |
| End of year | | $ | 211,171 | | | $ | 204,838 | |
| | | | | | | |
Undistributed net investment income | | $ | 2,445 | | | $ | 2,649 | |
| | | | | | | |
| | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 3,982 | | | | 3,036 | |
| Service Class | | | 1,866 | | | | 1,151 | |
| | | | | | | |
| | | | 5,848 | | | | 4,187 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 417 | | | | 779 | |
| Service Class | | | 35 | | | | 36 | |
| | | | | | | |
| | | | 452 | | | | 815 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (6,956 | ) | | | (7,602 | ) |
| Service Class | | | (1,026 | ) | | | (649 | ) |
| | | | | | | |
| | | | (7,982 | ) | | | (8,251 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (2,557 | ) | | | (3,787 | ) |
| Service Class | | | 875 | | | | 538 | |
| | | | | | | |
| | | | (1,682 | ) | | | (3,249 | ) |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica MFS International Equity VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 6.44 | | | $ | 4.98 | | | $ | 8.88 | | | $ | 10.03 | | | $ | 8.75 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.09 | | | | 0.08 | | | | 0.15 | | | | 0.18 | | | | 0.08 | |
| Net realized and unrealized gain (loss) | | | 0.57 | | | | 1.53 | | | | (3.04 | ) | | | 0.63 | | | | 1.88 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.66 | | | | 1.61 | | | | (2.89 | ) | | | 0.81 | | | | 1.96 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.09 | ) | | | (0.15 | ) | | | (0.13 | ) | | | (0.10 | ) | | | (0.14 | ) |
| From net realized gains | | | — | | | | — | | | | (0.88 | ) | | | (1.86 | ) | | | (0.54 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.09 | ) | | | (0.15 | ) | | | (1.01 | ) | | | (1.96 | ) | | | (0.68 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 7.01 | | | $ | 6.44 | | | $ | 4.98 | | | $ | 8.88 | | | $ | 10.03 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 10.50 | % | | | 32.68 | % | | | (35.29 | %) | | | 9.15 | % | | | 23.07 | % |
Net assets end of year (000’s) | | $ | 190,625 | | | $ | 191,514 | | | $ | 167,025 | | | $ | 327,306 | | | $ | 354,278 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.05 | % | | | 1.08 | % | | | 1.05 | % | | | 1.05 | % | | | 1.07 | % |
| Net investment income, to average net assets | | | 1.36 | % | | | 1.58 | % | | | 2.03 | % | | | 1.77 | % | | | 0.79 | % |
| Portfolio turnover rate | | | 25 | % | | | 18 | % | | | 26 | % | | | 35 | % | | | 138 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 6.36 | | | $ | 4.92 | | | $ | 8.80 | | | $ | 9.97 | | | $ | 8.70 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.07 | | | | 0.06 | | | | 0.12 | | | | 0.12 | | | | 0.05 | |
| Net realized and unrealized gain (loss) | | | 0.57 | | | | 1.51 | | | | (3.01 | ) | | | 0.66 | | | | 1.89 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.64 | | | | 1.57 | | | | (2.89 | ) | | | 0.78 | | | | 1.94 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.08 | ) | | | (0.13 | ) | | | (0.11 | ) | | | (0.09 | ) | | | (0.13 | ) |
| From net realized gains | | | — | | | | — | | | | (0.88 | ) | | | (1.86 | ) | | | (0.54 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.08 | ) | | | (0.13 | ) | | | (0.99 | ) | | | (1.95 | ) | | | (0.67 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 6.92 | | | $ | 6.36 | | | $ | 4.92 | | | $ | 8.80 | | | $ | 9.97 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 10.30 | % | | | 32.24 | % | | | (35.54 | %) | | | 8.87 | % | | | 22.92 | % |
Net assets end of year (000’s) | | $ | 20,546 | | | $ | 13,324 | | | $ | 7,656 | | | $ | 14,658 | | | $ | 8,120 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.30 | % | | | 1.33 | % | | | 1.30 | % | | | 1.30 | % | | | 1.32 | % |
| Net investment income, to average net assets | | | 1.06 | % | | | 1.17 | % | | | 1.76 | % | | | 1.27 | % | | | 0.55 | % |
| Portfolio turnover rate | | | 25 | % | | | 18 | % | | | 26 | % | | | 35 | % | | | 138 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica MFS International Equity VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica MFS International Equity VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreement, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
| | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica MFS International Equity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica MFS International Equity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Foreign securities, in which their 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 (“ADR”), financial futures, Exchange Traded Funds (“ETF”), and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010 is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | % of Net |
| | | Value | | Assets |
| Transamerica BlackRock Tactical | | | | | | | | |
| Allocation VP | | $ | 7,038 | | | | 3.34 | % |
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets at the following breakpoints:
| | | | | |
|
| First $250 million | | | 0.90 | % |
| Over $250 million up to $500 million | | | 0.875 | % |
| Over $500 million up to $1 billion | | | 0.85 | % |
| Over $1 billion | | | 0.80 | % |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica MFS International Equity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding distribution and service fees and certain extraordinary expenses, exceed the following stated annual limit:
1.125% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of average net assets. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the period ended December 31, 2010 were as follows:
| | | | |
|
| Purchases of securities: | | | |
| Long-term | | $ | 47,505 |
| U.S. Government | | | — |
| Proceeds from maturities and sales of securities: | | | |
| Long-term | | | 58,492 |
| U.S. Government | | | — |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica MFS International Equity VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | (148 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 148 | |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | | | | | |
| Capital Loss | | | | |
| Carryforwards | | | | Available Through |
| $ | 5,238 | | | | | December 31, 2016 |
| | | | | | | | | |
| $ | 18,611 | | �� | | | December 31, 2017 |
| | | | | | | | | |
| $ | 6,253 | | | | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 2,658 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 4,743 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 2,445 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (30,102 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (2,378 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 21,137 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica MFS International Equity VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica MFS International Equity VP:
We have audited the accompanying statement of assets and liabilities of Transamerica MFS International Equity VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica MFS International Equity VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica MFS International Equity VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Money Market VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Money Market VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1.26 | | | $ | 1,023.95 | | | $ | 1.28 | | | | 0.25 | % |
| Service Class | | | 1,000.00 | | | | 1,000.00 | | | | 1.26 | | | | 1,023.95 | | | | 1.28 | | | | 0.25 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net | |
| Asset Type | | Assets | |
| |
| Commercial Paper | | | 47 .4 | % |
| Asset-Backed Commercial Paper | | | 21 .6 | |
| Repurchase Agreements | | | 15 .8 | |
| Short-Term U.S. Government Obligations | | | 9 .9 | |
| Short-Term Foreign Government Obligations | | | 4 .8 | |
| Other Assets and Liabilities - Net | | | 0 .5 | |
| |
Total | | | 100 .0 | % |
| | | | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Money Market VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
COMMERCIAL PAPER - 47.4% | | | | | | | | |
Beverages - 0.6% | | | | | | | | |
| Coca-Cola Co. | | | | | | | | |
| 0.20%, 01/06/2011 - 144A | | $ | 3,600 | | | $ | 3,600 | |
Capital Markets - 4.5% | | | | | | | | |
| State Street Corp. | | | | | | | | |
| 0.25%, 02/01/2011 | | | 18,500 | | | | 18,496 | |
| 0.33%, 02/22/2011 | | | 10,200 | | | | 10,196 | |
Commercial Banks - 17.2% | | | | | | | | |
| Barclays U.S. Funding Corp. | | | | | | | | |
| 0.24%, 02/25/2011 | | | 12,500 | | | | 12,495 | |
| 0.28%, 03/28/2011 | | | 5,200 | | | | 5,197 | |
| Canadian Imperial Holdings, Inc. | | | | | | | | |
| 0.25%, 01/11/2011 | | | 6,000 | | | | 6,000 | |
| 0.31%, 01/18/2011 | | | 14,000 | | | | 13,998 | |
| 0.35%, 03/08/2011 | | | 11,300 | | | | 11,295 | |
| Royal Bank of Scotland PLC | | | | | | | | |
| 0.28%, 01/07/2011 - 01/12/2011 | | | 33,300 | | | | 33,297 | |
| Toronto-Dominion Holdings USA, Inc. | | | | | | | | |
| 0.23%, 01/04/2011 - 01/13/2011 -144A | | | 16,500 | | | | 16,500 | |
| 0.24%, 02/24/2011 - 144A | | | 4,100 | | | | 4,099 | |
| 0.26%, 03/11/2011 - 144A | | | 7,500 | | | | 7,496 | |
Consumer Finance - 4.8% | | | | | | | | |
| Toyota Motor Credit Corp. | | | | | | | | |
| 0.25%, 03/04/2011 | | | 5,200 | | | | 5,198 | |
| 0.26%, 03/09/2011 | | | 6,800 | | | | 6,796 | |
| 0.27%, 02/03/2011 | | | 6,000 | | | | 5,999 | |
| 0.28%, 02/17/2011 | | | 8,800 | | | | 8,797 | |
| 0.30%, 01/26/2011 | | | 4,000 | | | | 3,999 | |
Diversified Financial Services - 18.9% | | | | | | | | |
| American Honda Finance Corp. | | | | | | | | |
| 0.33%, 02/23/2011 | | | 5,500 | | | | 5,498 | |
| 0.36%, 03/17/2011 - 03/18/2011 | | | 24,200 | | | | 24,188 | |
| Caterpillar Financial Services Corp. | | | | | | | | |
| 0.29%, 01/05/2011 | | | 3,500 | | | | 3,500 | |
| General Electric Capital Corp. | | | | | | | | |
| 0.20%, 02/14/2011 | | | 10,350 | | | | 10,347 | |
| PACCAR Financial Corp. | | | | | | | | |
| 0.23%, 01/04/2011 - 01/19/2011 | | | 7,770 | | | | 7,769 | |
| 0.34%, 02/17/2011 | | | 12,000 | | | | 11,996 | |
| Rabobank USA Financial Corp. | | | | | | | | |
| 0.24%, 02/23/2011 | | | 5,000 | | | | 4,998 | |
| 0.25%, 03/04/2011 | | | 14,400 | | | | 14,394 | |
| 0.27%, 02/08/2011 | | | 9,600 | | | | 9,597 | |
| UBS Finance Delaware LLC | | | | | | | | |
| 0.27%, 03/03/2011 | | | 4,800 | | | | 4,798 | |
| 0.29%, 01/05/2011 | | | 4,700 | | | | 4,700 | |
| 0.32%, 03/01/2011 | | | 8,000 | | | | 7,997 | |
| Wal-Mart Funding Corp. | | | | | | | | |
| 0.30%, 01/11/2011 - 144A | | | 11,800 | | | | 11,799 | |
Household Products - 1.4% | | | | | | | | |
| Proctor & Gamble Co. | | | | | | | | |
| 0.20%, 02/18/2011 - 144A | | | 8,900 | | | | 8,898 | |
| | | | | | | | |
Total Commercial Paper (cost $303,937) | | | | | | | 303,937 | |
| | | | | | | | |
| | | | | | | | | |
ASSET-BACKED COMMERCIAL PAPER - 21.6% | | | | | | | | |
Diversified Financial Services - 21.6% | | | | | | | | |
| Alpine Securitization Corp. | | | | | | | | |
| 0.31%, 01/14/2011 | | | 8,000 | | | | 7,999 | |
| 0.32%, 02/07/2011 - 02/09/2011 | | | 15,000 | | | | 14,996 | |
| 0.33%, 02/11/2011 | | | 8,400 | | | | 8,398 | |
| CAFCO LLC | | | | | | | | |
| 0.28%, 01/21/2011 - 01/24/2011 -144A | | | 12,500 | | | | 12,498 | |
| 0.29%, 01/25/2011 - 144A | | | 10,800 | | | | 10,797 | |
| 0.30%, 02/10/2011 | | | 8,300 | | | | 8,298 | |
| Old Line Funding LLC | | | | | | | | |
| 0.26%, 01/21/2011 - 144A | | | 10,000 | | | | 9,999 | |
| 0.26%, 01/20/2011 | | | 9,500 | | | | 9,499 | |
| 0.28%, 01/31/2011 | | | 5,400 | | | | 5,399 | |
| 0.30%, 03/18/2011 | | | 6,000 | | | | 5,997 | |
| Sheffield Receivables Corp. | | | | | | | | |
| 0.26%, 01/19/2011 - 144A | | | 3,100 | | | | 3,100 | |
| 0.27%, 01/27/2011 - 144A | | | 10,000 | | | | 9,998 | |
| Straight-A Funding LLC | | | | | | | | |
| 0.25%, 01/11/2011 - 144A | | | 11,300 | | | | 11,298 | |
| 0.26%, 02/04/2011 - 144A | | | 10,600 | | | | 10,597 | |
| 0.30%, 03/02/2011 - 144A | | | 9,500 | | | | 9,496 | |
| | | | | | | | |
Total Asset-Backed Commercial Paper (cost $138,369) | | | | | | | 138,369 | |
| | | | | | | | |
| |
SHORT-TERM FOREIGN GOVERNMENT OBLIGATIONS - 4.8% | | | | | | | | |
| Province of Quebec Canada | | | | | | | | |
| 0.19%, 01/13/2011 - 144A | | | 9,200 | | | | 9,199 | |
| 0.26%, 03/08/2011 - 144A | | | 17,000 | | | | 16,993 | |
| 0.27%, 03/18/2011 - 144A | | | 4,600 | | | | 4,598 | |
| | | | | | | | |
Total Short-Term Foreign Government Obligations (cost $30,790) | | | | | | | 30,790 | |
| | | | | | | | |
| | | | | | | | | |
SHORT-TERM U.S. GOVERNMENT OBLIGATIONS - 9.9% | | | | | | | | |
| Fannie Mae | | | | | | | | |
| 0.08%, 02/02/2011 | | | 13,500 | | | | 13,498 | |
| 0.11%, 01/18/2011 - 02/16/2011 | | | 17,310 | | | | 17,309 | |
| Freddie Mac | | | | | | | | |
| 0.05%, 01/10/2011 | | | 4,000 | | | | 4,000 | |
| 0.07%, 01/21/2011 | | | 8,500 | | | | 8,499 | |
| 0.09%, 01/25/2011 - 02/24/2011 | | | 7,100 | | | | 7,099 | |
| 0.12%, 01/03/2011 | | | 13,100 | | | | 13,100 | |
| | | | | | | | |
Total Short-Term U.S. Government Obligations (cost $63,505) | | | | | | | 63,505 | |
| | | | | | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Money Market VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENTS - 15.8% | | | | | | | | |
Bank of America
0.20% ▲ , dated 12/31/2010, to be repurchased at $101,002 on 01/03/2011. Collateralized by U.S. Government Agency Obligations, 4.00% - 4.50%, due 10/01/2040 - 12/01/2040, with a total value of $103,020. | | $ | 101,000 | | | $ | 101,000 | |
State Street Bank & Trust Co.
0.01% ▲ , dated 12/31/2010, to be repurchased at $208 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/25/2024, with a value of $213. | | | 208 | | | | 208 | |
| | | | | | | | |
Total Repurchase Agreements (cost $101,208) | | | | | | | 101,208 | |
| | | | | | | | |
| Total Investment Securities (cost $637,809) # | | | | | | | 637,809 | |
| Other Assets and Liabilities - Net | | | | | | | 3,041 | |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 640,850 | |
| | | | | | | | |
| | |
| NOTES TO SCHEDULE OF INVESTMENTS: |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $637,809. |
| |
| DEFINITION: |
| |
| 144A | | 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2010, these securities aggregated $160,965, or 25.12%, of the fund’s net assets. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| |
| Asset-Backed Commercial Paper | | $ | — | | | $ | 138,369 | | | $ | — | | | $ | 138,369 | |
| Commercial Paper | | | — | | | | 303,937 | | | | — | | | | 303,937 | |
| Repurchase Agreements | | | — | | | | 101,208 | | | | — | | | | 101,208 | |
| Short-Term Foreign Government Obligations | | | — | | | | 30,790 | | | | — | | | | 30,790 | |
| Short-Term U.S. Government Obligations | | | — | | | | 63,505 | | | | — | | | | 63,505 | |
| | | | | | | | | | | | | |
Total | | $ | — | | | $ | 637,809 | | | $ | — | | | $ | 637,809 | |
| | | | | | | | | | | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Money Market VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $536,601) | | $ | 536,601 | |
| Repurchase agreement, at value (cost: $101,208) | | | 101,208 | |
| Receivables: | | | | |
| Shares sold | | | 3,892 | |
| Interest | | | 1 | |
| Prepaid expenses | | | 7 | |
| | | | |
| | | | 641,709 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 677 | |
| Management and advisory fees | | | 127 | |
| Transfer agent fees | | | 1 | |
| Administration fees | | | 11 | |
| Printing and shareholder reports fees | | | 18 | |
| Audit and tax fees | | | 4 | |
| Other | | | 21 | |
| | | | |
| | | | 859 | |
| | | | |
Net assets | | $ | 640,850 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 6,408 | |
| Additional paid-in capital | | | 634,442 | |
| | | | |
Net assets | | $ | 640,850 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 393,768 | |
| Service Class | | | 247,082 | |
Shares outstanding: | | | | |
| Initial Class | | | 393,768 | |
| Service Class | | | 247,082 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 1.00 | |
| Service Class | | | 1.00 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Interest income | | $ | 1,664 | |
| |
Expenses: | | | | |
| Management and advisory | | | 2,497 | |
| Printing and shareholder reports | | | 44 | |
| Custody | | | 79 | |
| Administration | | | 143 | |
| Legal | | | 46 | |
| Audit and tax | | | 10 | |
| Trustees | | | 26 | |
| Transfer agent | | | 7 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 649 | |
| Other | | | 15 | |
| | | | |
| Total expenses | | | 3,516 | |
| | | | |
| Less Fund expense waiver/reimbursement | | | (1,239 | ) |
| Less Class expense waiver/reimbursement: | | | | |
| Service Class | | | (649 | ) |
| | | | |
| Net expenses | | | 1,628 | |
| | | | |
| | | | | |
Net investment income | | | 36 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 36 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Money Market VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 36 | | | $ | 1,089 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 36 | | | | 1,089 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (23 | ) | | | (983 | ) |
| Service Class | | | (13 | ) | | | (106 | ) |
| | | | | | | |
Total distributions to shareholders | | | (36 | ) | | | (1,089 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 216,980 | | | | 148,226 | |
| Service Class | | | 252,051 | | | | 210,430 | |
| | | | | | | |
| | | | 469,031 | | | | 358,656 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 23 | | | | 983 | |
| Service Class | | | 13 | | | | 106 | |
| | | | | | | |
| | | | 36 | | | | 1,089 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (316,766 | ) | | | (462,307 | ) |
| Service Class | | | (255,742 | ) | | | (257,540 | ) |
| | | | | | | |
| | | | (572,508 | ) | | | (719,847 | ) |
| | | | | | | |
Net decrease in net assets from capital shares transactions | | | (103,441 | ) | | | (360,102 | ) |
| | | | | | | |
| | | | | | | | | |
Net decrease in net assets | | | (103,441 | ) | | | (360,102 | ) |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 744,291 | | | | 1,104,393 | |
| | | | | | | |
| End of year | | $ | 640,850 | | | $ | 744,291 | |
| | | | | | | |
Undistributed net investment income | | $ | — | | | $ | — | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 216,980 | | | | 148,226 | |
| Service Class | | | 252,051 | | | | 210,430 | |
| | | | | | | |
| | | | 469,031 | | | | 358,656 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 23 | | | | 983 | |
| Service Class | | | 13 | | | | 106 | |
| | | | | | | |
| | | | 36 | | | | 1,089 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (316,766 | ) | | | (462,307 | ) |
| Service Class | | | (255,742 | ) | | | (257,540 | ) |
| | | | | | | |
| | | | (572,508 | ) | | | (719,847 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (99,763 | ) | | | (313,098 | ) |
| Service Class | | | (3,678 | ) | | | (47,004 | ) |
| | | | | | | |
| | | | (103,441 | ) | | | (360,102 | ) |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Money Market VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | — | (B) | | | — | (B) | | | 0.02 | | | | 0.05 | | | | 0.05 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | — | (B) | | | — | (B) | | | 0.02 | | | | 0.05 | | | | 0.05 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | — | (B) | | | — | (B) | | | (0.02 | ) | | | (0.05 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | (B) | | | — | (B) | | | (0.02 | ) | | | (0.05 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | — | %(D) | | | 0.13 | % | | | 2.37 | % | | | 4.91 | % | | | 4.74 | % |
Net assets end of year (000’s) | | $ | 393,768 | | | $ | 493,531 | | | $ | 806,629 | | | $ | 495,893 | | | $ | 454,784 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 0.23 | %(E) | | | 0.36 | %(E),(F) | | | 0.41 | % | | | 0.40 | % | | | 0.40 | % |
| Before reimbursement/fee waiver | | | 0.40 | % | | | 0.43 | %(F) | | | 0.41 | % | | | 0.40 | % | | | 0.40 | % |
| Net investment income, to average net assets | | | 0.01 | % | | | 0.15 | % | | | 2.31 | % | | | 4.88 | % | | | 4.69 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | — | (B) | | | — | (B) | | | 0.02 | | | | 0.05 | | | | 0.04 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | — | (B) | | | — | (B) | | | 0.02 | | | | 0.05 | | | | 0.04 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | — | (B) | | | — | (B) | | | (0.02 | ) | | | (0.05 | ) | | | (0.04 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | (B) | | | — | (B) | | | (0.02 | ) | | | (0.05 | ) | | | (0.04 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | — | %(D) | | | 0.04 | % | | | 2.28 | % | | | 4.65 | % | | | 4.48 | % |
Net assets end of year (000’s) | | $ | 247,082 | | | $ | 250,760 | | | $ | 297,764 | | | $ | 94,703 | | | $ | 43,663 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 0.23 | %(E) | | | 0.46 | %(E),(F) | | | 0.66 | % | | | 0.65 | % | | | 0.65 | % |
| Before reimbursement/fee waiver | | | 0.65 | % | | | 0.68 | % (F) | | | 0.66 | % | | | 0.65 | % | | | 0.65 | % |
| Net investment income, to average net assets | | | 0.01 | % | | | 0.04 | % | | | 1.95 | % | | | 4.62 | % | | | 4.47 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Rounds to less than ($0.01) or $0.01. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (D) | | Rounds to less than (0.01%) or 0.01%. |
| |
| (E) | | Transamerica Asset Management, Inc. or any of its affiliates waive fees or reimburse expenses in order to avoid a negative yield. Refer to the notes to the financial statements for details. |
| |
| (F) | | Ratios are inclusive of Treasury expense. The impact of this expense was 0.03% on the Initial Class and 0.02% on the Service Class. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Money Market VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Money Market VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Dividends to shareholders are declared daily and reinvested monthly.
Market and credit risk: On September 6, 2008, the Federal Housing Finance Agency (“FHFA”) placed Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”) into conservatorship. As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and the assets of FNMA and FHLMC. On September 7, 2008, the U.S. Treasury announced additional steps taken by it in connection with the conservatorship. The U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of FNMA and FHLMC pursuant to which the U.S. Treasury will purchase up to an aggregate of $100 billion of each of FNMA and FHLMC to maintain a positive net worth in each enterprise. Second, the U.S. Treasury announced the creation of a new secured lending facility which is available to each of FNMA and FHLMC as a liquidity backstop. Third, the U.S. Treasury announced the creation of a temporary program to purchase mortgage-backed securities issued by each of FNMA and FHLMC. On February 18, 2009, the U.S. Treasury announced that it was doubling the size of its commitment to each enterprise under the Senior Preferred Stock Program to $200 billion. Both the liquidity backstop and the mortgage-backed securities purchase program expired December 31, 2009. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remains liable for all of its obligations associated with its mortgage-backed securities, including its guaranty obligations. The Senior Preferred Stock Purchase Agreement is intended to enhance each of FNMA’s and FHLMC’s ability to meet its obligations. The FHFA has indicated that the conservatorship of each enterprise will end when the FHFA determines that the FHFA’s plan to restore the enterprise to a safe and solvent condition has been completed.
| | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Money Market VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
Short-term notes: Short-term notes are valued using amortized cost, which approximates fair value. To the extent the inputs are observable and timely, the values would be generally categorized in Level 2 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010 is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Investment Management, LLC (“TIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Money Market VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TIM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Values | | | Assets | |
| Transamerica Asset Allocation-Conservative VP | | $ | 1,573 | | | | 0.25 | % |
| Transamerica Asset Allocation-Growth VP | | | 586 | | | | 0.09 | |
| Transamerica Asset Allocation-Moderate VP | | | 4,239 | | | | 0.66 | |
| Transamerica Asset Allocation-Moderate Growth VP | | | 6,176 | | | | 0.96 | |
| | | | | | | |
| Total | | $ | 12,574 | | | | 1.96 | % |
| | | | | | | |
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.35% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.57% Expense Limit
If total Fund expenses fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived advisory fees.
During the year ended December 31, 2010, there were no amounts reimbursed or recaptured by the adviser.
TAM or any of its affiliates waive fees or reimburse expenses of one or more classes of Transamerica Money Market VP in order to avoid a negative yield. At any point within the succeeding 36 months in which the Transamerica Money Market VP, or any classes thereof, achieves a positive yield, the expenses previously waived or reimbursed pursuant to this paragraph may be reimbursed to TAM, to the extent that such reimbursement does not cause classes of Transamerica Money Market VP to experience a negative yield. Waived expenses related to the maintenance of the yield are included in the Statement of Operations, within the class expense reimbursed. As of year ended December 31, 2010 and year ended December 31, 2009, the amounts waived were as follows:
| | | | | | | | | | | | | | | | | |
| | | | | | | 2010 Amount Waived | | | | | | 2009 Amount Waived |
| Fund/Class | | 2010 Amount Waived ($) | | (Basis Points) | | 2009 Amount Waived ($) | | (Basis Points) |
| |
| Fund | | $ | 1,239 | | | | 17 | | | $ | 599 | | | | 6 | |
| Initial | | | — | | | | — | | | | 56 | | | | 1 | |
| |
| Service | | | 649 | | | | 25 | | | | 433 | | | | 16 | |
| |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Money Market VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for net operating losses and capital losses.
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | | | | | |
| Capital Loss | | | | |
| Carryforwards | | | | Available Through |
| $ | 1 | | | | | December 31, 2013 |
| | | | | | | | | |
| $ | 1 | | | | | December 31, 2014 |
| | | | | | | | | |
| $ | ♦ | | | | | December 31, 2015 |
| |
| $ | 2 | | | | | December 31, 2017 |
| | |
| ♦ | | Amount rounds to less than $1 |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Money Market VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 36 | |
| Long-term Capital Gain | | | — | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 1,089 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 4 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (4 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | — | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
NOTE 5. SUBSEQUENT EVENTS
The Fund’s Board of Trustees has proposed changes to Transamerica Money Market VP. The Fund would change its name to Transamerica AEGON Money Market VP and sub-adviser from Transamerica Investment Management, LLC to AEGON USA Investment Management, LLC (“AUIM”), an affiliate of TAM. These changes are expected to occur on or about March 31, 2011, but may occur sooner. Shareholder approval of the sub-advisory agreement with AUIM must be obtained, and the Board has authorized seeking such approval.
| | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Money Market VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Money Market VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Money Market VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Money Market VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Money Market VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
(unaudited)
MARKET ENVIRONMENT
For the year ended December 31, 2010, international equities were up nearly 8%, as measured by the Morgan Stanley Capital International-Europe, Australasia, Far East Index (“MSCI-EAFE”). The emerging markets (up 19%) and Asia ex-Japan (up 17%) led performance, followed by the U.S. and Japan (each up 15%). Europe lagged, with a gain of 4%. On a sector basis within the MSCI-EAFE, industrials (up 21%) and materials (up 18%) were among the top performers, boosted by the rise in commodity prices during the year. The economically sensitive consumer discretionary (up 20%) and technology (up 15%) sectors also advanced strongly. Financials and utilities declined during the period, down 2% and 5%, respectively. The yen had the strongest move against the U.S. dollar, up 15%, while the British pound and euro fell 3% and 7%, respectively.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Morgan Stanley Active International Allocation VP Initial Class returned 8.48%. By comparison its benchmark, the MSCI-EAFE, returned 8.21%. (Prior to May 1, 2010, this fund was named Transamerica Van Kampen Active International Allocation VP).
STRATEGY REVIEW
For the year, emerging markets and cyclical sectors — primarily materials and energy — contributed to performance. However, an allocation to Japan detracted as did the underweights to the United Kingdom (“UK”) and consumer discretionary. The underweight to Europe was positive and within Europe, the Portfolio was overweight Germany and underweight peripheral countries such as Ireland, Italy, Portugal, Greece and Spain.
We continue to keep our cyclical tilt; but we have reduced weightings in China and the emerging markets in general, and are looking again at raising our weighting in Japan relative to Europe. We think that the increase in Chinese inflation is broader than just food and oil. Rising costs of Chinese house prices, wages, capital, the renminbi, and inputs will weigh on Chinese corporate margins, but the country’s monetary authorities will need to keep gently tightening. For one, the People’s Bank of China needs to avoid letting inflation get ahead of them; and two, while trade protectionism has been largely avoided, we think the U.S.’s patience is running thin and currency appreciation will continue. Our recent portfolio move is only tactical, however. The growth rate of the emerging markets is at least double that of the Organization for Economic Cooperation and Development (“OECD”) countries, while the market capitalization of China and the other emerging markets is only 25% of global gross domestic product (“GDP”). It appears that pension plans around the world are looking to increase their allocations to emerging market equities and debt, so unless there is a double-dip recession or another financial crisis, emerging market pullbacks are likely to be buying opportunities, in our opinion.
Our interest in Japanese equities is based on their historically positive correlation with a pick-up in the U.S. manufacturing sector (as measured by the purchasing managers index, or PMI). This pattern failed to materialize earlier in 2009 and 2010, but we think that as U.S. and Chinese PMIs reaccelerate, Japanese large-capitalization, export-oriented companies may outperform (especially if the yen weakens). The relative cheapness of Japanese equities adds to this case, but the Japanese domestic economy is on the brink of a recession and the yen could remain strong due to continued domestic deflation and policy neglect. Japanese equities had an uptick in November of 2010 when the Bank of Japan (“BOJ”) intervened to weaken the yen, but since then the BOJ and Japanese leadership in general have been missing in action. We have cautiously added to our position in Japan with an emphasis on the exporters.
We continue to hold an overweight position in Germany, though we worry about German unlisted banks and the potential impact of the ongoing eurozone sovereign debt crisis on German growth. We like the strengthening German domestic story (rising retail spending, very low unemployment, and rising export earnings) and Germany’s reasonably priced exposure to global industrials. In our view, a weaker euro is likely to benefit German exports (offsetting some of Germany’s eurozone bailout costs) and may lead to a bit of domestic asset inflation and wage growth.
Ann D. Thivierge
Portfolio Manager
Morgan Stanley Investment Management Inc.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 8.48 | % | | | 3.59 | % | | | 2.95 | % | | | 04/08/1991 | |
MSCI-EAFE* | | | 8.21 | % | | | 2.94 | % | | | 3.94 | % | | | | |
| |
| Service Class | | | 8.20 | % | | | 3.31 | % | | | 9.90 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Morgan Stanley Capital International-Europe, Australasia, and Far East Index (“MSCI-EAFE”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
International investing involves special risks including fluctuations, political instability and different financial accounting standards. This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Morgan Stanley Active International Alloc. VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,250.10 | | | $ | 6.07 | | | $ | 1,019.81 | | | $ | 5.45 | | | | 1.07 | % |
| Service Class | | | 1,000.00 | | | | 1,249.00 | | | | 7.48 | | | | 1,018.55 | | | | 6.72 | | | | 1.32 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net | |
| Asset Type | | Assets | |
| |
| Common Stocks | | | 87.0 | % |
| Repurchase Agreement | | | 9.2 | |
| Securities Lending Collateral | | | 7.5 | |
| Preferred Stocks | | | 1.0 | |
| Right | | | 0.0 | (A) |
| Warrants | | | 0.0 | (A) |
| Convertible Preferred Stock | | | 0.0 | (A) |
Other Assets and Liabilities - Net(B) | | | (4.7 | ) |
| |
Total | | | 100.0 | % |
| | | | |
| | |
| (A) | | Amount rounds to less than 0.1%. |
| |
| (B) | | The Other Assets and Liabilities — Net category may include, but is not limited to, Forward Currency contracts, Futures Contracts, Swap Agreements, Written Options and Swaptions, and Securities Sold Short. |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
CONVERTIBLE PREFERRED STOCK — 0.0% ∞ | | | | | | | | |
Mexico - 0.0% ∞ | | | | | | | | |
| Cemex SAB de CV CPO ‡ | | | 56,160 | | | $ | 60 | |
Total Convertible Preferred Stock (cost $61) | | | | | | | | |
| | | | | | | | | |
PREFERRED STOCKS - 1.0% | | | | | | | | |
Brazil - 0.7% | | | | | | | | |
| Banco Bradesco SA, 2.66% ▲ | | | 9,060 | | | | 178 | |
| Bradespar SA, 2.1 8% ▲ | | | 523 | | | | 14 | |
| Centrais Eletricas Brasileiras SA 6.83%▲ | | | 4,022 | | | | 65 | |
| Cia Energetica de Minas Gerais, 9.57% ▲ | | | 2,805 | | | | 45 | |
| Gerdau SA, 1.59% ▲ | | | 2,381 | | | | 32 | |
| Investimentos Itau SA, 3.00% ▲ | | | 9,956 | | | | 79 | |
| Itau Unibanco Holding SA, 2.52% ▲ | | | 8,023 | | | | 193 | |
| Metalurgica Gerdau SA — Class A, 1.98%▲ | | | 653 | | | | 11 | |
| Petroleo Brasileiro SA, 3.65% ▲ | | | 12,186 | | | | 200 | |
| Tele Norte Leste Participacoes SA, 12.10% ▲ | | | 2,101 | | | | 31 | |
| Usinas Siderurgicas de Minas Gerais SA 2.47%▲ | | | 2,398 | | | | 28 | |
| Vale SA — Class A, 1.90% ▲ ‡ | | | 2,824 | | | | 82 | |
Germany - 0.3% | | | | | | | | |
| Henkel AG & Co., KGaA, 1.13 ▲ | | | 526 | | | | 33 | |
| Porsche AG, 0.21% ▲ | | | 1,667 | | | | 133 | |
| RWE AG, 7.25% ▲ | | | 172 | | | | 11 | |
| Volkswagen AG, 1.26% ▲ | | | 1,229 | | | | 200 | |
Korea, Republic of - 0.0% ∞ | | | | | | | | |
| Samsung Electronics Co., Ltd., 0.76% ▲ | | | 34 | | | | 19 | |
| | | | | | | | |
Total Preferred Stocks (cost $1,056) | | | | | | | 1,354 | |
| | | | | | | | |
| | | | | | | | | |
COMMON STOCKS - 87.0% | | | | | | | | |
Australia - 6.3% | | | | | | | | |
| AGL Energy, Ltd. | | | 3,114 | | | | 49 | |
| Alumina, Ltd. | | | 32,660 | | | | 83 | |
| Amcor, Ltd. | | | 16,410 | | | | 113 | |
| AMP, Ltd. ^ | | | 7,734 | | | | 42 | |
| Australia & New Zealand Banking Group, Ltd. | | | 41,158 | | | | 984 | |
| BHP Billiton, Ltd. | | | 68,551 | | | | 3,173 | |
| BlueScope Steel, Ltd. ‡ | | | 19,315 | | | | 44 | |
| Boral, Ltd. ^ | | | 11,400 | | | | 56 | |
| Brambles, Ltd. | | | 6,167 | | | | 45 | |
| Caltex Australia, Ltd. | | | 2,753 | | | | 40 | |
| Coca-Cola Amatil, Ltd. | | | 3,529 | | | | 39 | |
| Commonwealth Bank of Australia | | | 1,663 | | | | 86 | |
| CSL, Ltd. | | | 1,321 | | | | 49 | |
| CSR, Ltd. ^ | | | 14,965 | | | | 26 | |
| DuluxGroup, Ltd. | | | 7,223 | | | | 20 | |
| Fortescue Metals Group, Ltd. ‡ | | | 27,691 | | | | 185 | |
| Foster’s Group, Ltd. | | | 12,709 | | | | 74 | |
| Incitec Pivot, Ltd. | | | 34,555 | | | | 140 | |
| Insurance Australia Group, Ltd. | | | 10,893 | | | | 43 | |
| Leighton Holdings, Ltd. ^ | | | 1,102 | | | | 35 | |
| Lend Lease Corp., Ltd. | | | 3,138 | | | | 28 | |
| Macquarie Group, Ltd. | | | 1,131 | | | | 43 | |
| National Australia Bank, Ltd. | | | 2,268 | | | | 55 | |
| Newcrest Mining, Ltd. | | | 29,482 | | | | 1,219 | |
| OneSteel, Ltd. | | | 17,326 | | | | 46 | |
| Orica, Ltd. | | | 7,223 | | | | 184 | |
| Origin Energy, Ltd. | | | 4,774 | | | | 81 | |
| OZ Minerals, Ltd. | | | 60,415 | | | | 106 | |
| QBE Insurance Group, Ltd. | | | 3,875 | | | | 72 | |
| Rio Tinto, Ltd. | | | 5,771 | | | | 504 | |
| Santos, Ltd. | | | 3,293 | | | | 44 | |
| Sims Metal Management, Ltd. | | | 3,311 | | | | 73 | |
| Sonic Healthcare, Ltd. | | | 875 | | | | 10 | |
| Stockland REIT | | | 413 | | | | 2 | |
| Suncorp-Metway, Ltd. ‡ | | | 3,833 | | | | 34 | |
| Tabcorp Holdings, Ltd. | | | 2,490 | | | | 18 | |
| Telstra Corp., Ltd. | | | 13,369 | | | | 38 | |
| Transurban Group ‡^ | | | 5,045 | | | | 26 | |
| Wesfarmers, Ltd. | | | 2,720 | | | | 89 | |
| Wesfarmers, Ltd. — PPS | | | 948 | | | | 31 | |
| Westpac Banking Corp. | | | 2,351 | | | | 53 | |
| Woodside Petroleum, Ltd. | | | 3,306 | | | | 145 | |
| Woolworths, Ltd. | | | 6,436 | | | | 178 | |
Austria - 0.6% | | | | | | | | |
| Erste Group Bank AG | | | 3,143 | | | | 149 | |
| OMV AG | | | 1,922 | | | | 80 | |
| Raiffeisen Bank International AG ^ | | | 477 | | | | 26 | |
| Telekom Austria AG | | | 12,814 | | | | 181 | |
| Verbund AG | | | 2,098 | | | | 78 | |
| Vienna Insurance Group AG | | | 1,265 | | | | 66 | |
| Voestalpine AG | | | 4,549 | | | | 217 | |
Belgium - 0.5% | | | | | | | | |
| Ageas | | | 5,820 | | | | 13 | |
| Anheuser-Busch InBev NV | | | 5,425 | | | | 311 | |
| Anheuser-Busch InBev NV — STRIP VVPR ‡ | | | 2,616 | | | | ♦ | |
| Belgacom SA | | | 1,345 | | | | 45 | |
| Cie Nationale a Portefeuille | | | 409 | | | | 20 | |
| Delhaize Group SA | | | 752 | | | | 56 | |
| Solvay SA — Class A | | | 687 | | | | 73 | |
| UCB SA ^ | | | 1,180 | | | | 40 | |
| Umicore | | | 1,461 | | | | 76 | |
Bermuda - 0.3% | | | | | | | | |
| NWS Holdings, Ltd. | | | 385 | | | | 1 | |
| SeaDrill, Ltd. ^ | | | 11,188 | | | | 381 | |
| Shangri-La Asia, Ltd. | | | 1,125 | | | | 3 | |
| Yue Yuen Industrial Holdings | | | 8,000 | | | | 29 | |
Brazil - 0.7% | | | | | | | | |
| All America Latina Logistica SA | | | 10,200 | | | | 92 | |
| Banco do Brasil SA | | | 9,000 | | | | 170 | |
| BM&FBOVESPA SA | | | 5,700 | | | | 45 | |
| Cia Siderurgica Nacional SA | | | 4,200 | | | | 68 | |
| Embraer SA | | | 1,500 | | | | 11 | |
| Perdigao SA ‡ | | | 14,640 | | | | 242 | |
| Petroleo Brasileiro SA | | | 8,700 | | | | 160 | |
| Redecard SA | | | 1,600 | | | | 20 | |
| Vale SA ‡ | | | 1,900 | | | | 63 | |
Canada - 0.0% ∞ | | | | | | | | |
| Etrion Corp. ‡ | | | 705 | | | | ♦ | |
| China - 0.2% | | | | | | | | |
| BOC Hong Kong Holdings, Ltd. | | | 55,500 | | | | 190 | |
| MTR Corp. | | | 18,375 | | | | 67 | |
Denmark - 0.8% | | | | | | | | |
| A.P. Moller Maersk A/S — Series B | | | 22 | | | | 199 | |
| DSV A/S | | | 3,219 | | | | 71 | |
| Novo Nordisk A/S — Class B | | | 5,003 | | | | 564 | |
| Novozymes A/S | | | 636 | | | | 89 | |
| Vestas Wind Systems A/S ‡^ | | | 2,785 | | | | 88 | |
Egypt - 0.2% | | | | | | | | |
| Commercial International Bank Egypt SAE | | | 10,300 | | | | 84 | |
| Egyptian Co., for Mobile Services | | | 659 | | | | 19 | |
| Egyptian Financial Group-Hermes Holding | | | 4,388 | | | | 25 | |
| Elswedy Electric Co. ‡ | | | 1,300 | | | | 12 | |
| Ezz Steel ‡ | | | 4,498 | | | | 15 | |
| Orascom Construction Industries | | | 1,727 | | | | 86 | |
| Orascom Telecom Holding SAE ‡ | | | 54,841 | | | | 40 | |
| Talaat Moustafa Group ‡ | | | 10,769 | | | | 16 | |
| Telecom Egypt | | | 6,675 | | | | 21 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Finland -1.2% | | | | | | | | |
| Fortum OYJ | | | 4,750 | | | $ | 143 | |
| Kesko OYJ — Class B | | | 3,370 | | | | 157 | |
| Kone OYJ — Class B | | | 1,844 | | | | 102 | |
| Metso OYJ | | | 5,069 | | | | 284 | |
| Neste Oil OYJ ^ | | | 1,357 | | | | 22 | |
| Nokia OYJ | | | 45,288 | | | | 470 | |
| Outokumpu OYJ ^ | | | 1,833 | | | | 34 | |
| Rautaruukki OYJ | | | 1,205 | | | | 28 | |
| Sampo OYJ — Class A | | | 3,774 | | | | 101 | |
| Stora Enso OYJ — Class R | | | 7,954 | | | | 82 | |
| UPM-Kymmene OYJ | | | 6,924 | | | | 123 | |
| Wartsila OYJ | | | 727 | | | | 55 | |
France - 6.2% | | | | | | | | |
| Accor SA | | | 1,359 | | | | 60 | |
| Air Liquide SA | | | 2,005 | | | | 254 | |
| Alcatel-Lucent ‡ | | | 14,558 | | | | 42 | |
| Alstom SA | | | 5,792 | | | | 277 | |
| ATOS Origin SA ‡ | | | 183 | | | | 10 | |
| AXA SA | | | 14,155 | | | | 235 | |
| BNP Paribas | | | 10,363 | | | | 659 | |
| Bouygues SA | | | 5,810 | | | | 250 | |
| Capital Gemini SA | | | 956 | | | | 44 | |
| Carrefour SA | | | 4,799 | | | | 198 | |
| Casino Guichard Perrachon SA | | | 647 | | | | 63 | |
| Cie de St-Gobain | | | 1,440 | | | | 74 | |
| Cie Generale de Geophysique-Veritas ‡ | | | 1,825 | | | | 56 | |
| Cie Generale des Etablissements Michelin - Class B | | | 2,032 | | | | 146 | |
| Cie Generale D’optique Essilor International SA | | | 1,217 | | | | 78 | |
| CNP Assurances | | | 2,128 | | | | 38 | |
| Credit Agricole SA | | | 5,532 | | | | 70 | |
| Dassault Systemes SA | | | 407 | | | | 31 | |
| Edenred ‡ | | | 1,359 | | | | 32 | |
| EDF SA | | | 842 | | | | 35 | |
| Eurazeo NPV | | | 176 | | | | 13 | |
| Fonciere Des Regions REIT | | | 293 | | | | 28 | |
| France Telecom SA | | | 9,730 | | | | 203 | |
| GDF Suez | | | 6,167 | | | | 221 | |
| Gecina SA REIT | | | 236 | | | | 26 | |
| Groupe Danone SA | | | 4,091 | | | | 257 | |
| Hermes International ^ | | | 468 | | | | 98 | |
| ICADE REIT | | | 200 | | | | 20 | |
| Imerys SA | | | 422 | | | | 28 | |
| Klepierre REIT | | | 1,090 | | | | 39 | |
| Lafarge SA | | | 2,611 | | | | 164 | |
| Lagardere SCA | | | 1,281 | | | | 53 | |
| L’Oreal SA | | | 429 | | | | 48 | |
| LVMH Moet Hennessy Louis Vuitton SA | | | 1,647 | | | | 271 | |
| Neopost SA ^ | | | 382 | | | | 33 | |
| Pernod-Ricard SA | | | 558 | | | | 52 | |
| Peugeot SA ‡ | | | 2,234 | | | | 85 | |
| PPR SA | | | 772 | | | | 123 | |
| Publicis Groupe SA | | | 938 | | | | 49 | |
| Puma AG | | | 92 | | | | 30 | |
| Renault SA ‡ | | | 1,927 | | | | 112 | |
| Safran SA | | | 910 | | | | 32 | |
| Sanofi-Aventis SA | | | 6,772 | | | | 433 | |
| Schneider Electric SA | | | 2,926 | | | | 438 | |
| SCOR SE | | | 1,638 | | | | 42 | |
| Societe BIC SA | | | 377 | | | | 33 | |
| Societe Generale | | | 6,039 | | | | 325 | |
| Societe Television Francaise 1 | | | 2,263 | | | | 39 | |
| Sodexo | | | 778 | | | | 54 | |
| Technip SA | | | 1,922 | | | | 177 | |
| Thales SA | | | 802 | | | | 28 | |
| Total SA | | | 23,623 | | | | 1,253 | |
| Unibail-Rodamco REIT | | | 1,342 | | | | 266 | |
| Vallourec SA | | | 545 | | | | 57 | |
| Veolia Environnement SA | | | 2,669 | | | | 78 | |
| Vinci SA | | | 4,865 | | | | 265 | |
| Vivendi SA | | | 6,724 | | | | 181 | |
Germany - 6.2% | | | | | | | | |
| Adidas AG | | | 1,467 | | | | 95 | |
| Allianz SE | | | 2,686 | | | | 319 | |
| BASF SE | | | 4,324 | | | | 345 | |
| Bayer AG | | | 10,194 | | | | 756 | |
| Bayerische Motoren Werke AG | | | 7,095 | | | | 559 | |
| Beiersdorf AG | | | 432 | | | | 24 | |
| Celesio AG | | | 1,188 | | | | 30 | |
| Commerzbank AG ‡ | | | 6,029 | | | | 44 | |
| Daimler AG ‡ | | | 9,960 | | | | 674 | |
| Deutsche Bank AG | | | 4,300 | | | | 225 | |
| Deutsche Boerse AG | | | 735 | | | | 51 | |
| Deutsche Lufthansa AG ‡ | | | 1,798 | | | | 39 | |
| Deutsche Post AG | | | 4,925 | | | | 84 | |
| Deutsche Postbank AG ‡^ | | | 419 | | | | 12 | |
| Deutsche Telekom AG | | | 13,339 | | | | 172 | |
| E.ON AG | | | 13,686 | | | | 418 | |
| Fresenius Medical Care AG & Co., KGaA | | | 2,599 | | | | 149 | |
| GEA Group AG | | | 950 | | | | 27 | |
| Hochtief AG | | | 1,579 | | | | 134 | |
| K & S AG | | | 3,368 | | | | 254 | |
| Linde AG | | | 589 | | | | 89 | |
| Man AG | | | 686 | | | | 82 | |
| Merck KGaA | | | 318 | | | | 25 | |
| Metro AG | | | 2,351 | | | | 170 | |
| Muenchener Rueckversicherungs AG | | | 1,235 | | | | 187 | |
| RWE AG | | | 2,111 | | | | 141 | |
| SAP AG | | | 10,748 | | | | 548 | |
| Siemens AG | | | 18,077 | | | | 2,239 | |
| ThyssenKrupp AG | | | 1,821 | | | | 76 | |
| TUI AG ‡ | | | 1,642 | | | | 23 | |
| Volkswagen AG ^ | | | 2,142 | | | | 304 | |
Hong Kong - 2.3% | | | | | | | | |
| Bank of East Asia, Ltd. | | | 29,492 | | | | 125 | |
| Cathay Pacific Airways, Ltd. | | | 12,000 | | | | 33 | |
| Cheung Kong Holdings, Ltd. | | | 22,000 | | | | 338 | |
| Cheung Kong Infrastructure Holdings, Ltd. | | | 7,000 | | | | 32 | |
| CLP Holdings, Ltd. | | | 20,003 | | | | 163 | |
| Esprit Holdings, Ltd. | | | 17,847 | | | | 85 | |
| Hang Lung Properties, Ltd. | | | 32,000 | | | | 149 | |
| Hang Seng Bank, Ltd. | | | 11,100 | | | | 182 | |
| Henderson Land Development Co., Ltd. | | | 10,209 | | | | 70 | |
| Hong Kong & China Gas Co., Ltd. | | | 58,928 | | | | 140 | |
| Hong Kong Exchanges & Clearing, Ltd. | | | 11,200 | | | | 254 | |
| HongKong Electric Holdings, Ltd. | | | 16,500 | | | | 104 | |
| Hopewell Holdings, Ltd. | | | 11,000 | | | | 35 | |
| Hutchison Whampoa, Ltd. | | | 22,920 | | | | 236 | |
| Hysan Development Co., Ltd. | | | 19,485 | | | | 92 | |
| Kerry Properties, Ltd. | | | 6,091 | | | | 32 | |
| Li & Fung, Ltd. | | | 13,614 | | | | 80 | |
| Link REIT/ The | | | 30,870 | | | | 96 | |
| New World Development, Ltd. | | | 40,418 | | | | 76 | |
| Noble Group, Ltd. ^ | | | 24,545 | | | | 42 | |
| Sino Land Co., Ltd. | | | 10,483 | | | | 20 | |
| Sun Hung Kai Properties, Ltd. | | | 22,158 | | | | 366 | |
| Swire Pacific, Ltd. — Series A | | | 11,000 | | | | 180 | |
| Wharf Holdings, Ltd. | | | 22,016 | | | | 169 | |
Indonesia - 0.5% | | | | | | | | |
| Astra Agro Lestari PT | | | 4,000 | | | | 12 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Indonesia (continued) | | | | | | | | |
| Astra International PT | | | 20,500 | | | $ | 124 | |
| Bank Central Asia PT | | | 117,500 | | | | 83 | |
| Bank Mandiri | | | 66,000 | | | | 47 | |
| Bank Rakyat Indonesia Persero PT | | | 56,000 | | | | 65 | |
| Bumi Resources PT | | | 166,500 | | | | 56 | |
| Indosat PT | | | 15,000 | | | | 9 | |
| International Nickel Indonesia PT | | | 23,000 | | | | 12 | |
| Lippo Karawaci PT | | | 182,500 | | | | 14 | |
| Perusahaan Gas Negara PT | | | 95,000 | | | | 47 | |
| Semen Gresik Persero PT | | | 14,000 | | | | 15 | |
| Tambang Batubara Bukit Asam PT | | | 8,000 | | | | 20 | |
| Telekomunikasi Indonesia PT | | | 96,500 | | | | 85 | |
| Unilever Indonesia PT | | | 18,000 | | | | 33 | |
| United Tractors PT | | | 15,000 | | | | 40 | |
Isle of Man -0.1% | | | | | | | | |
| Genting Singapore PLC ‡ | | | 82,000 | | | | 140 | |
Italy -1.0% | | | | | | | | |
| Assicurazioni Generali SpA | | | 11,540 | | | | 220 | |
| Bank Pekao SA | | | 1,467 | | | | 89 | |
| Enel SpA | | | 3,515 | | | | 18 | |
| ENI SpA | | | 34,327 | | | | 751 | |
| Fiat SpA | | | 1,126 | | | | 23 | |
| Mediobanca SpA ^ | | | 715 | | | | 6 | |
| Saipem SpA | | | 3,294 | | | | 163 | |
| Telecom Italia SpA | | | 10,423 | | | | 14 | |
Japan - 18.8% | | | | | | | | |
| 77 Bank Ltd. ^ | | | 5,000 | | | | 26 | |
| Advantest Corp. ^ | | | 2,800 | | | | 63 | |
| AEON Co., Ltd. ^ | | | 5,700 | | | | 71 | |
| AEON Mall Co., Ltd. | | | 1,200 | | | | 32 | |
| Aisin Seiki Co., Ltd. | | | 2,000 | | | | 70 | |
| Ajinomoto Co., Inc. | | | 7,000 | | | | 74 | |
| Amada Co., Ltd. | | | 5,000 | | | | 41 | |
| Asahi Breweries, Ltd. ^ | | | 6,700 | | | | 129 | |
| Asahi Glass Co., Ltd. ^ | | | 13,000 | | | | 151 | |
| Asahi Kasei Corp. | | | 14,000 | | | | 91 | |
| Astellas Pharma, Inc. ^ | | | 4,100 | | | | 156 | |
| Bank of Kyoto, Ltd. | | | 3,000 | | | | 28 | |
| Bank of Yokohama, Ltd. | | | 15,000 | | | | 77 | |
| Benesse Holdings, Inc. | | | 400 | | | | 18 | |
| Bridgestone Corp. ^ | | | 12,800 | | | | 246 | |
| Canon, Inc. ^ | | | 15,150 | | | | 777 | |
| Casio Computer Co., Ltd. ^ | | | 5,400 | | | | 43 | |
| Central Japan Railway Co. ^ | | | 16 | | | | 134 | |
| Chiba Bank, Ltd. | | | 7,000 | | | | 45 | |
| Chubu Electric Power Co., Inc. ^ | | | 2,400 | | | | 59 | |
| Chugai Pharmaceutical Co., Ltd. ^ | | | 2,702 | | | | 49 | |
| Chuo Mitsui Trust Holdings, Inc. | | | 21,000 | | | | 87 | |
| Citizen Holdings Co., Ltd. | | | 5,000 | | | | 34 | |
| Credit Saison Co., Ltd. | | | 1,600 | | | | 26 | |
| DAI Nippon Printing Co., Ltd. | | | 4,000 | | | | 54 | |
| Daicel Chemical Industries, Ltd. ^ | | | 2,000 | | | | 15 | |
| Daiichi Sankyo Co., Ltd. ^ | | | 10,456 | | | | 228 | |
| Daikin Industries, Ltd. | | | 4,000 | | | | 141 | |
| Daito Trust Construction Co., Ltd. | | | 1,100 | | | | 75 | |
| Daiwa House Industry Co., Ltd. | | | 7,000 | | | | 86 | |
| Daiwa Securities Group, Inc. ^ | | | 20,000 | | | | 103 | |
| Denki Kagaku Kogyo KK | | | 6,000 | | | | 28 | |
| Denso Corp. ^ | | | 11,000 | | | | 379 | |
| DOWA Holdings Co., Ltd. | | | 7,000 | | | | 46 | |
| East Japan Railway Co. | | | 3,600 | | | | 233 | |
| Eisai Co., Ltd. ^ | | | 2,100 | | | | 76 | |
| FamilyMart Co., Ltd. | | | 900 | | | | 34 | |
| Fanuc Corp. | | | 3,100 | | | | 473 | |
| Fast Retailing Co., Ltd. | | | 1,600 | | | | 254 | |
| Fujifilm Holdings Corp. | | | 8,700 | | | | 314 | |
| Fujitsu, Ltd. | | | 34,000 | | | | 235 | |
| Fukuoka Financial Group, Inc. | | | 9,000 | | | | 39 | |
| Furukawa Electric Co., Ltd. ^ | | | 10,000 | | | | 45 | |
| Hirose Electric Co., Ltd. | | | 500 | | | | 56 | |
| Hitachi Construction Machinery Co., Ltd. ^ | | | 2,000 | | | | 48 | |
| Hitachi, Ltd. | | | 36,000 | | | | 191 | |
| Hokuhoku Financial Group, Inc. | | | 15,000 | | | | 30 | |
| Honda Motor Co., Ltd. ^ | | | 17,400 | | | | 687 | |
| Hoya Corp. | | | 4,400 | | | | 106 | |
| Ibiden Co., Ltd. ^ | | | 2,600 | | | | 82 | |
| IHI Corp. ^ | | | 16,000 | | | | 36 | |
| INPEX Corp. | | | 19 | | | | 111 | |
| Isetan Mitsukoshi Holdings, Ltd. ^ | | | 3,360 | | | | 39 | |
| ITOCHU Corp. | | | 16,400 | | | | 165 | |
| ITOCHU Techno-Solutions Corp. ^ | | | 600 | | | | 22 | |
| J. Front Retailing Co., Ltd. | | | 5,000 | | | | 27 | |
| Japan Real Estate Investment Corp. REIT | | | 7 | | | | 73 | |
| Japan Retail Fund Investment Corp. REIT | | | 23 | | | | 44 | |
| Japan Tobacco, Inc. ^ | | | 82 | | | | 303 | |
| JFE Holdings, Inc. | | | 3,700 | | | | 128 | |
| JGC Corp. | | | 9,000 | | | | 196 | |
| Joyo Bank, Ltd. | | | 9,000 | | | | 39 | |
| JS Group Corp. | | | 2,800 | | | | 61 | |
| JSR Corp. | | | 2,000 | | | | 37 | |
| JX Holdings, Inc. | | | 25,700 | | | | 173 | |
| Kajima Corp. | | | 16,000 | | | | 42 | |
| Kaneka Corp. | | | 3,000 | | | | 21 | |
| Kansai Electric Power Co., Inc. | | | 4,400 | | | | 108 | |
| KAO Corp. | | | 6,100 | | | | 163 | |
| Kawasaki Heavy Industries, Ltd. ^ | | | 16,000 | | | | 54 | |
| Kawasaki Kisen Kaisha, Ltd. ^ | | | 28,000 | | | | 122 | |
| Keikyu Corp. ^ | | | 3,000 | | | | 26 | |
| KEIO Corp. | | | 2,000 | | | | 14 | |
| Keyence Corp. ^ | | | 920 | | | | 265 | |
| Kikkoman Corp. ^ | | | 2,000 | | | | 22 | |
| Kintetsu Corp. ^ | | | 17,000 | | | | 53 | |
| Kirin Holdings Co., Ltd. ^ | | | 15,000 | | | | 210 | |
| Kobe Steel, Ltd. | | | 27,000 | | | | 68 | |
| Komatsu, Ltd. | | | 17,100 | | | | 514 | |
| Konami Corp. ^ | | | 1,900 | | | | 40 | |
| Konica Minolta Holdings, Inc. | | | 7,500 | | | | 78 | |
| Kubota Corp. ^ | | | 25,000 | | | | 236 | |
| Kuraray Co., Ltd. | | | 4,000 | | | | 57 | |
| Kurita Water Industries, Ltd. | | | 900 | | | | 28 | |
| Kyocera Corp. | | | 2,900 | | | | 295 | |
| Kyowa Hakko Kirin Co., Ltd. ^ | | | 3,011 | | | | 31 | |
| Kyushu Electric Power Co., Inc. | | | 1,400 | | | | 31 | |
| Lawson, Inc. | | | 600 | | | | 30 | |
| Mabuchi Motor Co., Ltd. ^ | | | 300 | | | | 15 | |
| Makita Corp. | | | 900 | | | | 37 | |
| Marubeni Corp. | | | 31,000 | | | | 217 | |
| Marui Group Co., Ltd. | | | 5,400 | | | | 44 | |
| Matsui Securities Co., Ltd. ^ | | | 3,900 | | | | 28 | |
| Minebea Co., Ltd. | | | 7,000 | | | | 44 | |
| Mitsubishi Chemical Holdings Corp. | | | 16,500 | | | | 111 | |
| Mitsubishi Corp. | | | 20,600 | | | | 555 | |
| Mitsubishi Electric Corp. | | | 35,000 | | | | 366 | |
| Mitsubishi Estate Co., Ltd. | | | 16,000 | | | | 295 | |
| Mitsubishi Heavy Industries, Ltd. ^ | | | 36,000 | | | | 135 | |
| Mitsubishi Materials Corp. ‡ ^ | | | 20,000 | | | | 64 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 63,208 | | | | 342 | |
| Mitsui & Co., Ltd. | | | 16,700 | | | | 275 | |
| Mitsui Chemicals, Inc. | | | 7,000 | | | | 25 | |
| Mitsui Fudosan Co., Ltd. | | | 11,000 | | | | 219 | |
| Mitsui Mining & Smelting Co., Ltd. | | | 16,000 | | | | 53 | |
| Mitsui O.S.K. Lines, Ltd. | | | 9,000 | | | | 61 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Japan (continued) | | | | | | | | |
| Mizuho Financial Group, Inc. ^ | | | 156,800 | | | $ | 294 | |
| Mizuho Securities Co., Ltd. ^ | | | 11,000 | | | | 31 | |
| MS&AD Insurance Group Holdings | | | 5,200 | | | | 130 | |
| Murata Manufacturing Co., Ltd. | | | 2,200 | | | | 154 | |
| NEC Corp. ^ | | | 29,000 | | | | 87 | |
| NGK Insulators, Ltd. ^ | | | 8,000 | | | | 130 | |
| NGK Spark Plug Co., Ltd. | | | 2,000 | | | | 31 | |
| Nidec Corp. ^ | | | 1,400 | | | | 141 | |
| Nikon Corp. ^ | | | 3,800 | | | | 77 | |
| Nintendo Co., Ltd. ^ | | | 1,200 | | | | 351 | |
| Nippon Building Fund, Inc. REIT ^ | | | 8 | | | | 81 | |
| Nippon Electric Glass Co., Ltd. | | | 8,000 | | | | 115 | |
| Nippon Express Co., Ltd. | | | 12,000 | | | | 54 | |
| Nippon Meat Packers, Inc. | | | 2,000 | | | | 26 | |
| Nippon Paper Group, Inc. ^ | | | 2,800 | | | | 74 | |
| Nippon Sheet Glass Co., Ltd. | | | 7,000 | | | | 19 | |
| Nippon Steel Corp. | | | 79,000 | | | | 282 | |
| Nippon Telegraph & Telephone Corp. | | | 2,500 | | | | 114 | |
| Nippon Yusen KK ^ | | | 13,000 | | | | 57 | |
| Nishi-Nippon City Bank, Ltd. | | | 6,000 | | | | 18 | |
| Nissan Chemical Industries, Ltd. | | | 2,500 | | | | 32 | |
| Nissan Motor Co., Ltd. | | | 19,200 | | | | 182 | |
| Nisshin Seifun Group, Inc. | | | 3,500 | | | | 44 | |
| Nissin Foods Holdings Co., Ltd. ^ | | | 1,100 | | | | 39 | |
| Nitto Denko Corp. | | | 2,600 | | | | 122 | |
| NKSJ Holdings, Inc. ‡ | | | 8,000 | | | | 59 | |
| Nomura Holdings, Inc. ^ | | | 25,000 | | | | 158 | |
| Nomura Research Institute, Ltd. ^ | | | 1,700 | | | | 38 | |
| NSK, Ltd. ^ | | | 9,000 | | | | 81 | |
| NTN Corp. | | | 8,000 | | | | 42 | |
| NTT Data Corp. | | | 18 | | | | 62 | |
| NTT DoCoMo, Inc. | | | 39 | | | | 68 | |
| Obayashi Corp. | | | 13,000 | | | | 60 | |
| Obic Co., Ltd. | | | 140 | | | | 29 | |
| OJI Paper Co., Ltd. ^ | | | 15,000 | | | | 72 | |
| Olympus Corp. ^ | | | 1,600 | | | | 48 | |
| Omron Corp. | | | 3,000 | | | | 79 | |
| Oracle Corp. Japan | | | 800 | | | | 39 | |
| Oriental Land Co., Ltd. ^ | | | 700 | | | | 65 | |
| ORIX Corp. ^ | | | 270 | | | | 27 | |
| Osaka Gas Co., Ltd. ^ | | | 11,000 | | | | 43 | |
| Panasonic Corp. | | | 28,500 | | | | 402 | |
| Resona Holdings, Inc. ^ | | | 3,800 | | | | 23 | |
| Ricoh Co., Ltd. | | | 13,000 | | | | 190 | |
| ROHM Co., Ltd. | | | 1,600 | | | | 104 | |
| SBI Holdings, Inc. | | | 167 | | | | 25 | |
| Secom Co., Ltd. | | | 1,500 | | | | 72 | |
| Seiko Epson Corp. | | | 1,800 | | | | 33 | |
| Sekisui Chemical Co., Ltd. | | | 4,000 | | | | 29 | |
| Sekisui House, Ltd. | | | 10,000 | | | | 101 | |
| Seven & I Holdings Co., Ltd. | | | 10,960 | | | | 291 | |
| Sharp Corp. ^ | | | 9,000 | | | | 92 | |
| Shimamura Co., Ltd. ^ | | | 200 | | | | 19 | |
| Shimano, Inc. ^ | | | 1,700 | | | | 86 | |
| Shimizu Corp. | | | 13,000 | | | | 55 | |
| Shin-Etsu Chemical Co., Ltd. | | | 5,500 | | | | 296 | |
| Shinsei Bank, Ltd. ‡ ^ | | | 15,000 | | | | 20 | |
| Shionogi & Co., Ltd. | | | 3,800 | | | | 75 | |
| Shiseido Co., Ltd. ^ | | | 6,400 | | | | 139 | |
| Shizuoka Bank, Ltd. | | | 7,000 | | | | 64 | |
| Showa Denko KK ^ | | | 11,000 | | | | 25 | |
| Showa Shell Sekiyu KK ^ | | | 1,400 | | | | 13 | |
| SMC Corp. | | | 1,300 | | | | 222 | |
| Softbank Corp. | | | 11,800 | | | | 407 | |
| Sony Corp. ^ | | | 9,400 | | | | 336 | |
| Stanley Electric Co., Ltd. | | | 700 | | | | 13 | |
| Sumitomo Chemical Co., Ltd. | | | 16,000 | | | | 79 | |
| Sumitomo Corp. ^ | | | 11,000 | | | | 155 | |
| Sumitomo Electric Industries, Ltd. | | | 6,900 | | | | 95 | |
| Sumitomo Heavy Industries, Ltd. | | | 7,000 | | | | 45 | |
| Sumitomo Metal Industries, Ltd. | | | 58,000 | | | | 142 | |
| Sumitomo Metal Mining Co., Ltd. | | | 14,000 | | | | 244 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 10,100 | | | | 359 | |
| Sumitomo Realty & Development Co., Ltd. | | | 5,000 | | | | 119 | |
| Sumitomo Trust & Banking Co., Ltd. ^ | | | 32,000 | | | | 200 | |
| Suzuki Motor Corp. ^ | | | 3,500 | | | | 86 | |
| T&D Holdings, Inc. ^ | | | 2,150 | | | | 54 | |
| Taisei Corp. | | | 16,000 | | | | 37 | |
| Taisho Pharmaceutical Co., Ltd. ^ | | | 1,911 | | | | 42 | |
| Takashimaya Co., Ltd. ^ | | | 4,000 | | | | 34 | |
| Takeda Pharmaceutical Co., Ltd. ^ | | | 8,200 | | | | 403 | |
| TDK Corp. | | | 1,500 | | | | 104 | |
| Teijin, Ltd. | | | 12,000 | | | | 51 | |
| Terumo Corp. ^ | | | 3,200 | | | | 180 | |
| THK Co., Ltd. ^ | | | 700 | | | | 16 | |
| Tobu Railway Co., Ltd. ^ | | | 11,000 | | | | 62 | |
| Tohoku Electric Power Co., Inc. ^ | | | 2,100 | | | | 47 | |
| Tokio Marine Holdings, Inc. | | | 7,948 | | | | 236 | |
| Tokyo Electric Power Co., Inc. | | | 7,100 | | | | 174 | |
| Tokyo Electron, Ltd. ^ | | | 3,000 | | | | 189 | |
| Tokyo Gas Co., Ltd. | | | 12,000 | | | | 53 | |
| Tokyu Corp. | | | 15,000 | | | | 69 | |
| Tokyu Land Corp. | | | 8,000 | | | | 40 | |
| TonenGeneral Sekiyu KK ^ | | | 5,000 | | | | 55 | |
| Toppan Printing Co., Ltd. ^ | | | 4,000 | | | | 36 | |
| Toray Industries, Inc. ^ | | | 13,000 | | | | 77 | |
| Toshiba Corp. | | | 30,000 | | | | 163 | |
| Tosoh Corp. ^ | | | 7,000 | | | | 23 | |
| Toto, Ltd. | | | 7,000 | | | | 51 | |
| Toyo Seikan Kaisha, Ltd. ^ | | | 2,200 | | | | 42 | |
| Toyota Boshoku Corp. ^ | | | 1,200 | | | | 21 | |
| Toyota Industries Corp. | | | 1,100 | | | | 34 | |
| Toyota Motor Corp. | | | 21,400 | | | | 842 | |
| Trend Micro, Inc. ^ | | | 1,700 | | | | 56 | |
| Uni-Charm Corp. ^ | | | 1,600 | | | | 64 | |
| Ushio, Inc. ^ | | | 800 | | | | 15 | |
| West Japan Railway Co. | | | 3 | | | | 11 | |
| Yahoo! Japan Corp. ^ | | | 202 | | | | 78 | |
| Yamada Denki Co., Ltd. ^ | | | 1,150 | | | | 78 | |
| Yamaha Corp. | | | 1,400 | | | | 17 | |
| Yamato Holdings Co., Ltd. | | | 3,100 | | | | 44 | |
| Yokogawa Electric Corp. | | | 3,400 | | | | 27 | |
Jersey, Channel Islands - 0.2% | | | | | | | | |
| Randgold Resources, Ltd. | | | 2,286 | | | | 188 | |
| Wolseley PLC ‡ | | | 884 | | | | 28 | |
Korea, Republic of - 0.6% | | | | | | | | |
| Cheil Industries, Inc. ‡ | | | 133 | | | | 13 | |
| Daewoo Securities Co., Ltd. | | | 340 | | | | 8 | |
| Doosan Heavy Industries and Construction Co., Ltd. ‡ | | | 178 | | | | 13 | |
| GS Engineering & Construction Corp. ‡ | | | 115 | | | | 12 | |
| Hana Financial Group, Inc. | | | 350 | | | | 13 | |
| Hynix Semiconductor, Inc. ‡ | | | 840 | | | | 18 | |
Hyundai Engineering & Construction Co., Ltd. ‡ | | | 140 | | | | 9 | |
| Hyundai Heavy Industries Co., Ltd. ‡ | | | 78 | | | | 31 | |
| Hyundai Mobis ‡ | | | 109 | | | | 27 | |
| Hyundai Motor Co. ‡ | | | 262 | | | | 40 | |
| Hyundai Steel Co. ‡ | | | 140 | | | | 15 | |
| Industrial Bank of Korea ‡ | | | 570 | | | | 9 | |
| KB Financial Group, Inc. ‡ | | | 660 | | | | 35 | |
| KIA Motors Corp. ‡ | | | 390 | | | | 17 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Korea, Republic of (continued) | | | | | | | | |
| Korea Electric Power Corp. ‡ | | | 470 | | | $ | 13 | |
| Korea Exchange Bank | | | 950 | | | | 10 | |
| KT Corp. | | | 390 | | | | 16 | |
| KT&G Corp. | | | 206 | | | | 12 | |
| LG Chem, Ltd. ‡ | | | 82 | | | | 28 | |
| LG Corp. ‡ | | | 317 | | | | 24 | |
| LG Display Co., Ltd. ‡ | | | 420 | | | | 14 | |
| LG Electronics, Inc. ‡ | | | 170 | | | | 18 | |
| Lotte Shopping Co., Ltd. ‡ | | | 24 | | | | 10 | |
| NHN Corp. ‡ | | | 78 | | | | 16 | |
| OCI Co., Ltd. ‡ | | | 33 | | | | 10 | |
| POSCO | | | 110 | | | | 47 | |
| Samsung C&T Corp. ‡ | | | 272 | | | | 19 | |
| Samsung Electro-Mechanics Co., Ltd. ‡ | | | 108 | | | | 12 | |
| Samsung Electronics Co., Ltd. | | | 153 | | | | 127 | |
| Samsung Engineering Co., Ltd. ‡ | | | 66 | | | | 11 | |
| Samsung Fire & Marine Insurance Co., Ltd. | | | 71 | | | | 14 | |
| Samsung Heavy Industries Co., Ltd. ‡ | | | 420 | | | | 15 | |
| Samsung SDI Co., Ltd. ‡ | | | 67 | | | | 10 | |
| Samsung Securities Co., Ltd. | | | 133 | | | | 10 | |
| Samsung Techwin Co., Ltd. ‡ | | | 72 | | | | 7 | |
| Shinhan Financial Group Co., Ltd. ‡ | | | 730 | | | | 34 | |
| Shinsegae Co., Ltd. | | | 30 | | | | 16 | |
| SK Energy Co., Ltd. ‡ | | | 118 | | | | 20 | |
| SK Telecom Co., Ltd. | | | 92 | | | | 14 | |
| S-Oil Corp. | | | 130 | | | | 11 | |
| Woori Finance Holdings Co., Ltd. ‡ | | | 440 | | | | 6 | |
Luxembourg - 0.2% | | | | | | | | |
| ArcelorMittal | | | 8,590 | | | | 326 | |
Mauritius - 0.0% ∞ | | | | | | | | |
| Golden Agri-Resources, Ltd. | | | 68,626 | | | | 43 | |
Mexico - 0.6% | | | | | | | | |
| America Movil SAB de CV — Series L | | | 101,100 | | | | 289 | |
| Fomento Economico Mexicano SAB de CV ^ | | | 11,400 | | | | 64 | |
| Grupo Bimbo SAB de CV — Series A | | | 2,200 | | | | 19 | |
| Grupo Carso SA de CV — Series A1 | | | 4,700 | | | | 30 | |
| Grupo Elektra SA de CV | | | 500 | | | | 21 | |
| Grupo Financiero Banorte SAB de CV — Class O | | | 8,447 | | | | 40 | |
| Grupo Financiero Inbursa SA — Class O | | | 5,400 | | | | 24 | |
| Grupo Mexico SAB de CV — Series B | | | 21,566 | | | | 88 | |
| Grupo Modelo SAB de CV — Series C | | | 3,700 | | | | 23 | |
| Grupo Televisa SA CPO ‡ | | | 11,400 | | | | 59 | |
| Industrias Penoles SAB de CV | | | 600 | | | | 22 | |
| Kimberly-Clark de Mexico SAB de CV — Class A | | | 2,900 | | | | 18 | |
| Telefonos de Mexico SAB de CV — Class L ^ | | | 31,700 | | | | 26 | |
| Wal-Mart de Mexico SAB de CV — Series V | | | 28,600 | | | | 82 | |
Netherlands - 3.6% | | | | | | | | |
| Akzo Nobel NV | | | 2,786 | | | | 173 | |
| ASML Holding NV | | | 5,684 | | | | 220 | |
| Corio NV REIT | | | 665 | | | | 43 | |
| European Aeronautic Defence and Space Co., NV ‡ | | | 2,170 | | | | 51 | |
| Fugro NV | | | 817 | | | | 67 | |
| Groupe Bruxelles Lambert SA | | | 663 | | | | 56 | |
| Heineken NV | | | 8,916 | | | | 437 | |
| ING Groep NV ‡ | | | 8,202 | | | | 80 | |
| James Hardie Industries SE ‡ | | | 8,588 | | | | 60 | |
| Koninklijke Ahold NV | | | 12,589 | | | | 166 | |
| Koninklijke DSM NV | | | 1,819 | | | | 104 | |
| Koninklijke KPN NV | | | 18,521 | | | | 270 | |
| Koninklijke Philips Electronics NV | | | 22,455 | | | | 687 | |
| Pargesa Holding SA (Bearer Shares) | | | 52 | | | | 4 | |
| Reed Elsevier NV | | | 9,249 | | | | 114 | |
| Royal Dutch Shell PLC — Class B | | | 35,268 | | | | 1,162 | |
| SBM Offshore NV | | | 1,879 | | | | 42 | |
| TNT NV | | | 12,112 | | | | 320 | |
| Unilever NV | | | 19,985 | | | | 622 | |
| Wolters Kluwer NV | | | 6,282 | | | | 138 | |
Norway -1.8% | | | | | | | | |
| DnB NOR ASA | | | 17,317 | | | | 244 | |
| Norsk Hydro ASA | | | 16,469 | | | | 121 | |
| Orkla ASA | | | 14,963 | | | | 146 | |
| Renewable Energy Corp., ASA ‡ ^ | | | 2,700 | | | | 8 | |
| Statoil ASA | | | 15,691 | | | | 374 | |
| Telenor ASA | | | 28,998 | | | | 473 | |
| Yara International ASA ^ | | | 16,942 | | | | 986 | |
Poland -1.3% | | | | | | | | |
| Asseco Poland SA | | | 1,000 | | | | 18 | |
| Bank Handlowy Warsza | | | 14,616 | | | | 461 | |
| Getin Holding SA ‡ | | | 102,447 | | | | 398 | |
| Globe Trade Centre SA ‡ | | | 1,800 | | | | 15 | |
| KGHM Polska Miedz SA | | | 1,621 | | | | 95 | |
| PBG SA | | | 2,900 | | | | 209 | |
| Polski Koncern Naftowy Orlen ‡ | | | 4,098 | | | | 63 | |
| Polskie Gornictwo Naftowe I Gazownictwo SA | | | 213,503 | | | | 258 | |
| Powszechna Kasa Oszczednosci Bank Polski SA | | | 7,500 | | | | 109 | |
| Telekomunikacja Polska SA | | | 8,255 | | | | 46 | |
Russian Federation - 1.6% | | | | | | | | |
| Gazprom OAO ADR | | | 24,350 | | | | 619 | |
| Lukoil OAO ADR | | | 5,100 | | | | 292 | |
| MMC Norilsk Nickel ADR | | | 12,316 | | | | 292 | |
| Mobile Telesystems OJSC ADR | | | 4,750 | | | | 99 | |
| Novatek OAO GDR | | | 820 | | | | 98 | |
| Polyus Gold OJSC ADR | | | 2,478 | | | | 90 | |
| Rosneft Oil Co. GDR | | | 16,150 | | | | 116 | |
| Surgutneftegas ADR | | | 15,600 | | | | 165 | |
| Tatneft ADR | | | 3,925 | | | | 130 | |
| VTB Bank OJSC GDR | | | 27,813 | | | | 183 | |
Singapore - 1.4% | | | | | | | | |
| Ascendas Real Estate Investment Trust ‡ | | | 13,000 | | | | 21 | |
| Bank Danamon | | | 31,000 | | | | 20 | |
| Capitaland, Ltd. | | | 28,000 | | | | 81 | |
| CapitaMall Trust REIT ‡ | | | 25,000 | | | | 38 | |
| City Developments, Ltd. | | | 6,000 | | | | 59 | |
| ComfortDelgro Corp., Ltd. | | | 20,000 | | | | 24 | |
| DBS Group Holdings, Ltd. | | | 24,000 | | | | 268 | |
| Fraser and Neave, Ltd. | | | 13,000 | | | | 65 | |
| Keppel Corp., Ltd. | | | 16,000 | | | | 141 | |
| Olam International, Ltd. ^ | | | 7,000 | | | | 17 | |
| Oversea-Chinese Banking Corp. | | | 45,000 | | | | 345 | |
| SembCorp Industries, Ltd. | | | 13,000 | | | | 52 | |
| SembCorp Marine, Ltd. ^ | | | 9,000 | | | | 38 | |
| Singapore Airlines, Ltd. | | | 7,003 | | | | 84 | |
| Singapore Airlines, Ltd. - 200 | | | 1,000 | | | | 12 | |
| Singapore Exchange, Ltd. ^ | | | 7,000 | | | | 46 | |
| Singapore Press Holdings, Ltd. ^ | | | 9,000 | | | | 28 | |
| Singapore Technologies Engineering, Ltd. | | | 15,000 | | | | 40 | |
| Singapore Telecommunications, Ltd. | | | 89,000 | | | | 212 | |
| United Overseas Bank, Ltd. | | | 20,000 | | | | 283 | |
| Wilmar International, Ltd. ^ | | | 13,000 | | | | 57 | |
Spain - 0.2% | | | | | | | | |
| Inditex SA ^ | | | 878 | | | | 66 | |
| Repsol YPF SA | | | 809 | | | | 23 | |
| Telefonica SA | | | 5,074 | | | | 115 | |
Sweden - 2.9% | | | | | | | | |
| Alfa Laval AB | | | 2,800 | | | | 59 | |
| ASSA Abloy AB — Series B | | | 3,237 | | | | 91 | |
| Atlas Copco AB — Class A | | | 7,771 | | | | 197 | |
| Atlas Copco AB — Class B | | | 5,015 | | | | 114 | |
| Electrolux AB — Series B | | | 2,840 | | | | 80 | |
| Getinge AB — Class B | | | 4,049 | | | | 85 | |
| Hennes & Mauritz AB — Class B | | | 10,118 | | | | 337 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Sweden (continued) | | | | | | | | |
| Holmen AB — Class B | | | 850 | | | $ | 28 | |
| Husqvarna AB — Class B ^ | | | 2,840 | | | | 24 | |
| Investor AB — Class B | | | 4,638 | | | | 99 | |
| Lundin Petroleum AB ‡ | | | 3,091 | | | | 39 | |
| Nordea Bank AB | | | 33,185 | | | | 361 | |
| Oriflame Cosmetics SA ^ | | | 2,773 | | | | 146 | |
| Sandvik AB | | | 11,655 | | | | 228 | |
| Skanska AB — Class B | | | 13,820 | | | | 274 | |
| SKF AB — Class B | | | 2,566 | | | | 73 | |
| SSAB AB — Series A | | | 2,429 | | | | 41 | |
| Svenska Cellulosa AB — Class B | | | 7,530 | | | | 119 | |
| Svenska Handelsbanken AB — Class A | | | 9,368 | | | | 299 | |
| Swedish Match AB | | | 3,766 | | | | 109 | |
| Tele2 AB — Class B | | | 1,343 | | | | 28 | |
| Telefonaktiebolaget LM Ericsson — Class B | | | 49,830 | | | | 577 | |
| TeliaSonera AB | | | 16,935 | | | | 134 | |
| Volvo AB — Class A ‡ | | | 4,905 | | | | 84 | |
| Volvo AB — Class B ‡ | | | 10,625 | | | | 187 | |
Switzerland - 8.8% | | | | | | | | |
| ABB, Ltd. | | | 40,673 | | | | 908 | |
| Baloise Holding AG | | | 517 | | | | 50 | |
| Cie Financiere Richemont SA | | | 12,121 | | | | 712 | |
| Credit Suisse Group AG | | | 6,524 | | | | 263 | |
| GAM Holding, Ltd. ‡ | | | 1,463 | | | | 24 | |
| Geberit AG | | | 392 | | | | 91 | |
| Givaudan SA | | | 75 | | | | 81 | |
| Holcim, Ltd. | | | 2,779 | | | | 210 | |
| Julius Baer Group, Ltd. | | | 1,577 | | | | 74 | |
| Logitech International SA ‡ ^ | | | 3,016 | | | | 57 | |
| Lonza Group AG | | | 376 | | | | 30 | |
| Nestle SA | | | 62,274 | | | | 3,649 | |
| Novartis AG | | | 26,151 | | | | 1,540 | |
| Roche Holding AG | | | 7,056 | | | | 1,034 | |
| Schindler Holding AG | | | 1,086 | | | | 128 | |
| STMicroelectronics NV | | | 5,267 | | | | 54 | |
| Straumann Holding AG ^ | | | 420 | | | | 96 | |
| Swatch Group AG/The-BR | | | 1,004 | | | | 448 | |
| Swatch Group AG/The-Reg | | | 888 | | | | 72 | |
| Swiss Life Holding AG ‡ | | | 325 | | | | 47 | |
| Swiss Reinsurance Co., Ltd. | | | 5,383 | | | | 289 | |
| Swisscom AG | | | 232 | | | | 102 | |
| Syngenta AG | | | 2,946 | | | | 864 | |
| Synthes, Inc. | | | 2,074 | | | | 280 | |
| UBS AG ‡ | | | 16,733 | | | | 275 | |
| Zurich Financial Services AG | | | 1,380 | | | | 357 | |
Turkey - 0.9% | | | | | | | | |
| Akbank TAS | | | 30,933 | | | | 172 | |
| Anadolu AS | | | 7,639 | | | | 116 | |
| Bim Birlesik Magazalar AS | | | 2,644 | | | | 90 | |
| Enka Insaat VE Sanayi AS | | | 12,608 | | | | 47 | |
| Eregli Demir ve Celik Fabrikalari TAS ‡ | | | 17,196 | | | | 57 | |
| Haci Omer Sabanci Holding AS | | | 11,570 | | | | 54 | |
| KOC Holding AS | | | 8,389 | | | | 41 | |
| Tupras Turkiye Petrol Rafinerileri AS | | | 3,194 | | | | 80 | |
| Turk Telekomunikasyon AS | | | 18,231 | | | | 77 | |
| Turkcell lletisim Hizmet AS | | | 16,427 | | | | 112 | |
| Turkiye Garanti Bankasi AS | | | 34,633 | | | | 175 | |
| Turkiye Halk Bankasi AS | | | 6,640 | | | | 56 | |
| Turkiye Is Bankasi — Class C | | | 30,074 | | | | 107 | |
| Turkiye Vakiflar Bankasi Tao — Class D | | | 13,718 | | | | 35 | |
| Yapi Ve Kredi Bankasi AS ‡ | | | 15,399 | | | | 48 | |
United Kingdom - 17.0% | | | | | | | | |
| 3i Group PLC | | | 4,117 | | | | 21 | |
| Admiral Group PLC | | | 1,893 | | | | 45 | |
| Aggreko PLC | | | 10,951 | | | | 253 | |
| AMEC PLC | | | 4,095 | | | | 73 | |
| Anglo American PLC | | | 18,875 | | | | 982 | |
| AstraZeneca PLC | | | 17,702 | | | | 806 | |
| Aviva PLC | | | 23,775 | | | | 146 | |
| BAE Systems PLC | | | 32,468 | | | | 167 | |
| Balfour Beatty PLC | | | 28,042 | | | | 137 | |
| Barclays PLC | | | 63,102 | | | | 257 | |
| BG Group PLC | | | 43,315 | | | | 875 | |
| BHP Billiton PLC | | | 25,266 | | | | 1,005 | |
| BP PLC | | | 156,415 | | | | 1,135 | |
| British Airways PLC ‡ ^ | | | 8,169 | | | | 35 | |
| British American Tobacco PLC | | | 19,357 | | | | 743 | |
| British Land Co., PLC REIT | | | 9,324 | | | | 76 | |
| British Sky Broadcasting Group PLC | | | 28,774 | | | | 330 | |
| BT Group PLC — Class A | | | 90,820 | | | | 256 | |
| Bunzl PLC | | | 4,253 | | | | 48 | |
| Burberry Group PLC | | | 5,703 | | | | 100 | |
| Capital Group PLC | | | 2,000 | | | | 22 | |
| Capital Shopping Centres Group PLC REIT | | | 5,672 | | | | 37 | |
| Carnival PLC | | | 2,120 | | | | 99 | |
| Centrica PLC | | | 25,765 | | | | 133 | |
| Charter International PLC | | | 12,238 | | | | 161 | |
| Cobham PLC | | | 12,399 | | | | 39 | |
| Compass Group PLC | | | 25,634 | | | | 232 | |
| Diageo PLC | | | 25,321 | | | | 468 | |
| Experian Group, Ltd. | | | 7,326 | | | | 91 | |
| FirstGroup PLC | | | 6,808 | | | | 42 | |
| GlaxoSmithKline PLC | | | 59,850 | | | | 1,158 | |
| Group 4 Securicor PLC | | | 3,563 | | | | 14 | |
| Hammerson PLC REIT | | | 7,471 | | | | 49 | |
| Home Retail Group PLC | | | 7,805 | | | | 23 | |
| HSBC Holdings PLC | | | 209,726 | | | | 2,129 | |
| Imperial Tobacco Group PLC | | | 7,298 | | | | 224 | |
| Intercontinental Hotels Group PLC | | | 4,580 | | | | 89 | |
| International Power PLC | | | 4,931 | | | | 34 | |
| Invensys PLC | | | 5,614 | | | | 31 | |
| Investec PLC | | | 1,472 | | | | 12 | |
| J. Sainsbury PLC | | | 10,227 | | | | 60 | |
| Johnson Matthey PLC | | | 2,283 | | | | 73 | |
| Kingfisher PLC | | | 11,088 | | | | 46 | |
| Land Securities Group PLC REIT | | | 8,208 | | | | 86 | |
| Legal & General Group PLC | | | 60,887 | | | | 92 | |
| Lloyds TSB Group PLC ‡ | | | 88,685 | | | | 91 | |
| Man Group PLC | | | 13,336 | | | | 61 | |
| Marks & Spencer Group PLC | | | 13,807 | | | | 79 | |
| National Grid PLC | | | 32,778 | | | | 283 | |
| Next PLC | | | 2,340 | | | | 72 | |
| Old Mutual PLC | | | 48,107 | | | | 92 | |
| Pearson PLC | | | 11,065 | | | | 174 | |
| Petrofac, Ltd. | | | 2,537 | | | | 63 | |
| Prudential PLC | | | 21,603 | | | | 224 | |
| Reckitt Benckiser Group PLC | | | 6,190 | | | | 340 | |
| Reed Elsevier PLC | | | 15,144 | | | | 128 | |
| Rexam PLC | | | 6,773 | | | | 35 | |
| Rio Tinto PLC | | | 17,624 | | | | 1,232 | |
| Rolls-Royce Group PLC | | | 18,912 | | | | 184 | |
| Royal & Sun Alliance Insurance Group PLC | | | 32,735 | | | | 64 | |
| Royal Bank of Scotland Group PLC ‡ | | | 178,479 | | | | 109 | |
| Royal Dutch Shell PLC — Class A ^ | | | 47,002 | | | | 1,568 | |
| SABMiller PLC | | | 7,826 | | | | 275 | |
| Sage Group PLC | | | 15,752 | | | | 67 | |
| Schroders PLC | | | 821 | | | | 24 | |
| Scottish & Southern Energy PLC | | | 14,357 | | | | 274 | |
| Segro PLC REIT | | | 8,847 | | | | 40 | |
| Severn Trent PLC | | | 4,693 | | | | 108 | |
| Smith & Nephew PLC | | | 14,664 | | | | 155 | |
| Smiths Group PLC | | | 4,071 | | | | 79 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
United Kingdom (continued) | | | | | | | | |
| Standard Chartered PLC | | | 25,609 | | | $ | 689 | |
| Standard Life PLC | | | 18,380 | | | | 62 | |
| Tesco PLC | | | 58,651 | | | | 389 | |
| Unilever PLC | | | 11,333 | | | | 347 | |
| United Utilities Group PLC | | | 1,614 | | | | 15 | |
| Vodafone Group PLC | | | 578,054 | | | | 1,494 | |
| Whitbread PLC | | | 2,596 | | | | 72 | |
| WPP PLC | | | 49,507 | | | | 609 | |
| Xstrata PLC | | | 16,009 | | | | 376 | |
| | | | | | | | |
Total Common Stocks (cost $100,717) | | | | | | | 116,239 | |
| | | | | | | | |
| | | | | | | | | |
RIGHTS - 0.0% ∞ | | | | | | | | |
Brazil - 0.0% ∞ | | | | | | | | |
| Banco Bradesco SA Ә ‡ | | | 150 | | | | 1 | |
Total Rights (cost $ ♦) | | | | | | | | |
| | | | | | | | | |
WARRANTS 0.0% ∞ | | | | | | | | |
Italy 0.0% ∞ | | | | | | | | |
| Mediobanca SpA ‡ | | | | | | | | |
| Expiration: 03/18/2011 | | | | | | | | |
| Exercise Price: $9.00 | | | 681 | | | | ♦ | |
Hong Kong 0.0% ∞ | | | | | | | | |
| Henderson Land Development Co., Ltd. ‡ | | | | | | | | |
| Expiration: 06/01/2011 | | | | | | | | |
| Exercise Price: $58.00 | | | 2,000 | | | | ♦ | |
Total Warrants (cost $ ♦) | | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 7.5% | | | | | | | | |
| State Street Navigator Securities Lending | | | | | | | | |
| Trust — Prime Portfolio, 0.36% ▲ | | | 10,014,473 | | | $ | 10,014 | |
Total Securities Lending Collateral (cost $10,014) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 9.2% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $12,285 on 01/03/2011. Collateralized by U.S. Government Agency Obligations, 4.00%, due 12/15/2017, with a value of $12,531. | | $ | 12,285 | | | | 12,285 | |
Total Repurchase Agreement (cost $12,285) | | | | | | | | |
| Total Investment Securities (cost $124,133) # | | | | | | | 139,953 | |
| | | | | | | | |
| Other Assets and Liabilities — Net | | | | | | | (6,232 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 133,721 | |
| | | | | | | | |
FUTURES CONTRACTS: Y
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Net Unrealized | |
| | | | | | | | | | | | | | | Appreciation | |
| Description | | Type | | | Contracts Γ | | Expiration Date | | (Depreciation) | |
| |
| DAX Index | | Long | | | 33 | | | | 03/18/2011 | | | $ | (84 | ) |
| FTSE 100 Index | | Long | | | 28 | | | | 03/18/2011 | | | | 24 | |
| Hang Seng China ENT Index | | Long | | | 16 | | | | 01/28/2011 | | | | 35 | |
| Hang Seng Index | | Long | | | 3 | | | | 01/28/2011 | | | | 6 | |
| SGX CNX Nifty Index | | Long | | | 56 | | | | 01/27/2011 | | | | 13 | |
| SGX MSCI Singapore Index | | Long | | | 3 | | | | 01/28/2011 | | | | (1 | ) |
| Topix Index | | Long | | | 25 | | | | 03/11/2011 | | | | (3 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | (10 | ) |
| | | | | | | | | | | | | | | | |
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Amount in U.S. | | | Net Unrealized | |
| | | | | | | Settlement | | | Dollars Bought | | | Appreciation | |
| Currency | | Bought (Sold) | | | Date | | | (Sold) | | | (Depreciation) | |
| |
| Australian Dollar | | | (29 | ) | | | 01/04/2011 | | | $ | (29 | ) | | $ | ♦ | |
| Australian Dollar | | | (3 | ) | | | 01/05/2011 | | | | (4 | ) | | | ♦ | |
| Australian Dollar | | | 1,564 | | | | 01/20/2011 | | | | 1,556 | | | | 39 | |
| Euro | | | 8,091 | | | | 01/20/2011 | | | | 10,829 | | | | (17 | ) |
| Euro | | | (1,335 | ) | | | 01/20/2011 | | | | (1,766 | ) | | | (18 | ) |
| Hong Kong Dollar | | | (22,823 | ) | | | 01/20/2011 | | | | (2,937 | ) | | | ♦ | |
| Japanese Yen | | | (246,591 | ) | | | 01/20/2011 | | | | (2,923 | ) | | | (115 | ) |
| Japanese Yen | | | 354,035 | | | | 01/20/2011 | | | | 4,240 | | | | 122 | |
| Pound Sterling | | | (20 | ) | | | 01/04/2011 | | | | (31 | ) | | | ♦ | |
| Pound Sterling | | | 2,306 | | | | 01/20/2011 | | | | 3,639 | | | | (45 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | (34 | ) |
| | | | | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Percentage of | | | |
| INVESTMENTS BY INDUSTRY (unaudited): | | Total Investments | | Value | |
| |
| Commercial Banks | | | 8.7 | % | | $ | 12,172 | |
| Metals & Mining | | | 8.6 | | | | 12,103 | |
| Oil, Gas & Consumable Fuels | | | 7.3 | | | | 10,232 | |
| Pharmaceuticals | | | 5.3 | | | | 7,416 | |
| Food Products | | | 3.9 | | | | 5,453 | |
| Chemicals | | | 3.5 | | | | 4,933 | |
| Machinery | | | 3.0 | | | | 4,138 | |
| Automobiles | | | 2.9 | | | | 4,068 | |
| Industrial Conglomerates | | | 2.8 | | | | 3,893 | |
| Insurance | | | 2.4 | | | | 3,373 | |
| Diversified Telecommunication Services | | | 1.9 | | | | 2,659 | |
| Real Estate Management & Development | | | 1.9 | | | | 2,606 | |
| Wireless Telecommunication Services | | | 1.8 | | | | 2,551 | |
| Electrical Equipment | | | 1.6 | | | | 2,252 | |
| Beverages | | | 1.6 | | | | 2,198 | |
| Food & Staples Retailing | | | 1.6 | | | | 2,188 | |
| Electronic Equipment & Instruments | | | 1.4 | | | | 2,014 | |
| Media | | | 1.4 | | | | 1,902 | |
| Textiles, Apparel & Luxury Goods | | | 1.3 | | | | 1,868 | |
| Construction & Engineering | | | 1.3 | | | | 1,825 | |
| Electric Utilities | | | 1.3 | | | | 1,807 | |
| Trading Companies & Distributors | | | 1.1 | | | | 1,504 | |
| Capital Markets | | | 1.0 | | | | 1,396 | |
| Tobacco | | | 1.0 | | | | 1,391 | |
| Household Durables | | | 0.8 | | | | 1,162 | |
| Diversified Financial Services | | | 0.8 | | | | 1,155 | |
| Software | | | 0.8 | | | | 1,150 | |
| Communications Equipment | | | 0.8 | | | | 1,089 | |
| Office Electronics | | | 0.8 | | | | 1,078 | |
| Real Estate Investment Trusts | | | 0.8 | | | | 1,065 | |
| Energy Equipment & Services | | | 0.7 | | | | 1,022 | |
| Auto Components | | | 0.7 | | | | 967 | |
| Road & Rail | | | 0.7 | | | | 952 | |
| Multi-Utilities | | | 0.7 | | | | 931 | |
| Health Care Equipment & Supplies | | | 0.7 | | | | 922 | |
| Specialty Retail | | | 0.6 | | | | 906 | |
| Hotels, Restaurants & Leisure | | | 0.6 | | | | 855 | |
| Semiconductors & Semiconductor Equipment | | | 0.6 | | | | 801 | |
| Building Products | | | 0.5 | | | | 679 | |
| Household Products | | | 0.5 | | | | 651 | |
| Construction Materials | | | 0.4 | | | | 593 | |
| Computers & Peripherals | | | 0.4 | | | | 575 | |
| Aerospace & Defense | | | 0.4 | | | | 552 | |
| Commercial Services & Supplies | | | 0.4 | | | | 539 | |
| Paper & Forest Products | | | 0.4 | | | | 498 | |
| Air Freight & Logistics | | | 0.3 | | | | 448 | |
| Marine | | | 0.3 | | | | 439 | |
| Multiline Retail | | | 0.3 | | | | 428 | |
| Personal Products | | | 0.3 | | | | 357 | |
| Gas Utilities | | | 0.2 | | | | 283 | |
| IT Services | | | 0.2 | | | | 225 | |
| Airlines | | | 0.1 | | | | 203 | |
| Containers & Packaging | | | 0.1 | | | | 190 | |
| Health Care Providers & Services | | | 0.1 | | | | 189 | |
| Leisure Equipment & Products | | | 0.1 | | | | 180 | |
| Professional Services | | | 0.1 | | | | 113 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Percentage of | | | | |
| INVESTMENTS BY INDUSTRY (unaudited) (continued): | | Total Investments | | | Value | |
| |
| Water Utilities | | | 0.1 | % | | $ | 108 | |
| Internet Software & Services | | | 0.1 | | | | 94 | |
| Distributors | | | 0.1 | | | | 80 | |
| Consumer Finance | | | 0.0 | ∞ | | | 53 | |
| Biotechnology | | | 0.0 | ∞ | | | 49 | |
| Independent Power Producers & Energy Traders | | | 0.0 | ∞ | | | 34 | |
| Life Sciences Tools & Services | | | 0.0 | ∞ | | | 30 | |
| Transportation Infrastructure | | | 0.0 | ∞ | | | 26 | |
| Internet & Catalog Retail | | | 0.0 | ∞ | | | 23 | |
| Diversified Consumer Services | | | 0.0 | ∞ | | | 18 | |
| | | | | | | |
| Investment Securities, at Value | | | 84.1 | | | | 117,654 | |
| Short-Term Investments | | | 15.9 | | | | 22,299 | |
| | | | | | | |
| Total Investments | | | 100.0 | % | | $ | 139,953 | |
| | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ∞ | | Percentage rounds to less than 0.1%. |
| |
| Y | | Cash in the amount of $935, is being held at the broker to cover margin requirements for open futures contracts. |
| |
| ‡ | | Non-income producing security. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $9,519. |
| |
| Γ | | Contract amounts are not in thousands. |
| |
| Ә | | Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. This security had a market value of $1 or less than 0.01% of the funds net assets. |
| |
| ♦ | | Value is less than $1. |
| |
| # | | Aggregate cost for federal income tax purposes is $127,170. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $20,305 and $7,522, respectively. Net unrealized appreciation for tax purposes is $12,783. |
DEFINITIONS:
| | | |
|
ADR | | American Depositary Receipt |
| |
CPO | | Ordinary Participation Certificates |
| |
GDR | | Global Depositary Receipt |
| |
OJSC | | Open Joint Stock Company |
| |
PPS | | Price Protected Share |
| |
REIT | | Real Estate Investment Trust (includes domestic REITs and Foreign Real Estate Investment Companies) |
| |
STRIP VVPR | | Is a coupon which, if presented along with the corresponding coupon of the share, entitles the shareholder to benefit from a reduced withholding tax of 15% (rather than 25%) on the dividends paid by the company. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| Common Stocks | | $ | 2,090 | | | $ | 114,149 | | | $ | — | | | $ | 116,239 | |
| Convertible Preferred Stocks | | | 60 | | | | — | | | | — | | | | 60 | |
| Preferred Stocks | | | 958 | | | | 396 | | | | — | | | | 1,354 | |
| Repurchase Agreement | | | — | | | | 12,285 | | | | — | | | | 12,285 | |
| Rights | | | — | | | | 1 | | | | — | | | | 1 | |
| Securities Lending Collateral | | | 10,014 | | | | — | | | | — | | | | 10,014 | |
| Warrants | | | — | | | | ♦ | | | | — | | | | ♦ | |
| | | | | | | | | | | | |
Total | | $ | 13,122 | | | $ | 126,831 | | | $ | — | | | $ | 139,953 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| Futures Contracts — Appreciation | | $ | 78 | | | $ | — | | | $ | — | | | $ | 78 | |
| Futures Contracts — Depreciation | | | (88 | ) | | | — | | | | — | | | | (88 | ) |
| Forward Foreign Currency Contracts — Appreciation | | | — | | | | 161 | | | | — | | | | 161 | |
| Forward Foreign Currency Contracts — Depreciation | | | — | | | | (195 | ) | | | — | | | | (195 | ) |
| | | | | | | | | | | | |
Total | | $ | (10 | ) | | $ | (34 | ) | | $ | — | | | $ | (44 | ) |
| | | | | | | | | | | | |
| | |
| * | | Other financial instruments are derivative instruments including, but not limited to, Futures Contracts, Forward Foreign Currency Contracts, and Swap Contracts that are valued at unrealized appreciation (depreciation) on the instrument. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $111,848)
(including securities loaned of $9,519) | | $ | 127,668 | |
| Repurchase agreement, at value (cost: $12,285) | | | 12,285 | |
| Cash on deposit with broker | | | 935 | |
| Foreign currency, at value(cost: $2,856) | | | 2,919 | |
| Receivables: | | | | |
| Investment securities sold | | | 66 | |
| Shares sold | | | 37 | |
| Securities lending income (net) | | | 3 | |
| Dividends | | | 115 | |
| Dividend reclaims | | | 77 | |
| Prepaid expenses | | | 1 | |
| Unrealized appreciation on forward foreign currency contracts | | | 161 | |
| | | | |
| | | | 144,267 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Due to custodian | | | 150 | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 3 | |
| Management and advisory fees | | | 116 | |
| Distribution and service fees | | | 3 | |
| Administration fees | | | 2 | |
| Printing and shareholder reports fees | | | 13 | |
| Audit and tax fees | | | 8 | |
| Variation margin | | | 9 | |
| Other | | | 33 | |
| Collateral for securities on loan | | | 10,014 | |
| Unrealized depreciation on forward foreign currency contracts | | | 195 | |
| | | | |
| | | | 10,546 | |
| | | | |
Net assets | | $ | 133,721 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 117 | |
| Additional paid-in capital | | | 133,439 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,503 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities futures, and foreign currency transactions | | | (17,186 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 15,820 | |
| Futures contracts | | | (10 | ) |
| Translation of assets and liabilities denominated in foreign currencies | | | 38 | |
| | | | |
Net assets | | $ | 133,721 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 117,320 | |
| Service Class | | | 16,401 | |
Shares outstanding: | | | | |
| Initial Class | | | 10,226 | |
| Service Class | | | 1,436 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.47 | |
| Service Class | | | 11.42 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $263) | | $ | 2,926 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 85 | |
| | | | |
| | | | 3,011 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,106 | |
| Printing and shareholder reports | | | 28 | |
| Custody | | | 195 | |
| Administration | | | 26 | |
| Legal | | | 7 | |
| Audit and tax | | | 15 | |
| Trustees | | | 5 | |
| Transfer agent | | | 1 | |
| Distribution and service: | | | | |
| Service Class | | | 34 | |
| Other | | | 3 | |
| | | | |
| Total expenses | | | 1,420 | |
| | | | |
| Recaptured Expenses | | | 7 | |
| | | | |
| Net expenses | | | 1,427 | |
| | | | |
| | | | | |
Net investment income | | | 1,584 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | (1,945 | ) |
| Futures contracts | | | 1,508 | |
| Foreign currency transactions | | | 247 | |
| | | | |
| | | | (190 | ) |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 8,271 | |
| Futures contracts | | | (543 | ) |
| Translation of assets and liabilities denominated in foreign currencies | | | 173 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 7,901 | |
| | | | |
Net realized and unrealized gain | | | 7,711 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 9,295 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,584 | | | $ | 2,037 | |
| Net realized gain (loss) from investment securities, futures contracts, and foreign currency transactions | | | (190 | ) | | | (10,848 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities, futures contracts, and foreign currency translation | | | 7,901 | | | | 36,557 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 9,295 | | | | 27,746 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (2,285 | ) | | | (181 | ) |
| Service Class | | | (246 | ) | | | —(A) | |
| | | | | | | |
| | | | (2,531 | ) | | | (181 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (1,881 | ) |
| Service Class | | | — | | | | (161 | ) |
| | | | | | | |
| | | | — | | | | (2,042 | ) |
| | | | | | | |
Total distributions to shareholders | | | (2,531 | ) | | | (2,223 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 6,815 | | | | 11,209 | |
| Service Class | | | 7,562 | | | | 5,700 | |
| | | | | | | |
| | | | 14,377 | | | | 16,909 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 2,285 | | | | 2,062 | |
| Service Class | | | 246 | | | | 161 | |
| | | | | | | |
| | | | 2,531 | | | | 2,223 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (27,117 | ) | | | (28,196 | ) |
| Service Class | | | (5,747 | ) | | | (3,242 | ) |
| | | | | | | |
| | | | (32,864 | ) | | | (31,438 | ) |
| | | | | | | |
Net decrease in net assets from capital shares transactions | | | (15,956 | ) | | | (12,306 | ) |
| | | | | | | |
| | | | | | | | | |
Net increase (decrease) in net assets | | | (9,192 | ) | | | 13,217 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 142,913 | | | | 129,696 | |
| | | | | | | |
| End of year | | $ | 133,721 | | | $ | 142,913 | |
| | | | | | | |
Undistributed net investment income | | $ | 1,503 | | | $ | 2,223 | |
| | | | | | | |
| |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 635 | | | | 1,179 | |
| Service Class | | | 707 | | | | 577 | |
| | | | | | | |
| | | | 1,342 | | | | 1,756 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 236 | | | | 203 | |
| Service Class | | | 26 | | | | 16 | |
| | | | | | | |
| | | | 262 | | | | 219 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (2,606 | ) | | | (3,245 | ) |
| Service Class | | | (561 | ) | | | (368 | ) |
| | | | | | | |
| | | | (3,167 | ) | | | (3,613 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (1,735 | ) | | | (1,863 | ) |
| Service Class | | | 172 | | | | 225 | |
| | | | | | | |
| | | | (1,563 | ) | | | (1,638 | ) |
| | | | | | | |
| | |
| (A) | | Rounds to less than $1. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.81 | | | $ | 8.73 | | | $ | 17.16 | | | $ | 15.29 | | | $ | 12.42 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.13 | | | | 0.15 | | | | 0.28 | | | | 0.29 | | | | 0.25 | |
| Net realized and unrealized gain (loss) | | | 0.75 | | | | 2.10 | | | | (6.34 | ) | | | 2.05 | | | | 2.67 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.88 | | | | 2.25 | | | | (6.06 | ) | | | 2.34 | | | | 2.92 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.22 | ) | | | (0.02 | ) | | | (0.49 | ) | | | (0.47 | ) | | | (0.05 | ) |
| From net realized gains | | | — | | | | (0.15 | ) | | | (1.88 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.22 | ) | | | (0.17 | ) | | | (2.37 | ) | | | (0.47 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.47 | | | $ | 10.81 | | | $ | 8.73 | | | $ | 17.16 | | | $ | 15.29 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 8.48 | % | | | 25.88 | % | | | (38.83 | %) | | | 15.60 | % | | | 23.51 | % |
Net assets end of year (000’s) | | $ | 117,320 | | | $ | 129,300 | | | $ | 120,650 | | | $ | 247,159 | | | $ | 230,638 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/recaptured expense | | | 1.07 | % | | | 1.07 | % | | | 1.07 | % | | | 1.02 | % | | | 0.94 | % |
| Before reimbursement/recaptured expense | | | 1.06 | % | | | 1.12 | % | | | 1.09 | % | | | 1.04 | % | | | 1.05 | % |
| Net investment income, to average net assets | | | 1.25 | % | | | 1.66 | % | | | 2.08 | % | | | 1.75 | % | | | 1.84 | % |
| Portfolio turnover rate | | | 21 | % | | | 38 | % | | | 27 | % | | | 27 | % | | | 17 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.77 | | | $ | 8.70 | | | $ | 17.12 | | | $ | 15.28 | | | $ | 12.43 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.10 | | | | 0.12 | | | | 0.25 | | | | 0.25 | | | | 0.21 | |
| Net realized and unrealized gain (loss) | | | 0.75 | | | | 2.10 | | | | (6.33 | ) | | | 2.04 | | | | 2.67 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.85 | | | | 2.22 | | | | (6.08 | ) | | | 2.29 | | | | 2.88 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.20 | ) | | | — | (C) | | | (0.46 | ) | | | (0.45 | ) | | | (0.03 | ) |
| From net realized gains | | | — | | | | (0.15 | ) | | | (1.88 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.20 | ) | | | (0.15 | ) | | | (2.34 | ) | | | (0.45 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.42 | | | $ | 10.77 | | | $ | 8.70 | | | $ | 17.12 | | | $ | 15.28 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 8.20 | % | | | 25.68 | % | | | (39.05 | %) | | | 15.27 | % | | | 23.18 | % |
Net assets end of year (000’s) | | $ | 16,401 | | | $ | 13,613 | | | $ | 9,046 | | | $ | 17,983 | | | $ | 12,147 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/recaptured expense | | | 1.32 | % | | | 1.32 | % | | | 1.32 | % | | | 1.27 | % | | | 1.19 | % |
| Before reimbursement/recaptured expense | | | 1.31 | % | | | 1.37 | % | | | 1.34 | % | | | 1.29 | % | | | 1.30 | % |
| Net investment income, to average net assets | | | 0.96 | % | | | 1.30 | % | | | 1.84 | % | | | 1.47 | % | | | 1.48 | % |
| Portfolio turnover rate | | | 21 | % | | | 38 | % | | | 27 | % | | | 27 | % | | | 17 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (C) | | Rounds to less than $(0.01). |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Effective May 1, 2010, Transamerica Van Kampen Active International Allocation VP changed its name to Transamerica Morgan Stanley Active International Allocation VP. Transamerica Morgan Stanley Active International Allocation VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreement, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rate in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Forward foreign currency contracts: The Fund is subject to foreign currency exchange rate risk exposure in the normal course of pursuing its investment objectives. The Fund enters into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Forward foreign currency contracts are marked to market daily, with the change in value recorded as an unrealized gain or loss. When the contracts are settled, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying currencies and from the possible inability of counterparties to meet the terms of their contracts.
Open forward foreign currency contracts at December 31, 2010 are listed in the Schedule of Investments.
Futures contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objective. The Fund uses futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker either in cash or securities an initial margin in an amount equal to a certain percentage of the contract amount.
Subsequent payments (variation margin) are paid or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or security prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize losses. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
The open futures contracts at December 31, 2010 are listed in the Schedule of Investments. The variation margin receivable or payable, as applicable, is included in the Statement of Assets and Liabilities.
Cash overdraft: Throughout the year, the Fund may have cash overdraft balances. A fee is incurred on these overdrafts by a rate based on the federal funds rate.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the period ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign securities, in which their 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.
Derivative instruments: 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, 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. A substantial 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.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010 is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $250 million | | | 085 | % |
| Over $250 million up to $1 billion | | | 0.80 | % |
| Over$1 billion | | | 0.775 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding distribution and service fees and certain extraordinary expenses, exceed the following stated annual limit:
1.07% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount recaptured by the adviser was $7. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | |
| | | Reimbursement of | | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2008: | | | $33 | | | 12/31/2011 |
| Fiscal Year 2009: | | | 72 | | | 12/31/2012 |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 19
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 22,844 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 30,944 | |
| U.S. Government | | | — | |
NOTE 5. FAIR VALUE OF DERIVATIVES
The Fund is subject to various risks in the normal course of pursuing its investment objective. The volume held at period end is indicative of the average volume held throughout the period. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | | | | | |
| | | Foreign exchange | | Equity | | | | | | |
| Location | | contracts | | contracts | | Total | | | | |
Asset derivatives | | | | | | | | | | | | | | | | |
| Unrealized appreciation on forward foreign currency contracts | | $ | 161 | | | $ | — | | | $ | 161 | | | | | |
| Unrealized appreciation on futures contracts | | | — | | | | 78 | | | | 78 | | | | * | |
Liability derivatives | | | | | | | | | | | | | | | | |
| Unrealized depreciation on forward currency contracts | | | (195 | ) | | | — | | | | (195 | ) | | | | |
| Unrealized depreciation on futures contracts | | | — | | | | (88 | ) | | | (88 | ) | | | * | |
| | | | | | | | | | | | | | |
| Total | | $ | (34 | ) | | $ | (10 | ) | | $ | (44 | ) | | | | |
| | | | | | | | | | | | | | |
| | |
| * | | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current days variation margin is reported within the Statement of Assets and Liabilities |
Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | |
| | | Foreign exchange | | Equity | | |
| Location | | contracts | | contracts | | Total |
Realized Gain / (Loss) on derivatives recognized in income | | | | | | | | | | | | |
| Net realized gain on futures contracts | | $ | — | | | $ | 1,508 | | | $ | 1,508 | |
| Net realized gain on foreign currency transactions | | | 371 | | | | — | | | | 371 | |
Change in Unrealized Appreciation/(Depreciation) on derivatives recognized in income | | | | | | | | | | | | |
| Net decrease in unrealized deppreciation on futures contracts | | | — | | | | (543 | ) | | | (543 | ) |
| Net increase in unrealized appreciation on translation of assets and liabilities denominated in foreign currencies | | | 93 | | | | — | | | | 93 | |
| | | | | | | | | | | | | | |
| Total | | $ | 464 | | | $ | 965 | | | $ | 1,429 | |
| | | | | | | | | | | | | | |
For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Fund may be required to post collateral on derivatives if the Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 20
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for all open tax years (2007 — 2009, or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, foreign bonds, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | 4 | |
| Undistributed (accumulated) net investment income (loss) | | $ | 227 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (231 | ) |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $12,135 | | December 31, 2017 |
| $ 1,954 | | December 31, 2018 |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 2,531 | |
| Long-term Capital Gain | | | — | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 181 | |
| Long-term Capital Gain | | | 2,042 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 2,545 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (14,089 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (335 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | (777 | ) |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 12,821 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 21
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Morgan Stanley Active International Allocation VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Morgan Stanley Active International Allocation VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Morgan Stanley Active International Allocation VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 22
Transamerica Morgan Stanley Active International Allocation VP
(formerly, Transamerica Van Kampen Active International Allocation VP)
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 23
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
(unaudited)
MARKET ENVIRONMENT
The stock market finished 2010 higher, as investors gained confidence that the U.S. and global economies would likely avoid a double-dip recession, at least for the time being. Optimism was driven by improvements in some measures of the U.S. economy, although the weak housing market and near-record high unemployment rates continued to hang over the market. Shifting sentiment about Europe’s fiscal health caused volatility in the markets, especially early in the year and during the summer months when the problems of some of the heavily indebted peripheral countries appeared to escalate. In late August, U.S. stocks rallied on the prospects of a second round of quantitative easing (buying government bonds to increase money supply) by the Federal Reserve. The market climbed through the remainder of the year as the expectation became a reality and an additional stimulus package was passed by the U.S. Congress.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Morgan Stanley Mid-Cap Growth VP Initial Class returned 33.90%. By comparison its benchmark, the Russell Midcap® Growth Index, returned 26.38%. (Prior to May 1, 2010, this fund was named Transamerica Van Kampen Mid-Cap Growth VP).
STRATEGY REVIEW
Our emphasis on high-quality companies with sustainable competitive advantages led to positive results versus the broad market and peer averages. Throughout the year, concerns about the U.S. economy and the financial conditions of several debt-ridden European nations intensified worries about the global economy’s recovery and led to increased volatility in the marketplace. We were confident in the long-term prospects of the positions we held in the portfolio, given these companies’ attractive valuations and strong balance sheets. Our focus on free cash flow yield and rising return on capital led us to invest in high-quality names which outperformed despite the volatility in the market place. Going forward, we maintain our three- to five-year outlook and continue seeking to capitalize on compelling opportunities to upgrade the portfolio.
Stock selection in technology had by far the largest positive effect on relative performance, driven by the computer services software and systems industry. Both stock selection and an overweight in the consumer discretionary sector was also advantageous to relative performance. Within the sector, the hotel/motel industry led. Stock selection in materials and processing added to relative gains as well, primarily due to the diversified chemicals industry.
However, stock selection and an overweight in energy detracted from relative gains. The portfolio’s exposure to natural gas producers was the primary cause for the sector’s underperformance. Both stock selection and an overweight in financial services dampened relative performance, with particularly weak results from the financial data and systems industry. Relative returns were also hampered by stock selection in producer durables, although an overweight in the sector was slightly beneficial. Within the sector, the commercial services industry was the most disadvantageous to performance.
Derivatives exposure did not affect performance during the period, as the portfolio did not utilize derivative strategies.
As a team, we believe having a market outlook can be an anchor. Our focus is on assessing company prospects over three to five years, and owning a portfolio of high quality companies with diverse business drivers not tied to a particular market environment.
Dennis P. Lynch
David S. Cohen
Sam G. Chainani
Alexander T. Norton
Jason C. Yeung
Armistead B. Nash
Co-Portfolio Managers
Morgan Stanley Investment Management Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 33.90 | % | | | 9.23 | % | | | 0.26 | % | | | 03/01/1993 | |
Russell Midcap® Growth* | | | 26.38 | % | | | 4.88 | % | | | 3.12 | % | | | | |
| |
| Service Class | | | 33.58 | % | | | 8.94 | % | | | 10.27 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Russell Midcap® Growth Index (“Russell Midcap® Growth”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results, may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Morgan Stanley Mid-Cap Growth VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,317.90 | | | $ | 5.26 | | | $ | 1,020.67 | | | $ | 4.58 | | | | 0.90 | % |
| Service Class | | | 1,000.00 | | | | 1,316.20 | | | | 6.71 | | | | 1,019.41 | | | | 5.85 | | | | 1.15 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stock | | | 96.2 | % |
| Securities Lending Collateral | | | 10.3 | |
| Repurchase Agreement | | | 2.7 | |
| Convertible Preferred Stock | | | 0.7 | |
| Preferred Stock | | | 0.4 | |
| Other Assets and Liabilities - Net | | | (10.3 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
CONVERTIBLE PREFERRED STOCK - 0.7% | | | | | | | | |
Internet & Catalog Retail - 0.7% | | | | | | | | |
| Groupon, Inc. ‡ Ə § ∆ | | | 134,718 | | | $ | 4,256 | |
Total Convertible Preferred Stock (cost $4,256) | | | | | | | | |
PREFERRED STOCK - 0.4% | | | | | | | | |
Pharmaceuticals - 0.4% | | | | | | | | |
| Ironwood Pharmaceuticals, Inc., 8.00% ▲ ‡ | | | 198,702 | | | | 2,057 | |
Total Preferred Stock (cost $2,384) | | | | | | | | |
COMMON STOCKS - 96.2% | | | | | | | | |
Air Freight & Logistics - 3.7% | | | | | | | | |
| CH Robinson Worldwide, Inc. ^ | | | 110,970 | | | $ | 8,899 | |
| Expeditors International of Washington, Inc. | | | 230,217 | | | | 12,570 | |
Automobiles - 0.4% | | | | | | | | |
| Better Place ‡ Ə § ∆ | | | 860,386 | | | | 2,581 | |
Capital Markets - 2.6% | | | | | | | | |
| Greenhill & Co., Inc. ^ | | | 101,244 | | | | 8,270 | |
| T. Rowe Price Group, Inc. | | | 101,473 | | | | 6,549 | |
Chemicals - 4.7% | | | | | | | | |
| Intrepid Potash, Inc. ‡ | | | 287,723 | | | | 10,729 | |
| Nalco Holding Co. | | | 272,492 | | | | 8,703 | |
| Rockwood Holdings, Inc. ‡ | | | 194,015 | | | | 7,590 | |
Commercial Services & Supplies - 5.4% | | | | | | | | |
| Covanta Holding Corp. ^ | | | 430,297 | | | | 7,397 | |
| Edenred ‡ | | | 636,510 | | | | 15,068 | |
| Stericycle, Inc. ‡ ^ | | | 108,663 | | | | 8,793 | |
Computers & Peripherals - 2.6% | | | | | | | | |
| Teradata Corp. ‡ | | | 363,776 | | | | 14,973 | |
Construction Materials - 1.3% | | | | | | | | |
| Martin Marietta Materials, Inc. ^ | | | 83,802 | | | | 7,730 | |
Diversified Consumer Services - 1.4% | | | | | | | | |
| New Oriental Education & Technology | | | | | | | | |
| Group ADR ‡ | | | 75,920 | | | | 7,989 | |
Diversified Financial Services - 5.7% | | | | | | | | |
| IntercontinentalExchange, Inc. ‡ | | | 68,428 | | | | 8,153 | |
| Leucadia National Corp. ^ | | | 318,942 | | | | 9,307 | |
| Moody’s Corp. ^ | | | 86,551 | | | | 2,297 | |
| MSCI, Inc. - Class A ‡ | | | 340,280 | | | | 13,257 | |
Electrical Equipment - 0.8% | | | | | | | | |
| First Solar, Inc. ‡ ^ | | | 36,291 | | | | 4,723 | |
Food Products - 2.3% | | | | | | | | |
| Mead Johnson Nutrition Co. - Class A | | | 215,350 | | | | 13,406 | |
Health Care Equipment & Supplies - 4.9% | | | | | | | | |
| Gen-Probe, Inc. ‡ ^ | | | 163,312 | | | | 9,529 | |
| Idexx Laboratories, Inc. ‡ ^ | | | 107,294 | | | | 7,427 | |
| Intuitive Surgical, Inc. ‡ | | | 44,450 | | | | 11,457 | |
Hotels, Restaurants & Leisure - 7.1% | | | | | | | | |
| Betfair Group PLC ‡ ^ | | | 111,420 | | | | 1,675 | |
| Chipotle Mexican Grill, Inc. - Class A ‡ | | | 44,049 | | | | 9,367 | |
| Ctrip.com International, Ltd. ADR ‡ | | | 343,525 | | | | 13,896 | |
| Wynn Resorts, Ltd. | | | 160,215 | | | | 16,637 | |
Household Durables - 1.7% | | | | | | | | |
| Gafisa SA ADR | | | 308,717 | | | | 4,486 | |
| NVR, Inc. ‡ ^ | | | 7,861 | | | | 5,432 | |
Internet & Catalog Retail - 5.8% | | | | | | | | |
| NetFlix, Inc. ‡ | | | 79,203 | | | | 13,916 | |
| priceline.com, Inc. ‡ | | | 48,323 | | | | 19,307 | |
| | | | | | | | | |
|
Internet Software & Services - 2.1% | | | | | | | | |
| Akamai Technologies, Inc. ‡ | | | 149,346 | | | | 7,027 | |
| Alibaba.com, Ltd. | | | 2,969,300 | | | | 5,348 | |
IT Services - 1.4% | | | | | | | | |
| Gartner, Inc. ‡ ^ | | | 242,626 | | | | 8,055 | |
Life Sciences Tools & Services - 4.3% | | | | | | | | |
| Illumina, Inc. ‡ ^ | | | 277,275 | | | | 17,563 | |
| Techne Corp. ^ | | | 111,497 | | | | 7,322 | |
Machinery - 2.0% | | | | | | | | |
| Schindler Holding AG | | | 97,034 | | | | 11,479 | |
Media - 3.9% | | | | | | | | |
| Discovery Communications, Inc. - Series C ‡ | | | 139,826 | | | | 5,130 | |
| Groupe Aeroplan, Inc. | | | 411,727 | | | | 5,661 | |
| Naspers, Ltd. - Class N | | | 197,023 | | | | 11,603 | |
Metals & Mining - 2.3% | | | | | | | | |
| Lynas Corp., Ltd. ‡ | | | 2,192,943 | | | | 4,620 | |
| Molycorp, Inc. ‡ ^ | | | 170,828 | | | | 8,525 | |
Multiline Retail - 2.1% | | | | | | | | |
| Dollar Tree, Inc. ‡ | | | 157,962 | | | | 8,859 | |
| Sears Holdings Corp. ‡ ^ | | | 40,980 | | | | 3,022 | |
Oil, Gas & Consumable Fuels - 3.8% | | | | | | | | |
| Range Resources Corp. | | | 193,151 | | | | 8,688 | |
| Ultra Petroleum Corp. ‡ | | | 280,970 | | | | 13,422 | |
Personal Products - 1.5% | | | | | | | | |
| Natura Cosmeticos SA | | | 296,291 | | | | 8,512 | |
Pharmaceuticals - 0.2% | | | | | | | | |
| Ironwood Pharmaceuticals, Inc. - Class A ‡ | | | 121,390 | | | | 1,256 | |
Professional Services - 5.8% | | | | | | | | |
| IHS, Inc. - Class A ‡ | | | 109,906 | | | | 8,835 | |
| Intertek Group PLC | | | 404,778 | | | | 11,202 | |
| Verisk Analytics, Inc. - Class A ‡ | | | 385,774 | | | | 13,146 | |
Semiconductors & Semiconductor Equipment - 0.9% | | | | | | | | |
| ARM Holdings PLC ADR ^ | | | 263,774 | | | | 5,473 | |
Software - 11.5% | | | | | | | | |
| Autodesk, Inc. ‡ | | | 191,270 | | | | 7,307 | |
| Citrix Systems, Inc. ‡ | | | 72,540 | | | | 4,962 | |
| FactSet Research Systems, Inc. ^ | | | 94,895 | | | | 8,897 | |
| Red Hat, Inc. ‡ | | | 222,689 | | | | 10,166 | |
| Rovi Corp. ‡ | | | 104,381 | | | | 6,473 | |
| Salesforce.com, Inc. ‡ | | | 113,633 | | | | 15,000 | |
| Solera Holdings, Inc. | | | 255,442 | | | | 13,109 | |
Textiles, Apparel & Luxury Goods - 1.2% | | | | | | | | |
| Lululemon Athletica, Inc. ‡ ^ | | | 104,156 | | | | 7,126 | |
Trading Companies & Distributors - 1.4% | | | | | | | | |
| Fastenal Co. ^ | | | 134,206 | | | | 8,040 | |
Wireless Telecommunication Services - 1.4% | | | | | | | | |
| Millicom International Cellular SA | | | 82,032 | | | | 7,842 | |
| | | | | | | | |
Total Common Stocks (cost $434,054) | | | | | | | 555,783 | |
| | | | | | | | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL - 10.3% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 59,626,383 | | | | 59,626 | |
Total Securities Lending Collateral (cost $59,626) | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 2.7% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $15,591 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $15,905. | | $ | 15,591 | | | $ | 15,591 | |
Total Repurchase Agreement (cost $15,591) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $515,911) # | | | | | | | 637,313 | |
| Other Assets and Liabilities - Net | | | | | | | (59,616 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 577,697 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| Ə | | Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. These securities had a market value of $6,837, or 1.18% of the fund’s net assets. |
| |
| ‡ | | Non-income producing security. |
| |
| § | | Illiquid. These securities aggregated $6,837, or 1.18%, of the fund’s net asset. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $58,297. |
| |
| ∆ | | Restricted Security. At 12/31/2010, the fund owned the respective security (representing 1.18% of the fund’s net assets) which was restricted as to public resale: |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Date of | | | | | | | Cost | | | | | | | Fair | | | Fair Value | |
| Description | | Acquisition | | | Shares | | | Per Share | | | Cost | | | Value | | | Per Share* | |
| |
Groupon, Inc. | | | 12/17/10 | | | | 134,718 | | | $ | 31.59 | | | $ | 4,256 | | | $ | 4,256 | | | $ | 31.59 | |
Better Place | | | 01/25/10 | | | | 860,836 | | | | 3.00 | | | | 2,581 | | | | 2,581 | | | | 3.00 | |
| | |
| * | | Price not in thousands. |
| | |
| # | | Aggregate cost for federal income tax purposes is $516,435. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $140,571 and $19,693, respectively. Net unrealized appreciation for tax purposes is $120,878. |
DEFINITION:
ADR American Depositary Receipt
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | $ | 484,240 | | | $ | 68,962 | | | $ | 2,581 | | | $ | 555,783 | |
| Convertible Preferred Stocks | | | — | | | | 4,256 | | | | — | | | | 4,256 | |
| Preferred Stocks | | | 2,057 | | | | — | | | | — | | | | 2,057 | |
| Repurchase Agreement | | | — | | | | 15,591 | | | | — | | | | 15,591 | |
| Securities Lending Collateral | | | 59,626 | | | | — | | | | — | | | | 59,626 | |
| | | | | | | | | | | | | |
Total | | $ | 545,923 | | | $ | 88,809 | | | $ | 2,581 | | | $ | 637,313 | |
| | | | | | | | | | | | | |
Level 3 Rollforward - Investment Securities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning | | | | | | | | | | | | | | | | | | | | | | | Ending | |
| | | Balance at | | | | | | | Accrued | | | Total Realized | | | Change in Unrealized | | | Net Transfers | | | Balance at | |
| Securities | | 12/31/2009 | | | Purchases | | | Discounts/(Premiums) | | | Gain/(Loss) | | | (Depreciation) | | | (Out) of Level 3 | | | 12/31/2010 | |
| Common Stocks | | $ | — | | | $ | 2,581 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,581 | |
| Preferred Stocks | | | 4,371 | | | | — | | | | — | | | | — | | | | (2,002 | ) | | | (2,369 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 4,371 | | | $ | 2,581 | | | $ | — | | | $ | — | | | $ | (2,002 | ) | | $ | (2,369 | ) | | $ | 2,581 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $500,320)
(including securities loaned of $58,297) | | $ | 621,722 | |
| Repurchase agreement, at value (cost: $15,591) | | | 15,591 | |
| Foreign currency, at value(cost: $44) | | | 44 | |
| Receivables: | | | | |
| Shares sold | | | 275 | |
| Securities lending income (net) | | | 45 | |
| Dividends | | | 174 | |
| Other | | | 505 | |
| Prepaid expenses | | | 5 | |
| | | | |
| | | | 638,361 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 509 | |
| Management and advisory fees | | | 390 | |
| Distribution and service fees | | | 6 | |
| Administration fees | | | 10 | |
| Printing and shareholder reports fees | | | 84 | |
| Audit and tax fees | | | 8 | |
| Other | | | 31 | |
| Collateral for securities on loan | | | 59,626 | |
| | | | |
| | | | 60,664 | |
| | | | |
Net assets | | $ | 577,697 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 198 | |
| Additional paid-in capital | | | 487,043 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,789 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (32,736 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 121,402 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Net assets | | $ | 577,697 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 550,593 | |
| Service Class | | | 27,104 | |
Shares outstanding: | | | | |
| Initial Class | | | 18,854 | |
| Service Class | | | 942 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 29.20 | |
| Service Class | | | 28.77 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $141) | | $ | 5,757 | |
| Interest income | | | 1 | |
| Securities lending income (net) | | | 483 | |
| | | | |
| | | | 6,241 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 3,916 | |
| Printing and shareholder reports | | | 186 | |
| Custody | | | 125 | |
| Administration | | | 98 | |
| Legal | | | 27 | |
| Audit and tax | | | 13 | |
| Trustees | | | 17 | |
| Transfer agent | | | 5 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 41 | |
| Other | | | 10 | |
| | | | |
| Total expenses | | | 4,438 | |
| | | | |
| | | | | |
Net investment income | | | 1,803 | |
| | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 33,543 | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 111,571 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 111,572 | |
| | | | |
Net realized and unrealized gain | | | 145,115 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 146,918 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,803 | | | $ | 563 | |
| Net realized gain (loss) from investment securities | | | 33,543 | | | | (9,977 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 111,572 | | | | 181,182 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 146,918 | | | | 171,768 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (564 | ) | | | — | |
| Service Class | | | (3 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (567 | ) | | | — | |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 38,703 | | | | 22,456 | |
| Service Class | | | 17,492 | | | | 6,447 | |
| | | | | | | |
| | | | 56,195 | | | | 28,903 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 564 | | | | — | |
| Service Class | | | 3 | | | | — | |
| | | | | | | |
| | | | 567 | | | | — | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (67,399 | ) | | | (47,870 | ) |
| Service Class | | | (6,259 | ) | | | (3,141 | ) |
| | | | | | | |
| | | | (73,658 | ) | | | (51,011 | ) |
| | | | | | | |
| | | | | | | | | |
Net decrease in net assets from capital shares transactions | | | (16,896 | ) | | | (22,108 | ) |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 129,455 | | | | 149,660 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 448,242 | | | | 298,582 | |
| End of year | | $ | 577,697 | | | $ | 448,242 | |
| | | | | | | |
Undistributed net investment income | | $ | 1,789 | | | $ | 552 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 1,581 | | | | 1,256 | |
| Service Class | | | 711 | | | | 346 | |
| | | | | | | |
| | | | 2,292 | | | | 1,602 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 24 | | | | — | |
| Service Class | | | — | (A) | | | — | |
| | | | | | | |
| | | | 24 | | | | — | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (2,804 | ) | | | (2,853 | ) |
| Service Class | | | (268 | ) | | | (172 | ) |
| | | | | | | |
| | | | (3,072 | ) | | | (3,025 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (1,199 | ) | | | (1,597 | ) |
| Service Class | | | 443 | | | | 174 | |
| | | | | | | |
| | | | (756 | ) | | | (1,423 | ) |
| | | | | | | |
| | | | | | | |
| | |
| |
| (A) | | Rounds to less than 1 share. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 21.82 | | | $ | 13.59 | | | $ | 25.83 | | | $ | 21.08 | | | $ | 19.18 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.09 | | | | 0.03 | | | | — | (B) | | | 0.11 | | | | 0.05 | |
| Net realized and unrealized gain (loss) | | | 7.32 | | | | 8.20 | | | | (11.80 | ) | | | 4.64 | | | | 1.85 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 7.41 | | | | 8.23 | | | | (11.80 | ) | | | 4.75 | | | | 1.90 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.03 | ) | | | — | | | | (0.44 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.03 | ) | | | — | | | | (0.44 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 29.20 | | | $ | 21.82 | | | $ | 13.59 | | | $ | 25.83 | | | $ | 21.08 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 33.90 | % | | | 60.56 | % | | | (46.29 | %) | | | 22.53 | % | | | 9.91 | % |
Net assets end of year (000’s) | | $ | 550,593 | | | $ | 437,513 | | | $ | 294,219 | | | $ | 648,069 | | | $ | 593,375 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.90 | % | | | 0.93 | % | | | 0.87 | % | | | 0.89 | % | | | 0.89 | % |
| Net investment income, to average net assets | | | 0.37 | % | | | 0.16 | % | | | 0.03 | % | | | 0.47 | % | | | 0.24 | % |
| Portfolio turnover rate | | | 43 | % | | | 35 | % | | | 39 | % | | | 76 | % | | | 65 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 21.52 | | | $ | 13.44 | | | $ | 25.56 | | | $ | 20.91 | | | $ | 19.07 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(A) | | | 0.04 | | | | (0.01 | ) | | | (0.05 | ) | | | 0.05 | | | | — | (B) |
| Net realized and unrealized gain (loss) | | | 7.21 | | | | 8.09 | | | | (11.68 | ) | | | 4.60 | | | | 1.84 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 7.25 | | | | 8.08 | | | | (11.73 | ) | | | 4.65 | | | | 1.84 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | — | (B) | | | — | | | | (0.39 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | (B) | | | — | | | | (0.39 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 28.77 | | | $ | 21.52 | | | $ | 13.44 | | | $ | 25.56 | | | $ | 20.91 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 33.58 | % | | | 60.12 | % | | | (46.44 | %) | | | 22.24 | % | | | 9.59 | % |
Net assets end of year (000’s) | | $ | 27,104 | | | $ | 10,729 | | | $ | 4,363 | | | $ | 12,057 | | | $ | 6,634 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.15 | % | | | 1.18 | % | | | 1.12 | % | | | 1.14 | % | | | 1.14 | % |
| Net investment income (loss), to average net assets | | | 0.19 | % | | | (0.06 | %) | | | (0.22 | %) | | | 0.21 | % | | | — | %(D) |
| Portfolio turnover rate | | | 43 | % | | | 35 | % | | | 39 | % | | | 76 | % | | | 65 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Rounds to less than ($0.01) or $0.01. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (D) | | Rounds to less than (0.01%) or 0.01%. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Effective May 1, 2010, Transamerica Van Kampen Mid-Cap Growth VP changed its name to Transamerica Morgan Stanley Mid-Cap Growth VP. Transamerica Morgan Stanley Mid-Cap Growth VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreement, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Restricted and illiquid securities: Restricted and illiquid securities are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The restricted and illiquid securities at December 31, 2010 are listed in the Schedule of Investments.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund attempts to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the period ended December 31, 2010 of $76, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Foreign securities, in which their 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, Exchange Traded Funds and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Restricted securities (equity and debt): Restricted securities for which quotations are not readily available are valued at fair value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Board of Trustees. 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 valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by TAM’s Valuation Committee under the supervision of the Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | % of Net |
| | | Value | | Assets |
| Transamerica BlackRock Tactical Allocation VP | | $ | 14,532 | | | | 7.53 | % |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Morgan Stanley Mid-Cap Growth VP
(formerly, Transamerica Van Kampen Mid-Cap Growth VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $1 billion | | | 0.80 | % |
| Over $1 billion | | | 0.775 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 205,469 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 233,568 | |
| U.S. Government | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Morgan Stanley Mid-Cap Growth VP
(Formerly, Transamerica Van Kampen Mid-Cap Growth VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | (253,182 | ) |
| Undistributed (accumulated) net investment income (loss) | | $ | 1 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 253,181 | |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 6,742 | | | December 31, 2016 |
| $ | 25,192 | | | December 31, 2017 |
The capital loss carryforwards utilized and expired during the year ended December 31, 2010 were $31,959 and $253,183, respectively.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 567 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 1,789 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (31,934 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (277 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 120,878 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Morgan Stanley Mid-Cap Growth VP
(Formerly, Transamerica Van Kampen Mid-Cap Growth VP)
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Morgan Stanley Mid-Cap Growth VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Morgan Stanley Mid-Cap Growth VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Morgan Stanley Mid-Cap Growth VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Morgan Stanley Mid-Cap Growth VP
(Formerly, Transamerica Van Kampen Mid-Cap Growth VP)
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
(unaudited)
MARKET ENVIRONMENT
Morgan Stanley Investment Management Inc.
The stock market finished 2010 higher, as investors gained confidence that the U.S. and global economies would likely avoid a double-dip recession, at least for the time being. Optimism was driven by improvements in some measures of the U.S. economy, although the weak housing market and near-record high unemployment rates continued to hang over the market. Shifting sentiment about Europe’s fiscal health caused volatility in the markets, especially early in the year and during the summer months when the problems of some of the heavily indebted peripheral countries appeared to escalate. In late August, U.S. stocks rallied on the prospects of a second round of quantitative easing (buying government bonds to increase money supply) by the Federal Reserve. The market climbed through the remainder of the year as the expectation became a reality and an additional stimulus package was passed by the U.S. Congress.
Invesco Advisers, Inc.
Equity markets were choppy during the fiscal year as investors weighed the competing issues of solid corporate profits and soft macro-economic data. Corporate earnings were largely positive, but often overshadowed by concerns about high unemployment, a lack of consumer spending, soft housing data and the possibility of additional Federal Reserve Board (“Fed”) accommodation. After rising through April, the major equity indices sold off precipitously in May as the sovereign debt crisis unfolded in the Euro zone while U.S. economic indicators remained weak, prompting fears of a “double-dip” recession. Uncertainty created by the debt crisis combined with subdued employment, consumer spending and housing data added to concerns that the recovery was slowing to a sub-normal growth rate. Just as abruptly, however, the markets reversed course starting in September and rallied through the end of the year on modestly better economic news. The major equity indices garnered positive returns for the fiscal year, and all ten sectors within the Standard & Poor’s 500 Composite Stock Index (“S&P 500”) posted gains. More economically sensitive sectors such as consumer discretionary and industrials had the highest returns, while the less economically sensitive sectors such as health care had some of the lowest returns.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Multi Managed Large Cap Core VP Initial Class returned 19.17%. By comparison its benchmark, the Standard & Poor’s 500 Composite Stock Index, returned 15.06%. (Prior to May 1, 2010, this fund was named Transamerica Van Kampen Large Cap Core VP).
STRATEGY REVIEW
Morgan Stanley Investment Management Inc.
The growth stock portion of the Fund is managed by the Morgan Stanley Growth Team. The Growth Team uses intensive fundamental research to seek high-quality growth companies. The team’s investment discipline favors companies with sustainable competitive advantages, business visibility, rising return on invested capital, free cash flow and a favorable risk/reward profile. Because the team emphasizes secular growth, short-term market events are not as meaningful in the stock selection process.
Stock selection and an overweight in consumer discretionary provided the largest positive contribution to relative performance versus the S&P 500. Within the sector, performance was led by the casinos and gambling industry. Stock selection in technology was also beneficial, although an overweight in the sector was somewhat disadvantageous. Here, the computer technology industry was particularly additive to the portfolio’s outperformance. Both stock selection and an underweight in health care produced favorable results relative to the S&P 500, with relative gains from the medical equipment industry.
Conversely, both stock selection and an overweight in the materials and processing sector detracted from relative performance. The fertilizers group was the primary cause of the sector’s relative underperformance. In the energy sector, stock selection and an underweight hampered relative performance, primarily due to exposure to natural gas producers. Additionally, stock selection in financial services hurt relative performance, which was partially offset by an overweight in the sector. Within the sector, the financial data and systems industry was the most detrimental to performance.
Invesco Advisers, Inc.
The Invesco portfolio’s consumer discretionary exposure acted as the largest contributor to relative and absolute returns. The portfolio’s notable overweight combined with strong stock selection positively impacted performance. Specifically, the portfolio’s holdings in media companies Comcast Corp. and Viacom, Inc. made significant contributions to results as both stocks posted strong double-digit returns during the year.
Specifically, the portfolio’s material overweight in the property and casualty insurance industry enhanced shareholder returns. Chubb Corp., a property and casualty insurance company, was one of the largest holdings in the portfolio for much of the previous year. The company’s strong performance is reflective of a strong balance sheet and a well diversified, conservative underwriting platform. Chubb Corp. has done an admirable job of returning cash to shareowners through buybacks and dividends, while operating in a difficult pricing environment.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
(unaudited)
STRATEGY REVIEW (continued)
Invesco Advisers, Inc.
The technology sector was the largest detractor from relative performance. Among technology stocks, the portfolio’s overweight exposure combined with unfavorable stock selection among hardware and select internet related companies dampened shareholder returns. More specifically, the unexpected departure of Hewlett — Packard Co.’s CEO temporarily weighed heavily on the shares. Shares of Yahoo! Inc., a relatively new addition to the portfolio, were weak as investors questioned the rate and sustainability of the recovery in advertising and the economic environment in general.
Towards the end of the period, we pared down exposure to select insurance and media names, using the proceeds to opportunistically increase the portfolio’s energy and industrials exposure.
We believe that market volatility and the market correction that began in the second quarter of 2010 have created opportunities to invest in companies with attractive valuations. Our contrarian philosophy and deep value approach of buying extremely undervalued companies capitalize on market volatility and periods of down markets as value is created for new investment opportunities.
| | | |
|
Dennis P. Lynch | | Kevin Holt |
David S. Cohen | | Jason Leder |
Sam G. Chainani | | Devin Armstrong |
Alexander T. Norton | | James Warwick |
Jason C. Yeung | | Matthew Seinsheimer |
Armistead B. Nash | | |
| | | |
Co-Portfolio Managers | | Co-Portfolio Managers |
Morgan Stanley Investment Management Inc. | | Invesco Advisers, Inc. |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 19.17 | % | | | 3.88 | % | | | 3.46 | % | | | 04/08/1991 | |
S&P 500* | | | 15.06 | % | | | 2.29 | % | | | 1.41 | % | | | | |
| |
| Service Class | | | 18.87 | % | | | 3.63 | % | | | 7.20 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Multi Managed Large Cap Core VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,272.20 | | | $ | 4.81 | | | $ | 1,020.97 | | | $ | 4.28 | | | | 0.84 | % |
| Service Class | | | 1,000.00 | | | | 1,270.50 | | | | 6.24 | | | | 1,019.71 | | | | 5.55 | | | | 1.09 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 96.2 | % |
| Securities Lending Collateral | | | 25.7 | |
| Repurchase Agreement | | | 3.9 | |
| Other Assets and Liabilities - Net | | | (25.8 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 96.2% | | | | | | | | |
Aerospace & Defense - 0.6% | | | | | | | | |
| Honeywell International, Inc. | | | 26,364 | | | $ | 1,402 | |
Air Freight & Logistics - 1.8% | | | | | | | | |
| CH Robinson Worldwide, Inc. ^ | | | 18,094 | | | | 1,451 | |
| Expeditors International of Washington, Inc. | | | 47,560 | | | | 2,597 | |
Automobiles - 0.6% | | | | | | | | |
| Better Place ‡ Ə § ∆ | | | 197,900 | | | | 594 | |
| General Motors Co. ‡ ^ | | | 21,809 | | | | 804 | |
Beverages - 1.6% | | | | | | | | |
| Anheuser-Busch InBev NV ADR ^ | | | 36,070 | | | | 2,060 | |
| Coca-Cola Co. ^ | | | 19,206 | | | | 1,263 | |
| PepsiCo, Inc. | | | 5,012 | | | | 327 | |
Capital Markets - 3.1% | | | | | | | | |
| Bank of New York Mellon Corp. | | | 75,080 | | | | 2,268 | |
| Charles Schwab Corp. ^ | | | 113,632 | | | | 1,944 | |
| Goldman Sachs Group, Inc. | | | 6,802 | | | | 1,144 | |
| Morgan Stanley | | | 42,521 | | | | 1,157 | |
| State Street Corp. ^ | | | 10,406 | | | | 482 | |
Chemicals - 1.7% | | | | | | | | |
| E.I. du Pont de Nemours & Co. ^ | | | 8,830 | | | | 440 | |
| Monsanto Co. ^ | | | 48,147 | | | | 3,353 | |
Commercial Banks - 1.6% | | | | | | | | |
| PNC Financial Services Group, Inc. | | | 24,716 | | | | 1,501 | |
| U.S. Bancorp ^ | | | 28,023 | | | | 756 | |
| Wells Fargo & Co. | | | 41,761 | | | | 1,294 | |
Commercial Services & Supplies - 1.4% | | | | | | | | |
| Edenred ‡ | | | 132,453 | | | | 3,136 | |
Communications Equipment - 0.9% | | | | | | | | |
| Cisco Systems, Inc. ‡ ^ | | | 100,276 | | | | 2,029 | |
Computers & Peripherals - 7.0% | | | | | | | | |
| Apple, Inc. ‡ | | | 28,668 | | | | 9,246 | |
| Dell, Inc. ‡ ^ | | | 82,711 | | | | 1,121 | |
| Hewlett-Packard Co. | | | 46,317 | | | | 1,950 | |
| Teradata Corp. ‡ | | | 79,802 | | | | 3,285 | |
Construction Materials - 0.4% | | | | | | | | |
| Martin Marietta Materials, Inc. ^ | | | 10,578 | | | | 976 | |
Distributors - 1.6% | | | | | | | | |
| Li & Fung, Ltd. | | | 606,000 | | | | 3,543 | |
Diversified Financial Services - 6.3% | | | | | | | | |
| Bank of America Corp. | | | 150,077 | | | | 2,002 | |
| BM&FBOVESPA SA | | | 370,830 | | | | 2,933 | |
| Citigroup, Inc. ‡ ^ | | | 336,120 | | | | 1,590 | |
| CME Group, Inc. - Class A | | | 5,930 | | | | 1,908 | |
| JPMorgan Chase & Co. | | | 76,590 | | | | 3,249 | |
| Leucadia National Corp. ^ | | | 81,975 | | | | 2,392 | |
Diversified Telecommunication Services - 1.5% | | | | | | | | |
| AT&T, Inc. | | | 49,412 | | | | 1,452 | |
| Verizon Communications, Inc. ^ | | | 52,638 | | | | 1,883 | |
Electric Utilities - 0.5% | | | | | | | | |
| American Electric Power Co., Inc. | | | 13,637 | | | | 491 | |
| FirstEnergy Corp. | | | 21,909 | | | | 810 | |
Electrical Equipment - 0.9% | | | | | | | | |
| Emerson Electric Co. ^ | | | 16,570 | | | | 947 | |
| First Solar, Inc. ‡ ^ | | | 7,605 | | | | 990 | |
Energy Equipment & Services - 2.0% | | | | | | | | |
| Halliburton Co. ^ | | | 64,115 | | | | 2,618 | |
| Noble Corp. ^ | | | 15,482 | | | | 554 | |
| Weatherford International, Ltd. ‡ ^ | | | 55,308 | | | | 1,261 | |
Food & Staples Retailing - 2.3% | | | | | | | | |
| Costco Wholesale Corp. ^ | | | 24,858 | | | | 1,795 | |
| CVS Caremark Corp. | | | 48,810 | | | | 1,697 | |
| Wal-Mart Stores, Inc. | | | 31,514 | | | | 1,700 | |
Food Products - 3.2% | | | | | | | | |
| Kraft Foods, Inc. - Class A ^ | | | 79,768 | | | | 2,513 | |
| Mead Johnson Nutrition Co. - Class A ^ | | | 50,688 | | | | 3,156 | |
| Unilever NV | | | 37,457 | | | | 1,176 | |
Health Care Equipment & Supplies - 1.0% | | | | | | | | |
| Intuitive Surgical, Inc. ‡ ^ | | | 8,902 | | | | 2,294 | |
Health Care Providers & Services - 1.7% | | | | | | | | |
| Cardinal Health, Inc. | | | 30,506 | | | | 1,169 | |
| UnitedHealth Group, Inc. | | | 51,192 | | | | 1,848 | |
| WellPoint, Inc. ‡ | | | 11,856 | | | | 674 | |
Hotels, Restaurants & Leisure - 4.7% | | | | | | | | |
| Las Vegas Sands Corp. ‡ ^ | | | 102,105 | | | | 4,691 | |
| Starbucks Corp. ^ | | | 74,879 | | | | 2,406 | |
| Wynn Resorts, Ltd. ^ | | | 17,359 | | | | 1,803 | |
| Yum! Brands, Inc. | | | 34,324 | | | | 1,684 | |
Household Products - 0.1% | | | | | | | | |
| Procter & Gamble Co. | | | 5,037 | | | | 324 | |
Industrial Conglomerates - 2.0% | | | | | | | | |
| General Electric Co. | | | 124,337 | | | | 2,273 | |
| Textron, Inc. ^ | | | 30,322 | | | | 717 | |
| Tyco International, Ltd. | | | 37,233 | | | | 1,543 | |
Insurance - 2.7% | | | | | | | | |
| Aflac, Inc. | | | 9,997 | | | | 564 | |
| Chubb Corp. | | | 40,802 | | | | 2,434 | |
| MetLife, Inc. ^ | | | 33,020 | | | | 1,467 | |
| Travelers Cos., Inc. ^ | | | 27,345 | | | | 1,523 | |
Internet & Catalog Retail - 5.1% | | | | | | | | |
| Amazon.com, Inc. ‡ ^ | | | 53,815 | | | | 9,687 | |
| NetFlix, Inc. ‡ ^ | | | 9,842 | | | | 1,729 | |
Internet Software & Services - 8.4% | | | | | | | | |
| Baidu, Inc. ADR ‡ ^ | | | 40,057 | | | | 3,867 | |
| eBay, Inc. ‡ ^ | | | 186,215 | | | | 5,182 | |
| Google, Inc. - Class A ‡ | | | 11,088 | | | | 6,586 | |
| Tencent Holdings, Ltd. | | | 68,900 | | | | 1,516 | |
| Yahoo!, Inc. ‡ | | | 108,554 | | | | 1,805 | |
IT Services - 0.5% | | | | | | | | |
| Accenture PLC - Class A ^ | | | 13,443 | | | | 651 | |
| Western Union Co. ^ | | | 19,252 | | | | 358 | |
Life Sciences Tools & Services - 1.5% | | | | | | | | |
| Illumina, Inc. ‡ ^ | | | 53,708 | | | | 3,402 | |
Machinery - 0.7% | | | | | | | | |
| Ingersoll-Rand PLC ^ | | | 30,965 | | | | 1,458 | |
Media - 7.3% | | | | | | | | |
| Comcast Corp. - Class A ^ | | | 240,283 | | | | 5,279 | |
| DIRECTV - Class A ‡ | | | 16,455 | | | | 657 | |
| Naspers, Ltd. - Class N | | | 41,287 | | | | 2,431 | |
| News Corp. - Class B ^ | | | 90,495 | | | | 1,486 | |
| Time Warner Cable, Inc. | | | 18,853 | | | | 1,245 | |
| Time Warner, Inc. | | | 48,271 | | | | 1,553 | |
| Viacom, Inc. - Class B | | | 87,187 | | | | 3,453 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
Metals & Mining - 0.9% | | | | | | | | |
| Alcoa, Inc. ^ | | | 127,808 | | | $ | 1,967 | |
Multiline Retail - 0.7% | | | | | | | | |
| JC Penney Co., Inc. ^ | | | 15,919 | | | | 514 | |
| Macy’s, Inc. | | | 15,660 | | | | 396 | |
| Target Corp. | | | 11,378 | | | | 685 | |
Multi-Utilities - 0.2% | | | | | | | | |
| Sempra Energy ^ | | | 6,569 | | | | 345 | |
Oil, Gas & Consumable Fuels - 5.1% | | | | | | | | |
| BP PLC ADR ^ | | | 23,499 | | | | 1,038 | |
| Chevron Corp. ^ | | | 25,181 | | | | 2,298 | |
| ConocoPhillips | | | 15,387 | | | | 1,048 | |
| Range Resources Corp. ^ | | | 24,219 | | | | 1,089 | |
| Royal Dutch Shell PLC - Class A ADR | | | 26,221 | | | | 1,751 | |
| Total SA ADR | | | 14,522 | | | | 777 | |
| Ultra Petroleum Corp. ‡ ^ | | | 71,062 | | | | 3,394 | |
Paper & Forest Products - 1.4% | | | | | | | | |
| International Paper Co. ^ | | | 117,018 | | | | 3,188 | |
Personal Products - 0.2% | | | | | | | | |
| Avon Products, Inc. ^ | | | 18,311 | | | | 532 | |
Pharmaceuticals - 4.7% | | | | | | | | |
| Abbott Laboratories | | | 24,344 | | | | 1,166 | |
| Allergan, Inc. | | | 22,935 | | | | 1,575 | |
| Bristol-Myers Squibb Co. ^ | | | 78,271 | | | | 2,073 | |
| GlaxoSmithKline PLC ADR ^ | | | 15,393 | | | | 604 | |
| Merck & Co., Inc. | | | 51,642 | | | | 1,861 | |
| Pfizer, Inc. | | | 154,696 | | | | 2,709 | |
| Roche Holding AG ADR | | | 13,367 | | | | 490 | |
Professional Services - 0.7% | | | | | | | | |
| SGS SA | | | 973 | | | | 1,633 | |
Real Estate Management & Development - 2.1% | | | | | | | | |
| Brookfield Asset Management, Inc. - Class A | | | 142,925 | | | | 4,758 | |
| | | | | | | | | |
|
Semiconductors & Semiconductor Equipment - 0.7% | | | | | | | | |
| Intel Corp. | | | 49,860 | | | | 1,049 | |
| KLA-Tencor Corp. | | | 14,182 | | | | 548 | |
Software - 2.2% | | | | | | | | |
| Microsoft Corp. | | | 23,288 | | | | 650 | |
| Salesforce.com, Inc. ‡ ^ | | | 23,547 | | | | 3,109 | |
| VMware, Inc. - Class A ‡ ^ | | | 12,590 | | | | 1,119 | |
Specialty Retail - 1.1% | | | | | | | | |
| Home Depot, Inc. | | | 33,706 | | | | 1,182 | |
| Lowe’s Cos., Inc. | | | 47,717 | | | | 1,196 | |
Tobacco - 1.0% | | | | | | | | |
| Philip Morris International, Inc. | | | 38,767 | | | | 2,269 | |
Wireless Telecommunication Services - 0.5% | | | | | | | | |
| Vodafone Group PLC ADR ^ | | | 39,005 | | | | 1,031 | |
| | | | | | | | |
Total Common Stocks (cost $161,281) | | | | | | | 215,043 | |
| | | | | | | | |
SECURITIES LENDING COLLATERAL - 25.7% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 57,358,737 | | | | 57,359 | |
Total Securities Lending Collateral (cost $57,359) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
REPURCHASE AGREEMENT - 3.9% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $8,743 on 01/03/2011. Collateralized by U.S. Government Agency Obligations, 4.00%, due 12/15/2017 - 12/25/2024, with a total value of $8,923. | | $ | 8,743 | | | | 8,743 | |
Total Repurchase Agreement (cost $8,743) | | | | | | | | |
| Total Investment Securities (cost $227,383) # | | | | | | | 281,145 | |
| Other Assets and Liabilities - Net | | | | | | | (57,648 | ) |
| |
Net Assets | | | | | | $ | 223,497 | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| Ə | | Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. This security had a market value of $594, or 0.27%, of the fund’s net assets. |
| |
| § | | Illiquid. This security had a market value of $594, or 0.27%, of the fund’s net assets. |
| |
| ‡ | | Non-income producing security. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $56,030. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| ∆ | | Restricted Security. At 12/31/2010, the fund owned the following security (representing 0.27% of net assets) which was restricted to public resale: |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Cost | | | | | | | Fair | | | Fair Value | |
| Description | | Date of Acquisition | | | Shares | | | Per Share* | | | Cost | | | Value | | | Per Share* | |
| |
Better Place | | 01/25/2010 | | | | 197,900 | | | $ | 3.00 | | | $ | 594 | | | $ | 594 | | | $ | 3.00 | |
| | |
| * | | Price not in thousands. |
| | | |
| # | | Aggregate cost for federal income tax purposes is $227,383. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $56,412 and $2,650, respectively. Net unrealized appreciation for tax purposes is $53,762. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
DEFINITION:
ADR American Depositary Receipt
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | $ | 187,796 | | | $ | 26,653 | | | $ | 594 | | | $ | 215,043 | |
| Repurchase Agreement | | | — | | | | 8,743 | | | | — | | | | 8,743 | |
| Securities Lending Collateral | | | 57,359 | | | | — | | | | — | | | | 57,359 | |
| | | | | | | | | | | | | |
Total | | $ | 245,155 | | | $ | 35,396 | | | $ | 594 | | | $ | 281,145 | |
| | | | | | | | | | | | | |
Level 3 Rollforward - Investment Securities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning | | | | | | | | | | | | | | | | | | Net Transfers | | Ending |
| | | Balance at | | Net | | Accrued | | Total Realized | | Change in Unrealized | | In/(Out) of | | Balance at |
| Securities | | 12/31/2009 | | Purchases | | Discounts/(Premiums) | | Gain/(Loss) | | Appreciation/(Depreciation) | | Level 3 | | 12/31/2010 |
| Common Stocks | | $ | — | | | $ | 594 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 594 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $218,640)
(including securities loaned of $56,030) | | $ | 272,402 | |
| Repurchase agreement, at value (cost: $8,743) | | | 8,743 | |
| Receivables: | | | | |
| Investment securities sold | | | 99 | |
| Shares sold | | | 8 | |
| Securities lending income (net) | | | 8 | |
| Dividends | | | 171 | |
| Dividend reclaims | | | 16 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 281,449 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 175 | |
| Shares redeemed | | | 222 | |
| Management and advisory fees | | | 158 | |
| Distribution and service fees | | | 3 | |
| Administration fees | | | 4 | |
| Printing and shareholder reports fees | | | 11 | |
| Audit and tax fees | | | 8 | |
| Other | | | 12 | |
| Collateral for securities on loan | | | 57,359 | |
| | | | |
| | | | 57,952 | |
| | | | |
Net assets | | $ | 223,497 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 144 | |
| Additional paid-in capital | | | 231,249 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,594 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (63,253 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 53,762 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Net assets | | $ | 223,497 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 206,764 | |
| Service Class | | | 16,733 | |
Shares outstanding: | | | | |
| Initial Class | | | 13,323 | |
| Service Class | | | 1,060 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 15.52 | |
| Service Class | | | 15.79 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $64) | | $ | 3,331 | |
| Securities lending income (net) | | | 47 | |
| | | | |
| | | | 3,378 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,557 | |
| Printing and shareholder reports | | | 31 | |
| Custody | | | 58 | |
| Administration | | | 42 | |
| Legal | | | 11 | |
| Audit and tax | | | 17 | |
| Trustees | | | 7 | |
| Transfer agent | | | 2 | |
| Distribution and service: | | | | |
| Service Class | | | 33 | |
| Other | | | 4 | |
| | | | |
| Total expenses | | | 1,762 | |
| | | | |
| Recaptured Expenses | | | 15 | |
| | | | |
| Net expenses | | | 1,777 | |
| | | | |
| | | | | |
Net investment income | | | 1,601 | |
| | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 7,915 | |
| Foreign currency transactions | | | (7 | ) |
| | | | |
| | | | 7,908 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 27,145 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 27,146 | |
| | | | |
Net realized and unrealized gain | | | 35,054 | |
| | | | |
| |
Net increase in net assets resulting from operations | | $ | 36,655 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,601 | | | $ | 1,365 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | 7,908 | | | | (12,461 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 27,146 | | | | 71,527 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 36,655 | | | | 60,431 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (1,290 | ) | | | (1,379 | ) |
| Service Class | | | (71 | ) | | | (68 | ) |
| | | | | | | |
Total distributions to shareholders | | | (1,361 | ) | | | (1,447 | ) |
| | | | | | | |
| |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 6,789 | | | | 7,286 | |
| Service Class | | | 5,445 | | | | 3,053 | |
| | | | | | | |
| | | | 12,234 | | | | 10,339 | |
| | | | | | | |
| Proceeds from fund acquisition: | | | | | | | | |
| Initial Class | | | — | | | | 87,536 | |
| Service Class | | | — | | | | 5,878 | |
| | | | | | | |
| | | | — | | | | 93,414 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 1,290 | | | | 1,379 | |
| Service Class | | | 71 | | | | 68 | |
| | | | | | | |
| | | | 1,361 | | | | 1,447 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (34,300 | ) | | | (25,437 | ) |
| Service Class | | | (3,541 | ) | | | (1,250 | ) |
| | | | | | | |
| | | | (37,841 | ) | | | (26,687 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | (24,246 | ) | | | 78,513 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 11,048 | | | | 137,497 | |
| | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 212,449 | | | | 74,952 | |
| | | | | | | |
| End of year | | $ | 223,497 | | | $ | 212,449 | |
| | | | | | | |
Undistributed net investment income | | $ | 1,594 | | | $ | 1,361 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 490 | | | | 628 | |
| Service Class | | | 383 | | | | 259 | |
| | | | | | | |
| | | | 873 | | | | 887 | |
| | | | | | | |
| Shares issued on fund acquisition: | | | | | | | | |
| Initial Class | | | — | | | | 8,789 | |
| Service Class | | | — | | | | 579 | |
| | | | | | | |
| | | | — | | | | 9,368 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 102 | | | | 117 | |
| Service Class | | | 6 | | | | 6 | |
| | | | | | | |
| | | | 108 | | | | 123 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (2,513 | ) | | | (2,330 | ) |
| Service Class | | | (261 | ) | | | (112 | ) |
| | | | | | | |
| | | | (2,774 | ) | | | (2,442 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (1,921 | ) | | | 7,204 | |
| Service Class | | | 128 | | | | 732 | |
| | | | | | | |
| | | | (1,793 | ) | | | 7,936 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 13.12 | | | $ | 9.09 | | | $ | 19.04 | | | $ | 18.73 | | | $ | 18.23 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.11 | | | | 0.10 | | | | 0.18 | | | | 0.19 | | | | 0.15 | |
| Net realized and unrealized gain (loss) | | | 2.38 | | | | 4.02 | | | | (7.25 | ) | �� | | 1.50 | | | | 1.59 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.49 | | | | 4.12 | | | | (7.07 | ) | | | 1.69 | | | | 1.74 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.09 | ) | | | (0.09 | ) | | | (0.23 | ) | | | (0.19 | ) | | | (0.18 | ) |
| From net realized gains | | | — | | | | — | | | | (2.65 | ) | | | (1.19 | ) | | | (1.06 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.09 | ) | | | (0.09 | ) | | | (2.88 | ) | | | (1.38 | ) | | | (1.24 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 15.52 | | | $ | 13.12 | | | $ | 9.09 | | | $ | 19.04 | | | $ | 18.73 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 19.17 | % | | | 45.41 | % | | | (42.08 | %) | | | 9.25 | % | | | (10.33 | %) |
Net assets end of year (000’s) | | $ | 206,764 | | | $ | 199,996 | | | $ | 73,100 | | | $ | 153,192 | | | $ | 180,443 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/recaptured expense | | | 0.84 | % | | | 0.84 | % | | | 0.83 | % | | | 0.82 | % | | | 0.82 | % |
| Before reimbursement/recaptured expense | | | 0.83 | % | | | 0.85 | % | | | 0.83 | % | | | 0.82 | % | | | 0.82 | % |
| Net investment income, to average net assets | | | 0.79 | % | | | 0.91 | % | | | 1.20 | % | | | 0.97 | % | | | 0.81 | % |
| Portfolio turnover rate | | | 27 | % | | | 73 | % | | | 37 | % | | | 37 | % | | | 40 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 13.36 | | | $ | 9.27 | | | $ | 19.36 | | | $ | 19.04 | | | $ | 18.52 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.07 | | | | 0.07 | | | | 0.14 | | | | 0.15 | | | | 0.10 | |
| Net realized and unrealized gain (loss) | | | 2.43 | | | | 4.10 | | | | (7.38 | ) | | | 1.51 | | | | 1.63 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.50 | | | | 4.17 | | | | (7.24 | ) | | | 1.66 | | | | 1.73 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.07 | ) | | | (0.08 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.15 | ) |
| From net realized gains | | | — | | | | — | | | | (2.65 | ) | | | (1.19 | ) | | | (1.06 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.07 | ) | | | (0.08 | ) | | | (2.85 | ) | | | (1.34 | ) | | | (1.21 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 15.79 | | | $ | 13.36 | | | $ | 9.27 | | | $ | 19.36 | | | $ | 19.04 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 18.87 | % | | | 45.09 | % | | | (42.20 | %) | | | 8.94 | % | | | 10.06 | % |
Net assets end of year (000’s) | | $ | 16,733 | | | $ | 12,453 | | | $ | 1,852 | | | $ | 1,878 | | | $ | 1,428 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/recaptured expense | | | 1.09 | % | | | 1.09 | % | | | 1.08 | % | | | 1.06 | % | | | 1.07 | % |
| Before reimbursement/recaptured expense | | | 1.08 | % | | | 1.10 | % | | | 1.08 | % | | | 1.06 | % | | | 1.07 | % |
| Net investment income, to average net assets | | | 0.54 | % | | | 0.65 | % | | | 0.98 | % | | | 0.74 | % | | | 0.55 | % |
| Portfolio turnover rate | | | 27 | % | | | 73 | % | | | 37 | % | | | 37 | % | | | 40 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. On June 1, 2010, Transamerica Van Kampen Large Cap Core VP added Invesco Advisers, Inc. as a sub-adviser in addition to its current sub-adviser Morgan Stanley Investment Management Inc. and also changed its name to Transamerica Multi Managed Large Cap Core VP effective May 1, 2010. Transamerica Multi Managed Large Cap Core VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Restricted and illiquid securities: Restricted and illiquid securities are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The restricted and illiquid securities at December 31, 2010 are listed in the Schedule of Investments.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $20, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Foreign securities, in which their 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.
Restricted securities (equity and debt): Restricted securities for which quotations are not readily available are valued at fair value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Board of Trustees. 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 valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by TAM’s Valuation Committee under the supervision of the Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $250 million | | | 0.75 | % |
| Over $250 million | | | 0.70 | % |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.84% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount recaptured by the adviser was $15. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2009: | | $ | 6 | | | 12/31/2012 |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
Brokerage commissions: Brokerage commissions incurred on security transactions placed with affiliates of the adviser or sub-adviser for the year ended December 31, 2010 were $2.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Multi Managed Large Cap Core VP
(Formerly, Transamerica Van Kampen Large Cap Core VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 53,832 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 80,519 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for the open tax years (2007-2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | (7 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 7 | |
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | |
| Carryforwards | | Available Through |
| $ | 27,675 | | | December 31, 2015 |
| |
| $ | 20,761 | | | December 31, 2016 |
| |
| $ | 14,816 | | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31,2010 were $3,374.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica Multi Managed Large Cap Core VP
(Formerly, Transamerica Van Kampen Large Cap Core VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 1,361 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 1,447 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 1,594 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (63,252 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 53,762 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica Multi Managed Large Cap Core VP
(formerly, Transamerica Van Kampen Large Cap Core VP)
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Multi Managed Large Cap Core VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Multi Managed Large Cap Core VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Multi Managed Large Cap Core VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica Multi Managed Large Cap Core VP
(Formerly, Transamerica Van Kampen Large Cap Core VP)
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica PIMCO Total Return VP
(unaudited)
MARKET ENVIRONMENT
At the start of 2010, investors sought the relative safety of U.S. bonds amid concern about sovereign debt risk, especially in Greece and other peripheral Eurozone economies as growing budget shortfalls in Greece, Spain and Portugal raised fears that the region might derail the global economy’s recovery from the crisis that began in 2008. Policymakers wrestled with how long to sustain stimulus programs designed to mitigate the global recession but which threatened to undermine public finances or stoke inflation. While the Federal Reserve Board (“Fed”) kept its main policy rate unchanged, it concluded its $1.25 trillion Agency mortgage purchase program in March and also ended the subscription period for purchasing consumer asset-backed securities.
Policy initiatives that aimed to speed up the U.S. recovery and lower the persistently high unemployment rate were the major market drivers during the final quarter. On the monetary front, the Fed continued its unconventional efforts to spur faster growth, launching a second round of quantitative easing (“QE2”) in November. On the fiscal policy front in December the Obama Administration and Congress reached a major compromise on tax policy that included a cut in payroll taxes, an extension of unemployment benefits and a tax credit for business capital expenditures. Despite their limited duration, these provisions gave a boost to riskier asset markets.
In the final months of 2010, most fixed income markets gave back some of their gains from earlier in 2010 as interest rates rose sharply and investors began to shift toward riskier assets. Signs of economic strength as well as market reaction to expanded fiscal and monetary stimulus drove the yield on the benchmark 10-year Treasury up during the fourth quarter to close the year at 3.30 percent. Additionally, the Treasury yield curve steepened during the year as the Fed kept short-term yields anchored at low levels.
PERFORMANCE
For the year ended December 31, 2010, Transamerica PIMCO Total Return VP Initial Class returned 7.19%. By comparison its benchmark, the Barclays Capital U.S. Aggregate Bond Index, returned 6.54%.
STRATEGY REVIEW
An underweight to U.S. duration early in the year added to returns as the 10-year U.S. Treasury yield rose in the first quarter. However, this positive impact was partially offset in the fourth quarter as an overweight to U.S. duration detracted from returns as 10-year Treasury yields rose at the end of the year. Additionally, interest rate exposure in Europe added to performance, as the 10-year Bund yield fell to end the year at 2.96 percent. On the spread sector front, an overweight to Agency mortgage-backed securities late in the year added to performance as the Barclays Capital U.S. Fixed Rate Mortgage Backed Securities Index outperformed like-duration Treasuries over this period. In addition, a focus on Financials, a sub-sector within the investment grade corporate sector, was positive for performance as Financials outperformed the overall investment grade corporate market. A modest exposure to high yield bonds added to performance as the Barclays Capital U.S. Corporate High Yield Index outperformed like-duration Treasuries in 2010. Modest exposure to emerging local rates in Brazil, implemented via Brazilian zero coupon swaps, added to returns as rates fell in this country during the year. Tactical management of yield curve strategies was negative for returns as the yield curve steepened; however, exposure to Eurodollar futures mitigated this negative impact as prices rose across these money market future contracts. Finally, modest exposure to Build America Bonds detracted from returns as the Barclays Capital Build America Bonds Index underperformed the Barclays U.S. Long Credit Index during the year.
Chris P. Dialynas
Portfolio Manager
Pacific Investment Management Company LLC
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica PIMCO Total Return VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 7.19 | % | | | 6.54 | % | | | 5.84 | % | | | 05/01/2002 | |
| |
Barclays Capital U.S. Aggregate Bond* | | | 6.54 | % | | | 5.80 | % | | | 5.52 | % | | | | |
| |
| Service Class | | | 6.93 | % | | | 6.28 | % | | | 5.18 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Barclays Capital Aggregate U.S. Bond Index (“Barclays Capital U.S. Aggregate Bond”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest directly in an Index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica PIMCO Total Return VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica PIMCO Total Return VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,011.70 | | | $ | 3.50 | | | $ | 1,021.73 | | | $ | 3.52 | | | | 0.69 | % |
| Service Class | | | 1,000.00 | | | | 1,010.00 | | | | 4.76 | | | | 1,020.47 | | | | 4.79 | | | | 0.94 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the Fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| U.S. Government Agency Obligations | | | 43.3 | % |
| U.S. Government Obligations | | | 20.6 | |
| Corporate Debt Securities | | | 20.2 | |
| Repurchase Agreements | | | 9.0 | |
| Foreign Government Obligations | | | 7.1 | |
| Mortgage-Backed Securities | | | 6.5 | |
| Securities Lending Collateral | | | 6.3 | |
| Municipal Government Obligations | | | 4.4 | |
| Short-Term U.S. Government Obligation | | | 3.5 | |
| Short-Term Foreign Government Obligations | | | 3.3 | |
| Asset-Backed Securities | | | 1.7 | |
| Preferred Corporate Debt Securities | | | 1.7 | % |
| Loan Assignments | | | 0.5 | |
| Convertible Preferred Stocks | | | 0.1 | |
| Preferred Stocks | | | 0.1 | |
Other Assets and Liabilities — Net(A) | | | (28.3 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| (A) | | The Other Assets and Liabilities — Net category may include, but is not limited to, Forward Currency contracts, Futures Contracts, Swap Agreements, Written Options and Swaptions, and Securities Sold Short. |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
U.S. GOVERNMENT OBLIGATIONS - 20.6% | | | | | | | | |
| U.S. Treasury Bond | | | | | | | | |
| 1.88%, 08/31/2017 | | $ | 1,700 | | | $ | 1,623 | |
| 2.25%, 11/30/2017 ^ | | | 82,500 | | | | 80,225 | |
| 2.63%, 11/15/2020 ^ | | | 7,800 | | | | 7,358 | |
| 3.88%, 08/15/2040 ^ | | | 24,300 | | | | 22,383 | |
| 4.38%, 11/15/2039 ^ | | | 5,600 | | | | 5,630 | |
| 4.38%, 02/15/2038 | | | 1,400 | | | | 1,415 | |
| 5.25%, 02/15/2029 ^ | | | 1,500 | | | | 1,720 | |
| 5.50%, 08/15/2028 | | | 2,900 | | | | 3,417 | |
| 6.13%, 11/15/2027 ^ | | | 32,000 | | | | 40,200 | |
| 6.25%, 08/15/2023 ^ | | | 9,800 | | | | 12,317 | |
| 7.63%, 11/15/2022 ^ | | | 8,500 | | | | 11,828 | |
| 7.63%, 02/15/2025 | | | 2,100 | | | | 2,978 | |
7.88%, 02/15/2021 (A) | | | 72,500 | | | | 101,137 | |
| 8.13%, 05/15/2021 | | | 17,200 | | | | 24,416 | |
| 8.50%, 02/15/2020 | | | 17,200 | | | | 24,609 | |
| 8.75%, 05/15/2020 - 08/15/2020 | | | 16,600 | | | | 24,195 | |
| U.S. Treasury Inflation Indexed Bond | | | | | | | | |
| 2.13%, 02/15/2040 ^ | | | 4,250 | | | | 4,498 | |
| U.S. Treasury Inflation Indexed Note | | | | | | | | |
1.25%, 07/15/2020 ^ (A) (C) | | | 91,057 | | | | 93,234 | |
| U.S. Treasury Note | | | | | | | | |
| 3.13%, 05/15/2019 | | | 5,500 | | | | 5,558 | |
| 3.38%, 11/15/2019 | | | 10,100 | | | | 10,311 | |
| 3.88%, 05/15/2018 ^ | | | 100 | | | | 108 | |
| | | | | | | | |
Total U.S. Government Obligations (cost $481,462) | | | | | | | 479,160 | |
| | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS - 43.3% | | | | | | | | |
| Fannie Mae | | | | | | | | |
| 1.53%, 06/01/2043 * | | | 336 | | | | 337 | |
| 2.11%, 12/01/2034 * | | | 17 | | | | 18 | |
| 2.14%, 08/01/2035 * | | | 1,507 | | | | 1,552 | |
| 2.15%, 08/01/2035 * | | | 25 | | | | 25 | |
| 2.27%, 05/01/2035 * | | | 991 | | | | 1,029 | |
| 2.41%, 09/01/2035 * | | | 2,549 | | | | 2,661 | |
| 2.44%, 10/01/2035 * | | | 26 | | | | 27 | |
| 2.56%, 01/01/2028 * | | | 74 | | | | 78 | |
| 2.64%, 07/01/2032 * | | | 8 | | | | 8 | |
| 3.50%, 12/01/2040 - 01/01/2041 | | | 22,000 | | | | 21,032 | |
| 4.00%, 10/01/2013 - 10/01/2040 | | | 129,538 | | | | 131,026 | |
| 4.50%, 02/01/2013 - 09/01/2039 | | | 70,889 | | | | 74,378 | |
| 5.00%, 08/01/2020 - 01/01/2030 | | | 33,043 | | | | 35,088 | |
| 5.50%, 04/01/2014 - 05/01/2040 | | | 17,111 | | | | 18,395 | |
| 6.00%, 08/01/2037 | | | 5,939 | | | | 6,462 | |
| 6.18%, 08/01/2036 * | | | 429 | | | | 452 | |
| 6.50%, 06/17/2038 | | | 3,700 | | | | 4,021 | |
| Fannie Mae, TBA | | | | | | | | |
| 4.00% | | | 279,500 | | | | 279,335 | |
| 4.50% | | | 305,300 | | | | 315,315 | |
| Freddie Mac | | | | | | | | |
| 0.61%, 12/15/2029 * | | | 75 | | | | 75 | |
| 1.54%, 10/25/2044 * | | | 2,146 | | | | 2,096 | |
| 1.74%, 07/25/2044 * | | | 1,097 | | | | 1,072 | |
| 2.52%, 09/01/2035 * | | | 191 | | | | 198 | |
| 2.66%, 08/01/2023 * | | | 81 | | | | 85 | |
| 3.06%, 09/01/2035 * | | | 2,472 | | | | 2,599 | |
| 4.50%, 10/01/2013 - 06/15/2017 | | | 602 | | | | 612 | |
| 5.00%, 08/15/2016 - 02/15/2020 | | | 2,154 | | | | 2,234 | |
| 5.50%, 03/15/2017 | | | 132 | | | | 136 | |
| 6.50%, 07/25/2043 | | | 126 | | | | 145 | |
| Freddie Mac, TBA | | | | | | | | |
| 4.00% | | | 97,000 | | | | 96,288 | |
| Ginnie Mae | | | | | | | | |
| 6.50%, 06/20/2032 | | | 8 | | | | 8 | |
| Overseas Private Investment Corp. | | | | | | | | |
| Zero Coupon, 12/10/2012 | | | 5,700 | | | | 6,018 | |
| Zero Coupon, 04/15/2014 | | | 3,900 | | | | 4,618 | |
| Small Business Administration | | | | | | | | |
| 4.50%, 02/01/2014 | | | 331 | | | | 346 | |
| | | | | | | | |
Total U.S. Government Agency Obligations (cost $1,007,739) | | | | | | | 1,007,769 | |
| | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS - 7.1% | | | | | | | | |
| Australia Government Bond | | | | | | | | |
| 4.75%, 06/15/2016 | AUD | | 45,300 | | | | 44,903 | |
| 6.00%, 02/15/2017 | AUD | | 14,000 | | | | 14,739 | |
| Brazil Notas do Tesouro Nacional | | | | | | | | |
| 10.00%, 01/01/2012 - 01/01/2017 | BRL | | 65,704 | | | | 34,579 | |
| Bundesrepublik Deutschland | | | | | | | | |
| 5.63%, 01/04/2028 | EUR | | 2,900 | | | | 4,923 | |
| Canadian Government Bond | | | | | | | | |
| 1.50%, 03/01/2012 | CAD | | 45,100 | | | | 45,379 | |
| Export-Import Bank of Korea | | | | | | | | |
| 8.13%, 01/21/2014 | | $ | 13,100 | | | | 14,985 | |
| Hong Kong SAR Government Bond | | | | | | | | |
| 5.13%, 08/01/2014 - 144A | | | 2,700 | | | | 2,932 | |
| Korea Expressway Corp. | | | | | | | | |
| 5.13%, 05/20/2015 - 144A ^ | | | 850 | | | | 895 | |
| Republic of Brazil | | | | | | | | |
| 10.25%, 01/10/2028 | BRL | | 2,050 | | | | 1,282 | |
| | | | | | | | |
Total Foreign Government Obligations (cost $152,600) | | | | | | | 164,617 | |
| | | | | | | | |
MORTGAGE-BACKED SECURITIES - 6.5% | | | | | | | | |
| Adjustable Rate Mortgage Trust | | | | | | | | |
| Series 2005-10, Class 1A21 | | | | | | | | |
| 3.05%, 01/25/2036 * | | $ | 440 | | | | 309 | |
| Series 2005-4, Class 1A1 | | | | | | | | |
| 3.12%, 08/25/2035 * | | | 357 | | | | 260 | |
| Series 2005-5, Class 2A1 | | | | | | | | |
| 3.00%, 09/25/2035 * | | | 373 | | | | 282 | |
| American Home Mortgage Assets | | | | | | | | |
| Series 2006-4, Class 1A12 | | | | | | | | |
| 0.47%, 10/25/2046 * | | | 5,067 | | | | 2,766 | |
| Series 2006-5, Class A1 | | | | | | | | |
| 1.25%, 11/25/2046 * | | | 969 | | | | 477 | |
| American Home Mortgage Investment Trust | | | | | | | | |
| Series 2005-2, Class 4A1 | | | | | | | | |
| 1.96%, 09/25/2045 * | | | 9 | | | | 8 | |
| Banc of America Commercial Mortgage, Inc. | | | | | | | | |
| Series 2007-1, Class A4 | | | | | | | | |
| 5.45%, 01/15/2049 | | | 490 | | | | 511 | |
| Banc of America Funding Corp. | | | | | | | | |
| Series 2005-D, Class A1 | | | | | | | | |
| 2.86%, 05/25/2035 * | | | 211 | | | | 205 | |
| Series 2006-J, Class 4A1 | | | | | | | | |
| 5.89%, 01/20/2047 * | | | 255 | | | | 183 | |
| Banc of America Large Loan, Inc. | | | | | | | | |
| Series 2010-UB5, Class A4A | | | | | | | | |
| 5.64%, 02/17/2051 - 144A * | | | 20,000 | | | | 21,310 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
MORTGAGE-BACKED SECURITIES – (continued) | | | | | | | | |
| Banc of America Mortgage Securities, Inc. | | | | | | | | |
| Series 2004-L, Class 2A1 | | | | | | | | |
| 2.88%, 01/25/2035 * | | $ | 1,139 | | | $ | 971 | |
| Bear Stearns Adjustable Rate Mortgage Trust | | | | | | | | |
| Series 2003-5, Class 2A1 | | | | | | | | |
| 2.77%, 08/25/2033 * | | | 2,013 | | | | 1,977 | |
| Series 2003-8, Class 2A1 | | | | | | | | |
| 2.86%, 01/25/2034 * | | | 116 | | | | 114 | |
| Series 2003-8, Class 4A1 | | | | | | | | |
| 3.11%, 01/25/2034 * | | | 233 | | | | 222 | |
| Series 2003-9, Class 2A1 | | | | | | | | |
| 3.20%, 02/25/2034 * | | | 283 | | | | 251 | |
| Series 2004-10, Class 22A1 | | | | | | | | |
| 5.00%, 01/25/2035 * | | | 467 | | | | 436 | |
| Series 2005-2, Class A2 | | | | | | | | |
| 2.93%, 03/25/2035 * | | | 881 | | | | 840 | |
| Series 2005-5, Class A1 | | | | | | | | |
| 2.34%, 08/25/2035 * | | | 211 | | | | 202 | |
| Series 2005-5, Class A2 | | | | | | | | |
| 2.43%, 08/25/2035 * | | | 632 | | | | 596 | |
| Series 2005-7, Class 22A1 | | | | | | | | |
| 2.95%, 09/25/2035 * | | | 795 | | | | 604 | |
| Series 2006-6, Class 32A1 | | | | | | | | |
| 5.30%, 11/25/2036 * | | | 1,212 | | | | 754 | |
| Series 2006-7, Class 1A2 | | | | | | | | |
| 0.48%, 12/25/2046 * | | | 52 | | | | 1 | |
| Series 2006-8, Class 3A1 | | | | | | | | |
| 0.42%, 02/25/2034 * | | | 1,018 | | | | 806 | |
| Series 2006-R1, Class 2E21 | | | | | | | | |
| 4.72%, 08/25/2036 * | | | 947 | | | | 297 | |
| Bear Stearns Structured Products, Inc. | | | | | | | | |
| Series 2007-R6, Class 1A1 | | | | | | | | |
| 2.36%, 01/26/2036 * | | | 773 | | | | 505 | |
| Series 2007-R6, Class 2A1 | | | | | | | | |
| 5.34%, 12/26/2046 * | | | 527 | | | | 368 | |
| Chaseflex Trust | | | | | | | | |
| Series 2007-3, Class 1A2 | | | | | | | | |
| 0.72%, 07/25/2037 * | | | 3,621 | | | | 2,113 | |
| Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
| Series 2005-6, Class A1 | | | | | | | | |
| 2.51%, 08/25/2035 * | | | 1,077 | | | | 1,010 | |
| Series 2005-6, Class A2 | | | | | | | | |
| 2.56%, 08/25/2035 * | | | 793 | | | | 710 | |
| Series 2007-10, Class 22AA | | | | | | | | |
| 5.86%, 09/25/2037 * | | | 5,286 | | | | 3,822 | |
| Citigroup/Deutsche Bank Commercial Mortgage Trust | | | | | | | | |
| Series 2006-CD3, Class A5 | | | | | | | | |
| 5.62%, 10/15/2048 | | | 800 | | | | 858 | |
| Series 2007-CD5, Class A4 | | | | | | | | |
| 5.89%, 11/15/2044 * | | | 400 | | | | 427 | |
| Countrywide Alternative Loan Trust | | | | | | | | |
| Series 2003-J1, Class 4A1 | | | | | | | | |
| 6.00%, 10/25/2032 | | | 18 | | | | 18 | |
| Series 2003-J3, Class 2A1 | | | | | | | | |
| 6.25%, 12/25/2033 | | | 408 | | | | 416 | |
| Series 2005-14, Class 2A1 | | | | | | | | |
| 0.47%, 05/25/2035 * | | | 450 | | | | 298 | |
| Series 2005-56, Class 5A2 | | | | | | | | |
| 1.03%, 11/25/2035 * | | | 1,013 | | | | 593 | |
| Series 2005-59, Class 1A1 | | | | | | | | |
| 0.59%, 11/20/2035 * | | | 12 | | | | 7 | |
| Series 2005-62, Class 2A1 | | | | | | | | |
| 1.33%, 12/25/2035 * | | | 8 | | | | 5 | |
| Series 2005-81, Class A1 | | | | | | | | |
| 0.54%, 02/25/2037 * | | | 2,296 | | | | 1,343 | |
| Series 2006-OA1, Class 2A1 | | | | | | | | |
| 0.47%, 03/20/2046 * | | | 1,844 | | | | 1,058 | |
| Series 2006-OA17, Class 1A1A | | | | | | | | |
| 0.46%, 12/20/2046 * | | | 5,671 | | | | 2,953 | |
| Series 2006-OA19, Class A1 | | | | | | | | |
| 0.44%, 02/20/2047 * | | | 2,180 | | | | 1,262 | |
| Series 2006-OA9, Class 2A1A | | | | | | | | |
| 0.47%, 07/20/2046 * | | | 15 | | | | 7 | |
| Series 2007-HY4, Class 1A1 | | | | | | | | |
| 3.82%, 06/25/2037 * | | | 4,249 | | | | 3,008 | |
| Countrywide Home Loan Mortgage Pass-Through Trust | | | | | | | | |
| Series 2002-30, Class M | | | | | | | | |
| 2.82%, 10/19/2032 * | | | 88 | | | | 64 | |
| Series 2003-R4, Class 2A | | | | | | | | |
| 6.50%, 01/25/2034 - 144A * | | | 689 | | | | 696 | |
| Series 2004-12, Class 11A1 | | | | | | | | |
| 2.98%, 08/25/2034 * | | | 152 | | | | 111 | |
| Series 2004-R1, Class 2A | | | | | | | | |
| 6.50%, 11/25/2034 - 144A | | | 927 | | | | 926 | |
| Series 2005-HY10, Class 5A1 | | | | | | | | |
| 5.39%, 02/20/2036 * | | | 561 | | | | 426 | |
| Series 2005-R2, Class 1AF1 | | | | | | | | |
| 0.60%, 06/25/2035 - 144A * | | | 1,669 | | | | 1,435 | |
| Series 2006-OA5, Class 2A2 | | | | | | | | |
| 0.56%, 04/25/2036 * | | | 755 | | | | 198 | |
| Credit Suisse First Boston Mortgage Securities Corp. | | | | | | | | |
| Series 2003-AR15, Class 2A1 | | | | | | | | |
| 2.59%, 06/25/2033 * | | | 1,028 | | | | 978 | |
| Deutsche ALT-A Securities, Inc., Alternate Loan Trust | | | | | | | | |
| Series 2005-AR1, Class 2A1 | | | | | | | | |
| 2.00%, 08/25/2035 * | | | 402 | | | | 317 | |
| First Horizon Asset Securities, Inc. | | | | | | | | |
| Series 2005-AR3, Class 2A1 | | | | | | | | |
| 2.92%, 08/25/2035 * | | | 168 | | | | 135 | |
| Greenpoint Mortgage Funding Trust | | | | | | | | |
| Series 2006-AR7, Class 1A32 | | | | | | | | |
| 0.46%, 12/25/2046 * | | | 800 | | | | 184 | |
| Greenpoint Mortgage Pass-Through Certificates | | | | | | | | |
| Series 2003-1, Class A1 | | | | | | | | |
| 3.12%, 10/25/2033 * | | | 353 | | | | 302 | |
| GS Mortgage Securities Corp. II | | | | | | | | |
| Series 2007-EOP, Class A1 | | | | | | | | |
| 0.36%, 03/06/2020 - 144A * | | | 1,845 | | | | 1,800 | |
| GSR Mortgage Loan Trust | | | | | | | | |
| Series 2005-AR6, Class 2A1 | | | | | | | | |
| 2.82%, 09/25/2035 * | | | 1,003 | | | | 957 | |
| Series 2006-AR1, Class 2A1 | | | | | | | | |
| 2.96%, 01/25/2036 * | | | 13 | | | | 10 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
MORTGAGE-BACKED SECURITIES - (continued) | | | | | | | | |
| Harborview Mortgage Loan Trust | | | | | | | | |
| Series 2005-4, Class 4A | | | | | | | | |
| 2.99%, 07/19/2035 * | | $ | 660 | | | $ | 554 | |
| Series 2006-1, Class 2A1A | | | | | | | | |
| 0.50%, 03/19/2036 * | | | 3,147 | | | | 1,931 | |
| Series 2006-5, Class 2A1A | | | | | | | | |
| 0.44%, 07/19/2046 * | | | 1,393 | | | | 857 | |
| Series 2006-7, Class 2A1A | | | | | | | | |
| 0.46%, 09/19/2046 * | | | 769 | | | | 479 | |
| Series 2007-1, Class 2A1A | | | | | | | | |
| 0.39%, 04/19/2038 * | | | 1,911 | | | | 1,231 | |
| IndyMac Index Mortgage Loan Trust | | | | | | | | |
| Series 2004-AR11, Class 2A | | | | | | | | |
| 2.69%, 12/25/2034 * | | | 101 | | | | 74 | |
| Series 2006-AR12, Class A1 | | | | | | | | |
| 0.45%, 09/25/2046 * | | | 899 | | | | 534 | |
| JPMorgan Chase Commercial Mortgage | | | | | | | | |
| Securities Corp. | | | | | | | | |
| Series 2007-CB18, Class A4 | | | | | | | | |
| 5.44%, 06/12/2047 | | | 210 | | | | 220 | |
| JPMorgan Mortgage Trust | | | | | | | | |
| Series 2005-A1, Class 6T1 | | | | | | | | |
| 5.04%, 02/25/2035 * | | | 448 | | | | 447 | |
| Series 2007-A1, Class 5A5 | | | | | | | | |
| 3.11%, 07/25/2035 * | | | 2,953 | | | | 2,932 | |
| LB-UBS Commercial Mortgage Trust | | | | | | | | |
| Series 2007-C7, Class A3 | | | | | | | | |
| 5.87%, 09/15/2045 * | | | 4,700 | | | | 4,945 | |
| Luminent Mortgage Trust | | | | | | | | |
| Series 2006-6, Class 2A1 | | | | | | | | |
| 0.46%, 10/25/2046 * | | | 745 | | | | 493 | |
| MASTR Alternative Loans Trust | | | | | | | | |
| Series 2006-2, Class 2A1 | | | | | | | | |
| 0.66%, 03/25/2036 * | | | 389 | | | | 155 | |
| MLCC Mortgage Investors, Inc. | | | | | | | | |
| Series 2005-2, Class 1A | | | | | | | | |
| 1.71%, 10/25/2035 * | | | 13,767 | | | | 12,507 | |
| Series 2005-2, Class 2A | | | | | | | | |
| 4.25%, 10/25/2035 * | | | 462 | | | | 396 | |
| Series 2005-2, Class 3A | | | | | | | | |
| 1.25%, 10/25/2035 * | | | 133 | | | | 115 | |
| Series 2005-3, Class 4A | | | | | | | | |
| 0.51%, 11/25/2035 * | | | 89 | | | | 75 | |
| Series 2005-A10, Class A | | | | | | | | |
| 0.47%, 02/25/2036 * | | | 441 | | | | 338 | |
| Morgan Stanley Capital I | | | | | | | | |
| Series 2007-IQ15, Class A4 | | | | | | | | |
| 5.88%, 06/11/2049 * | | | 400 | | | | 428 | |
| Series 2007-XLFA, Class A1 | | | | | | | | |
| 0.32%, 10/15/2020 - 144A * | | | 1,763 | | | | 1,695 | |
| Nomura Asset Acceptance Corp. | | | | | | | | |
| Series 2004-R1, Class A1 | | | | | | | | |
| 6.50%, 03/25/2034 - 144A | | | 928 | | | | 932 | |
| Residential Accredit Loans, Inc. | | | | | | | | |
| Series 2005-QO3, Class A1 | | | | | | | | |
| 0.66%, 10/25/2045 * | | | 613 | | | | 342 | |
| Series 2006-QO6, Class A1 | | | | | | | | |
| 0.44%, 06/25/2046 * | | | 808 | | | | 335 | |
| Residential Asset Securitization Trust | | | | | | | | |
| Series 2006-R1, Class A2 | | | | | | | | |
| 0.66%, 01/25/2046 * | | | 813 | | | | 364 | |
| Residential Funding Mortgage Securities I | | | | | | | | |
| Series 2003-S9, Class A1 | | | | | | | | |
| 6.50%, 03/25/2032 | | | 23 | | | | 23 | |
| Series 2005-SA4, Class 1A21 | | | | | | | | |
| 3.27%, 09/25/2035 * | | | 1,126 | | | | 816 | |
| RMAC Securities PLC | | | | | | | | |
| Series 2007-NS1X, Class A2B | | | | | | | | |
| 0.45%, 06/12/2044 * | | | 15,200 | | | | 12,032 | |
| Sequoia Mortgage Trust | | | | | | | | |
| Series 10, Class 2A1 | | | | | | | | |
| 0.64%, 10/20/2027 * | | | 95 | | | | 86 | |
| Structured Adjustable Rate Mortgage Loan Trust | | | | | | | | |
| Series 2004-20, Class 3A1 | | | | | | | | |
| 2.63%, 01/25/2035 * | | | 342 | | | | 274 | |
| Series 2005-17, Class 3A1 | | | | | | | | |
| 2.71%, 08/25/2035 * | | | 127 | | | | 102 | |
| Series 2005-18, Class 3A1 | | | | | | | | |
| 2.94%, 09/25/2035 * | | | 4,163 | | | | 3,307 | |
| Structured Asset Mortgage Investments, Inc. | | | | | | | | |
| Series 2002-AR3, Class A1 | | | | | | | | |
| 0.92%, 09/19/2032 * | | | 68 | | | | 60 | |
| Series 2005-AR5, Class A1 | | | | | | | | |
| 0.51%, 07/19/2035 * | | | 158 | | | | 112 | |
| Series 2005-AR5, Class A2 | | | | | | | | |
| 0.51%, 07/19/2035 * | | | 169 | | | | 146 | |
| Series 2005-AR5, Class A3 | | | | | | | | |
| 0.51%, 07/19/2035 * | | | 321 | | | | 298 | |
| Series 2005-AR8, Class A1A | | | | | | | | |
| 0.54%, 02/25/2036 * | | | 383 | | | | 230 | |
| Series 2006-AR3, Class 12A1 | | | | | | | | |
| 0.48%, 05/25/2036 * | | | 2,335 | | | | 1,379 | |
| Series 2006-AR6, Class 2A1 | | | | | | | | |
| 0.45%, 07/25/2046 * | | | 6,287 | | | | 3,926 | |
| TBW Mortgage Backed Pass-Through Certificates | | | | | | | | |
| Series 2006-6, Class A1 | | | | | | | | |
| 0.37%, 01/25/2037 * | | | 31 | | | | 31 | |
| Wachovia Bank Commercial Mortgage Trust | | | | | | | | |
| Series 2006-WL7A, Class A1 | | | | | | | | |
| 0.35%, 09/15/2021 - 144A * | | | 1,275 | | | | 1,242 | |
| WaMu Mortgage Pass-Through Certificates | | | | | | | | |
| Series 2002-AR2, Class A | | | | | | | | |
| 2.90%, 02/27/2034 * | | | 147 | | | | 150 | |
| Series 2003-AR9, Class 2A | | | | | | | | |
| 2.78%, 09/25/2033 * | | | 4,492 | | | | 4,514 | |
| Series 2003-R1, Class A1 | | | | | | | | |
| 0.80%, 12/25/2027 * | | | 5,318 | | | | 4,692 | |
| Series 2003-R1, Class X | | | | | | | | |
| 3.21%, 12/25/2027 - 144A * IO Ə | | | 4,299 | | | | 236 | |
| Series 2004-AR1, Class A | | | | | | | | |
| 2.78%, 03/25/2034 * | | | 417 | | | | 392 | |
| Series 2005-AR11, Class A1A | | | | | | | | |
| 0.58%, 08/25/2045 * | | | 260 | | | | 220 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
MORTGAGE-BACKED SECURITIES - (continued) | | | | | | | | |
| WaMu Mortgage Pass-Through Certificates (continued) | | | | | | | | |
| Series 2006-AR10, Class 1A1 | | | | | | | | |
| 5.85%, 09/25/2036 * | | $ | 2,182 | | | $ | 1,698 | |
| Series 2006-AR17, Class 1A | | | | | | | | |
| 1.15%, 12/25/2046 * | | | 1,108 | | | | 717 | |
| Series 2006-AR19, Class 1A1A | | | | | | | | |
| 1.06%, 01/25/2047 * | | | 310 | | | | 206 | |
| Series 2006-AR3, Class A1A | | | | | | | | |
| 1.33%, 02/25/2046 * | | | 1,291 | | | | 990 | |
| Series 2006-AR7, Class 3A | | | | | | | | |
| 3.16%, 07/25/2046 * | | | 2,469 | | | | 1,793 | |
| Series 2006-AR7, Class C1B2 | | | | | | | | |
| 0.48%, 07/25/2046 * | | | 486 | | | | 100 | |
| Series 2006-AR9, Class 2A | | | | | | | | |
| 3.16%, 08/25/2046 * | | | 2,159 | | | | 1,631 | |
| Series 2007-HY1, Class 1A1 | | | | | | | | |
| 5.49%, 02/25/2037 * | | | 895 | | | | 653 | |
| Series 2007-HY1, Class 4A1 | | | | | | | | |
| 5.00%, 02/25/2037 * | | | 5,240 | | | | 4,112 | |
| Series 2007-OA1, Class A1A | | | | | | | | |
| 1.03%, 02/25/2047 * | | | 6,252 | | | | 3,822 | |
| Series 2007-OA3, Class 2A1A | | | | | | | | |
| 1.09%, 04/25/2047 * | | | 733 | | | | 487 | |
| Series 2007-OA6, Class 1A | | | | | | | | |
| 1.14%, 07/25/2047 * | | | 1,027 | | | | 674 | |
| Wells Fargo Mortgage Backed Securities Trust | | | | | | | | |
| Series 2003-13, Class A5 | | | | | | | | |
| 4.50%, 11/25/2018 | | | 307 | | | | 311 | |
| Series 2004-CC, Class A1 | | | | | | | | |
| 4.91%, 01/25/2035 * | | | 671 | | | | 675 | |
| Series 2004-Z, Class 2A1 | | | | | | | | |
| 2.74%, 12/25/2034 * | | | 810 | | | | 774 | |
| Series 2006-AR10, Class 5A6 | | | | | | | | |
| 5.40%, 07/25/2036 * | | | 15 | | | | 12 | |
| Series 2006-AR4, Class 2A6 | | | | | | | | |
| 5.65%, 04/25/2036 * | | | 641 | | | | 242 | |
| Series 2006-AR8, Class 2A4 | | | | | | | | |
| 2.90%, 04/25/2036 * | | | 1,743 | | | | 1,612 | |
| | | | | | | | |
Total Mortgage-Backed Securities (cost $159,996) | | | | | | | 150,858 | |
| | | | | | | | |
| | | | | | | | | |
ASSET-BACKED SECURITIES - 1.7% | | | | | | | | |
| Amortizing Residential Collateral Trust | | | | | | | | |
| Series 2002-BC4, Class A | | | | | | | | |
| 0.84%, 07/25/2032 * | | | 6 | | | | 6 | |
| Asset Backed Funding Certificates | | | | | | | | |
| Series 2005-OPT1, Class A1MZ | | | | | | | | |
| 0.61%, 07/25/2035 * | | | 132 | | | | 119 | |
| Series 2006-HE1, Class A2A | | | | | | | | |
| 0.32%, 01/25/2037 * | | | 188 | | | | 186 | |
| Aurum CLO, Ltd./Corp. | | | | | | | | |
| Series 2002-1A, Class A1 | | | | | | | | |
| 0.72%, 04/15/2014 - 144A * | | | 803 | | | | 788 | |
| Bear Stearns Asset Backed Securities Trust | | | | | | | | |
| Series 2002-2, Class A1 | | | | | | | | |
| 0.92%, 10/25/2032 * | | | 34 | | | | 30 | |
| Series 2006-SD2, Class A2 | | | | | | | | |
| 0.46%, 06/25/2036 * | | | 821 | | | | 803 | |
| Series 2006-SD3, Class 21A1 | | | | | | | | |
| 3.43%, 07/25/2036 * | | | 355 | | | | 231 | |
| Series 2006-SD4, Class 1A1 | | | | | | | | |
| 3.22%, 10/25/2036 * | | | 973 | | | | 710 | |
| Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
| Series 2006-NC1, Class A2B | | | | | | | | |
| 0.37%, 08/25/2036 * | | | 81 | | | | 73 | |
| Series 2006-WFH3, Class A2 | | | | | | | | |
| 0.36%, 10/25/2036 * | | | 177 | | | | 177 | |
| Series 2007-AHL1, Class A2A | | | | | | | | |
| 0.30%, 12/25/2036 * | | | 114 | | | | 110 | |
| Countrywide Asset-Backed Certificates | | | | | | | | |
| Series 2006-22, Class 2A1 | | | | | | | | |
| 0.31%, 05/25/2047 * | | | 4 | | | | 4 | |
| Series 2006-24, Class 2A1 | | | | | | | | |
| 0.31%, 06/25/2047 * | | | 480 | | | | 472 | |
| Series 2006-25, Class 2A1 | | | | | | | | |
| 0.33%, 05/25/2028 * | | | 159 | | | | 157 | |
| Series 2006-SD1, Class A1 | | | | | | | | |
| 0.42%, 02/25/2036 - 144A * | | | 9 | | | | 9 | |
| Series 2007-5, Class 2A1 | | | | | | | | |
| 0.36%, 09/25/2047 * | | | 871 | | | | 846 | |
| Gazprom Via Gaz Capital SA | | | | | | | | |
| 8.15%, 04/11/2018 - 144A | | | 1,200 | | | | 1,389 | |
| Series 2 | | | | | | | | |
| 8.63%, 04/28/2034 | | | 6,300 | | | | 7,559 | |
| Harbourmaster CLO, Ltd. | | | | | | | | |
| Series 5A, Class A1 | | | | | | | | |
| 1.29%, 06/15/2020 - 144A * Ə | | | 3,942 | | | | 4,899 | |
| Home Equity Asset Trust | | | | | | | | |
| Series 2002-1, Class A4 | | | | | | | | |
| 0.86%, 11/25/2032 * | | | 1 | | | | 1 | |
| JPMorgan Mortgage Acquisition Corp. | | | | | | | | |
| Series 2007-CH3, Class A2 | | | | | | | | |
| 0.34%, 03/25/2037 * | | | 189 | | | | 178 | |
| Lehman XS Trust | | | | | | | | |
| Series 2006-4N, Class A1B1 | | | | | | | | |
| 0.43%, 04/25/2046 * | | | 389 | | | | 359 | |
| Series 2006-GP4, Class 2A2 | | | | | | | | |
| 0.49%, 08/25/2046 * | | | 413 | | | | 37 | |
| Merrill Lynch Mortgage Investors, Inc. | | | | | | | | |
| Series 2006-MLN1, Class A2A | | | | | | | | |
| 0.33%, 07/25/2037 * | | | 7 | | | | 7 | |
| Morgan Stanley Home Equity Loans | | | | | | | | |
| Series 2007-1, Class A1 | | | | | | | | |
| 0.31%, 12/25/2036 * | | | 9 | | | | 9 | |
| Morgan Stanley Mortgage Loan Trust | | | | | | | | |
| Series 2007-3XS, Class 2A1A | | | | | | | | |
| 0.33%, 01/25/2047 * | | | 648 | | | | 593 | |
| New Century Home Equity Loan Trust | | | | | | | | |
| Series 2005-2, Class A1ZA | | | | | �� | | | |
| 0.52%, 06/25/2035 * | | | 26 | | | | 25 | |
| Plymouth Rock CLO, Ltd./Inc. | | | | | | | | |
| Series 2010-1A, Class A | | | | | | | | |
| 1.92%, 02/16/2019 - 144A * § Ə | | | 13,500 | | | | 13,455 | |
| Residential Asset Securities Corp. | | | | | | | | |
| Series 2007-KS1, Class A1 | | | | | | | | |
| 0.32%, 01/25/2037 * | | | 36 | | | | 36 | |
| Securitized Asset Backed Receivables LLC Trust | | | | | | | | |
| Series 2007-NC2, Class A2A | | | | | | | | |
| 0.30%, 01/25/2037 * | | | 523 | | | | 496 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
ASSET-BACKED SECURITIES – (continued) | | | | | | | | |
| Small Business Administration Participation Certificates | | | | | | | | |
| Series 2003-20I, Class 1 | | | | | | | | |
| 5.13%, 09/01/2023 | | $ | 319 | | | $ | 341 | |
| Series 2004-20C, Class 1 | | | | | | | | |
| 4.34%, 03/01/2024 | | | 1,856 | | | | 1,946 | |
| Series 2008-20L, Class 1 | | | | | | | | |
| 6.22%, 12/01/2028 | | | 3,458 | | | | 3,799 | |
| Structured Asset Securities Corp. | | | | | | | | |
| Series 2002-HF1, Class A | | | | | | | | |
| 0.55%, 01/25/2033 * | | | 2 | | | | 1 | |
| Series 2006-BC3, Class A2 | | | | | | | | |
| 0.31%, 10/25/2036 * | | | 161 | | | | 160 | |
| Series 2007-GEL1, Class A1 | | | | | | | | |
| 0.36%, 01/25/2037 - 144A * | | | 982 | | | | 704 | |
| | | | | | | | |
Total Asset-Backed Securities (cost $40,476) | | | | | | | 40,715 | |
| | | | | | | | |
| | | | | | | | |
MUNICIPAL GOVERNMENT OBLIGATIONS - 4.4% | | | | | | | | |
| Buckeye Tobacco Settlement Financing Authority | | | | | | | | |
| 5.88%, 06/01/2030 | | | 4,400 | | | | 3,063 | |
| Chicago Transit Authority -Class A | | | | | | | | |
| 6.90%, 12/01/2040 | | | 11,100 | | | | 11,110 | |
| Chicago Transit Authority -Class B | | | | | | | | |
| 6.90%, 12/01/2040 | | | 7,300 | | | | 7,191 | |
| Golden State Tobacco Securitization Corp. | | | | | | | | |
| 5.13%, 06/01/2047 | | | 300 | | | | 181 | |
| Kentucky State Property & Building Commission | | | | | | | | |
| 4.30%, 11/01/2019 | | | 500 | | | | 477 | |
| 4.40%, 11/01/2020 | | | 600 | | | | 571 | |
| 5.37%, 11/01/2025 | | | 1,100 | | | | 1,037 | |
| Los Angeles Department of Water & Power | | | | | | | | |
| 5.00%, 07/01/2044 | | | 6,900 | | | | 6,682 | |
| Los Angeles Unified School District - Series A-1, Class A | | | | | | | | |
| 4.50%, 07/01/2022 | | | 2,155 | | | | 2,144 | |
| New York City Municipal Water Finance Authority | | | | | | | | |
| 5.75%, 06/15/2040 | | | 6,200 | | | | 6,553 | |
| New York City Transitional Finance Authority | | | | | | | | |
| 4.73%, 11/01/2023 | | | 900 | | | | 851 | |
| 4.91%, 11/01/2024 | | | 600 | | | | 566 | |
| 5.08%, 11/01/2025 | | | 600 | | | | 567 | |
| Palomar Community College District | | | | | | | | |
| 4.75%, 05/01/2032 | | | 100 | | | | 92 | |
| State of California | | | | | | | | |
| 5.65%, 04/01/2039 * | | | 14,400 | | | | 15,211 | |
| 7.55%, 04/01/2039 | | | 3,400 | | | | 3,538 | |
| State of California — Build America Bonds | | | | | | | | |
| 7.50%, 04/01/2034 | | | 1,100 | | | | 1,138 | |
| State of Illinois | | | | | | | | |
| 1.82%, 01/01/2011 | | | 7,300 | | | | 7,300 | |
| 2.77%, 01/01/2012 | | | 25,200 | | | | 25,359 | |
| 4.42%, 01/01/2015 | | | 2,400 | | | | 2,421 | |
| Tobacco Securitization Authority of Southern California | | | | | | | | |
| 5.13%, 06/01/2046 | | | 3,100 | | | | 1,902 | |
| Tobacco Settlement Finance Authority -Series A | | | | | | | | |
| 7.47%, 06/01/2047 | | | 2,560 | | | | 1,741 | |
| Tobacco Settlement Financing Corp. | | | | | | | | |
| 5.88%, 05/15/2039 | | | 100 | | | | 95 | |
| Tobacco Settlement Financing Corp. -Series 1A | | | | | | | | |
| 5.00%, 06/01/2041 | | | 4,000 | | | | 2,365 | |
| | | | | | | | |
Total Municipal Government Obligations (cost $105,233) | | | | | | | 102,155 | |
| | | | | | | | |
PREFERRED CORPORATE DEBT SECURITIES - 1.7% | | | | | | | | |
Commercial Banks - 1.7% | | | | | | | | |
| Barclays Bank PLC | | | | | | | | |
| 7.43%, 12/15/2017 - 144A * Ž | | | 2,000 | | | | 1,955 | |
| HSBC Capital Funding, LP | | | | | | | | |
| 10.18%, 06/30/2030 - 144A * Ž | | | 100 | | | | 131 | |
| Lloyds TSB Bank PLC | | | | | | | | |
| 12.00%, 12/16/2024 - 144A * Ž | | | 16,500 | | | | 17,819 | |
| Rabobank Nederland NV | | | | | | | | |
| 11.00%, 06/30/2019 - 144A * Ž ^ | | | 1,910 | | | | 2,469 | |
| Royal Bank of Scotland Group PLC | | | | | | | | |
| 7.64%, 09/29/2017 * Ž | | | 7,000 | | | | 4,655 | |
| Wells Fargo & Co. — Series K | | | | | | | | |
| 7.98%, 03/15/2018 * Ž ^ | | | 12,700 | | | | 13,399 | |
| | | | | | | | |
Total Preferred Corporate Debt Securities (cost $40,503) | | | | | | | 40,428 | |
| | | | | | | | |
| | | | | | | | | |
CORPORATE DEBT SECURITIES - 20.2% | | | | | | | | |
Capital Markets - 3.4% | | | | | | | | |
| Deutsche Bank AG | | | | | | | | |
| 5.38%, 10/12/2012 | | | 19,206 | | | | 20,642 | |
| Goldman Sachs Group, Inc. | | | | | | | | |
| 1.35%, 02/04/2013 * | EUR | | 800 | | | | 1,039 | |
| 1.35%, 11/15/2014 * | EUR | | 900 | | | | 1,126 | |
| 6.25%, 09/01/2017 | | $ | 5,000 | | | | 5,518 | |
| Lehman Brothers Holdings, Inc. | | | | | | | | |
| 2.85%, 12/23/2008 Џ | | | 4,800 | | | | 1,098 | |
| 5.63%, 01/24/2013 Џ | | | 9,800 | | | | 2,401 | |
| 6.88%, 05/02/2018 Џ | | | 1,200 | | | | 297 | |
| Lehman Brothers Holdings, Inc. – Series I | | | | | | | | |
| 6.75%, 12/28/2017 Џ | | | 4,000 | | | | ♦ |
| Morgan Stanley | | | | | | | | |
| 0.77%, 10/15/2015 * ^ | | | 1,100 | | | | 1,031 | |
| 3.45%, 11/02/2015 ^ | | | 13,800 | | | | 13,454 | |
| 6.63%, 04/01/2018 | | | 13,900 | | | | 15,079 | |
| UBS AG | | | | | | | | |
| 1.38%, 02/23/2012 * | | | 5,500 | | | | 5,546 | |
| 4.88%, 08/04/2020 ^ | | | 11,800 | | | | 12,005 | |
Commercial Banks - 4.5% | | | | | | | | |
| Abbey National Treasury Services PLC | | | | | | | | |
| 3.88%, 11/10/2014 - 144A | | | 1,100 | | | | 1,090 | |
| ANZ National International, Ltd. | | | | | | | | |
| 6.20%, 07/19/2013 - 144A | | | 11,800 | | | | 12,991 | |
| Barclays Bank PLC | | | | | | | | |
| 5.45%, 09/12/2012 ^ | | | 900 | | | | 965 | |
| 6.05%, 12/04/2017 - 144A | | | 6,000 | | | | 6,155 | |
| 10.18%, 06/12/2021 - 144A | | | 5,520 | | | | 6,874 | |
| Canadian Imperial Bank of Commerce | | | | | | | | |
| 2.00%, 02/04/2013 - 144A ^ | | | 35,800 | | | | 36,439 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Commercial Banks - (continued) | | | | | | | | |
| Fortis Bank Nederland Holding NV | | | | | | | | |
| 1.51%, 06/10/2011 * | EUR | | 3,200 | | | $ | 4,278 | |
| Lloyds TSB Bank PLC | | | | | | | | |
| 1.18%, 06/09/2011 * | EUR | | 2,500 | | | | 3,342 | |
| 4.38%, 01/12/2015 - 144A | | $ | 14,000 | | | | 13,997 | |
| 5.80%, 01/13/2020 - 144A | | | 2,200 | | | | 2,172 | |
| Stadshypotek AB | | | | | | | | |
| 1.45%, 09/30/2013 - 144A | | | 16,700 | | | | 16,680 | |
Consumer Finance - 1.4% | | | | | | | | |
| American Express Credit Corp. - Series C | | | | | | | | |
| 5.88%, 05/02/2013 | | | 15,900 | | | | 17,291 | |
| Capital One Financial Corp. | | | | | | | | |
| 6.75%, 09/15/2017 | | | 3,400 | | | | 3,918 | |
| HSBC Finance Corp. | | | | | | | | |
| 5.90%, 06/19/2012 ^ | | | 7,100 | | | | 7,526 | |
| 6.75%, 05/15/2011 | | | 500 | | | | 511 | |
| SLM Corp. | | | | | | | | |
| 0.52%, 10/25/2011 * | | | 2,000 | | | | 1,972 | |
| 0.59%, 01/27/2014 * ^ | | | 800 | | | | 721 | |
| 5.13%, 08/27/2012 | | | 1,000 | | | | 1,021 | |
Diversified Financial Services - 7.4% | | | | | | | | |
| Ally Financial, Inc. | | | | | | | | |
| 6.63%, 05/15/2012 | | | 2,600 | | | | 2,680 | |
| 7.00%, 02/01/2012 ^ | | | 2,800 | | | | 2,890 | |
| 7.25%, 03/02/2011 | | | 700 | | | | 704 | |
| 8.00%, 03/15/2020 ^ | | | 8,880 | | | | 9,701 | |
| Bank of America Corp. | | | | | | | | |
| 5.65%, 05/01/2018 | | | 7,900 | | | | 8,072 | |
| 6.50%, 08/01/2016 | | | 4,500 | | | | 4,883 | |
| 7.63%, 06/01/2019 | | | 15,000 | | | | 17,271 | |
| Bear Stearns Cos., LLC | | | | | | | | |
| 5.70%, 11/15/2014 | | | 4,400 | | | | 4,834 | |
| 6.40%, 10/02/2017 | | | 2,200 | | | | 2,508 | |
| 7.25%, 02/01/2018 | | | 1,500 | | | | 1,778 | |
| Citigroup, Inc. | | | | | | | | |
| 2.29%, 08/13/2013 * ^ | | | 14,200 | | | | 14,440 | |
| 5.38%, 08/09/2020 ^ | | | 6,100 | | | | 6,338 | |
| 5.88%, 05/29/2037 | | | 1,100 | | | | 1,076 | |
| El Paso Performance-Linked Trust | | | | | | | | |
| 7.75%, 07/15/2011 - 144A | | | 2,100 | | | | 2,150 | |
| Fiat Finance & Trade SA | | | | | | | | |
| 9.00%, 07/30/2012 | EUR | | 4,400 | | | | 6,320 | |
| Ford Motor Credit Co., LLC | | | | | | | | |
| 5.63%, 09/15/2015 ^ | | $ | 10,845 | | | | 11,230 | |
| 7.00%, 10/01/2013 ^ | | | 800 | | | | 858 | |
| General Electric Capital Corp. | | | | | | | | |
| 0.60%, 06/20/2014 * | | | 13,100 | | | | 12,456 | |
| 6.50%, 09/15/2067 - 144A * | GBP | | 2,200 | | | | 3,169 | |
| International Lease Finance Corp. | | | | | | | | |
| 6.75%, 09/01/2016 - 144A | | $ | 4,000 | | | | 4,270 | |
| 7.13%, 09/01/2018 - 144A | | | 13,200 | | | | 14,025 | |
| JPMorgan Chase & Co. | | | | | | | | |
| 4.25%, 10/15/2020 | | | 3,100 | | | | 3,028 | |
| 4.95%, 03/25/2020 ^ | | | 2,400 | | | | 2,464 | |
| 6.30%, 04/23/2019 | | | 5,400 | | | | 6,147 | |
| JPMorgan Chase Bank NA | | | | | | | | |
| 6.00%, 10/01/2017 | | | 2,200 | | | | 2,439 | |
| Merrill Lynch & Co., Inc. | | | | | | | | |
| 1.30%, 01/31/2014 * | EUR | | 2,100 | | | | 2,640 | |
| 6.88%, 04/25/2018 | | $ | 11,100 | | | | 12,147 | |
| Merrill Lynch & Co., Inc. — Series C | | | | | | | | |
| 6.40%, 08/28/2017 | | | 11,200 | | | | 11,841 | |
| Petroleum Export, Ltd. | | | | | | | | |
| 5.27%, 06/15/2011 - 144A | | | 126 | | | | 126 | |
Diversified Telecommunication Services - 0.5% | | | | | | | | |
| KT Corp. | | | | | | | | |
| 4.88%, 07/15/2015 - 144A | | | 900 | | | | 942 | |
| Sprint Capital Corp. | | | | | | | | |
| 7.63%, 01/30/2011 ^ | | | 9,300 | | | | 9,323 | |
Electric Utilities - 0.1% | | | | | | | | |
| Progress Energy, Inc. | | | | | | | | |
| 6.85%, 04/15/2012 ^ | | | 440 | | | | 471 | |
| 7.10%, 03/01/2011 | | | 282 | | | | 285 | |
| PSEG Power LLC | | | | | | | | |
| 6.95%, 06/01/2012 ^ | | | 921 | | | | 993 | |
Energy Equipment & Services - 0.2% | | | | | | | | |
| NGPL Pipeco LLC | | | | | | | | |
| 7.12%, 12/15/2017 - 144A ^ | | | 4,100 | | | | 4,489 | |
Health Care Equipment & Supplies - 0.2% | | | | | | | | |
| Boston Scientific Corp. | | | | | | | | |
| 6.00%, 01/15/2020 | | | 3,900 | | | | 4,065 | |
Health Care Providers & Services - 0.0% ¥ | | | | | | | | |
| HCA, Inc. | | | | | | | | |
| 9.25%, 11/15/2016 | | | 600 | | | | 640 | |
Insurance - 0.7% | | | | | | | | |
| American International Group, Inc. | | | | | | | | |
| 8.18%, 05/15/2058 * ^ | | | 200 | | | | 213 | |
| 8.25%, 08/15/2018 | | | 12,300 | | | | 14,171 | |
| Principal Life Income Funding Trusts | | | | | | | | |
| 5.30%, 04/24/2013 ^ | | | 1,000 | | | | 1,082 | |
Metals & Mining - 0.1% | | | | | | | | |
| Gerdau Trade, Inc. | | | | | | | | |
| 5.75%, 01/30/2021 - 144A ^ | | | 3,100 | | | | 3,108 | |
Oil, Gas & Consumable Fuels - 0.6% | | | | | | | | |
| El Paso Corp. | | | | | | | | |
| 7.75%, 01/15/2032 ^ | | | 425 | | | | 423 | |
| 7.80%, 08/01/2031 | | | 125 | | | | 124 | |
| Gazprom Via Gaz Capital SA | | | | | | | | |
| 6.51%, 03/07/2022 - Reg S | | | 10,900 | | | | 11,118 | |
| Kerr-McGee Corp. | | | | | | | | |
| 6.88%, 09/15/2011 | | | 2,500 | | | | 2,595 | |
| Sonat, Inc. | | | | | | | | |
| 7.63%, 07/15/2011 | | | 1,000 | | | | 1,024 | |
Paper & Forest Products - 0.2% | | | | | | | | |
| Weyerhaeuser Co. | | | | | | | | |
| 6.75%, 03/15/2012 | | | 3,000 | | | | 3,169 | |
Road & Rail - 0.0% ¥ | | | | | | | | |
| Norfolk Southern Corp. | | | | | | | | |
| 6.75%, 02/15/2011 | | | 550 | | | | 553 | |
Tobacco - 0.9% | | | | | | | | |
| Altria Group, Inc. | | | | | | | | |
| 4.13%, 09/11/2015 | | | 1,300 | | | | 1,359 | |
| 9.25%, 08/06/2019 | | | 13,000 | | | | 16,966 | |
| 9.70%, 11/10/2018 | | | 1,200 | | | | 1,583 | |
| Reynolds American, Inc. | | | | | | | | |
| 7.63%, 06/01/2016 | | | 800 | | | | 930 | |
Wireless Telecommunication Services - 0.0% ¥ | | | | | | | | |
| AT&T Mobility LLC | | | | | | | | |
| 6.50%, 12/15/2011 | | | 560 | | | | 591 | |
| | | | | | | | |
Total Corporate Debt Securities (cost $465,855) | | | | | | | 469,881 | |
| | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
CONVERTIBLE PREFERRED STOCKS - 0.1% | | | | | | | | |
Commercial Banks - 0.1% | | | | | | | | |
| Wells Fargo & Co., 7.50% | | | 2,900 | | | $ | 2,901 | |
Insurance - 0.0% ¥ | | | | | | | | |
| American International Group, Inc., 8.50% ^ | | | 63,900 | | | | 562 | |
| | | | | | | | |
Total Convertible Preferred Stocks (cost $7,483) | | | | | | | 3,463 | |
| | | | | | | | |
| | | | | | | | |
PREFERRED STOCKS - 0.1% | | | | | | | | |
Thrifts & Mortgage Finance - 0.1% | | | | | | | | |
| DG Funding Trust, 0.68% - 144A * § Ə | | | 380 | | | | 2,901 | |
U.S. Government Agency Obligation - 0.0% ¥ | | | | | | | | |
| Fannie Mae – Series S, 8.25% * ‡ | | | 65,000 | | | | 36 | |
| | | | | | | | |
Total Preferred Stocks (cost $5,667) | | | | | | | 2,937 | |
| | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
LOAN ASSIGNMENTS - 0.5% | | | | | | | | |
Air Freight & Logistics - 0.1% | | | | | | | | |
| Delos Aircraft, Inc. | | | | | | | | |
| 7.00%, 03/17/2016 * | | $ | 2,000 | | | | 2,030 | |
Diversified Financial Services - 0.2% | | | | | | | | |
| International Lease Finance Co. | | | | | | | | |
| 6.75%, 03/17/2015 * | | | 3,300 | | | | 3,348 | |
Electric Utilities - 0.1% | | | | | | | | |
| Texas Competitive Electric Holdings Co., LLC | | | | | | | | |
| 3.76%, 10/10/2014 * | | | 3,880 | | | | 2,988 | |
Health Care Providers & Services - 0.1% | | | | | | | | |
| HCA, Inc. | | | | | | | | |
| 2.55%, 11/18/2013 * | | | 2,951 | | | | 2,919 | |
| | | | | | | | |
Total Loan Assignments (cost $11,703) | | | | | | | 11,285 | |
| | | | | | | | |
| | | | | | | | | |
SHORT-TERM U.S. GOVERNMENT OBLIGATION - 3.5% | | | | | | | | |
| U.S. Treasury Bill | | | | | | | | |
0.18%, 06/16/2011 ▲ (C) | | | 82,200 | | | | 82,128 | |
Total Short-Term U.S. Government Obligation (cost $82,128) | | | | | | | | |
| | | | | | | | | |
SHORT-TERM FOREIGN GOVERNMENT OBLIGATIONS - 3.3% | | | | | | | | |
| Japan Treasury Discount Bill | | | | | | | | |
| 0.13%, 03/28/2011 ▲ | JPY | | 2,110,000 | | | | 25,981 | |
| 0.14%, 01/24/2011 ▲ | JPY | | 4,070,000 | | | | 50,126 | |
| | | | | | | | |
Total Short-Term Foreign Government Obligations (cost $75,025) | | | | | | | 76,107 | |
| | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
| |
SECURITIES LENDING COLLATERAL - 6.3% | | | | | | | | |
| State Street Navigator Securities Lending Trust – Prime Portfolio, 0.36% ▲ | | | 147,252,229 | | | | 147,252 | |
Total Securities Lending Collateral (cost $147,252) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENTS - 9.0% | | | | | | | | |
| Barclays Capital, Inc. | | | | | | | | |
| 0.25% ▲ , dated 12/31/2010, to be repurchased at $119,002 on 01/03/2011. Collateralized by U.S. Government Obligation, 3.60%, due 02/15/2020, with a value of $120,398. | | $ | 119,000 | | | $ | 119,000 | |
| Barclays Capital, Inc. | | | | | | | | |
| 0.17% ▲, dated 12/21/2010, to be repurchased at $260,025 on 01/10/2011. Collateralized by U.S. Government Obligation, 1.40%, due 02/15/2013, with a value of $26,407. § | | | 26,000 | | | | 26,000 | |
| Barclays Capital, Inc. | | | | | | | | |
| 0.17% ▲, dated 12/22/2010, to be repurchased at $41,004 on 01/13/2011. Collateralized by U.S. Government Obligation, 0.90%, due 07/15/2013, with a value of $41,523. § | | | 41,000 | | | | 41,000 | |
| JP Morgan Securities | | | | | | | | |
| 0.17% ▲, dated 12/14/2010, to be repurchased at $23,203 on 01/13/2011. Collateralized by U.S. Government Obligations, 0.20% - 3.10%, due 06/16/2011 - - 05/15/2029, with a total value of $24,185. § | | | 23,200 | | | | 23,200 | |
| | | | | | | | |
Total Repurchase Agreements (cost $209,200) | | | | | | | 209,200 | |
| | | | | | | | |
| Total Investment Securities (cost $2,992,322) # | | | | | | | 2,987,955 | |
| Other Assets and Liabilities – Net | | | | | | | (658,666 | ) |
| | | | | | | | |
| |
Net Assets | | | | | | $ | 2,329,289 | |
| | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
SECURITIES SOLD SHORT (1.6%) | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS (1.6%) | | | | | | | | |
| Fannie Mae | | | | | | | | |
| 3.50%, 01/01/2039 | | $ | (15,000 | ) | | $ | (16,048 | ) |
| Fannie Mae, TBA | | | | | | | | |
5.50% (D) | | | (22,000 | ) | | | (21,010 | ) |
| | | | | | | | |
Total Securities Sold Short (proceeds $37,167) | | | | | | | (37,058 | ) |
| | | | | | | | |
| | | | | | | | | |
| | | Notional | | | | |
| | | Amount | | | Value | |
| |
WRITTEN-OPTIONS – (0.0%)¥ | | | | | | | | |
Call Options – (0.0%) ¥ | | | | | | | | |
| Euro Future | | $ | (318 | ) | | | (75 | ) |
| Call Strike $99.38 | | | | | | | | |
| Expires 09/19/2011 | | | | | | | | |
| OTC ECAL USD vs CAD § | | | (9,800 | ) | | | (33 | ) |
| Call Strike $1.05 | | | | | | | | |
| Expires 03/09/2011 | | | | | | | | |
Put Options – (0.0%) ¥ | | | | | | | | |
| Euro Future | | | (318 | ) | | | (52 | ) |
| Put Strike $99.38 | | | | | | | | |
| Expires 09/19/2011 | | | | | | | | |
| | | | | | | | |
Total Written Options [premiums: $(212)] | | | | | | | (160 | ) |
| | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
WRITTEN SWAPTIONS:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Floating | | | | | | | | | | | | | | | | | |
| | | Rate | | Pay/Receive | | Exercise | | | Expiration | | | Notional | | | | | | | |
| Description | | Index | | Floating Rate | | Rate | | | Date | | | Amount | | | Premiums | | | Value | |
| |
| Call – Interest Rate Swap, European Style § | | 2-Year OC FVA USD | | Receive | | $ | 0.00 | W | | | 11/14/2011 | | | $ | (70,000 | ) | | $ | (760 | ) | | $ | (1,175 | ) |
| Call – Interest Rate Swap, European Style | | 5-Year CDX.0 .80 IG15 | | Receive | | | 0.80 | | | | 01/19/2011 | | | | (4,300 | ) | | | (7 | ) | | | (3 | ) |
| Call – Interest Rate Swap, European Style | | 5-Year CDX.0 IG14 MYC | | Receive | | | 0.90 | | | | 03/16/2011 | | | | (20,200 | ) | | | (44 | ) | | | (87 | ) |
| Call – Interest Rate Swap, European Style | | 5-Year Itraxx.O Euro 14 MYC | | Receive | | | 0.90 | | | | 03/16/2011 | | | | (34,000 | ) | | | (105 | ) | | | (79 | ) |
| Call – Interest Rate Swap, European Style | | 10-Year IRO USD | | Receive | | | 3.25 | | | | 01/24/2011 | | | | (35,800 | ) | | | (200 | ) | | | (207 | ) |
| Call – Interest Rate Swap, European Style | | 10-Year IRO USD | | Receive | | | 3.25 | | | | 01/24/2011 | | | | (58,500 | ) | | | (351 | ) | | | (339 | ) |
| Call – Interest Rate Swap, European Style | | 10-Year IRO USD | | Receive | | | 3.25 | | | | 01/24/2011 | | | | (11,000 | ) | | | (61 | ) | | | (64 | ) |
| Put – Interest Rate Swap, European Style | | 5-Year CDX.0 IG14 MYC | | Pay | | | 1.50 | | | | 03/16/2011 | | | | (20,200 | ) | | | (111 | ) | | | (13 | ) |
| Put – Interest Rate Swap, European Style | | 5-Year Itraxx.O Euro 14 MYC | | Pay | | | 1.60 | | | | 03/16/2011 | | | | (34,000 | ) | | | (274 | ) | | | (66 | ) |
| Put – Interest Rate Swap, European Style | | 5-Year CDX.0 IG14 MYC | | Pay | | | 1.70 | | | | 03/16/2011 | | | | (1,300 | ) | | | (6 | ) | | | (♦ | ) |
| Put – Interest Rate Swap, European Style | | 2-Year IRO USD | | Pay | | | 2.25 | | | | 09/24/2012 | | | | (12,000 | ) | | | (64 | ) | | | (160 | ) |
| Put – Interest Rate Swap, European Style | | 2-Year IRO USD | | Pay | | | 2.25 | | | | 09/24/2012 | | | | (101,700 | ) | | | (802 | ) | | | (1,355 | ) |
| Put – Interest Rate Swap, European Style | | 2-Year IRO USD | | Pay | | | 2.25 | | | | 09/24/2012 | | | | (6,100 | ) | | | (39 | ) | | | (81 | ) |
| Put – Interest Rate Swap, European Style | | 2-Year IRO USD | | Pay | | | 2.25 | | | | 09/24/2012 | | | | (5,500 | ) | | | (37 | ) | | | (73 | ) |
| Put – Interest Rate Swap, European Style | | 3-Year IRO USD | | Pay | | | 2.75 | | | | 06/18/2012 | | | | (23,800 | ) | | | (247 | ) | | | (360 | ) |
| Put – Interest Rate Swap, European Style | | 3-Year IRO USD | | Pay | | | 2.75 | | | | 06/18/2012 | | | | (25,400 | ) | | | (249 | ) | | | (384 | ) |
| Put – Interest Rate Swap, European Style | | 3-Year IRO USD | | Pay | | | 3.00 | | | | 06/18/2012 | | | | (4,500 | ) | | | (43 | ) | | | (57 | ) |
| Put – Interest Rate Swap, European Style | | 3-Year IRO USD | | Pay | | | 3.00 | | | | 06/18/2012 | | | | (35,300 | ) | | | (318 | ) | | | (450 | ) |
| Put – Interest Rate Swap, European Style | | 3-Year IRO USD | | Pay | | | 3.00 | | | | 06/18/2012 | | | | (31,200 | ) | | | (354 | ) | | | (398 | ) |
| Put – Interest Rate Swap, European Style | | 10-Year IRO USD | | Pay | | | 5.00 | | | | 01/24/2011 | | | | (11,000 | ) | | | (89 | ) | | | (♦ | ) |
| Put – Interest Rate Swap, European Style | | 10-Year IRO USD | | Pay | | | 5.00 | | | | 01/24/2011 | | | | (58,500 | ) | | | (608 | ) | | | (♦ | ) |
| Put – Interest Rate Swap, European Style | | 10-Year IRO USD | | Pay | | | 10.00 | | | | 07/10/2012 | | | | (22,700 | ) | | | (139 | ) | | | (7 | ) |
| Put – Interest Rate Swap, European Style | | 10-Year IRO USD | | Pay | | | 10.00 | | | | 07/10/2012 | | | | (500 | ) | | | (3 | ) | | | (♦ | ) |
| Put – Interest Rate Swap, European Style | | 10-Year IRO USD | | Pay | | | 10.00 | | | | 07/10/2012 | | | | (1,200 | ) | | | (8 | ) | | | (♦ | ) |
| Put – Interest Rate Swap, European Style | | 10-Year IRO USD | | Pay | | | 10.00 | | | | 07/10/2012 | | | | (2,300 | ) | | | (16 | ) | | | (1 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $ | (4,935 | ) | | $ | (5,359 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
SWAP AGREEMENTS: (B)
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES — BUY PROTECTION: (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Implied Credit | | | | | | | | | | Premiums | | Unrealized |
| | | Fixed Deal | | Maturity | | | | | | Spread (BP) at | | Notional | | Market | | Paid | | Appreciation |
| Reference Obligation | | Pay Rate | | Date | | Counterparty | | 12/31/2010 (3) | | Amount (4) | | Value | | (Received) | | (Depreciation) |
| |
| BFC Genesee, Ltd., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1.93%, 01/01/2041 § | | | 2.25 | % | | | 01/10/2041 | | | CBK | | | — | | | $ | 2,460 | | | $ | 2,379 | | | $ | — | | | $ | 2,379 | |
| Capital One Financial Corp., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 6.25%, 11/15/2013 | | | 1.00 | | | | 09/20/2017 | | | DUB | | | 126.24 | | | | 3,400 | | | | 58 | | | | 43 | | | | 15 | |
| CDX.NA.IG.14 | | | 1.00 | | | | 06/20/2015 | | | DUB | | | 385.51 | | | | 27,500 | | | | (207 | ) | | | (118 | ) | | | (89 | ) |
| CDX.NA.IG.14 | | | 1.00 | | | | 06/20/2015 | | | UAG | | | 78.63 | | | | 8,800 | | | | (66 | ) | | | (37 | ) | | | (29 | ) |
| Montauk Point CDO, Ltd. 2006-2A A4, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1.73%, 04/06/2046 § | | | 2.22 | | | | 04/06/2046 | | | FBF | | | — | | | | 2,500 | | | | 2,397 | | | | — | | | | 2,397 | |
| Transocean, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 7.38%, 04/15/2018 | | | 1.00 | | | | 03/20/2011 | | | GST | | | 37.48 | | | | 8,800 | | | | (9 | ) | | | 46 | | | | (55 | ) |
| Transocean, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 7.38%, 04/15/2018 | | | 1.00 | | | | 06/20/2011 | | | BRC | | | 37.48 | | | | 1,900 | | | | (4 | ) | | | 5 | | | | (9 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | $ | 4,548 | | | $ | (61 | ) | | $ | 4,609 | |
| | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES – SELL PROTECTION: (2)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Fixed Deal | | | | | | | | | | Implied Credit | | | | | | | | | | Premiums | | Unrealized |
| | | Receive | | Maturity | | | | | | Spread (BP) at | | Notional | | Market | | Paid | | Appreciation |
| Reference Obligation | | Rate | | Date | | Counterparty | | 12/31/2010 (3) | | Amount (4) | | Value | | (Received) | | (Depreciation) |
| |
| Altria Group, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 9.25%, 08/06/2019 | | | 1.46 | % | | | 03/20/2019 | | | DUB | | | 119.43 | | | $ | 13,000 | | | $ | (249 | ) | | $ | — | | | $ | (249 | ) |
| Goldman Sachs Group, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 6.60%, 01/15/2012 | | | 1.00 | | | | 03/20/2011 | | | DUB | | | 59.28 | | | | 2,400 | | | | 2 | | | | 1 | | | | 1 | |
| Goldman Sachs Group, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 6.60%, 01/15/2012 | | | 1.00 | | | | 03/20/2012 | | | BRC | | | 66.34 | | | | 2,100 | | | | 7 | | | | (1 | ) | | | 8 | |
| Reynolds American, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 7.63%, 06/1/2016 | | | 1.28 | | | | 06/20/2017 | | | GST | | | 121.55 | | | | 2,100 | | | | 4 | | | | — | | | | 4 | |
| Time Warner, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 5.88%, 11/15/2016 | | | 1.19 | | | | 03/20/2014 | | | DUB | | | 26.20 | | | | 410 | | | | (12 | ) | | | — | | | | (12 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | $ | (248 | ) | | $ | — | | | $ | (248 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
SWAP AGREEMENTS (continued): (B)
CREDIT DEFAULT SWAPS ON CREDIT INDICES – BUY PROTECTION: (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Unrealized |
| | | Fixed Deal | | Maturity | | | | | | Currency | | Notional | | Market | | Premiums | | Appreciation |
| Reference Obligation | | Pay Rate | | Date | | Counterparty | | Code | | Amount (4) | | Value(5) | | Paid | | (Depreciation) |
| |
| CDX.NA.HY.14 5 Year Index | | | 5.00 | % | | | 06/20/2015 | | | DUB | | USD | | $ | 6,600 | | | $ | (245 | ) | | $ | 444 | | | $ | (689 | ) |
| CDX.NA.HY.14 5 Year Index | | | 5.00 | | | | 06/20/2015 | | | CBK | | USD | | | 11,000 | | | | (408 | ) | | | 788 | | | | (1,196 | ) |
| Dow Jones CDX.IG.5 7 Year Index | | | 0.14 | | | | 12/20/2012 | | | MYC | | USD | | | 13,400 | | | | 88 | | | | — | | | | 88 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | $ | (565 | ) | | $ | 1,232 | | | $ | (1,797 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS ON CREDIT INDICES – SELL PROTECTION: (2)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Premiums | | |
| | | Fixed Deal | | Maturity | | | | | | Currency | | Notional | | Market | | Paid | | Unrealized |
| Reference Obligation | | Pay Rate | | Date | | Counterparty | | Code | | Amount (4) | | Value (5) | | (Received) | | Depreciation |
| |
| Dow Jones CDX.IG.5 1 Year Index | | | 0.46 | % | | | 12/20/2015 | | | MYC | | USD | | $ | 9,600 | | | $ | (835 | ) | | $ | — | | | $ | (835 | ) |
INTEREST RATE SWAP AGREEMENTS – FIXED RATE RECEIVABLE:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Maturity | | | | | | Currency | | Notional | | Market | | Premiums | | Unrealized |
| Floating Rate Index | | Fixed Rate | | Date | | Counterparty | | Code | | Amount | | Value | | Paid | | Depreciation |
| |
| BRL-CDI | | | 11.89 | % | | | 01/02/2013 | | | HUS | | BRL | | $ | 55,300 | | | $ | 235 | | | $ | 320 | | | $ | (85 | ) |
INTEREST RATE SWAP AGREEMENTS – FIXED RATE PAYABLE:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Premiums | | Unrealized |
| | | | | | | Maturity | | | | | | Currency | | Notional | | Market | | Paid | | Appreciation |
| Floating Rate Index | | Fixed Rate | | Date | | Counterparty | | Code | | Amount | | Value | | (Received) | | (Depreciation) |
| |
| 6-Month AUD BBR BBSW | | | 5.25 | % | | | 12/15/2017 | | | DUB | | AUD | | $ | 7,800 | | | $ | (238 | ) | | $ | (34 | ) | | $ | (204 | ) |
| 6-Month AUD BBR BBSW | | | 5.25 | | | | 12/15/2017 | | | BRC | | AUD | | | 12,600 | | | | (384 | ) | | | (61 | ) | | | (323 | ) |
| BRL-CDI | | | 11.02 | | | | 01/02/2012 | | | UAG | | BRL | | | 13,000 | | | | 77 | | | | — | | | | 77 | |
| BRL-CDI | | | 11.67 | | | | 01/02/2012 | | | MYC | | BRL | | | 14,500 | | | | 238 | | | | 54 | | | | 184 | |
| BRL-CDI | | | 11.91 | | | | 01/02/2013 | | | BRL | | BRL | | | 13,600 | | | | 49 | | | | 54 | | | | (5 | ) |
| BRL-CDI | | | 11.98 | | | | 01/02/2013 | | | MYC | | BRL | | | 61,800 | | | | 320 | | | | 431 | | | | (111 | ) |
| BRL-CDI | | | 11.94 | | | | 01/02/2014 | | | BRL | | BRL | | | 38,200 | | | | (3 | ) | | | 99 | | | | (102 | ) |
| BRL-CDI | | | 11.99 | | | | 01/02/2014 | | | GLM | | BRL | | | 11,000 | | | | 46 | | | | 3 | | | | 43 | |
| BRL-CDI | | | 12.12 | | | | 01/02/2014 | | | HUS | | BRL | | | 41,100 | | | | 271 | | | | 79 | | | | 192 | |
| BRL-CDI | | | 11.96 | | | | 01/02/2014 | | | GLM | | BRL | | | 143,800 | | | | 550 | | | | (93 | ) | | | 643 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | $ | 926 | | | $ | 532 | | | $ | 394 | |
| | | | | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS:
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Net Unrealized | |
| Description | | Type | | | Contracts Γ | | | Expiration Date | | | Appreciation | |
| |
| 3-Month EURIBOR | | Long | | | 473 | | | | 06/13/2011 | | | $ | 167 | |
| 90-Day Euro | | Long | | | 687 | | | | 03/14/2011 | | | | 10 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | 177 | |
| | | | | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
FORWARD FOREIGN CURRENCY CONTRACTS: (E)
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Amount in U.S. | | | Net Unrealized | |
| | | | | | | Settlement | | | Dollars Bought | | | Appreciation | |
| Currency | | Bought (Sold) | Date | | | (Sold) | | | (Depreciation) | |
| |
| Australian Dollar | | | (61,028 | ) | | | 01/28/2011 | | | $ | (58,093 | ) | | $ | (4,086 | ) |
| Brazilian Real | | | (56,576 | ) | | | 03/02/2011 | | | | (33,175 | ) | | | (468 | ) |
| Canadian Dollar | | | (35,932 | ) | | | 02/17/2011 | | | | (35,676 | ) | | | (430 | ) |
| Chinese Yuan Renminbi | | | 49,946 | | | | 01/10/2011 | | | | 7,477 | | | | 102 | |
| Chinese Yuan Renminbi | | | (49,946 | ) | | | 01/10/2011 | | | | (7,503 | ) | | | (76 | ) |
| Chinese Yuan Renminbi | | | 33,160 | | | | 04/07/2011 | | | | 5,000 | | | | 33 | |
| Chinese Yuan Renminbi | | | 5,483 | | | | 04/28/2011 | | | | 829 | | | | 3 | |
| Chinese Yuan Renminbi | | | 6,595 | | | | 04/28/2011 | | | | 997 | | | | 4 | |
| Chinese Yuan Renminbi | | | 8,180 | | | | 09/14/2011 | | | | 1,232 | | | | 15 | |
| Chinese Yuan Renminbi | | | 6,499 | | | | 09/14/2011 | | | | 978 | | | | 12 | |
| Chinese Yuan Renminbi | | | 5,085 | | | | 09/14/2011 | | | | 767 | | | | 8 | |
| Chinese Yuan Renminbi | | | 12,193 | | | | 09/14/2011 | | | | 1,839 | | | | 19 | |
| Chinese Yuan Renminbi | | | 22,724 | | | | 11/04/2011 | | | | 3,559 | | | | (92 | ) |
| Chinese Yuan Renminbi | | | 16,939 | | | | 11/15/2011 | | | | 2,558 | | | | 27 | |
| Chinese Yuan Renminbi | | | 10,365 | | | | 02/13/2012 | | | | 1,611 | | | | (23 | ) |
| Chinese Yuan Renminbi | | | 20,245 | | | | 02/13/2012 | | | | 3,144 | | | | (42 | ) |
| Chinese Yuan Renminbi | | | 25,646 | | | | 02/13/2012 | | | | 3,980 | | | | (50 | ) |
| Chinese Yuan Renminbi | | | 8,509 | | | | 02/13/2012 | | | | 1,324 | | | | (20 | ) |
| Chinese Yuan Renminbi | | | 49,946 | | | | 02/13/2012 | | | | 7,694 | | | | (40 | ) |
| Chinese Yuan Renminbi | | | 9,826 | | | | 02/13/2012 | | | | 1,526 | | | | (21 | ) |
| Chinese Yuan Renminbi | | | 11,604 | | | | 02/13/2012 | | | | 1,800 | | | | (22 | ) |
| Chinese Yuan Renminbi | | | 25,334 | | | | 02/13/2012 | | | | 3,930 | | | | (47 | ) |
| Chinese Yuan Renminbi | | | 30,727 | | | | 02/13/2012 | | | | 4,778 | | | | (69 | ) |
| Chinese Yuan Renminbi | | | 25,199 | | | | 02/13/2012 | | | | 3,911 | | | | (50 | ) |
| Chinese Yuan Renminbi | | | 26,589 | | | | 02/13/2012 | | | | 4,124 | | | | (49 | ) |
| Chinese Yuan Renminbi | | | 24,245 | | | | 02/13/2012 | | | | 3,763 | | | | (47 | ) |
| Danish Krone | | | 3,240 | | | | 02/07/2011 | | | | 603 | | | | (22 | ) |
| Euro | | | (32,992 | ) | | | 01/06/2011 | | | | (44,686 | ) | | | 600 | |
| Euro | | | (9,732 | ) | | | 01/25/2011 | | | | (12,864 | ) | | | (140 | ) |
| Indian Rupee | | | (100,000 | ) | | | 01/12/2011 | | | | (2,199 | ) | | | (33 | ) |
| Indian Rupee | | | 216,293 | | | | 01/12/2011 | | | | 4,601 | | | | 226 | |
| Indian Rupee | | | (231,582 | ) | | | 01/12/2011 | | | | (5,064 | ) | | | (104 | ) |
| Indian Rupee | | | 41,201 | | | | 01/12/2011 | | | | 877 | | | | 42 | |
| Indian Rupee | | | 74,087 | | | | 01/12/2011 | | | | 1,577 | | | | 76 | |
| Indian Rupee | | | 166,203 | | | | 03/09/2011 | | | | 3,648 | | | | 23 | |
| Indian Rupee | | | 377,904 | | | | 03/09/2011 | | | | 8,291 | | | | 55 | |
| Indian Rupee | | | 231,582 | | | | 05/09/2011 | | | | 4,972 | | | | 86 | |
| Indian Rupee | | | 100,000 | | | | 05/09/2011 | | | | 2,158 | | | | 25 | |
| Japanese Yen | | | (146,448 | ) | | | 01/14/2011 | | | | (1,739 | ) | | | (65 | ) |
| Japanese Yen | | | (292,897 | ) | | | 01/14/2011 | | | | (3,485 | ) | | | (123 | ) |
| Japanese Yen | | | (246,033 | ) | | | 01/14/2011 | | | | (2,923 | ) | | | (108 | ) |
| Japanese Yen | | | (2,070,000 | ) | | | 01/24/2011 | | | | (25,313 | ) | | | (190 | ) |
| Japanese Yen | | | (2,000,000 | ) | | | 01/24/2011 | | | | (24,471 | ) | | | (170 | ) |
| Japanese Yen | | | (2,110,000 | ) | | | 03/28/2011 | | | | (25,215 | ) | | | (798 | ) |
| Malaysian Ringgit | | | 20 | | | | 02/07/2011 | | | | 6 | | | | ♦ | |
| Malaysian Ringgit | | | 68 | | | | 02/07/2011 | | | | 22 | | | | ♦ | |
| Malaysian Ringgit | | | 10 | | | | 02/07/2011 | | | | 3 | | | | ♦ | |
| Malaysian Ringgit | | | 20 | | | | 02/07/2011 | | | | 6 | | | | ♦ | |
| Mexican Peso | | | (18,794 | ) | | | 02/22/2011 | | | | (1,500 | ) | | | (16 | ) |
| Pound Sterling | | | (12,214 | ) | | | 03/21/2011 | | | | (19,094 | ) | | | 64 | |
| Republic of Korea Won | | | 1,176,452 | | | | 01/19/2011 | | | | 1,052 | | | | (15 | ) |
| Republic of Korea Won | | | 6,938,308 | | | | 01/19/2011 | | | | 6,206 | | | | (91 | ) |
| Republic of Korea Won | | | (16,288,802 | ) | | | 01/19/2011 | | | | (14,107 | ) | �� | | (250 | ) |
| Republic of Korea Won | | | 8,174,042 | | | | 01/19/2011 | | | | 7,310 | | | | (106 | ) |
| Republic of Korea Won | | | 2,332,000 | | | | 05/09/2011 | | | | 2,077 | | | | (13 | ) |
| Republic of Korea Won | | | 5,538,840 | | | | 05/09/2011 | | | | 4,848 | | | | 55 | |
| Republic of Korea Won | | | 5,379,200 | | | | 05/09/2011 | | | | 4,743 | | | | 18 | |
| Republic of Korea Won | | | 2,953,000 | | | | 05/09/2011 | | | | 2,637 | | | | (23 | ) |
| Republic of Korea Won | | | 4,787,400 | | | | 05/09/2011 | | | | 4,239 | | | | (1 | ) |
| Republic of Korea Won | | | 4,313,000 | | | | 05/09/2011 | | | | 3,845 | | | | (27 | ) |
| Republic of Korea Won | | | 1,235,900 | | | | 05/09/2011 | | | | 1,100 | | | | (6 | ) |
| Republic of Korea Won | | | 996,010 | | | | 05/09/2011 | | | | 878 | | | | 4 | |
| Republic of Korea Won | | | 4,677,000 | | | | 05/09/2011 | | | | 4,134 | | | | 6 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
FORWARD FOREIGN CURRENCY CONTRACTS (continued): (E)
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Amount in U.S. | | | Net Unrealized | |
| | | | | | | Settlement | | | Dollars Bought | | | Appreciation | |
| Currency | | Bought (Sold) | | Date | | | (Sold) | | | (Depreciation) | |
| |
| Republic of Korea Won | | | 16,288,803 | | | | 05/09/2011 | | | $ | 14,064 | | | $ | 354 | |
| Republic of Korea Won | | | 6,192,350 | | | | 05/09/2011 | | | | 5,420 | | | | 61 | |
| Singapore Dollar | | | 3,263 | | | | 02/24/2011 | | | | 2,500 | | | | 43 | |
| Singapore Dollar | | | 2,595 | | | | 02/24/2011 | | | | 1,987 | | | | 35 | |
| Singapore Dollar | | | 2,594 | | | | 02/24/2011 | | | | 1,987 | | | | 34 | |
| Singapore Dollar | | | 2,595 | | | | 02/24/2011 | | | | 1,987 | | | | 35 | |
| Singapore Dollar | | | 2,594 | | | | 02/24/2011 | | | | 1,987 | | | | 34 | |
| Singapore Dollar | | | (104 | ) | | | 03/09/2011 | | | | (77 | ) | | | (4 | ) |
| Singapore Dollar | | | 10,120 | | | | 06/09/2011 | | | | 7,757 | | | | 129 | |
| Singapore Dollar | | | 5,578 | | | | 06/09/2011 | | | | 4,287 | | | | 60 | |
| Taiwan Dollar | | | 62,461 | | | | 01/14/2011 | | | | 2,019 | | | | 124 | |
| Taiwan Dollar | | | (147,000 | ) | | | 01/14/2011 | | | | (4,903 | ) | | | (141 | ) |
| Taiwan Dollar | | | 76,792 | | | | 01/14/2011 | | | | 2,444 | | | | 191 | |
| Taiwan Dollar | | | 49,886 | | | | 01/14/2011 | | | | 1,580 | | | | 132 | |
| Taiwan Dollar | | | 41,588 | | | | 01/14/2011 | | | | 1,312 | | | | 115 | |
| Taiwan Dollar | | | 19,019 | | | | 01/14/2011 | | | | 604 | | | | 48 | |
| Taiwan Dollar | | | (102,746 | ) | | | 01/14/2011 | | | | (3,439 | ) | | | (86 | ) |
| Taiwan Dollar | | | 102,746 | | | | 04/06/2011 | | | | 3,466 | | | | 69 | |
| Taiwan Dollar | | | 147,000 | | | | 04/06/2011 | | | | 4,941 | | | | 116 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | (5,081 | ) |
| | | | | | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $144,006. |
| |
| * | | Floating or variable rate note. Rate is listed as of 12/31/2010. |
| |
| Ə | | Securities fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. These securities had a market value of $21,491, or 0.92%, of the fund’s net assets. |
| |
| Ž | | The security has a perpetual maturity. The date shown is the next call date. |
| |
| Γ | | Contract amounts are not in thousands. |
| |
| § | | Illiquid. At 12/31/2010, illiquid investment securities aggregated $106,556, or 4.6%, of the fund’s net assets, and illiquid derivatives aggregated to $3,568, or 0.15%, of the fund’s net assets. |
| |
| Џ | | In default. |
| |
| W | | Amount rounds to less than $0.01. |
| |
| ♦ | | Amount rounds to less than $1 or $(1). |
| |
| ¥ | | Percentage rounds to less than 0.1%. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| ‡ | | Non-income producing security. |
| |
| # | | Aggregate cost for federal income tax purposes is $2,993,758. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $59,032 and $64,835, respectively. Net unrealized depreciation for tax purposes is $5,803. |
| |
| (1) | | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| |
| (2) | | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) 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 index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| |
| (3) | | 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 or 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 upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| |
| (4) | | The maximum potential amount the Fund could be required to make 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. |
| |
| (5) | | 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 end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTES TO SCHEDULE OF INVESTMENTS (continued):
| | |
| (A) | | All or a portion of these securities, in the amount of $1,106, have been segregated as collateral by the Fund with the broker to cover margin requirements for open futures contracts. |
| |
| (B) | | Cash in the amount of $5,130, and a security with a market value of $310 have been segregated as collateral by the broker with the custodian for open swap contracts. |
| |
| (C) | | All or a portion of these securities have been pledged by the broker as collateral with the custodian for open swap contracts. The value of these securities at 12/31/2010 is $1,055. |
| |
| (D) | | Cash, in the amount of $1,130, has been segregated as collateral by the broker with the custodian for open short TBA transactions. |
| |
| (E) | | Cash, in the amount of $270, has been segregated as collateral by the broker with the custodian for open forward foreign currency contracts. |
| | |
| |
| DEFINITIONS: |
| |
| 144A | | 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2010, these securities aggregated $209,295, or 8.99%, of the fund’s net assets. |
| |
| AUD | | Australian Dollar |
| |
| BP | | Basis Point |
| |
| BRC | | Barclays Bank PLC |
| |
| BRL | | Brazilian Real |
| |
| CAD | | Canadian Dollar |
| |
| CBK | | Citibank N.A. |
| |
| CDI | | Credit Default Index |
| |
| CDO | | Collateralized Debt Obligation |
| |
| CDX | | A series of indices that track North American and emerging market credit derivative indices. |
| |
| CLO | | Collateralized Loan Obligation |
| |
| DUB | | Deutsche Bank AG |
| |
| EUR | | Euro |
| |
| EURIBOR | | Euro InterBank Offered Rate |
| |
| FBF | | Credit Suisse |
| |
| GBP | | Pound Sterling |
| |
| GLM | | Goldman Sachs Global Liquidity Management |
| |
| GST | | Goldman Sachs Trust |
| |
| HUS | | HSBC Bank USA |
| |
| IO | | Interest Only |
| |
| JPY | | Japanese Yen |
| |
| MYC | | Morgan Stanley Capital Services |
| |
| OTC | | Over the Counter |
| |
| TBA | | To Be Announced |
| |
| UAG | | UBS AG |
| |
| USD | | United States Dollar |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Asset-Backed Securities | | $ | — | | | $ | 27,261 | | | $ | 13,454 | | | $ | 40,715 | |
| Convertible Preferred Stocks | | | 3,463 | | | | — | | | | — | | | | 3,463 | |
| Corporate Debt Securities | | | — | | | | 469,881 | | | | — | | | | 469,881 | |
| Foreign Government Obligations | | | — | | | | 164,617 | | | | — | | | | 164,617 | |
| Loan Assignments | | | — | | | | 11,285 | | | | — | | | | 11,285 | |
| Mortgage-Backed Securities | | | — | | | | 150,622 | | | | 236 | | | | 150,858 | |
| Municipal Government Obligations | | | — | | | | 102,155 | | | | — | | | | 102,155 | |
| Preferred Corporate Debt Securities | | | — | | | | 40,428 | | | | — | | | | 40,428 | |
| Preferred Stocks | | | 36 | | | | — | | | | 2,901 | | | | 2,937 | |
| Repurchase Agreements | | | — | | | | 209,200 | | | | — | | | | 209,200 | |
| Securities Lending Collateral | | | 147,252 | | | | — | | | | — | | | | 147,252 | |
| Short-Term Foreign Government Obligations | | | — | | | | 76,107 | | | | — | | | | 76,107 | |
| Short-Term U.S. Government Obligation | | | — | | | | 82,128 | | | | — | | | | 82,128 | |
| U.S. Government Agency Obligations | | | — | | | | 1,007,769 | | | | — | | | | 1,007,769 | |
| U.S. Government Obligations | | | — | | | | 479,160 | | | | — | | | | 479,160 | |
| | | | | | | | | | | | | |
Total | | $ | 150,751 | | | $ | 2,820,613 | | | $ | 16,591 | | | $ | 2,987,955 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Securities Sold Short | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| U.S. Government Agency Obligations | | $ | — | | | $ | (37,058 | ) | | $ | — | | | $ | (37,058 | ) |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica PIMCO Total Return VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
VALUATION SUMMARY (continued):
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Written Options | | $ | — | | | $ | (160 | ) | | $ | — | | | $ | (160 | ) |
| Written Swaptions | | | — | | | | (5,359 | ) | | | — | | | | (5,359 | ) |
| | | | | | | | | | | | | |
Total | | $ | — | | | $ | (5,519 | ) | | $ | — | | | $ | (5,519 | ) |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments* | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Credit Default Swap - Appreciation | | $ | — | | | $ | 4,892 | | | $ | — | | | $ | 4,892 | |
| Credit Default Swap - Depreciation | | | — | | | | (3,163 | ) | | | — | | | | (3,163 | ) |
| Interest Rate Swap - Appreciation | | | — | | | | 1,139 | | | | — | | | | 1,139 | |
| Interest Rate Swap - Depreciation | | | — | | | | (830 | ) | | | — | | | | (830 | ) |
| Forward Foreign Currency Contracts - Appreciation | | | — | | | | 3,083 | | | | — | | | | 3,083 | |
| Forward Foreign Currency Contracts - Depreciation | | | — | | | | (8,164 | ) | | | — | | | | (8,164 | ) |
| Futures Contracts - Appreciation | | | 177 | | | | — | | | | — | | | | 177 | |
| | | | | | | | | | | | | |
Total | | $ | 177 | | | $ | (3,043 | ) | | $ | — | | | $ | (2,866 | ) |
| | | | | | | | | | | | | |
Level 3 Rollforward - Investment Securities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning | | | | | | | | | | | | | | | | | | | Net Transfers | | | Ending | |
| | | Balance at | | | Net | | | Accrued | | | Total Realized | | | Change in Unrealized | | | In/(Out) of | | | Balance at | |
| Securities | | 12/31/2009 | | | Purchases/(Sales) | | | Discounts/(Premiums) | | | Gain/(Loss) | | | Appreciation/(Depreciation) | | | Level 3 | | | 12/31/2010 | |
| |
| Preferred Stock | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (471 | ) | | $ | 3,372 | | | $ | 2,901 | |
| Mortgage-Backed Securities | | $ | — | | | $ | ♦ | | | $ | — | | | $ | — | | | $ | 236 | | | $ | — | | | $ | 236 | |
| Asset-Backed Securities | | $ | — | | | $ | 13,500 | | | $ | — | | | $ | — | | | $ | (46 | ) | | $ | — | | | $ | 13,454 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 13,500 | | | $ | — | | | $ | — | | | $ | (281 | ) | | $ | 3,372 | | | $ | 16,591 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| * | | Other financial instruments are derivative instruments including, but not limited to, Futures Contracts, Forward Foreign Currency Contracts, and Swap Contracts that are valued at unrealized appreciation (depreciation) on the instrument. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica PIMCO Total Return VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $2,783,122) (including securities loaned of $144,006) | | $ | 2,778,755 | |
| Repurchase agreement, at value (cost: $209,200) | | | 209,200 | |
| Cash | | | 1,780 | |
| Foreign currency, at value (cost: $3,553) | | | 3,598 | |
| Receivables: | | | | |
| Investment securities sold | | | 1,091,100 | |
| Shares sold | | | 520 | |
| Interest | | | 21,252 | |
| Securities lending income (net) | | | 21 | |
| Variation margin | | | 42 | |
| Prepaid expenses | | | 24 | |
| Unrealized appreciation on swap agreements | | | 6,031 | |
| Premium paid on swap agreements | | | 2,367 | |
| Unrealized appreciation on forward foreign currency contracts | | | 3,083 | |
| | | | |
| | | | 4,117,773 | |
| | | | |
Liabilities: | | | | |
| Cash deposit due to broker | | | 6,530 | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 1,576,425 | |
| Shares redeemed | | | 1,648 | |
| Management and advisory fees | | | 1,229 | |
| Distribution and service fees | | | 101 | |
| Transfer agent fees | | | 1 | |
| Administration fees | | | 40 | |
| Printing and shareholder reports fees | | | 56 | |
| Audit and tax fees | | | 8 | |
| Other | | | 116 | |
| Collateral for securities on loan | | | 147,252 | |
| Unrealized depreciation on forward foreign currency contracts | | | 8,164 | |
| Written options and swaptions, at value (premium: $5,147) | | | 5,519 | |
| Unrealized depreciation on swap agreements | | | 3,993 | |
| Premium received on swap agreements | | | 344 | |
| Securities sold short, at value (proceeds: $37,167) | | | 37,058 | |
| | | | |
| | | | 1,788,484 | |
| | | | |
Net assets | | $ | 2,329,289 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 2,013 | |
| Additional paid-in capital | | | 2,225,709 | |
| Undistributed (accumulated) net investment income (loss) | | | 62,696 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities, futures contracts, written option and swaption contracts, swap agreements, securities sold short, and foreign currency transactions | | | 46,047 | |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | (4,367 | ) |
| Futures contracts | | | 177 | |
| Written option and swaption contracts | | | (372 | ) |
| Swap agreements | | | 2,038 | |
| Translation of assets and liabilities denominated in foreign currencies | | | (4,761 | ) |
| Securities sold short | | | 109 | |
| | | | |
Net assets | | $ | 2,329,289 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 1,851,891 | |
| Service Class | | | 477,398 | |
Shares outstanding: | | | | |
| Initial Class | | | 159,936 | |
| Service Class | | | 41,373 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.58 | |
| Service Class | | | 11.54 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income | | $ | 702 | |
| Interest income (including withholding taxes on foreign interest of $3) | | | 80,725 | |
| Securities lending income (net) | | | 96 | |
| | | | |
| | | | 81,523 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 13,521 | |
| Printing and shareholder reports | | | 192 | |
| Custody | | | 612 | |
| Administration | | | 436 | |
| Legal | | | 121 | |
| Audit and tax | | | 18 | |
| Trustees | | | 78 | |
| Transfer agent | | | 20 | |
| Distribution and service: | | | | |
| Service Class | | | 942 | |
| Interest on securities sold short | | | 9 | |
| Other | | | 38 | |
| | | | |
| Total expenses | | | 15,987 | |
| | | | |
| | | | | |
Net investment income | | | 65,536 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 35,556 | |
| Futures contracts | | | 12,211 | |
| Written option and swaption contracts | | | 7,108 | |
| Swap agreements | | | (5,420 | ) |
| Foreign currency transactions | | | 131 | |
| Securities sold short | | | 269 | |
| | | | |
| | | | 49,855 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 33,906 | |
| Futures contracts | | | (2,772 | ) |
| Written option and swaption contracts | | | 233 | |
| Swap agreements | | | (2,723 | ) |
| Translation of assets and liabilities denominated in foreign currencies | | | (4,325 | ) |
| Securities sold short | | | (631 | ) |
| | | | |
Change in unrealized appreciation (depreciation) | | | 23,688 | |
| | | | |
Net realized and unrealized gain | | | 73,543 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 139,079 | |
| | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica PIMCO Total Return VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 65,536 | | | $ | 64,532 | |
| Net realized gain (loss) from investment securities, futures contracts, written option and swaption contracts, swap agreements, and foreign currency transactions | | | 49,855 | | | | 29,750 | |
| Change in net unrealized appreciation (depreciation) on investment securities, futures contracts, written option and swaption contracts, swap agreements, and foreign currency translation | | | 23,688 | | | | 110,106 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 139,079 | | | | 204,388 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (72,972 | ) | | | (75,009 | ) |
| Service Class | | | (16,464 | ) | | | (10,590 | ) |
| | | | | | | |
| | | | (89,436 | ) | | | (85,599 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (2,498 | ) | | | (36,844 | ) |
| Service Class | | | (576 | ) | | | (5,267 | ) |
| | | | | | | |
| | | | (3,074 | ) | | | (42,111 | ) |
| | | | | | | |
Total distributions to shareholders | | | (92,510 | ) | | | (127,710 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 721,931 | | | | 248,739 | |
| Service Class | | | 285,834 | | | | 188,456 | |
| | | | | | | |
| | | | 1,007,765 | | | | 437,195 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 75,470 | | | | 111,853 | |
| Service Class | | | 17,040 | | | | 15,857 | |
| | | | | | | |
| | | | 92,510 | | | | 127,710 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (354,119 | ) | | | (281,209 | ) |
| Service Class | | | (76,692 | ) | | | (25,988 | ) |
| | | | | | | |
| | | | (430,811 | ) | | | (307,197 | ) |
| | | | | | | |
Net increase in net assets from capital shares transactions | | | 669,464 | | | | 257,708 | |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 716,033 | | | | 334,386 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 1,613,256 | | | | 1,278,870 | |
| | | | | | | |
| End of year | | $ | 2,329,289 | | | $ | 1,613,256 | |
| | | | | | | |
Undistributed net investment income | | $ | 62,696 | | | $ | 56,720 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 62,095 | | | | 22,291 | |
| Service Class | | | 24,407 | | | | 16,853 | |
| | | | | | | |
| | | | 86,502 | | | | 39,144 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 6,401 | | | | 10,215 | |
| Service Class | | | 1,449 | | | | 1,447 | |
| | | | | | | |
| | | | 7,850 | | | | 11,662 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (29,934 | ) | | | (25,004 | ) |
| Service Class | | | (6,583 | ) | | | (2,324 | ) |
| | | | | | | |
| | | | (36,517 | ) | | | (27,328 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | 38,562 | | | | 7,502 | |
| Service Class | | | 19,273 | | | | 15,976 | |
| | | | | | | |
| | | | 57,835 | | | | 23,478 | |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica PIMCO Total Return VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.25 | | | $ | 10.66 | | | $ | 11.65 | | | $ | 10.98 | | | $ | 10.91 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.36 | | | | 0.52 | | | | 0.55 | | | | 0.50 | | | | 0.45 | |
| Net realized and unrealized gain (loss) | | | 0.46 | | | | 1.16 | | | | (0.86 | ) | | | 0.46 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.82 | | | | 1.68 | | | | (0.31 | ) | | | 0.96 | | | | 0.45 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.47 | ) | | | (0.73 | ) | | | (0.51 | ) | | | (0.29 | ) | | | (0.38 | ) |
| From net realized gains | | | (0.02 | ) | | | (0.36 | ) | | | (0.17 | ) | | | — | (B) | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.49 | ) | | | (1.09 | ) | | | (0.68 | ) | | | (0.29 | ) | | | (0.38 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.58 | | | $ | 11.25 | | | $ | 10.66 | | | $ | 11.65 | | | $ | 10.98 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 7.19 | % | | | 16.03 | % | | | (2.79 | %) | | | 8.95 | % | | | 4.21 | % |
Net assets end of year (000’s) | | $ | 1,851,891 | | | $ | 1,365,123 | | | $ | 1,213,602 | | | $ | 1,292,286 | | | $ | 976,434 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.69 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.73 | % |
| Net investment income, to average net assets | | | 3.05 | % | | | 4.62 | % | | | 4.87 | % | | | 4.47 | % | | | 4.13 | % |
| Portfolio turnover rate | | | 418 | % | | | 729 | % | | | 740 | % | | | 728 | % | | | 709 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 11.23 | | | $ | 10.66 | | | $ | 11.67 | | | $ | 11.00 | | | $ | 10.93 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.33 | | | | 0.48 | | | | 0.51 | | | | 0.47 | | | | 0.42 | |
| Net realized and unrealized gain (loss) | | | 0.46 | | | | 1.17 | | | | (0.85 | ) | | | 0.47 | | | | 0.01 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.79 | | | | 1.65 | | | | (0.34 | ) | | | 0.94 | | | | 0.43 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.46 | ) | | | (0.72 | ) | | | (0.50 | ) | | | (0.27 | ) | | | (0.36 | ) |
| From net realized gains | | | (0.02 | ) | | | (0.36 | ) | | | (0.17 | ) | | | — | (B) | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.48 | ) | | | (1.08 | ) | | | (0.67 | ) | | | (0.27 | ) | | | (0.36 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.54 | | | $ | 11.23 | | | $ | 10.66 | | | $ | 11.67 | | | $ | 11.00 | |
| | | | | | | | | | | | | | | | |
Total return(C) | | | 6.93 | % | | | 15.75 | % | | | (3.07 | %) | | | 8.80 | % | | | 3.90 | % |
Net assets end of year (000’s) | | $ | 477,398 | | | $ | 248,133 | | | $ | 65,268 | | | $ | 32,336 | | | $ | 24,957 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.94 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.98 | % |
| Net investment income, to average net assets | | | 2.80 | % | | | 4.28 | % | | | 4.55 | % | | | 4.23 | % | | | 3.86 | % |
| Portfolio turnover rate | | | 418 | % | | | 729 | % | | | 740 | % | | | 728 | % | | | 709 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Rounds to less than ($0.01) or $0.01. |
| |
| (C) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 19
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica PIMCO Total Return VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities is translated at the exchange rate in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Forward foreign currency contracts: The Fund is subject to foreign currency exchange rate risk exposure in the normal course of pursuing its investment objectives. The Fund enters into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Forward foreign currency contracts are marked to market daily, with the change in value recorded as an unrealized gain or loss. When the contracts are settled, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying currencies and from the possible inability of counterparties to meet the terms of their contracts.
Open forward foreign currency contracts at December 31, 2010 are listed in the Schedule of Investments.
Option and swaption contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund enters into option contracts to manage exposure to various market fluctuations. Options are valued at the average of the bid and ask (“Mean Quote”) established each day at the close of the board of trade or exchange on which they are traded. The primary risks associated with options are an imperfect correlation between the change in value of the securities held and the prices of the option contracts; the possibility of an illiquid market; and an inability of the counterparty to meet the contract terms.
The Fund writes call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. When the Fund writes a covered call or put option/swaption, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. Premiums received from writing options/swaptions which expire are treated as realized gains. Premiums received from writing options/swaptions which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. Options are marked-to-market daily to reflect the current value of the option/swaption written.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 20
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
The Fund purchases put and call options on foreign or U.S. securities, indices, futures, swaps (“swaptions”), and commodities. Purchasing call options tends to increase exposure to the underlying instrument. Purchasing put options tends to decrease exposure to the underlying instrument. The Fund pays a premium, which is included in the Statement of Assets and Liabilities as an investment and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying futures, swaps, security, commodity, or currency transaction to determine the realized gain or loss. Realized gains or losses are reflected in the realized gains or losses of investment securities on the Statement of Operations.
The underlying face amounts of open option and swaption contracts at December 31, 2010 are listed in the Schedule of Investments. Transactions in written options were as follows:
| | | | | | | | | |
| | | Premium | | | Notional Amount | |
| Balance at December 31, 2009 | | $ | 428 | | | $ | 1,218 | |
| Sales | | | 1,216 | | | | 51,862 | |
| Closing Buys | | | (237 | ) | | | (644 | ) |
| Expirations | | | (1,195 | ) | | | (42,000 | ) |
| Exercised | | | — | | | | — | |
| | | | | | | |
Balance at December 31, 2010 | | $ | 212 | | | $ | 10,436 | |
Transactions in written swaptions were as follows:
| | | | | | | | | |
| | | Premium | | | Notional Amount | |
| Balance at December 31, 2009 | | $ | 3,112 | | | $ | 294,900 | |
| Sales | | | 8,733 | | | | 1,467,700 | |
| Closing Buys | | | (94 | ) | | | (14,100 | ) |
| Expirations | | | (6,816 | ) | | | (1,117,500 | ) |
| Exercised | | | — | | | | — | |
| | | | | | | |
Balance at December 31, 2010 | | $ | 4,935 | | | $ | 631,000 | |
Futures contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objective. The Fund uses futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker either in cash or securities an initial margin in an amount equal to a certain percentage of the contract amount.
Subsequent payments (variation margin) are paid or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or security prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize losses. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
The open futures contracts at December 31, 2010 are listed in the Schedule of Investments. The variation margin receivable or payable, as applicable, is included in the Statement of Assets and Liabilities.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 21
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Swap agreements: Swap agreements are privately negotiated agreements between the Fund and a counterparty to exchange or swap investments, cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. The Fund enters into credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage exposure to credit, currency and interest rate risk. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Swaps are marked to market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statement of Assets and Liabilities. Payments received or made at the beginning of the measurement period are reflected as such on the Statement of Assets and Liabilities and represent payments made or received upon entering into the swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statement of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statement of Operations. Net periodic payments received or paid by the Fund are included as part of realized gains or losses on the Statement of Operations. Specific risks and accounting related to each type of swap agreement are identified and described in the following paragraphs:
Credit default swap agreements: The Fund is subject to credit risk in the normal course of pursuing its investment objectives. The Fund enters into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security in the event of a defined credit event, such as payment default or bankruptcy (buy protection).
Under a credit default swap, one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs (sell protection). The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the notional amount of the contract. This risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
The Fund sells credit default swaps which exposes it to risk of loss from credit risk related events specified in the contracts. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. The aggregate fair value of the credit default swaps are disclosed in the Schedule of Investments. The aggregate fair value of assets posted as collateral, net of assets received as collateral, for these swaps is included in the footnotes to the Schedule of Investments. If a defined credit event had occurred during the period, the swaps’ credit-risk-related contingent features would have been triggered and the Fund would have been required to pay the notional amounts for the credit default swaps with a sell protection less the value of the contracts’ related reference obligations.
Interest rate swap agreements: The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. To help hedge against this risk, the Fund enters into interest rate swap contracts. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional principal amount. A fund with interest rate agreements can elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional principal amount. The risks of interest rate swaps include changes in market conditions which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparties over the contracts’ remaining lives, to the extent that that amount is positive. This risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
Short sales: A short sale is a transaction in which a Fund sells securities it does not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Fund is obligated to replace the borrowed securities at the market price at the time of replacement. The Fund’s obligation to replace the securities borrowed in connection with a short sale is fully secured by collateral deposited with the custodian. In addition, the Fund considers the short sale to be a borrowing by the Fund that is subject to the asset coverage requirements of the 1940 Act. The Fund incurs a profit or a loss, depending upon whether the market price of the securities decrease or increase between the date of the short sale and the date on which the Fund must replace the borrowed securities. Short sales represent an aggressive trading practice with a high risk/return potential, and short sales involve special considerations. Risks of short sales include that possible losses from short sales may be unlimited (e.g., if the price of stocks sold short rises), whereas losses from direct purchases of securities are limited to the total amount invested, and the Fund may be unable to replace borrowed securities sold short.
When investing in short sales the Fund is liable for any dividends payable on securities while those securities are in a short position and also bears other costs, such as charges for the prime brokerage accounts, in connection with its short positions. These costs are reported as broker expense on short sales in the Statement of Operations.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 22
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Loan participations/assignments: Participations/assignments in commercial loans may be secured or unsecured. These investments may include standby financing commitments, including revolving credit facilities that obligate the Fund to supply additional cash to the borrowers on demand. Loan participations/assignments involve risks of insolvency of the lending banks or other financial intermediaries. As such, the Fund assumes the credit risks associated with the corporate borrowers and may assume the credit risks associated with the interposed banks or other financial intermediaries.
The Fund may be contractually obligated to receive approval from the agent banks and/or borrowers prior to the sale of these investments. Loan participations typically represent direct participation in loans to corporate borrowers, and generally are offered by banks or other financial institutions or lending syndicates. The Fund that participates in such syndications, or can buy a portion of the loans, becoming part lenders. Loans are often administered by agent banks acting as agents for all holders. The agent banks administer the terms of the loans, as specified in the loan agreements. In addition, the agent banks are normally responsible for the collection of principal and interest payments from the corporate borrowers and the apportionment of these payments to the credit of all institutions that are parties to the loan agreements. Unless, under the terms of the loans or other indebtedness, the funds have direct recourse against the corporate borrowers, the Fund may have to rely on the agent banks or other financial intermediaries to apply appropriate credit remedies against corporate borrowers.
The Fund held no unsecured loan participations at December 31, 2010.
To be announced (“TBA”) purchase commitments: TBA purchase commitments are entered into to purchase securities for a fixed price at a future date, typically not to exceed 45 days. They are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, in addition to the risk of decline in the value of the Fund’s other assets. Unsettled TBA purchase commitments are valued at the current value of the underlying securities, according to the procedures described under Security Valuations.
The Fund had TBA’s outstanding as of December 31, 2010, which are included in Investment securities sold and Investment securities purchased on the Statement of Assets and Liabilities.
Restricted and illiquid securities: Restricted and illiquid securities are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The illiquid securities at December 31, 2010 are listed in the Schedule of Investments.
Cash overdraft: Throughout the year, the Fund may have cash overdraft balances. A fee is incurred on these overdrafts by a rate based on the federal funds rate.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 201 0 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 23
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Market and credit risk: On September 6, 2008, the Federal Housing Finance Agency (“FHFA”) placed Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”) into conservatorship. As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and the assets of FNMA and FHLMC. On September 7, 2008, the U.S. Treasury announced additional steps taken by it in connection with the conservatorship. The U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of FNMA and FHLMC pursuant to which the U.S. Treasury will purchase up to an aggregate of $100 billion of each of FNMA and FHLMC to maintain a positive net worth in each enterprise. Second, the U.S. Treasury announced the creation of a new secured lending facility which is available to each of FNMA and FHLMC as a liquidity backstop. Third, the U.S. Treasury announced the creation of a temporary program to purchase mortgage-backed securities issued by each of FNMA and FHLMC. On February 18, 2009, the U.S. Treasury announced that it was doubling the size of its commitment to each enterprise under the Senior Preferred Stock Program to $200 billion. Both the liquidity backstop and the mortgage-backed securities purchase program expired December 31, 2009. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remains liable for all of its obligations associated with its mortgage-backed securities, including its guaranty obligations. The Senior Preferred Stock Purchase Agreement is intended to enhance each of FNMA’s and FHLMC’s ability to meet its obligations. The FHFA has indicated that the conservatorship of each enterprise will end when the FHFA determines that the FHFA’s plan to restore the enterprise to a safe and solvent condition has been completed.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Easterm Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 24
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Foreign securities, in which their 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Corporate bonds: The fair value of corporate bonds 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 bonds 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.
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 as Level 3.
Short-term notes: Short-term notes are valued using amortized cost, which approximates fair value. To the extent the inputs are observable and timely, the values would be generally categorized in Level 2 of the fair value hierarchy.
Government securities: Government securities 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. Government securities generally are categorized in Level 2 of the fair value hierarchy.
U.S. government agency securities: U.S. government agency securities 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 securities. Mortgage pass-throughs include 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.
Derivative instruments: 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, 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. A substantial 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.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 25
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| �� | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation-Conservative VP | | $ | 290,016 | | | | 12.45 | % |
| Transamerica Asset Allocation-Moderate VP | | | 494,517 | | | | 21.23 | |
| Transamerica Asset Allocation-Moderate Growth VP | | | 411,437 | | | | 17.66 | |
| Transamerica International Moderate Growth VP | | | 47,233 | | | | 2.03 | |
| Transamerica BlackRock Tactical Allocation VP | | | 32,546 | | | | 1.40 | |
| | | | | | | |
| Total | | $ | 1,275,749 | | | | 54.77 | % |
| | | | | | | |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $250 million | | | 0.675 | % |
| Over $250 million up to $750 million | | | 0.65 | % |
| Over $750 million | | | 0.60 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
Prior to May 1, 2010, the expense limit was 1.20%.
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously reimbursed/waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 26
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 5,694,069 | |
| U.S. Government | | | 3,312,466 | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 5,544,422 | |
| U.S. Government | | | 3,150,333 | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 27
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund is subject to various risks in the normal course of pursuing its investment objective. The volume of written options, written swaptions, and swaps held at year end is indicative of the volume held throughout the year. The volume of futures contracts held throughout the year decreased from seven contracts at the beginning of the year to two contracts at the end of the year. The volume of forward foreign currency contracts fluctuated throughout the year beginning with 46 at the beginning of the year and ending at 48, but averaging around 80 - 125 between the months of July and October.
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | | | | | |
| | | Interest rate | | | Foreign exchange | | | Credit | | | | |
| Location | | contracts | | | contracts | | | contracts | | | Total | |
Asset derivatives | | | | | | | | | | | | | | | | |
| Premium paid on swap agreements | | $ | 1,040 | | | $ | — | | | $ | 1,327 | | | $ | 2,367 | |
| Unrealized appreciation on swap agreements | | | 1,139 | | | | — | | | | 4,892 | | | | 6,031 | |
| Unrealized appreciation on futures contracts * | | | 177 | | | | — | | | | — | | | | 177 | |
| Unrealized appreciation on forward foreign currency contracts | | | — | | | | 3,083 | | | | — | | | | 3,083 | |
Liability derivatives | | | | | | | | | | | | | | | | |
| Written options and swaption, at value | | | (5,486 | ) | | | (33 | ) | | | — | | | | (5,519 | ) |
| Premium received on swap agreements | | | (188 | ) | | | — | | | | (156 | ) | | | (344 | ) |
| Unrealized depreciation on swap agreements | | | (830 | ) | | | — | | | | (3,163 | ) | | | (3,993 | ) |
| Unrealized depreciation on forward foreign currency contracts | | | — | | | | (8,164 | ) | | | — | | | | (8,164 | ) |
| | | | | | | | | | | | | |
| Total | | $ | (4,148 | ) | | $ | (5,114 | ) | | $ | 2,900 | | | | (6,362 | ) |
| | | | | | | | | | | | | |
| | |
| * | | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | | | | | |
| | | Interest Rate | | | Foreign exchange | | | Credit | | | | |
| Location | | Contracts | | | contracts | | | contracts | | | Total | |
Realized Gain / (Loss) on derivative transactions | | | | | | | | | | | | | | | | |
| Net realized gain on written options and swaptions | | $ | 6,850 | | | $ | 258 | | | $ | — | | | $ | 7,108 | |
| Net realized gain (loss) on swap agreements | | | (6,075 | ) | | | — | | | | 655 | | | | (5,420 | ) |
| Net realized gain on futures contracts | | | 12,838 | | | | — | | | | — | | | | 12,838 | |
| Net realized gain on foreign currency transactions | | | — | | | | 1,520 | | | | — | | | | 1,520 | |
Change in Unrealized Appreciation/(Depreciation) on derivative transactions | | | | | | | | | | | | | | | | |
| Net increase in unrealized appreciation (depreciation) on written option and swaptions | | | 184 | | | | 49 | | | | — | | | | 233 | |
| Net increase in unrealized appreciation (depreciation) on swap agreements | | | 280 | | | | — | | | | (3,003 | ) | | | (2,723 | ) |
| Net increase (decrease) in unrealized appreciation (depreciation) on futures contracts | | | (2,772 | ) | | | — | | | | — | | | | (2,772 | ) |
| Net increase (decrease) in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies | | | — | | | | (5,342 | ) | | | — | | | | (5,342 | ) |
| | | | | | | | | | | | | |
| Total | | $ | 11,306 | | | $ | (3,515 | ) | | $ | (2,348 | ) | | $ | 5,442 | |
| | | | | | | | | | | | | |
For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Fund may be required to post collateral on derivatives if the Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
NOTE 6. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for the open tax years (2007-2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 28
Transamerica PIMCO Total Return VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | 29,876 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (29,876 | ) |
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 91,155 | |
| Long-term Capital Gain | | | 1,355 | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 127,710 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 126,884 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 12,565 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | (23,944 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | (2,401 | ) |
| | | | |
| Other Temporary Differences | | $ | (11,537 | ) |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 29
Transamerica PIMCO Total Return VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica PIMCO Total Return VP:
We have audited the accompanying statement of assets and liabilities of Transamerica PIMCO Total Return VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica PIMCO Total Return VP of Transamerica Series Trust at December 31, 2010, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston,Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 30
Transamerica PIMCO Total Return VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $1,355 for the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 31
Transamerica ProFund UltraBear VP
(unaudited)
MARKET ENVIRONMENT
Most major financial markets showed gains during the year 2010. In December especially, investor sentiment improved worldwide. U.S. large-cap stocks, as measured by the Standard & Poor’s 500 Stock Index (“S&P 500”) gained +15.06% for the year, while in December alone, the S&P 500 was up +6.68%. This strong December return helped produce a +10.76% gain for the 4th quarter, the best 4th quarter return since 1991. Despite positive investor sentiment, volume remained low, 18% lower than 2009 and 25% lower than 2008, indicating to us concerned investors’ unwillingness to return to the market.
PERFORMANCE
For the year ended December 31, 2010, Transamerica ProFund UltaBear VP Service Class returned -26.76%. By comparison its benchmark, the Standard & Poor’s 500 Composite Stock Index, returned 15.06%.
STRATEGY REVIEW
The Fund seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P 500. ProFund Advisors LLC (“PFA”) uses a quantitative approach in seeking to achieve the investment objective of the Fund. Using this approach, PFA determines the type, quantity and mix of investment positions that the Fund should hold to simulate the twice inverse daily performance of its benchmark. The Fund does not seek to provide correlation with its benchmark over any period of time other than daily, and does not seek to take defensive positions in unfavorable markets.
The S&P 500 is a widely used measure of large U.S. stock market performance. It includes a representative sample of leading companies in leading industries. Companies are selected for inclusion in the Index by Standard & Poor’s based on adequate liquidity, appropriate market capitalization, financial viability and public float. It is not possible to invest directly in an index.
Todd B. Johnson
Howard S. Rubin
Robert M. Parker
Co-Portfolio Managers
ProFund Advisors LLC
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica ProFund UltraBear VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | |
| | | | | | | 10 Years or | | |
| | | 1 Year | | Life of Class | | Inception Date |
| Service Class | | | (26.76 | )% | | | (40.83 | )% | | | 05/01/2009 | |
| S&P 500* | | | 15.06 | % | | | 27.07 | % | | | | |
NOTES
| | |
| * | | The Standard & Poor’s 500 Composite Stock Index (“S&P 500”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Service Class. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
Investments in a “non-diversified” portfolio may be subject to specific risks such as susceptibility to single economic, political, or regulatory events, and may be subject to greater loss than investments in a diversified portfolio. This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica ProFund UltraBear VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio (C) |
| |
| Transamerica ProFund UltraBear VP Service Class | | $ | 1,000.00 | | | $ | 645.00 | | | $ | 5.10 | | | $ | 1,019.00 | | | $ | 6.26 | | | | 1.23 | % |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
| |
| (C) | | Expense ratios do not include expenses of the investment companies in which the fund invests. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Investment Companies | | | 65.6 | % |
| Repurchase Agreement | | | 16.4 | |
| Purchased Option | | | 0.0 | (B) |
Other Assets and Liabilities - Net(A) | | | 18.0 | |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| (A) | | The Other Assets and Liabilities — Net category may include, but is not limited to, Forward Currency contracts, Futures Contracts, Swap Agreements, Written Options and Swaptions, and Securities Sold Short. |
| |
| (B) | | Amount rounds to less than 0.1%. |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica ProFund UltraBear VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
INVESTMENT COMPANIES - 65.6% | | | | | | | | |
Capital Markets - 65.6% | | | | | | | | |
| SSC Government Money Market Fund | | | 2,201,358 | | | $ | 2,201 | |
| SSgA Money Market Fund | | | 2,201,358 | | | | 2,201 | |
| SSgA Prime Money Market Fund | | | 2,201,358 | | | | 2,201 | |
| State Street Institutional Liquid Reserves Fund | | | 2,201,358 | | | | 2,202 | |
| | | | | | | | |
Total Investment Companies (cost $8,805) | | | | | | | 8,805 | |
| | | | | | | | |
| | | | | | | | | |
| | | Notional | | |
| | | Amount | | Value | |
PURCHASED OPTION - 0.0%¥ | | | | | | | | |
Call Options - 0.0%¥ | | | | | | | | |
| S&P 500 Index | | $ | 24 | | | | 3 | |
| Call Strike $1,625.00 | | | | | | | | |
| Expires 03/17/2011Ə | | | | | | | | |
Total Purchased Option (cost $3) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
REPURCHASE AGREEMENT - 16.4% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $2,201 on 01/03/2011. Collateralized by a U.S. Government Obligation, 0.63%, due 12/31/2012, with a value of $2,247. | | $ | 2,201 | | | | 2,201 | |
Total Repurchase Agreement (cost $2,201) | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $11,009) # | | | | | | | 11,009 | |
| Other Assets and Liabilities — Net | | | | | | | 2,405 | |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 13,414 | |
| | | | | | | | |
FUTURES CONTRACTS: Y
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Net Unrealized |
| Description | | Type | | Contracts | Γ | Expiration Date | | Depreciation |
| |
| S&P 500 E-Mini Index | | Short | | | (427 | ) | | | 03/18/2011 | | | | ($628 | ) |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| Ə | | Security fair valued as determined in good faith in accordance with procedures established by the Board of Trustees. This security had a market value of $3, or 0.02% of the fund’s net assets. |
| |
| ¥ | | Amount rounds to less than 0.1%. |
| |
| Y | | Cash in the amount of $2,404 has been segregated as collateral with the broker to cover margin requirements for open futures contracts. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $11,009. |
| |
| Γ | | Contract amounts are not in thousands. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Companies | | $ | 8,805 | | | $ | — | | | $ | — | | | $ | 8,805 | |
| Purchased Option | | | — | | | | 3 | | | | — | | | | 3 | |
| Repurchase Agreement | | | — | | | | 2,201 | | | | — | | | | 2,201 | |
| | | | | | | | | | | | | |
Total | | $ | 8,805 | | | $ | 2,204 | | | $ | — | | | $ | 11,009 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| Futures Contracts — Depreciation | | $ | (628 | ) | | $ | — | | | $ | — | | | $ | (628 | ) |
| | |
| * | | Other financial instruments are derivative instruments including, but not limited to, Futures Contracts, Forward Foreign Currency Contracts, and Swap Contracts that are valued at unrealized appreciation (depreciation) on the instrument. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica ProFund UltraBear VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investments in Investment companies, at value (cost: $8,808) | | $ | 8,808 | |
| Repurchase agreement, at value (cost: $2,201) | | | 2,201 | |
| Cash on deposit with broker | | | 2,404 | |
| Receivables: | | | | |
| Shares sold | | | 2 | |
| Variation margin | | | 35 | |
| Prepaid expenses | | | 1 | |
| | | | | |
| | | | 13,451 | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 12 | |
| Management and advisory fees | | | 9 | |
| Distribution and service fees | | | 3 | |
| Audit and tax fees | | | 8 | |
| Printing and shareholder reports fees | | | 3 | |
| Other | | | 2 | |
| | | | | |
| | | | 37 | |
| | | | | |
Net assets | | $ | 13,414 | |
| | | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 32 | |
| Additional paid-in capital | | | 25,363 | |
| Undistributed (accumulated) net realized gain (loss) from investments in investment companies and futures contracts | | | (11,353 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Futures contracts | | | (628 | ) |
| | | | | |
Net assets | | $ | 13,414 | |
| | | | | |
| | | | | |
Shares outstanding | | | 3,227 | |
| | | | | |
Net asset value and offering price per share | | $ | 4.16 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Interest income | | $ | 3 | |
| |
Expenses: | | | | |
| Management and advisory | | | 175 | |
| Printing and shareholder reports | | | 7 | |
| Custody | | | 15 | |
| Administration | | | 4 | |
| Legal | | | 1 | |
| Audit and tax | | | 12 | |
| Trustees | | | 1 | |
| Transfer agent | | | — | (A) |
| Distribution and service | | | 51 | |
| Other | | | — | (A) |
| | | | |
| Total expenses | | | 266 | |
| | | | |
| Less waiver/reimbursement | | | (13 | ) |
| | | | |
| Net expenses | | | 253 | |
| | | | |
Net investment loss | | | (250 | ) |
| | | | |
| |
Net realized gain (loss) from: | | | | |
| Investments in Investment companies | | | (7 | ) |
| | | | |
| Futures contracts | | | (10,853 | ) |
| | | | |
| | | | (10,860 | ) |
| | | | |
| |
Net decrease in unrealized appreciation (depreciation) on: | | | | |
| Futures contracts | | | (594 | ) |
| | | | |
| | | | (594 | ) |
| | | | |
Net realized and unrealized loss on investments in investment companies | | | (11,454 | ) |
| | | | |
| | | | | |
Net decrease In net assets resulting from operations | | $ | (11,704 | ) |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | | |
|
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica ProFund UltraBear VP
STATEMENT OF CHANGES IN NET ASSETS
For the period and year ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009(A) | |
From operations: | | | | | | | | |
| Net investment loss | | $ | (250 | ) | | $ | (5 | ) |
| Net realized loss from investment companies and futures contracts | | | (10,860 | ) | | | (493 | ) |
| Change in net unrealized appreciation (depreciation) on investments in futures contracts | | | (594 | ) | | | (34 | ) |
| | | | | | | |
Net decrease in net assets resulting from operations | | | (11,704 | ) | | | (532 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold | | | 86,376 | | | | 4,071 | |
| Cost of shares redeemed | | | (62,253 | ) | | | (2,544 | ) |
| | | | | | | |
Net increase in net assets resulting from capital shares transactions | | | 24,123 | | | | 1,527 | |
| | | | | | | |
| |
Net increase in net assets | | | 12,419 | | | | 995 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 995 | | | | — | |
| | | | | | | |
| End of year | | $ | 13,414 | | | $ | 995 | |
| | | | | | | |
Undistributed net investment income | | $ | — | | | $ | — | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued | | | 15,254 | | | | 564 | |
| Shares redeemed | | | (12,202 | ) | | | (389 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding | | | 3,052 | | | | 175 | |
| | | | | | | |
| | |
| (A) | | Commenced operations on May 1, 2009. |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica ProFund UltraBear VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | |
| | | Service Class | |
| | | December 31, | | | May 1 to Dec | |
| For a share outstanding throughout each period | | 2010 | | | 31, 2009(A) | |
Net asset value | | | | | | | | |
| Beginning of year/period | | $ | 5.68 | | | $ | 10.00 | |
Investment operations | | | | | | | | |
Net investment loss(B),(C) | | | (0.07 | ) | | | (0.05 | ) |
| Net realized and unrealized loss | | | (1.45 | ) | | | (4.27 | ) |
| | | | | | | |
| Total operations | | | (1.52 | ) | | | (4.32 | ) |
| | | | | | | |
Net asset value | | | | | | | | |
| End of year | | $ | 4.16 | | | $ | 5.68 | |
| | | | | | | |
| |
Total return(D) | | | (26.76 | )% | | | (43.20 | )%(E) |
| |
Net assets end of year (000’s) | | $ | 13,414 | | | $ | 995 | |
Ratio and supplemental data | | | | | | | | |
Expenses to average net assets(F) | | | | | | | | |
| After reimbursement/fee waiver | | | 1.23 | % | | | 1.23 | %(G) |
| Before reimbursement/fee waiver | | | 1.29 | % | | | 12.53 | %(G) |
Net investment income (loss), to average net assets(C) | | | (1.22 | )% | | | (1.21 | )%(G) |
| Portfolio turnover rate | | | — | % | | | — | % |
| | |
| (A) | | Commenced operations on May 1, 2009. |
| |
| (B) | | Calculated based on average number of shares outstanding. |
| |
| (C) | | Recognition of net investment income by the fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the fund invests. |
| |
| (D) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (E) | | Not annualized. |
| |
| (F) | | Does not include expenses of the investment companies in which the fund invests. |
| |
| (G) | | Annualized. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica ProFund UltraBear VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica ProFund UltraBear VP (the “Fund”) is part of TST. The Fund is “non-diversified” under the 1940 Act.
The Fund currently offers one class of shares: a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Option and swaption contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund enters into option contracts to manage exposure to various market fluctuations. Options are valued at the average of the bid and ask (“Mean Quote”) established each day at the close of the board of trade or exchange on which they are traded. The primary risks associated with options are an imperfect correlation between the change in value of the securities held and the prices of the option contracts; the possibility of an illiquid market; and an inability of the counterparty to meet the contract terms.
The Fund purchases put and call options on foreign or U.S. securities, indices, futures, swaps (“swaptions”), and commodities. Purchasing call options tends to increase exposure to the underlying instrument. Purchasing put options tends to decrease exposure to the underlying instrument. The Fund pays a premium, which is included in the Statement of Assets and Liabilities as an investment and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying futures, swaps, security, commodity, or currency transaction to determine the realized gain or loss. Realized gains or losses are reflected in the realized gains or losses of investment securities on the Statement of Operations.
The underlying face amounts of open option contracts at December 31, 2010 are listed in the Schedule of Investments.
Futures contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objective. The Fund uses futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker either in cash or securities an initial margin in an amount equal to a certain percentage of the contract amount.
Subsequent payments (variation margin) are paid or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or security prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize losses. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
The open futures contracts at December 31, 2010 are listed in the Schedule of Investments. The variation margin receivable or payable, as applicable, is included in the Statement of Assets and Liabilities.
Cash overdraft: Throughout the year, the Fund may have cash overdraft balances. A fee is incurred on these overdrafts by a rate based on the federal funds rate.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica ProFund UltraBear VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, each day the NYSE is open for business. The Fund utilizes various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Investment company securities are valued at the net asset value of the underlying portfolio. These securities are actively traded and no valuation adjustments are applied. Exchange Traded Funds are stated at the last reported sale price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. They are categorized in Level 1 of the fair value hierarchy.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and are generally categorized in Level 2.
Derivative instruments: 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, 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. A substantial 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.
The hierarchy classification of inputs used to value the Fund’s investments, at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no transfers into or out of any Levels as described above during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica ProFund UltraBear VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Transamerica Asset Management, Inc. (“TAM”), the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
At the commencement of operations, TAM invested in the Fund. As of December 31, 2010, TAM had remaining investments in the Fund as follows:
| | | | | | | | | |
| | | | | | | % of Fund’s |
| | | Value | | Net Assets |
| Service Class | | $ | 104 | | | | 0.78 | % |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $250 million | | | 0.85 | % |
| Over $250 million up to $750 million | | | 0.80 | % |
| Over $750 billion | | | 0.75 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.98% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $13. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | | | Available for Recapture | |
| | | Expenses | | | | Through | |
| Fiscal Year 2009: | | $ | 47 | | | | 12/31/2012 | |
| Fiscal Year 2010: | | | 13 | | | | 12/31/2013 | |
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s shares, amounts equal to actual expenses associated with distributing the shares.
The Fund is authorized under the Distribution Plan to pay fees up to a limit of 0.25% for Service Class.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica ProFund UltraBear VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
There were no proceeds from securities purchased or securities sold (excluding short-term securities) for the year ended December 31, 2010.
NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund is subject to various risks in the normal course of pursuing its investment objective. The volume of derivatives held at year end is indicative of the volume held throughout the year. The tables below highlight the types of risks and the derivative instruments used to mitigate the risks:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | |
| | | Equity |
| Location | | contracts |
Asset derivatives | | | | |
| Purchased options, at value | | $ | 3 | |
Liability derivatives | | | | |
| Unrealized depreciation on futures contracts | | | (628 | )* |
| | | | |
| Total | | $ | (625 | ) |
| | | | |
| | |
| * | | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | |
| | | Equity |
| Location | | contracts |
Realized Gain/(Loss) on derivative transactions | | | | |
| Net realized (loss) on purchased options | | $ | (7 | ) |
| Net realized (loss) on futures contracts | | | (10,853 | ) |
Change in Unrealized Appreciation/(Depreciation) on derivative transactions | | | | |
| Net (decrease) in unrealized (depreciation) on futures contracts | | | (594 | ) |
| | | | |
| Total | | $ | (11,454 | ) |
| | | | |
For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Fund may be required to post collateral on derivatives if the Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
NOTE 6. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | (250 | ) |
| Undistributed (accumulated) net investment income (loss) | | $ | 250 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica ProFund UltraBear VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The capital loss carryforwards are available to offset future realized gains through the periods listed below:
| | | | | |
| Capital Loss | | | |
| Carryforwards | | Available Through |
| $ 237 | | December 31, 2017 |
| $9,504 | | December 31, 2018 |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | — | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (9,741 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (2,240 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | — | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica ProFund UltraBear VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica ProFund UltraBear VP:
We have audited the accompanying statement of assets and liabilities of Transamerica ProFund UltraBear VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Transamerica ProFund UltraBear VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
| |
|
|
| Boston, Massachusetts |
| February 24, 2011 |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica ProFund UltraBear VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Small/Mid Cap Value VP
(unaudited)
MARKET ENVIRONMENT
During the 12 months ended December 31, 2010, a broad trend toward global economic recovery and a return to more normal business activity in the U.S. was overshadowed by specific domestic and global events that negatively impacted investor confidence, causing tremendous volatility in equity markets.
Early in the period, positive data on U.S. gross domestic product, improvements in corporate earnings, and the end of the worst recession in decades boosted investor confidence. Equity markets moved higher as the possibility of a sustained economic recovery prompted renewed business growth.
However, as the summer months approached, a perfect storm of global and domestic events provoked investor skepticism in equity markets, driving them lower. A sovereign debt crisis and fiscal austerity measures in Europe, coupled with tighter fiscal policies in China (to dampen growth), heightened investor concerns about whether the rate of global economic expansion was sustainable. Meanwhile, in the U.S., the impact of stubbornly high unemployment, the Gulf of Mexico oil spill and the unexpected “flash” crash in the equity markets would ultimately send global and domestic investors fleeing to the relative safety of U.S. Treasuries.
As the period came to a close, equity markets and investor sentiment turned markedly positive. The key impetus for the market’s appreciation was the Federal Reserve Board’s (“Fed”) announcement of a second round of quantitative easing (“QE2”). This announcement mitigated investor concerns about a double-dip recession and created a strong sense of optimism for solid future economic growth and a prolonged lower interest rate environment. Additionally, the political, legislative, business, international, and consumer fronts saw a confluence of positive momentum: the election of a pro-business Congress; the extension of Bush-era tax cuts; robust third quarter reported earnings; strong economic growth in China despite tighter monetary policy; and healthy consumer holiday spending. These positive results, combined with the Fed’s agenda to inject further liquidity into the system, created an optimal environment for stocks to move upward and post positive gains for the year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Small/Mid Cap Value VP Initial Class returned 30.41%. By comparison its benchmark, the Russell 2500® Value Index, returned 24.82%.
STRATEGY REVIEW
Throughout the period, we believed the market was in an acquisition cycle. Due to low financing costs, growth-challenged large-cap companies were finding growth opportunities in purchasing small-cap companies. In keeping with that view, we positioned the portfolio for a positive economic outlook while staying true to our intrinsic-value bottom-up process and big-picture catalysts. Catalysts may be driven by company changes, such as a new product, or by industry changes, such as widespread adoption of smart phones, and will typically endure for years, contributing to performance over time.
Stock selection in the producer durables and consumer discretionary sectors were the primary contributors to outperformance during the period. Top individual contributors included Sotheby’s and United Rentals, Inc. Sotheby’s, an international high-end auction company, benefited as global economies improved, driving an increase in emerging market wealth and a return to the auction markets. United Rentals, a construction equipment rental and leasing company, performed well as non-residential construction appears to have bottomed.
Detracting from relative performance was underweighting and stock selection in the energy sector, stock selection in the technology sector (Brocade Communications Systems, Inc.), and individual holding Office Depot, Inc. Brocade, a supplier of storage area networking solutions, was caught up in speculation of being a possible takeover target early in the reporting period. The rumored acquisition did not happen, resulting in a decline in the company’s stock price. Office Depot was added to the portfolio in anticipation of an improved employment landscape. We may have been a little premature with this particular catalyst, as unemployment numbers are still at elevated levels. However, as unemployment trends improve, we believe Office Depot will benefit.
Jeffrey J. Hoo, CFA
Thomas E. Larkin, III
Joshua D. Shaskan, CFA
Co-Portfolio Managers
Transamerica Investment Management, LLC
| | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Small/Mid Cap Value VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 30.41 | % | | | 10.22 | % | | | 12.32 | % | | | 05/04/1993 | |
| |
Russell 2500® Value * | | | 24.82 | % | | | 3.85 | % | | | 8.53 | % | | | | |
| |
| Service Class | | | 30.05 | % | | | 9.93 | % | | | 11.71 | % | | | 05/03/2004 | |
| |
| | | |
| NOTES |
|
| |
| * | | The Russell 2500® Value Index (“Russell 2500® Value”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an Index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Small/Mid Cap Value VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Small/Mid Cap Value VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,373.00 | | | $ | 5.14 | | | $ | 1,020.87 | | | $ | 4.38 | | | | 0.86 | % |
| Service Class | | | 1,000.00 | | | | 1,370.70 | | | | 6.63 | | | | 1,019.61 | | | | 5.65 | | | | 1.11 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stock | | | 94.0 | % |
| Securities Lending Collateral | | | 24.4 | |
| Repurchase Agreement | | | 3.3 | |
| Other Assets and Liabilities - Net | | | (21.7 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Small/Mid Cap Value VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 94.0% | | | | | | | | |
Aerospace & Defense - 2.3% | | | | | | | | |
| Hexcel Corp. ‡^ | | | 412,975 | | | $ | 7,471 | |
Capital Markets - 2.1% | | | | | | | | |
| Raymond James Financial, Inc. ^ | | | 205,000 | | | | 6,704 | |
Chemicals - 2.7% | | | | | | | | |
| Intrepid Potash, Inc. ‡^ | | | 232,540 | | | | 8,671 | |
Commercial Banks - 10.6% | | | | | | | | |
| Cathay General Bancorp ^ | | | 404,245 | | | | 6,751 | |
| City National Corp. ^ | | | 129,235 | | | | 7,929 | |
| PrivateBancorp, Inc. - Class A ^ | | | 455,480 | | | | 6,550 | |
| SVB Financial Group ‡^ | | | 121,080 | | | | 6,423 | |
| Zions Bancorporation ^ | | | 271,775 | | | | 6,585 | |
Commercial Services & Supplies - 2.0% | | | | | | | | |
| Steelcase, Inc. - Class A ^ | | | 610,535 | | | | 6,453 | |
Communications Equipment - 2.9% | | | | | | | | |
| Brocade Communications Systems, Inc. ‡^ | | | 636,320 | | | | 3,366 | |
| Emulex Corp. ‡ | | | 525,230 | | | | 6,124 | |
Construction & Engineering - 3.6% | | | | | | | | |
| Chicago Bridge & Iron Co. NV - NY Shares - Class Y ‡ | | | 352,166 | | | | 11,586 | |
Diversified Consumer Services - 0.9% | | | | | | | | |
| Sotheby’s ^ | | | 67,050 | | | | 3,017 | |
Electric Utilities - 1.3% | | | | | | | | |
| Hawaiian Electric Industries, Inc. ^ | | | 187,205 | | | | 4,266 | |
Energy Equipment & Services - 7.0% | | | | | | | | |
| Dresser-Rand Group, Inc. ‡^ | | | 107,500 | | | | 4,578 | |
| Key Energy Services, Inc. ‡^ | | | 347,885 | | | | 4,516 | |
| Oceaneering International, Inc. ‡^ | | | 98,600 | | | | 7,260 | |
| Oil States International, Inc. ‡^ | | | 96,915 | | | | 6,211 | |
Health Care Equipment & Supplies - 4.6% | | | | | | | | |
| Cooper Cos., Inc. ^ | | | 148,145 | | | | 8,347 | |
| Hologic, Inc. ‡^ | | | 345,595 | | | | 6,504 | |
Household Durables - 1.8% | | | | | | | | |
| Tupperware Brands Corp. ^ | | | 119,835 | | | | 5,713 | |
Insurance - 2.1% | | | | | | | | |
| HCC Insurance Holdings, Inc. ^ | | | 234,340 | | | | 6,782 | |
Life Sciences Tools & Services - 1.7% | | | | | | | | |
| Charles River Laboratories International, Inc. ‡^ | | | 153,495 | | | | 5,455 | |
Machinery - 11.1% | | | | | | | | |
| AGCO Corp. ‡^ | | | 153,000 | | | | 7,751 | |
| Chart Industries, Inc. ‡^ | | | 48,190 | | | | 1,628 | |
| Navistar International Corp. ‡^ | | | 127,065 | | | | 7,358 | |
| Robbins & Myers, Inc. ^ | | | 190,480 | | | | 6,815 | |
| Titan International, Inc. ^ | | | 398,770 | | | | 7,793 | |
| Watts Water Technologies, Inc. - Class A ^ | | | 126,530 | | | | 4,630 | |
Marine - 1.6% | | | | | | | | |
| Kirby Corp. ‡ ^ | | | 119,180 | | | | 5,250 | |
Media - 2.4% | | | | | | | | |
| Lamar Advertising Co. - Class A ‡^ | | | 195,015 | | | | 7,769 | |
Metals & Mining - 7.2% | | | | | | | | |
| Carpenter Technology Corp. ^ | | | 159,100 | | | | 6,402 | |
| Globe Specialty Metals, Inc. | | | 405,970 | | | | 6,939 | |
| Kaiser Aluminum Corp. ^ | | | 90,850 | | | | 4,551 | |
| Thompson Creek Metals Co., Inc. ‡^ | | | 369,115 | | | | 5,433 | |
Multiline Retail - 2.1% | | | | | | | | |
| Saks, Inc. ‡^ | | | 632,660 | | | | 6,769 | |
Real Estate Investment Trusts - 6.1% | | | | | | | | |
| BioMed Realty Trust, Inc. ^ | | | 255,000 | | | | 4,756 | |
| Capstead Mortgage Corp. ^ | | | 349,130 | | | | 4,396 | |
| Dupont Fabros Technology, Inc. ^ | | | 188,780 | | | | 4,015 | |
| Omega Healthcare Investors, Inc. ^ | | | 295,718 | | | | 6,636 | |
Road & Rail - 3.9% | | | | | | | | |
| Kansas City Southern ‡^ | | | 131,955 | | | | 6,316 | |
| Ryder System, Inc. ^ | | | 117,350 | | | | 6,177 | |
Software - 3.4% | | | | | | | | |
| Aspen Technology, Inc. ‡^ | | | 487,730 | | | | 6,194 | |
| THQ, Inc. ‡^ | | | 768,915 | | | | 4,660 | |
Specialty Retail - 1.4% | | | | | | | | |
| Office Depot, Inc. ‡^ | | | 865,000 | | | | 4,671 | |
Textiles, Apparel & Luxury Goods - 2.7% | | | | | | | | |
| Signet Jewelers, Ltd. ‡^ | | | 195,895 | | | | 8,502 | |
Trading Companies & Distributors - 4.9% | | | | | | | | |
| Beacon Roofing Supply, Inc. ‡ | | | 274,480 | | | | 4,905 | |
| United Rentals, Inc. ‡^ | | | 202,500 | | | | 4,607 | |
| WESCO International, Inc. ‡^ | | | 118,105 | | | | 6,236 | |
Water Utilities - 1.6% | | | | | | | | |
| Aqua America, Inc. ^ | | | 227,535 | | | | 5,115 | |
| | | | | | | | |
Total Common Stocks (cost $227,454) | | | | | | | 303,536 | |
| | | | | | | | |
| |
SECURITIES LENDING COLLATERAL - 24.4% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 78,937,183 | | | | 78,937 | |
Total Securities Lending Collateral (cost $78,937) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 3.3% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $10,549 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $10,763. | | $ | 10,549 | | | | 10,549 | |
Total Repurchase Agreement (cost $10,549) | | | | | | | | |
| | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $316,940) # | | | | | | | 393,022 | |
| Other Assets and Liabilities - Net | | | | | | | (70,162 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 322,860 | |
| | | | | | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Small/Mid Cap Value VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTES TO SCHEDULE OF INVESTMENTS:
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $77,112. |
| |
| ‡ | | Non-income producing security. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $316,863. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $78,896 and $2,737, respectively. Net unrealized appreciation for tax purposes is $76,159. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| Common Stocks | | $ | 291,949 | | | $ | 11,587 | | | $ | — | | | $ | 303,536 | |
| Repurchase Agreement | | | — | | | | 10,549 | | | | — | | | | 10,549 | |
| Securities Lending Collateral | | | 78,937 | | | | — | | | | — | | | | 78,937 | |
| | | | | | | | | | | | | |
Total | | $ | 370,886 | | | $ | 22,136 | | | $ | — | | | $ | 393,022 | |
| | | | | | | | | | | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Small/Mid Cap Value VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $306,391)
(including securities loaned of $77,112) | | $ | 382,473 | |
| Repurchase agreement, at value (cost: $10,549) | | | 10,549 | |
| Receivables: | | | | |
| Shares sold | | | 10,694 | |
| Securities lending income (net) | | | 14 | |
| Dividends | | | 325 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 404,057 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 1,772 | |
| Shares redeemed | | | 235 | |
| Management and advisory fees | | | 205 | |
| Distribution and service fees | | | 10 | |
| Administration fees | | | 5 | |
| Printing and shareholder reports fees | | | 15 | |
| Audit and tax fees | | | 9 | |
| Other | | | 9 | |
| Collateral for securities on loan | | | 78,937 | |
| | | | |
| | | | 81,197 | |
| | | | |
Net assets | | $ | 322,860 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 155 | |
| Additional paid-in capital | | | 253,256 | |
| Undistributed (accumulated) net investment income (loss) | | | 435 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (7,068 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 76,082 | |
| | | | |
Net assets | | $ | 322,860 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 261,291 | |
| Service Class | | | 61,569 | |
Shares outstanding: | | | | |
| Initial Class | | | 12,522 | |
| Service Class | | | 2,978 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 20.87 | |
| Service Class | | | 20.67 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income | | $ | 2,420 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 118 | |
| | | | |
| | | | 2,538 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 2,095 | |
| Printing and shareholder reports | | | 39 | |
| Custody | | | 33 | |
| Administration | | | 52 | |
| Legal | | | 15 | |
| Audit and tax | | | 14 | |
| Trustees | | | 9 | |
| Transfer agent | | | 2 | |
| Distribution and service: | | | | |
| Service Class | | | 84 | |
| Other | | | 5 | |
| | | | |
| Total expenses | | | 2,348 | |
| | | | |
| | | | | |
Net investment income | | | 190 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 36,541 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 34,285 | |
| | | | |
Net realized and unrealized gain | | | 70,826 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 71,016 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Small/Mid Cap Value VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 190 | | | $ | 2,111 | |
| Net realized gain (loss) from investment securities | | | 36,541 | | | | 12,364 | |
| Change in net unrealized appreciation (depreciation) on investment securities | | | 34,285 | | | | 60,035 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 71,016 | | | | 74,510 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (1,656 | ) | | | (6,087 | ) |
| Service Class | | | (219 | ) | | | (437 | ) |
| | | | | | | |
Total distributions to shareholders | | | (1,875 | ) | | | (6,524 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 29,890 | | | | 16,154 | |
| Service Class | | | 39,818 | | | | 11,489 | |
| | | | | | | |
| | | | 69,708 | | | | 27,643 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 1,656 | | | | 6,086 | |
| Service Class | | | 219 | | | | 437 | |
| | | | | | | |
| | | | 1,875 | | | | 6,523 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (52,182 | ) | | | (38,921 | ) |
| Service Class | | | (12,324 | ) | | | (5,197 | ) |
| | | | | | | |
| | | | (64,506 | ) | | | (44,118 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | 7,077 | | | | (9,952 | ) |
| | | | | | | |
| |
Net increase in net assets | | | 76,218 | | | | 58,034 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 246,642 | | | | 188,608 | |
| | | | | | | |
| End of year | | $ | 322,860 | | | $ | 246,642 | |
| | | | | | | |
Undistributed net investment income | | $ | 435 | | | $ | 2,111 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 1,713 | | | | 1,201 | |
| Service Class | | | 2,183 | | | | 788 | |
| | | | | | | |
| | | | 3,896 | | | | 1,989 | |
| | | | | | | |
| Shares issued-reinvested from | | | | | | | | |
| distributions: | | | | | | | | |
| Initial Class | | | 110 | | | | 406 | |
| Service Class | | | 14 | | | | 29 | |
| | | | | | | |
| | | | 124 | | | | 435 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (3,069 | ) | | | (3,016 | ) |
| Service Class | | | (744 | ) | | | (391 | ) |
| | | | | | | |
| | | | (3,813 | ) | | | (3,407 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (1,246 | ) | | | (1,409 | ) |
| Service Class | | | 1,453 | | | | 426 | |
| | | | | | | |
| | | | 207 | | | | (983 | ) |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Small/Mid Cap Value VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 16.14 | | | $ | 11.60 | | | $ | 22.10 | | | $ | 19.58 | | | $ | 18.33 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.02 | | | | 0.14 | | | | 0.28 | | | | 0.34 | | | | 0.19 | |
| Net realized and unrealized gain (loss) | | | 4.84 | | | | 4.84 | | | | (8.43 | ) | | | 4.35 | | | | 2.94 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 4.86 | | | | 4.98 | | | | (8.15 | ) | | | 4.69 | | | | 3.13 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.13 | ) | | | (0.44 | ) | | | (0.29 | ) | | | (0.21 | ) | | | (0.18 | ) |
| From net realized gains | | | — | | | | — | | | | (2.06 | ) | | | (1.96 | ) | | | (1.70 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.13 | ) | | | (0.44 | ) | | | (2.35 | ) | | | (2.17 | ) | | | (1.88 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 20.87 | | | $ | 16.14 | | | $ | 11.60 | | | $ | 22.10 | | | $ | 19.58 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 30.41 | % | | | 43.21 | % | | | (40.86 | %) | | | 24.74 | % | | | 18.05 | % |
Net assets end of year (000’s) | | $ | 261,291 | | | $ | 222,235 | | | $ | 175,980 | | | $ | 463,795 | | | $ | 409,879 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.86 | % | | | 0.88 | % | | | 0.86 | % | | | 0.85 | % | | | 0.86 | % |
| Net investment income, to average net assets | | | 0.10 | % | | | 1.03 | % | | | 1.52 | % | | | 1.57 | % | | | 0.98 | % |
| Portfolio turnover rate | | | 62 | % | | | 89 | % | | | 60 | % | | | 18 | % | | | 24 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 16.01 | | | $ | 11.49 | | | $ | 21.94 | | | $ | 19.48 | | | $ | 18.26 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(A) | | | (0.03 | ) | | | 0.12 | | | | 0.23 | | | | 0.27 | | | | 0.14 | |
| Net realized and unrealized gain (loss) | | | 4.80 | | | | 4.78 | | | | (8.36 | ) | | | 4.33 | | | | 2.94 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 4.77 | | | | 4.90 | | | | (8.13 | ) | | | 4.60 | | | | 3.08 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.11 | ) | | | (0.38 | ) | | | (0.26 | ) | | | (0.18 | ) | | | (0.16 | ) |
| From net realized gains | | | — | | | | — | | | | (2.06 | ) | | | (1.96 | ) | | | (1.70 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.11 | ) | | | (0.38 | ) | | | (2.32 | ) | | | (2.14 | ) | | | (1.86 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 20.67 | | | $ | 16.01 | | | $ | 11.49 | | | $ | 21.94 | | | $ | 19.48 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 30.05 | % | | | 42.90 | % | | | (41.05 | %) | | | 24.39 | % | | | 17.82 | % |
Net assets end of year (000’s) | | $ | 61,569 | | | $ | 24,407 | | | $ | 12,628 | | | $ | 31,226 | | | $ | 15,822 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.11 | % | | | 1.13 | % | | | 1.11 | % | | | 1.10 | % | | | 1.11 | % |
| Net investment income (loss), to average net assets | | | (0.15 | %) | | | 0.91 | % | | | 1.29 | % | | | 1.27 | % | | | 0.73 | % |
| Portfolio turnover rate | | | 62 | % | | | 89 | % | | | 60 | % | | | 18 | % | | | 24 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Small/Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Small/Mid Cap Value VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
There were no commissions recaptured during the year ended December 31, 2010.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Small/Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments and is generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Small/Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Investment Management, LLC (“TIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, TIM, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, TIM and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.80 | % |
| Over $500 million | | | 0.75 | % |
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.89% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture at December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Small/Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 160,275 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 170,593 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax positions taken for the open tax years (2007-2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, net operating losses, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | 9 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (9 | ) |
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $7,144 | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31,2010 was $36,521.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 1,875 | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 6,524 | |
| Long-term Capital Gain | | | — | |
| | | | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Small/Mid Cap Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 232 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (7,144 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 76,159 | |
| | | | |
| Other Temporary Differences | | $ | 202 | |
| | | | |
NOTE 6. SUBSEQUENT EVENTS
The Fund’s Board of Trustees has approved changes to Transamerica Small/Mid Cap Value VP, including changes to the Fund name, sub-adviser and principal investment strategies. The Fund will change its name to Transamerica Systematic Small/Mid Cap Value VP and sub-adviser from Transamerica Investment Management, LLC to Systematic Financial Management L.P. These changes are expected to occur on or about March 31, 2011, but may occur sooner.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Small/Mid Cap Value VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Small/Mid Cap Value VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Small Mid/Cap Value VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Small/Mid Cap ValueVP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Small/Mid Cap Value VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica T. Rowe Price Small Cap VP
(unaudited)
MARKET ENVIRONMENT
Entering the year, the stock market continued its strong run off its March 2009 bottom. A bumpy ride ensued as macroeconomic concerns, including the European sovereign debt crisis, uneven U.S. economic data, and rising interest rates in developing economies weighed on the minds of investors at times. Toward the end of the year, economic concerns faded and companies reported strong earnings and balance sheets, helping to drive the market advance. Small-cap growth stocks outperformed small-cap value stocks. Small-cap stocks outperformed mid- and large-cap stocks over the past 12 months.
PERFORMANCE
For the year ended December 31, 2010, Transamerica T. Rowe Price Small Cap VP Initial Class returned 34.42%. By comparison its benchmark, the Morgan Stanley Capital International U.S. Small Cap Growth Index (“MSCI US Small Cap Growth”), returned 30.68%.
STRATEGY REVIEW
The portfolio’s outperformance of its benchmark was driven by stock selection. Sector allocation subtracted a small amount from relative performance. Our selection of holdings was most beneficial in the Consumer Discretionary, Industrials and Business Services, Health Care, and Consumer Staples sectors. No sector detracted significantly from results versus the index. All sectors produced positive absolute returns.
Performance was broad-based within the Consumer Discretionary sector, with the media and Internet and catalog retail industries at the forefront. The portfolio’s top contributors in the sector included Liberty Media Corp. Capital (“Liberty Media”) and Chipotle Mexican Grill, Inc. Liberty Media’s stock price rose as investors realized the underlying value of assets such as the well-known Atlanta Braves, Discovery Communications, and Sirius XM Satellite. Chipotle Mexican Grill, Inc. has benefited as mid- to high-end consumers began to spend again.
The machinery industry was a key contributor in the Industrials and Business Services space with investments in companies like Chart Industries, Inc. and Gardner Denver, Inc. Chart Industries, Inc. won a major contract to provide liquefied natural gas storage equipment. Gardner Denver, Inc. manufactures compressors, vacuum, and fluid transfer products and has benefited from increased sales.
Investments in the health care equipment and supplies industry and select biotechnology companies contributed to results in the Health Care sector. The portfolio benefited from holding Alexion Pharmaceutical whose primary drug Soliris is used to treat a rare blood disorder called PNH. The drug continues to generate significant revenue as the firm expands distribution.
We had positive results from our holdings in the Consumer Staples sector. A notable contributor was Boston Beer whose loyal customer base enabled the company to pass along price increases without hurting distribution.
While our stock selection is based on a quantitative model, we do take into consideration the fundamental research done by T. Rowe Price’s equity analysts. In constructing the portfolio, our sector weights are usually in line with those of the MSCI US Small Cap Growth, but we will occasionally overweight or underweight certain sectors based on our analysis.
At the end of December, our largest sector commitments in absolute terms were Information Technology, Industrials and Business Services, Consumer Discretionary, and Health Care. Since the end of June, we have increased our allocation to the Information Technology and Industrials and Business Services sectors. We have decreased our allocation to the Financials and Health Care sectors. We did not own any utility companies at the end of December. In relative terms, we are in line with the benchmark across most sectors. We are slightly overweight in the Consumer Staples, Information Technology, and Industrials and Business Services sectors.
In terms of portfolio characteristics, we continued to emphasize high-quality companies offering a high return on invested capital relative to our benchmark at the end of December. We also favored stocks with more attractive valuations. In addition, we maintained an overweight position in stocks of companies that we believe are good allocators of capital and have high free-cash-flow yields.
Our strategy is to try to outperform our benchmark by owning a large number of good stocks instead of making large investments in a small number of stocks. The portfolio usually holds approximately 320 to 340 names. Currently, we have nearly 350, reflecting our commitment to broad diversification and risk management in an uncertain environment, as well as the fact that a greater number of companies seem to have favorable prospects at the onset of an economic recovery. Very few of our positions represent 1% or more of the portfolio’s net assets at any given time. This level of diversification should help manage the risk of investing in small-cap growth stocks.
Sudhir Nanda, CFA
Portfolio Manager
T. Rowe Price Associates, Inc.
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Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica T. Rowe Price Small Cap VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 34.42 | % | | | 6.18 | % | | | 4.26 | % | | | 05/03/1999 | |
MSCI US Small Cap Growth* | | | 30.68 | % | | | 6.45 | % | | | 5.56 | % | | | | |
| |
| Service Class | | | 34.06 | % | | | 5.90 | % | | | 10.67 | % | | | 05/01/2003 | |
| |
| | | |
| NOTES |
|
| |
| * | | The Morgan Stanley Capital International U.S. Small Cap Growth Index (“MSCI US Small Cap Growth”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investor’s units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
Investing in small cap stocks generally involves great volatility and risks so an investment in the portfolio may not be appropriate for everyone. This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica T. Rowe Price Small Cap VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica T. Rowe Price Small Cap VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,355.80 | | | $ | 4.93 | | | $ | 1,021.02 | | | $ | 4.23 | | | | 0.83 | % |
| Service Class | | | 1,000.00 | | | | 1,354.30 | | | | 6.41 | | | | 1,019.76 | | | | 5.50 | | | | 1.08 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 98.3 | % |
| Securities Lending Collateral | | | 2.7 | |
| Repurchase Agreement | | | 1.9 | |
| Other Assets and Liabilities - Net | | | (2.9 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
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Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica T. Rowe Price Small Cap VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 98.3% | | | | | | | | |
Aerospace & Defense - 1.9% | | | | | | | | |
| Esterline Technologies Corp. ‡ | | | 10,700 | | | $ | 734 | |
| GenCorp, Inc. ‡^ | | | 41,900 | | | | 217 | |
| HEICO Corp. - Class A | | | 13,725 | | | | 512 | |
| Hexcel Corp. ‡ | | | 33,600 | | | | 608 | |
| TASER International, Inc. ‡ | | | 30,200 | | | | 142 | |
| Transdigm Group, Inc. ‡ | | | 16,100 | | | | 1,159 | |
| Triumph Group, Inc. | | | 4,300 | | | | 384 | |
Air Freight & Logistics - 0.8% | | | | | | | | |
| Hub Group, Inc. - Class A ‡ | | | 21,000 | | | | 738 | |
| UTI Worldwide, Inc. | | | 41,300 | | | | 876 | |
Airlines - 0.7% | | | | | | | | |
| Allegiant Travel Co. - Class A | | | 10,300 | | | | 507 | |
| United Continental Holdings, Inc. ‡ | | | 40,300 | | | | 960 | |
Auto Components - 1.4% | | | | | | | | |
| Dana Holding Corp. ‡ | | | 37,800 | | | | 651 | |
| Gentex Corp. | | | 13,700 | | | | 405 | |
| Tenneco, Inc. ‡ | | | 24,400 | | | | 1,004 | |
| TRW Automotive Holdings Corp. ‡^ | | | 16,000 | | | | 843 | |
Beverages - 0.5% | | | | | | | | |
| Boston Beer Co., Inc. - Class A ‡ | | | 11,300 | | | | 1,075 | |
Biotechnology - 5.3% | | | | | | | | |
| Acorda Therapeutics, Inc. ‡ | | | 9,400 | | | | 256 | |
| Alexion Pharmaceuticals, Inc. ‡ | | | 17,500 | | | | 1,410 | |
| Alkermes, Inc. ‡ | | | 30,900 | | | | 379 | |
| Allos Therapeutics, Inc. ‡^ | | | 9,300 | | | | 43 | |
| Alnylam Pharmaceuticals, Inc. ‡ | | | 7,700 | | | | 76 | |
| Arqule, Inc. ‡ | | | 18,200 | | | | 107 | |
| Array Biopharma, Inc. ‡ | | | 10,900 | | | | 33 | |
| BioMarin Pharmaceutical, Inc. ‡ | | | 26,600 | | | | 716 | |
| Cepheid, Inc. ‡^ | | | 17,700 | | | | 403 | |
| Cubist Pharmaceuticals, Inc. ‡ | | | 15,900 | | | | 340 | |
| Human Genome Sciences, Inc. ‡ | | | 40,000 | | | | 956 | |
| Idenix Pharmaceuticals, Inc. ‡ | | | 37,800 | | | | 191 | |
| Incyte Corp., Ltd. ‡^ | | | 77,800 | | | | 1,288 | |
| InterMune, Inc. ‡ | | | 14,000 | | | | 510 | |
| Lexicon Pharmaceuticals, Inc. ‡ | | | 39,800 | | | | 57 | |
| Momenta Pharmaceuticals, Inc. ‡ | | | 8,500 | | | | 127 | |
| Onyx Pharmaceuticals, Inc. ‡ | | | 17,200 | | | | 634 | |
| Pharmasset, Inc. ‡^ | | | 9,100 | | | | 395 | |
| Regeneron Pharmaceuticals, Inc. ‡^ | | | 26,500 | | | | 870 | |
| Rigel Pharmaceuticals, Inc. ‡ | | | 2,800 | | | | 21 | |
| Savient Pharmaceuticals, Inc. ‡ | | | 13,400 | | | | 149 | |
| Seattle Genetics, Inc. ‡ | | | 23,000 | | | | 344 | |
| Senomyx, Inc. ‡ | | | 21,800 | | | | 155 | |
| Theravance, Inc. ‡ | | | 19,400 | | | | 486 | |
| United Therapeutics Corp. ‡ | | | 14,000 | | | | 885 | |
Capital Markets - 1.3% | | | | | | | | |
| Affiliated Managers Group, Inc. ‡^ | | | 10,800 | | | | 1,072 | |
| Cohen & Steers, Inc. | | | 4,100 | | | | 107 | |
| E*Trade Financial Corp. ‡ | | | 9,660 | | | | 155 | |
| Greenhill & Co., Inc. | | | 5,000 | | | | 408 | |
| Knight Capital Group, Inc. - Class A ‡ | | | 15,200 | | | | 210 | |
| Stifel Financial Corp. ‡ | | | 6,300 | | | | 391 | |
Chemicals - 2.6% | | | | | | | | |
| Intrepid Potash, Inc. ‡ | | | 12,300 | | | | 459 | |
| Koppers Holdings, Inc. | | | 12,300 | | | | 440 | |
| Nalco Holding Co. | | | 15,100 | | | | 482 | |
| Rockwood Holdings, Inc. ‡ | | | 22,800 | | | | 892 | |
| Scotts Miracle-Gro Co. - Class A | | | 4,200 | | | | 213 | |
| Solutia, Inc. ‡ | | | 49,700 | | | | 1,147 | |
| Stepan Co. | | | 5,500 | | | | 419 | |
| WR Grace & Co. ‡ | | | 30,900 | | | | 1,086 | |
Commercial Banks - 1.0% | | | | | | | | |
| Signature Bank ‡ | | | 19,700 | | | | 985 | |
| SVB Financial Group ‡ | | | 12,700 | | | | 674 | |
| Texas Capital Bancshares, Inc. ‡^ | | | 20,900 | | | | 445 | |
Commercial Services & Supplies - 1.9% | | | | | | | | |
| ACCO Brands Corp. ‡ | | | 22,600 | | | | 193 | |
| Brink’s Co. | | | 6,400 | | | | 172 | |
| Cenveo, Inc. ‡ | | | 38,100 | | | | 203 | |
| Clean Harbors, Inc. ‡^ | | | 16,500 | | | | 1,388 | |
| Rollins, Inc. | | | 23,950 | | | | 473 | |
| US Ecology, Inc. ^ | | | 8,600 | | | | 149 | |
| Waste Connections, Inc. | | | 45,187 | | | | 1,244 | |
Communications Equipment - 4.5% | | | | | | | | |
| Acme Packet, Inc. ‡ | | | 13,100 | | | | 696 | |
| Adtran, Inc. | | | 21,800 | | | | 789 | |
| Arris Group, Inc. ‡^ | | | 27,400 | | | | 307 | |
| Blue Coat Systems, Inc. ‡ | | | 23,500 | | | | 702 | |
| Cogo Group, Inc. ‡ | | | 20,400 | | | | 181 | |
| CommScope, Inc. ‡ | | | 12,900 | | | | 403 | |
| Comtech Telecommunications Corp. | | | 15,700 | | | | 435 | |
| DG FastChannel, Inc. ‡ | | | 22,200 | | | | 641 | |
| F5 Networks, Inc. ‡ | | | 8,600 | | | | 1,119 | |
| JDS Uniphase Corp. ‡ | | | 60,700 | | | | 879 | |
| Plantronics, Inc. | | | 22,100 | | | | 823 | |
| Polycom, Inc. ‡ | | | 23,212 | | | | 905 | |
| Riverbed Technology, Inc. ‡ | | | 31,700 | | | | 1,115 | |
Computers & Peripherals - 0.2% | | | | | | | | |
| Synaptics, Inc. ‡ | | | 16,300 | | | | 479 | |
Construction & Engineering - 0.1% | | | | | | | | |
| MYR Group, Inc. ‡ | | | 11,900 | | | | 250 | |
Consumer Finance - 0.1% | | | | | | | | |
| World Acceptance Corp. ‡ | | | 5,100 | | | | 269 | |
Containers & Packaging - 0.7% | | | | | | | | |
| Crown Holdings, Inc. ‡ | | | 14,400 | | | | 481 | |
| Greif, Inc. - Class A | | | 2,900 | | | | 180 | |
| Rock-Tenn Co. - Class A | | | 13,800 | | | | 744 | |
Distributors - 0.2% | | | | | | | | |
| LKQ Corp. ‡ | | | 16,200 | | | | 368 | |
Diversified Consumer Services - 1.2% | | | | | | | | |
| American Public Education, Inc. ‡^ | | | 6,400 | | | | 238 | |
| Capella Education Co. ‡ | | | 6,700 | | | | 446 | |
| ITT Educational Services, Inc. ‡ | | | 3,600 | | | | 229 | |
| Matthews International Corp. - Class A | | | 10,000 | | | | 350 | |
| Steiner Leisure, Ltd. ‡ | | | 11,400 | | | | 532 | |
| Weight Watchers International, Inc. | | | 16,700 | | | | 627 | |
Diversified Financial Services - 1.0% | | | | | | | | |
| MSCI, Inc. - Class A ‡ | | | 30,588 | | | | 1,191 | |
| NewStar Financial, Inc. ‡ | | | 45,100 | | | | 477 | |
| Portfolio Recovery Associates, Inc. ‡ | | | 5,500 | | | | 414 | |
Diversified Telecommunication Services - 0.4% | | | | | | | | |
| Premiere Global Services, Inc. ‡ | | | 22,700 | | | | 154 | |
| TW Telecom, Inc. - Class A ‡ | | | 33,900 | | | | 578 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica T. Rowe Price Small Cap VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Electrical Equipment - 2.2% | | | | | | | | |
| Acuity Brands, Inc. ^ | | | 18,500 | | | $ | 1,067 | |
| General Cable Corp. ‡ | | | 12,400 | | | | 435 | |
| II-VI, Inc. ‡ | | | 16,500 | | | | 765 | |
| Thomas & Betts Corp. ‡ | | | 19,400 | | | | 937 | |
| Woodward Governor Co. | | | 31,600 | | | | 1,187 | |
Electronic Equipment & Instruments - 2.2% | | | | | | | | |
| Anixter International, Inc. ^ | | | 13,500 | | | | 806 | |
| Coherent, Inc. ‡ | | | 10,600 | | | | 478 | |
| Cyberoptics Corp. ‡ | | | 36,300 | | | | 310 | |
| Dolby Laboratories, Inc. - Class A ‡ | | | 16,000 | | | | 1,068 | |
| Itron, Inc. ‡ | | | 9,000 | | | | 499 | |
| Power-One, Inc. ‡^ | | | 39,400 | | | | 402 | |
| Rofin-Sinar Technologies, Inc. ‡^ | | | 10,100 | | | | 358 | |
| Trimble Navigation, Ltd. ‡ | | | 9,900 | | | | 395 | |
Energy Equipment & Services - 4.0% | | | | | | | | |
| Atwood Oceanics, Inc. ‡ | | | 16,000 | | | | 598 | |
| Complete Production Services, Inc. ‡ | | | 28,100 | | | | 830 | |
| Core Laboratories NV | | | 17,100 | | | | 1,522 | |
| Dawson Geophysical Co. ‡ | | | 6,100 | | | | 195 | |
| Dril-Quip, Inc. ‡ | | | 9,400 | | | | 731 | |
| Gulf Island Fabrication, Inc. | | | 10,000 | | | | 282 | |
| Helix Energy Solutions Group, Inc. ‡ | | | 16,700 | | | | 203 | |
| Ion Geophysical Corp. ‡ | | | 17,000 | | | | 144 | |
| Oceaneering International, Inc. ‡ | | | 8,300 | | | | 611 | |
| Oil States International, Inc. ‡ | | | 19,500 | | | | 1,250 | |
| Superior Energy Services, Inc. ‡ | | | 22,700 | | | | 794 | |
| Tesco Corp. ‡ | | | 24,100 | | | | 383 | |
| TETRA Technologies, Inc. ‡ | | | 23,600 | | | | 280 | |
| Unit Corp. ‡ | | | 3,900 | | | | 181 | |
Food Products - 0.6% | | | | | | | | |
| J&J Snack Foods Group | | | 13,000 | | | | 627 | |
| TreeHouse Foods, Inc. ‡ | | | 11,700 | | | | 598 | |
Health Care Equipment & Supplies - 2.8% | | | | | | | | |
| American Medical Systems Holdings, Inc. ‡ | | | 21,000 | | | | 396 | |
| Arthrocare Corp. ‡ | | | 8,000 | | | | 248 | |
| Edwards Lifesciences Corp. ‡ | | | 9,700 | | | | 784 | |
| HeartWare International, Inc. ‡ | | | 3,700 | | | | 324 | |
| Idexx Laboratories, Inc. ‡^ | | | 13,600 | | | | 942 | |
| Integra LifeSciences Holdings Corp. ‡ | | | 6,700 | | | | 317 | |
| Masimo Corp. | | | 11,100 | | | | 323 | |
| Meridian Bioscience, Inc. ^ | | | 26,150 | | | | 606 | |
| Orthofix International NV ‡ | | | 8,300 | | | | 241 | |
| Sirona Dental Systems, Inc. ‡ | | | 15,400 | | | | 643 | |
| Stereotaxis, Inc. ‡ | | | 2,700 | | | | 10 | |
| STERIS Corp. | | | 8,500 | | | | 310 | |
| Thoratec Corp. ‡^ | | | 16,000 | | | | 453 | |
Health Care Providers & Services - 3.0% | | | | | | | | |
| Alliance Healthcare Services, Inc. ‡ | | | 23,100 | | | | 98 | |
| Amedisys, Inc. ‡ | | | 10,266 | | | | 344 | |
| Catalyst Health Solutions, Inc. ‡ | | | 15,100 | | | | 703 | |
| Centene Corp. ‡ | | | 15,600 | | | | 395 | |
| Chemed Corp. | | | 7,000 | | | | 445 | |
| Corvel Corp. ‡ | | | 8,200 | | | | 396 | |
| Gentiva Health Services, Inc. ‡ | | | 15,600 | | | | 415 | |
| Healthsouth Corp. ‡ | | | 25,800 | | | | 534 | |
| Healthspring, Inc. ‡ | | | 14,900 | | | | 395 | |
| Mednax, Inc. ‡ | | | 6,100 | | | | 410 | |
| PharMerica Corp. ‡ | | | 18,100 | | | | 207 | |
| PSS World Medical, Inc. ‡ | | | 16,000 | | | | 362 | |
| Sun Healthcare Group, Inc. ‡ | | | 7,766 | | | | 98 | |
| Tenet Healthcare Corp. ‡ | | | 123,000 | | | | 824 | |
| VCA Antech, Inc. ‡ | | | 15,600 | | | | 363 | |
Health Care Technology - 0.7% | | | | | | | | |
| Allscripts Healthcare Solutions, Inc. ‡ | | | 28,520 | | | | 550 | |
| Cerner Corp. ‡ | | | 4,900 | | | | 464 | |
| MedAssets, Inc. ‡ | | | 11,700 | | | | 236 | |
| Vital Images, Inc. ‡ | | | 7,800 | | | | 109 | |
Hotels, Restaurants & Leisure - 2.8% | | | | | | | | |
| CEC Entertainment, Inc. ‡ | | | 8,000 | | | | 311 | |
| Cheesecake Factory, Inc. ‡ | | | 26,000 | | | | 797 | |
| Chipotle Mexican Grill, Inc. ‡ | | | 3,200 | | | | 681 | |
| Choice Hotels International, Inc. | | | 7,600 | | | | 291 | |
| Denny’s Corp. ‡ | | | 87,800 | | | | 314 | |
| National Cinemedia, Inc. | | | 15,300 | | | | 305 | |
| Panera Bread Co. - Class A ‡^ | | | 11,700 | | | | 1,184 | |
| PF Chang’s China Bistro, Inc. | | | 10,200 | | | | 494 | |
| Red Robin Gourmet Burgers, Inc. ‡ | | | 4,300 | | | | 92 | |
| WMS Industries, Inc. ‡ | | | 23,850 | | | | 1,079 | |
Household Durables - 0.5% | | | | | | | | |
| Tempur-Pedic International, Inc. ‡ | | | 24,700 | | | | 989 | |
Household Products - 0.2% | | | | | | | | |
| Church & Dwight Co., Inc. ^ | | | 7,200 | | | | 497 | |
Insurance - 0.6% | | | | | | | | |
| Amtrust Financial Services, Inc. ^ | | | 16,500 | | | | 289 | |
| HCC Insurance Holdings, Inc. | | | 16,700 | | | | 482 | |
| Navigators Group, Inc. ‡ | | | 2,200 | | | | 111 | |
| StanCorp Financial Group, Inc. | | | 8,300 | | | | 375 | |
Internet & Catalog Retail - 1.1% | | | | | | | | |
| HSN, Inc. ‡ | | | 15,000 | | | | 460 | |
| PetMed Express, Inc. | | | 13,600 | | | | 242 | |
| priceline.com, Inc. ‡ | | | 2,200 | | | | 879 | |
| Shutterfly, Inc. ‡ | | | 15,600 | | | | 546 | |
Internet Software & Services - 2.0% | | | | | | | | |
| AsiaInfo Holdings, Inc. ‡ | | | 13,700 | | | | 227 | |
| J2 Global Communications, Inc. ‡ | | | 20,900 | | | | 605 | |
| Mercadolibre, Inc. ‡ | | | 10,800 | | | | 719 | |
| Perficient, Inc. ��� | | | 26,500 | | | | 331 | |
| RealNetworks, Inc. ‡ | | | 71,100 | | | | 299 | |
| SINA Corp. ‡ | | | 10,300 | | | | 709 | |
| Sohu.com, Inc. ‡ | | | 8,100 | | | | 514 | |
| Valueclick, Inc. ‡ | | | 25,500 | | | | 409 | |
| WebMD Health Corp. - Class A ‡ | | | 2,700 | | | | 138 | |
IT Services - 3.6% | | | | | | | | |
| CACI International, Inc. - Class A ‡^ | | | 2,800 | | | | 150 | |
| Gartner, Inc. ‡ | | | 36,100 | | | | 1,199 | |
| Genpact, Ltd. ‡ | | | 20,700 | | | | 315 | |
| Global Payments, Inc. | | | 17,920 | | | | 828 | |
| Heartland Payment Systems, Inc. ^ | | | 7,420 | | | | 114 | |
| MAXIMUS, Inc. | | | 11,100 | | | | 728 | |
| NCI, Inc. - Class A ‡ | | | 29,200 | | | | 671 | |
| NeuStar, Inc. - Class A ‡ | | | 13,400 | | | | 349 | |
| SRA International, Inc. - Class A ‡ | | | 11,800 | | | | 241 | |
| Teletech Holdings, Inc. ‡ | | | 19,500 | | | | 402 | |
| TNS, Inc. ‡ | | | 17,800 | | | | 370 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica T. Rowe Price Small Cap VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
IT Services - (continued) | | | | | | | | |
| Unisys Corp. ‡ | | | 10,890 | | | $ | 282 | |
| VeriFone Holdings, Inc. ‡ | | | 29,200 | | | | 1,126 | |
| Wright Express Corp. ‡ | | | 10,900 | | | | 501 | |
Leisure Equipment & Products - 1.0% | | | | | | | | |
| Brunswick Corp. ^ | | | 32,200 | | | | 603 | |
| Polaris Industries, Inc. | | | 14,200 | | | | 1,108 | |
| Pool Corp. | | | 13,700 | | | | 309 | |
Life Sciences Tools & Services - 2.0% | | | | | | | | |
| AMAG Pharmaceuticals, Inc. ‡ | | | 1,800 | | | | 33 | |
| Bio-Rad Laboratories, Inc. - Class A ‡ | | | 4,700 | | | | 488 | |
| Bruker Corp. ‡ | | | 27,400 | | | | 455 | |
| eResearchTechnology, Inc. ‡ | | | 11,500 | | | | 85 | |
| Exelixis, Inc. ‡ | | | 57,800 | | | | 475 | |
| Illumina, Inc. ‡ | | | 14,400 | | | | 912 | |
| Mettler-Toledo International, Inc. ‡ | | | 5,300 | | | | 801 | |
| Nektar Therapeutics ‡ | | | 26,100 | | | | 335 | |
| Parexel International Corp. ‡ | | | 16,400 | | | | 348 | |
Machinery - 5.9% | | | | | | | | |
| Actuant Corp. - Class A ^ | | | 44,400 | | | | 1,181 | |
| ArvinMeritor, Inc. ‡ | | | 40,300 | | | | 827 | |
| Chart Industries, Inc. ‡ | | | 17,200 | | | | 581 | |
| Gardner Denver, Inc. | | | 28,200 | | | | 1,940 | |
| Graco, Inc. ^ | | | 19,800 | | | | 781 | |
| IDEX Corp. | | | 19,800 | | | | 775 | |
| John Bean Technologies Corp. ^ | | | 16,300 | | | | 328 | |
| Middleby Corp. ‡ | | | 11,800 | | | | 996 | |
| Nacco Industries, Inc. - Class A | | | 3,800 | | | | 412 | |
| Nordson Corp. ^ | | | 9,000 | | | | 827 | |
| Robbins & Myers, Inc. | | | 17,300 | | | | 619 | |
| Toro Co. | | | 17,300 | | | | 1,066 | |
| Valmont Industries, Inc. | | | 6,200 | | | | 550 | |
| Wabtec Corp. | | | 18,200 | | | | 963 | |
Marine - 0.5% | | | | | | | | |
| Horizon Lines, Inc. - Class A | | | 17,100 | | | | 75 | |
| Kirby Corp. ‡ | | | 19,200 | | | | 845 | |
Media - 1.8% | | | | | | | | |
| CTC Media, Inc. | | | 19,700 | | | | 462 | |
| John Wiley & Sons, Inc. - Class A | | | 13,100 | | | | 593 | |
| Knology, Inc. ‡ | | | 17,900 | | | | 280 | |
| Liberty Media Corp. - Capital - Series A ‡ | | | 17,800 | | | | 1,113 | |
| Madison Square Garden, Inc. ‡ | | | 19,100 | | | | 492 | |
| Sirius XM Radio, Inc. ‡ | | | 426,900 | | | | 700 | |
Metals & Mining - 1.4% | | | | | | | | |
| Allied Nevada Gold Corp. ‡ | | | 19,000 | | | | 500 | |
| Carpenter Technology Corp. | | | 11,000 | | | | 443 | |
| Compass Minerals International, Inc. | | | 7,600 | | | | 678 | |
| Royal Gold, Inc. | | | 6,500 | | | | 355 | |
| Stillwater Mining Co. ‡ | | | 37,700 | | | | 805 | |
Multiline Retail - 0.3% | | | | | | | | |
| Big Lots, Inc. ‡ | | | 21,500 | | | | 655 | |
Oil, Gas & Consumable Fuels - 3.1% | | | | | | | | |
| Bill Barrett Corp. ‡^ | | | 4,600 | | | | 189 | |
| Clayton Williams Energy, Inc. ‡ | | | 5,500 | | | | 462 | |
| Comstock Resources, Inc. ‡ | | | 14,700 | | | | 361 | |
| Concho Resources, Inc. ‡ | | | 14,300 | | | | 1,254 | |
| Gran Tierra Energy, Inc. ‡ | | | 72,200 | | | | 581 | |
| Northern Oil and Gas Inc. ‡ | | | 24,600 | | | | 669 | |
| Patriot Coal Corp. ‡ | | | 29,800 | | | | 577 | |
| Rex Energy Corp. ‡ | | | 12,600 | | | | 172 | |
| SM Energy Co. | | | 24,000 | | | | 1,415 | |
| Whiting Petroleum Corp. ‡ | | | 5,100 | | | | 598 | |
Personal Products - 0.9% | | | | | | | | |
| Alberto-Culver Co. - Class B | | | 11,200 | | | | 415 | |
| Herbalife, Ltd. | | | 17,000 | | | | 1,161 | |
Pharmaceuticals - 2.1% | | | | | | | | |
| Akorn, Inc. ‡ | | | 32,800 | | | | 199 | |
| Auxilium Pharmaceuticals, Inc. ‡ | | | 11,500 | | | | 243 | |
| Avanir Pharmaceuticals, Inc. - Class A ‡ | | | 59,100 | | | | 241 | |
| Cadence Pharmaceuticals, Inc. ‡ | | | 12,000 | | | | 91 | |
| Map Pharmaceuticals, Inc. ‡ | | | 8,600 | | | | 144 | |
| Medicines Co. ‡ | | | 26,000 | | | | 367 | |
| Myrexis, Inc. ‡ | | | 3,625 | | | | 15 | |
| Par Pharmaceutical Cos., Inc. ‡ | | | 16,200 | | | | 624 | |
| Salix Pharmaceuticals, Ltd. ‡ | | | 18,700 | | | | 878 | |
| Valeant Pharmaceuticals International, Inc. | | | 32,234 | | | | 912 | |
| ViroPharma, Inc. ‡ | | | 23,200 | | | | 402 | |
| Xenoport, Inc. ‡ | | | 9,400 | | | | 80 | |
Professional Services - 1.2% | | | | | | | | |
| Advisory Board Co. ‡ | | | 11,400 | | | | 543 | |
| Huron Consulting Group, Inc. ‡ | | | 12,100 | | | | 320 | |
| IHS, Inc. - Class A ‡ | | | 7,000 | | | | 562 | |
| Korn/Ferry International ‡ | | | 15,600 | | | | 361 | |
| Towers Watson & Co. - Class A | | | 10,000 | | | | 521 | |
Real Estate Investment Trusts - 0.7% | | | | | | | | |
| Dupont Fabros Technology, Inc. | | | 15,900 | | | | 338 | |
| Sabra Healthcare REIT, Inc. | | | 7,766 | | | | 143 | |
| Strategic Hotels & Resorts, Inc. ‡ | | | 28,200 | | | | 149 | |
| Taubman Centers, Inc. ^ | | | 14,900 | | | | 752 | |
Real Estate Management & Development - 0.7% | | | | | | | | |
| Forest City Enterprises, Inc. - Class A ‡ | | | 32,700 | | | | 546 | |
| Jones Lang Lasalle, Inc. | | | 11,000 | | | | 923 | |
Road & Rail - 1.2% | | | | | | | | |
| Avis Budget Group, Inc. ‡ | | | 37,900 | | | | 590 | |
| Landstar System, Inc. | | | 16,700 | | | | 684 | |
| Old Dominion Freight Line, Inc. ‡^ | | | 25,999 | | | | 831 | |
| RailAmerica, Inc. ‡ | | | 28,500 | | | | 369 | |
Semiconductors & Semiconductor Equipment - 5.5% | | | | | | | | |
| Advanced Energy Industries, Inc. ‡ | | | 16,600 | | | | 226 | |
| Amkor Technology, Inc. ‡ | | | 51,700 | | | | 382 | |
| Atheros Communications, Inc. ‡ | | | 24,800 | | | | 891 | |
| Atmel Corp. ‡ | | | 99,700 | | | | 1,227 | |
| Cabot Microelectronics Corp. ‡ | | | 6,300 | | | | 261 | |
| Cymer, Inc. ‡ | | | 13,400 | | | | 604 | |
| Cypress Semiconductor Corp. ‡ | | | 57,900 | | | | 1,075 | |
| Diodes, Inc. ‡ | | | 17,100 | | | | 462 | |
| FEI Co. ‡ | | | 14,600 | | | | 386 | |
| Micrel, Inc. | | | 29,300 | | | | 381 | |
| Microsemi Corp. ‡ | | | 35,300 | | | | 808 | |
| ON Semiconductor Corp. ‡ | | | 75,300 | | | | 744 | |
| Pericom Semiconductor Corp. �� | | | 12,300 | | | | 135 | |
| PMC-Sierra, Inc. ‡ | | | 44,100 | | | | 379 | |
| Semtech Corp. ‡ | | | 27,900 | | | | 632 | |
| Silicon Laboratories, Inc. ‡ | | | 19,800 | | | | 911 | |
| Tessera Technologies, Inc. ‡ | | | 11,000 | | | | 244 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica T. Rowe Price Small Cap VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Semiconductors & Semiconductor Equipment - (continued) | | | | | | | | |
| Varian Semiconductor Equipment Associates, Inc. ‡ | | | 22,925 | | | $ | 848 | |
| Veeco Instruments, Inc. ‡ | | | 10,400 | | | | 447 | |
Software - 9.2% | | | | | | | | |
| Actuate Corp. ‡ | | | 37,300 | | | | 213 | |
| Advent Software, Inc. ‡ | | | 5,700 | | | | 330 | |
| ANSYS, Inc. ‡ | | | 12,089 | | | | 629 | |
| Blackboard, Inc. ‡^ | | | 19,200 | | | | 793 | |
| Commvault Systems, Inc. ‡ | | | 18,100 | | | | 518 | |
| Epicor Software Corp. ‡ | | | 16,100 | | | | 163 | |
| FactSet Research Systems, Inc. | | | 14,150 | | | | 1,327 | |
| Fortinet, Inc. ‡ | | | 24,300 | | | | 786 | |
| Informatica Corp. ‡ | | | 50,300 | | | | 2,215 | |
| Jack Henry & Associates, Inc. | | | 10,000 | | | | 292 | |
| Kenexa Corp. ‡ | | | 17,100 | | | | 373 | |
| Micros Systems, Inc. ‡ | | | 27,800 | | | | 1,219 | |
| Monotype Imaging Holdings, Inc. ‡ | | | 35,900 | | | | 398 | |
| NET 1 UEPS Technologies, Inc. ‡ | | | 15,200 | | | | 186 | |
| Netscout Systems, Inc. ‡ | | | 20,600 | | | | 474 | |
| OPNET Technologies, Inc. ^ | | | 25,500 | | | | 683 | |
| Parametric Technology Corp. ‡ | | | 36,400 | | | | 820 | |
| Progress Software Corp. ‡ | | | 7,000 | | | | 296 | |
| Quest Software, Inc. ‡ | | | 19,200 | | | | 533 | |
| Rovi Corp. ‡ | | | 32,900 | | | | 2,040 | |
| Solera Holdings, Inc. | | | 34,400 | | | | 1,765 | |
| Taleo Corp. - Class A ‡ | | | 19,700 | | | | 545 | |
| TIBCO Software, Inc. ‡ | | | 64,200 | | | | 1,265 | |
| Ultimate Software Group, Inc. ‡ | | | 16,300 | | | | 793 | |
Specialty Retail - 3.7% | | | | | | | | |
| Aaron’s, Inc. | | | 20,350 | | | | 415 | |
| Aeropostale, Inc. ‡^ | | | 30,825 | | | | 760 | |
| Ascena Retail Group, Inc. ‡ | | | 25,300 | | | | 668 | |
| Childrens Place Retail Stores, Inc. ‡ | | | 9,800 | | | | 486 | |
| Guess?, Inc. | | | 11,700 | | | | 554 | |
| Hibbett Sports, Inc. ‡ | | | 13,700 | | | | 506 | |
| JOS A. Bank Clothiers, Inc. ‡ | | | 13,300 | | | | 536 | |
| Monro Muffler Brake, Inc. | | | 31,350 | | | | 1,085 | |
| Office Depot, Inc. ‡ | | | 32,400 | | | | 175 | |
| Sally Beauty Holdings, Inc. ‡ | | | 50,200 | | | | 729 | |
| Tractor Supply Co. | | | 27,000 | | | | 1,310 | |
Textiles, Apparel & Luxury Goods - 2.9% | | | | | | | | |
| Deckers Outdoor Corp. ‡ | | | 17,900 | | | | 1,426 | |
| Fossil, Inc. ‡ | | | 18,212 | | | | 1,284 | |
| Hanesbrands, Inc. ‡ | | | 24,800 | | | | 630 | |
| Iconix Brand Group, Inc. ‡ | | | 24,900 | | | | 481 | |
| Phillips-Van Heusen Corp. | | | 18,600 | | | | 1,172 | |
| Warnaco Group, Inc. ‡ | | | 16,300 | | | | 898 | |
Thrifts & Mortgage Finance - 0.4% | | | | | | | | |
| Danvers Bancorp, Inc. ^ | | | 12,200 | | | | 216 | |
| MGIC Investment Corp. ‡ | | | 33,000 | | | | 335 | |
| Radian Group, Inc. | | | 29,200 | | | | 236 | |
Trading Companies & Distributors - 1.1% | | | | | | | | |
| Beacon Roofing Supply, Inc. ‡ | | | 23,300 | | | | 416 | |
| MSC Industrial Direct Co. - Class A | | | 12,200 | | | | 790 | |
| RSC Holdings, Inc. ‡ | | | 40,400 | | | | 393 | |
| United Rentals, Inc. ‡ | | | 28,600 | | | | 651 | |
Wireless Telecommunication Services - 0.6% | | | | | | | | |
| SBA Communications Corp. - Class A ‡ | | | 23,800 | | | | 975 | |
| Syniverse Holdings, Inc. ‡ | | | 11,600 | | | | 358 | |
Total Common Stocks (cost $148,655) | | | | | | | 197,241 | |
| | | | | |
SECURITIES LENDING COLLATERAL - 2.7% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36% ▲ | | | 5,324,709 | | | | 5,325 | |
Total Securities Lending Collateral (cost $5,325) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 1.9% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $3,735 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $3,810. | | $ | 3,735 | | | | 3,735 | |
Total Repurchase Agreement (cost $3,735) | | | | | | | | |
| | | | | | | | | |
| | | | | | | | |
| Total Investment Securities (cost $157,715) # | | | | | | | 206,301 | |
| Other Assets and Liabilities - Net | | | | | | | (5,891 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 200,410 | |
| | | | | | | | |
| | |
| NOTES TO SCHEDULE OF INVESTMENTS: |
| |
| ‡ | | Non-income producing security. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $5,200. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $159,020. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $53,248 and $5,967, respectively. Net unrealized appreciation for tax purposes is $47,281. |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | $ | 195,719 | | | $ | 1,522 | | | $ | — | | | $ | 197,241 | |
| Repurchase Agreement | | | — | | | | 3,735 | | | | — | | | | 3,735 | |
| Securities Lending Collateral | | | 5,325 | | | | — | | | | — | | | | 5,325 | |
Total | | $ | 201,044 | | | $ | 5,257 | | | $ | — | | | $ | 206,301 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica T. Rowe Price Small Cap VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $153,980)
(including securities loaned of $5,200) | | $ | 202,566 | |
| Repurchase agreement, at value (cost: $3,735) | | | 3,735 | |
| Receivables: | | | | |
| Investment securities sold | | | 1,703 | |
| Shares sold | | | 156 | |
| Securities lending income (net) | | | 4 | |
| Dividends | | | 26 | |
| Prepaid expenses | | | 1 | |
| | | | |
| | | | 208,191 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 1,975 | |
| Shares redeemed | | | 315 | |
| Management and advisory fees | | | 124 | |
| Distribution and service fees | | | 7 | |
| Administration fees | | | 3 | |
| Printing and shareholder reports fees | | | 16 | |
| Audit and tax fees | | | 8 | |
| Other | | | 8 | |
| Collateral for securities on loan | | | 5,325 | |
| | | | |
| | | | 7,781 | |
| | | | |
Net assets | | $ | 200,410 | |
| | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 213 | |
| Additional paid-in capital | | | 157,751 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (6,140 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 48,586 | |
| | | | |
Net assets | | $ | 200,410 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 166,206 | |
| Service Class | | | 34,204 | |
Shares outstanding: | | | | |
| Initial Class | | | 17,591 | |
| Service Class | | | 3,698 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 9.45 | |
| Service Class | | | 9.25 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $6) | | $ | 1,039 | |
| Securities lending income (net) | | | 61 | |
| | | | |
| | | | 1,100 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,143 | |
| Printing and shareholder reports | | | 37 | |
| Custody | | | 37 | |
| Administration | | | 31 | |
| Legal | | | 9 | |
| Audit and tax | | | 13 | |
| Trustees | | | 5 | |
| Transfer agent | | | 1 | |
| Distribution and service: | | | | |
| Service Class | | | 50 | |
| Other | | | 3 | |
| | | | |
| Total expenses | | | 1,329 | |
| | | | |
| |
Net investment loss | | | (229 | ) |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 6,915 | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 40,260 | |
| | | | |
Net realized and unrealized gain | | | 47,175 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 46,946 | |
| | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica T. Rowe Price Small Cap VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment loss | | $ | (229 | ) | | $ | (334 | ) |
| Net realized gain (loss) from investment securities | | | 6,915 | | | | (8,661 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities | | | 40,260 | | | | 48,760 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 46,946 | | | | 39,765 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (4,641 | ) |
| Service Class | | | — | | | | (430 | ) |
| | | | | | | |
Total distributions to shareholders | | | — | | | | (5,071 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 33,929 | | | | 16,486 | |
| Service Class | | | 20,241 | | | | 8,211 | |
| | | | | | | |
| | | | 54,170 | | | | 24,697 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | — | | | | 4,641 | |
| Service Class | | | — | | | | 430 | |
| | | | | | | |
| | | | — | | | | 5,071 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (36,219 | ) | | | (27,054 | ) |
| Service Class | | | (7,107 | ) | | | (4,482 | ) |
| | | | | | | |
| | | | (43,326 | ) | | | (31,536 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | 10,844 | | | | (1,768 | ) |
| | | | | | | |
| | | | | | | | | |
Net increase in net assets | | | 57,790 | | | | 32,926 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 142,620 | | | | 109,694 | |
| | | | | | | |
| End of year | | $ | 200,410 | | | $ | 142,620 | |
| | | | | | | |
Undistributed net investment income | | $ | — | | | $ | — | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 4,213 | | | | 2,839 | |
| Service Class | | | 2,588 | | | | 1,349 | |
| | | | | | | |
| | | | 6,801 | | | | 4,188 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | — | | | | 744 | |
| Service Class | | | — | | | | 70 | |
| | | | | | | |
| | | | — | | | | 814 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (4,868 | ) | | | (4,738 | ) |
| Service Class | | | (975 | ) | | | (766 | ) |
| | | | | | | |
| | | | (5,843 | ) | | | (5,504 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (655 | ) | | | (1,155 | ) |
| Service Class | | | 1,613 | | | | 653 | |
| | | | | | | |
| | | | 958 | | | | (502 | ) |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica T. Rowe Price Small Cap VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 7.03 | | | $ | 5.27 | | | $ | 10.27 | | | $ | 10.36 | | | $ | 11.08 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment loss(A) | | | (0.01 | ) | | | (0.01 | ) | | | (0.01 | ) | | | (0.04 | ) | | | (0.05 | ) |
| Net realized and unrealized gain (loss) | | | 2.43 | | | | 2.02 | | | | (3.04 | ) | | | 1.03 | | | | 0.35 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.42 | | | | 2.01 | | | | (3.05 | ) | | | 0.99 | | | | 0.30 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net realized gains | | | — | | | | (0.25 | ) | | | (1.95 | ) | | | (1.08 | ) | | | (1.02 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | | | | (0.25 | ) | | | (1.95 | ) | | | (1.08 | ) | | | (1.02 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 9.45 | | | $ | 7.03 | | | $ | 5.27 | | | $ | 10.27 | | | $ | 10.36 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 34.42 | % | | | 38.70 | % | | | (36.25 | %) | | | 9.61 | % | | | 3.59 | % |
Net assets end of year (000’s) | | $ | 166,206 | | | $ | 128,238 | | | $ | 102,260 | | | $ | 224,187 | | | $ | 253,644 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.84 | % | | | 0.88 | % | | | 0.83 | % | | | 0.82 | % | | | 0.84 | % |
| Net investment loss, to average net assets | | | (0.12 | %) | | | (0.26 | %) | | | (0.13 | %) | | | (0.40 | %) | | | (0.48 | %) |
| Portfolio turnover rate | | | 34 | % | | | 34 | % | | | 30 | % | | | 45 | % | | | 34 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 6.90 | | | $ | 5.19 | | | $ | 10.14 | | | $ | 10.25 | | | $ | 11.00 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment loss(A) | | | (0.02 | ) | | | (0.03 | ) | | | (0.03 | ) | | | (0.07 | ) | | | (0.08 | ) |
| Net realized and unrealized gain (loss) | | | 2.37 | | | | 1.99 | | | | (3.00 | ) | | | 1.01 | | | | 0.35 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 2.35 | | | | 1.96 | | | | (3.03 | ) | | | 0.94 | | | | 0.27 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net realized gains | | | — | | | | (0.25 | ) | | | (1.92 | ) | | | (1.05 | ) | | | (1.02 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | — | | | | (0.25 | ) | | | (1.92 | ) | | | (1.05 | ) | | | (1.02 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 9.25 | | | $ | 6.90 | | | $ | 5.19 | | | $ | 10.14 | | | $ | 10.25 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 34.06 | % | | | 38.33 | % | | | (36.40 | %) | | | 9.27 | % | | | 3.34 | % |
Net assets end of year (000’s) | | $ | 34,204 | | | $ | 14,382 | | | $ | 7,434 | | | $ | 16,329 | | | $ | 17,411 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.09 | % | | | 1.13 | % | | | 1.08 | % | | | 1.07 | % | | | 1.09 | % |
| Net investment loss, to average net assets | | | (0.32 | %) | | | (0.48 | %) | | | (0.38 | %) | | | (0.64 | %) | | | (0.73 | %) |
| Portfolio turnover rate | | | 34 | % | | | 34 | % | | | 30 | % | | | 45 | % | | | 34 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | |
Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica T. Rowe Price Small Cap VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica T. Rowe Price Small Cap VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of less than $1, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend income related to a Real Estate Investment Trust (“REIT”) is recorded at management’s estimate of the income included in distributions from the REIT investments. Distributions received in excess of the estimated amount are recorded as a reduction of the cost of investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica T. Rowe Price Small Cap VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign securities, in which their 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. They are categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica T. Rowe Price Small Cap VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE).
Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.75% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica T. Rowe Price Small Cap VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 60,192 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 51,922 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | (238 | ) |
| Undistributed (accumulated) net investment income (loss) | | $ | 229 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 9 | |
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $4,835 | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $6,882.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica T. Rowe Price Small Cap VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | — | |
| Long-term Capital Gain | | | — | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | 5,071 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | — | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (4,835 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 47,281 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica T. Rowe Price Small Cap VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica T. Rowe Price Small Cap VP:
We have audited the accompanying statement of assets and liabilities of Transamerica T. Rowe Price Small Cap VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica T. Rowe Price Small Cap VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica T. Rowe Price Small Cap VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | | |
|
Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica Third Avenue Value VP
(unaudited)
MARKET ENVIRONMENT
The year opened with the continued momentum driven stock recovery from 2009’s bottom. The recovery favored what we classify as “lower quality” companies, including those with weaker balance sheets and shaky industry positions. During the second and third quarters of the year, markets were shaken by uncertainty surrounding the global economy as the U.S. continued to grow at a slow pace and sovereign debt solvency issues emerged from Europe. As the third quarter ended, these concerns seemed to give way and stocks rose once again. In the face of this market rally, we have stuck to our knitting and maintained a portfolio of high quality names purchased at what we consider to be substantial discounts to net asset value.
PERFORMANCE
For the year ended December 31, 2010, Transamerica Third Avenue Value VP Initial Class returned 15.43%. By comparison it’s primary and secondary benchmarks, the Russell 3000® Value Index (“Russell 3000® Value”) and the Morgan Stanley Capital International World Index (“MSCI World”), returned 16.23% and 12.34%, respectively.
STRATEGY REVIEW
Third Avenue employs a disciplined, fundamental value approach to stock selection, seeking to invest in well-managed, well-capitalized companies trading at a discount to our conservative estimate of net asset value.
The largest contributor to our performance was Brookfield Asset Management, Inc. — Class A (“Brookfield”). Brookfield is a well-financed, well-managed investment company with significant investments in real estate, power generation, and infrastructure. The company has opportunistically invested a substantial amount of capital in the past year-and-a-half, having participated in the reorganization of General Growth Properties (the largest U.S. real estate-related bankruptcy in history) and leading the $1.5 billion recapitalization of Babcock & Brown Infrastructure. In addition, Brookfield has gained a lot of traction within its asset management business, having raised nearly $10 billion of external capital over the past few years. We believe that Brookfield’s management team will continue to take advantage of market dislocations to create value by investing its capital alongside its partners in opportunistic investments, which should allow Brookfield to continue to increase the company’s NAV for the foreseeable future.
The second largest contributor to the Fund’s performance was Cimarex Energy Co. Cimarex Energy Co.has had a strong year of improving operating results and growing cash flow that management has used to strengthen the company’s already solid balance sheet. Oil and gas reserves have grown more rapidly than many expected. Cimarex Energy Co. also has a sizable interest in the Cana-Woodford shale, an early stage resource play in western Oklahoma, whose potential value is increasingly becoming apparent as it could be one of the more attractive shale formations in the region.
The portfolio’s third strongest contributor was Hutchison Whampoa, Ltd. Hutchison is a Hong Kong-based holding company that has a global telecommunications footprint, energy and infrastructure investments throughout the world (including substantial ownership of Canada’s Husky Energy) and is the operator of five of the world’s seven busiest container ports. Hutchison is 50% owned by Cheung Kong Holdings, which is also a portfolio holding and another of our strongest contributors for the year. In addition to its vast Hong Kong and Chinese real estate holdings, Cheung Kong has made major investments in China’s infrastructure, including a natural gas company. Chairman Li Ka-Shing has been increasing his stake in Cheung Kong, further aligning his interests with those of his shareholders.
The largest detractor from performance was The St. Joe Co. In October, St. Joe Co. was the subject of public criticism from a hedge fund manager, who claims to have been shorting the stock since 2006 and detailed his thesis in a long presentation at a New York investment conference. Our view of St. Joe Co. is that the company has substantial real estate and cash assets, as well as attractive access to credit.
The portfolio’s second largest detractor was South Korean steel producer POSCO. POSCO’s margins have suffered in 2010 due to rising materials cost. The company also added debt to its balance sheet in order to finance its second quarter acquisition of Daewoo International. POSCO remains well finance though and it has super-attractive access to the credit markets. It recently issued $700 million in 10-year notes at 4.2%, an attractive borrowing rate for money that will be put to productive long-term use.
During the year we closed several positions in order to free up cash to pursue other opportunities. These sales included Brookfield Infrastructure, Derwent, Hang Lung Group, Hang Lung Properties, Montpelier Re, Power Corp., El Financial and Sapporo Holdings. During the year, we established positions in the following issuers: Cenovus Energy, Inc., KeyCorp, Resolution, Ltd., Wheelock & Co., Ltd., and Wilmington Trust. Cenovus Energy, Inc., an integrated oil company, was received as a spin-off from existing position Encana Corp. Resolution, Ltd., a United Kingdom (“UK”) acquisition vehicle of life insurance businesses, had acquired Friends Provident and subsequently purchased the book of Axa Life. Resolution, Ltd. is well managed and well financed. We established a position in regional bank and financial services companies Key Corp at a discount to our estimate of New Asset Value.
We also established a position in Wilmington Trust, a position that we subsequently sold after its announced merger to M&T Bank in the fourth quarter. Wilmington reported a serious deterioration of its loan book and the sale price to M&T was below our entry price into the stock. We were able to exit the position at a premium to the M&T offer as Wilmington’s stock price climbed alongside M&T’s in the weeks after the merger announcement.
We also added Wheelock & Co. to the portfolio. Wheelock is a well-financed real estate investment company with valuable properties in Hong Kong in addition to some holdings in mainland China and Singapore in which we were able to establish a position at a significant discount to its reported NAV.
Curtis R. Jensen
Yang Lie
Kathleen K. Crawford
Co-Portfolio Managers
Third Avenue Management LLC
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica Third Avenue Value VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 15.43 | % | | | 1.48 | % | | | 7.44 | % | | | 01/02/1998 | |
| Russell 3000® Value * | | | 16.23 | % | | | 1.45 | % | | | 3.63 | % | | | | |
MSCI World* | | | 12.34 | % | | | 2.99 | % | | | 2.82 | % | | | | |
| |
| Service Class | | | 15.16 | % | | | 1.23 | % | | | 10.36 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Russell 3000® Value Index (“Russell 3000® Value”) and Morgan Stanley Capital International World Index (“MSCI World”) are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
Investments in a “non-diversified” portfolio may be subject to specific risks such as susceptibility to single economic, political, or regulatory events, and may be subject to greater loss than investments in a diversified portfolio. This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica Third Avenue Value VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica Third Avenue Value VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,258.90 | | | $ | 5.07 | | | $ | 1,020.72 | | | $ | 4.53 | | | | 0.89 | % |
| Service Class | | | 1,000.00 | | | | 1,257.50 | | | | 6.49 | | | | 1,019.46 | | | | 5.80 | | | | 1.14 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Common Stocks | | | 96.3 | % |
| Securities Lending Collateral | | | 15.4 | |
| Repurchase Agreement | | | 3.8 | |
| Other Assets and Liabilities - Net | | | (15.5 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica Third Avenue Value VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 96.3% | | | | | | | | |
Austria - 0.5% | | | | | | | | |
| Andritz AG | | | 10,000 | | | $ | 921 | |
Canada - 14.7% | | | | | | | | |
| Brookfield Asset Management, Inc. - Class A | | | 345,176 | | | | 11,490 | |
| Canfor Corp. ‡ | | | 273,377 | | | | 3,052 | |
| Cenovus Energy, Inc. | | | 164,000 | | | | 5,451 | |
| EnCana Corp. | | | 164,000 | | | | 4,776 | |
| Viterra, Inc. ‡ | | | 371,100 | | | | 3,464 | |
France - 0.5% | | | | | | | | |
| Sanofi-Aventis SA | | | 15,050 | | | | 962 | |
Germany - 2.2% | | | | | | | | |
| Lanxess AG | | | 53,681 | | | | 4,221 | |
Guernsey, Channel Islands - 1.1% | | | | | | | | |
| Resolution, Ltd. | | | 557,678 | | | | 2,035 | |
Hong Kong - 18.7% | | | | | | | | |
| Cheung Kong Holdings, Ltd. | | | 659,847 | | | | 10,170 | |
| Henderson Land Development Co., Ltd. | | | 1,434,478 | | | | 9,772 | |
| Hutchison Whampoa, Ltd. | | | 1,053,912 | | | | 10,874 | |
| Wharf Holdings, Ltd. | | | 454,478 | | | | 3,497 | |
| Wheelock & Co., Ltd. | | | 398,000 | | | | 1,608 | |
Japan - 12.6% | | | | | | | | |
| Mitsui Fudosan Co., Ltd. | | | 317,538 | | | | 6,311 | |
| Tokio Marine Holdings, Inc. | | | 237,650 | | | | 7,060 | |
| Toyota Industries Corp. | | | 350,193 | | | | 10,834 | |
Korea, Republic of - 5.2% | | | | | | | | |
| POSCO ADR ^ | | | 91,839 | | | | 9,890 | |
Sweden - 4.3% | | | | | | | | |
| Investor AB - Class A | | | 397,854 | | | | 8,224 | |
United States - 36.5% | | | | | | | | |
| Alamo Group, Inc. ^ | | | 25,130 | | | | 699 | |
| Alexander & Baldwin, Inc. ^ | | | 53,233 | | | | 2,131 | |
| Applied Materials, Inc. ^ | | | 180,039 | | | | 2,530 | |
| AVX Corp. ^ | | | 411,695 | | | | 6,353 | |
| Bank of New York Mellon Corp. ^ | | | 301,559 | | | | 9,107 | |
| Bristow Group, Inc. ‡ ^ | | | 69,649 | | | | 3,298 | |
| Capital Southwest Corp. ^ | | | 6,895 | | | | 716 | |
| Cimarex Energy Co. ^ | | | 72,804 | | | | 6,445 | |
| Cross Country Healthcare, Inc. ‡ ^ | | | 59,544 | | | | 504 | |
| Electro Scientific Industries, Inc. ‡ ^ | | | 100,208 | | | | 1,606 | |
| Electronics for Imaging, Inc. ‡ ^ | | | 84,921 | | | | 1,215 | |
| Forest City Enterprises, Inc. - Class A ‡ ^ | | | 321,423 | | | | 5,364 | |
| Intel Corp. | | | 219,039 | | | | 4,606 | |
| Investment Technology Group, Inc. ‡ ^ | | | 182,889 | | | | 2,994 | |
| KeyCorp ^ | | | 110,000 | | | | 974 | |
| Leucadia National Corp. ^ | | | 38,000 | | | | 1,109 | |
| Lexmark International, Inc. - Class A ‡ | | | 14,292 | | | | 498 | |
| MDC Holdings, Inc. ^ | | | 15,732 | | | | 453 | |
| Nabors Industries, Ltd. ‡ ^ | | | 156,135 | | | | 3,663 | |
| Pharmaceutical Product Development, Inc. ^ | | | 115,000 | | | | 3,121 | |
| Sanderson Farms, Inc. ^ | | | 12,600 | | | | 493 | |
| St. Joe Co. ‡ ^ | | | 170,780 | | | | 3,732 | |
| Sycamore Networks, Inc. ^ | | | 45,817 | | | | 943 | |
| Tejon Ranch Co. ‡ | | | 68,444 | | | | 1,886 | |
| Tellabs, Inc. ^ | | | 466,171 | | | | 3,161 | |
| Westwood Holdings Group, Inc. ^ | | | 55,707 | | | | 2,226 | |
| | | | | | | | |
Total Common Stocks (cost $140,847) | | | | | | | 184,439 | |
| | | | | | | | |
| |
SECURITIES LENDING COLLATERAL - 15.4% | | | | | | | | |
| State Street Navigator Securities Lending Trust - Prime Portfolio, 0.36%▲ | | | 29,561,148 | | | | 29,561 | |
Total Securities Lending Collateral (cost $29,561) | | | | | | | | |
| |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 3.8% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $7,258 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $7,406. | | $ | 7,258 | | | $ | 7,258 | |
Total Repurchase Agreement (cost $7,258) | | | | | | | | |
| Total Investment Securities (cost $177,666) # | | | | | | | 221,258 | |
| | | | | | | | |
| Other Assets and Liabilities - Net | | | | | | | (29,618 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 191,640 | |
| | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica Third Avenue Value VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | |
| | | Percentage of | | | | |
| INVESTMENTS BY INDUSTRY (unaudited): | | Total Investments | | | Value | |
| |
| Real Estate Management & Development | | | 24.4 | % | | $ | 53,830 | |
| Oil, Gas & Consumable Fuels | | | 7.5 | | | | 16,672 | |
| Capital Markets | | | 6.9 | | | | 15,043 | |
| Industrial Conglomerates | | | 4.9 | | | | 10,874 | |
| Auto Components | | | 4.8 | | | | 10,834 | |
| Metals & Mining | | | 4.5 | | | | 9,890 | |
| Diversified Financial Services | | | 4.2 | | | | 9,333 | |
| Insurance | | | 4.1 | | | | 9,095 | |
| Electronic Equipment & Instruments | | | 3.6 | | | | 7,959 | |
| Semiconductors & Semiconductor Equipment | | | 3.2 | | | | 7,136 | |
| Energy Equipment & Services | | | 3.1 | | | | 6,961 | |
| Chemicals | | | 1.9 | | | | 4,221 | |
| Communications Equipment | | | 1.9 | | | | 4,104 | |
| Food Products | | | 1.8 | | | | 3,957 | |
| Life Sciences Tools & Services | | | 1.4 | | | | 3,121 | |
| Paper & Forest Products | | | 1.4 | | | | 3,052 | |
| Marine | | | 1.0 | | | | 2,131 | |
| Computers & Peripherals | | | 0.8 | | | | 1,713 | |
| Machinery | | | 0.7 | | | | 1,620 | |
| Commercial Banks | | | 0.4 | | | | 974 | |
| Pharmaceuticals | | | 0.4 | | | | 962 | |
| Health Care Providers & Services | | | 0.2 | | | | 504 | |
| Household Durables | | | 0.2 | | | | 453 | |
| | | | | | | |
| Investment Securities, at Value | | | 83.3 | | | | 184,439 | |
| Short-Term Investments | | | 16.7 | | | | 36,819 | |
| | | | | | | |
| Total Investments | | | 100.0 | % | | $ | 221,258 | |
| | | | | | | |
| | |
| NOTES TO SCHEDULE OF INVESTMENTS: |
| |
| ‡ | | Non-income producing security. |
| |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $28,818. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $189,151. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $41,741 and $9,634, respectively. Net unrealized appreciation for tax purposes is $32,107. |
| |
| DEFINITION: |
| |
| ADR American Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | $ | 98,059 | | | $ | 86,380 | | | $ | — | | | $ | 184,439 | |
| Repurchase Agreement | | | — | | | | 7,258 | | | | — | | | | 7,258 | |
| Securities Lending Collateral | | | 29,561 | | | | — | | | | — | | | | 29,561 | |
| | | | | | | | | | | | | |
Total | | $ | 127,620 | | | $ | 93,638 | | | $ | — | | | $ | 221,258 | |
| | | | | | | | | | | | | |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica Third Avenue Value VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $170,408)
(including securities loaned of $28,818) | | $ | 214,000 | |
| Repurchase agreement, at value (cost: $7,258) | | | 7,258 | |
| Cash | | | 58 | |
| Receivables: | | | | |
| Investment securities sold | | | 109 | |
| Shares sold | | | 64 | |
| Securities lending income (net) | | | 12 | |
| Dividend reclaims | | | 1 | |
| Prepaid expenses | | | 2 | |
| | | | |
| | | | 221,504 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Shares redeemed | | | 116 | |
| Management and advisory fees | | | 128 | |
| Distribution and service fees | | | 4 | |
| Administration fees | | | 3 | |
| Printing and shareholder reports fees | | | 22 | |
| Audit and tax fees | | | 8 | |
| Other | | | 22 | |
| Collateral for securities on loan | | | 29,561 | |
| | | | |
| | | | 29,864 | |
| | | | |
Net assets | | $ | 191,640 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 160 | |
| Additional paid-in capital | | | 188,582 | |
| Undistributed (accumulated) net investment income (loss) | | | (2,491 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities and foreign currency transactions | | | (38,204 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 43,592 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Net assets | | $ | 191,640 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 173,877 | |
| Service Class | | | 17,763 | |
Shares outstanding: | | | | |
| Initial Class | | | 14,498 | |
| Service Class | | | 1,485 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 11.99 | |
| Service Class | | | 11.96 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $176) | | $ | 3,154 | |
| Interest income | | | 2 | |
| Securities lending income (net) | | | 72 | |
| | | | |
| | | | 3,228 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 1,497 | |
| Printing and shareholder reports | | | 51 | |
| Custody | | | 69 | |
| Administration | | | 37 | |
| Legal | | | 10 | |
| Audit and tax | | | 13 | |
| Trustees | | | 7 | |
| Transfer agent | | | 2 | |
| Registration | | | — | (A) |
| Distribution and service: | | | | |
| Service Class | | | 45 | |
| Other | | | 4 | |
| | | | |
| Total expenses | | | 1,735 | |
| | | | |
| | | | | |
Net investment income | | | 1,493 | |
| | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 6,965 | |
| Foreign currency transactions | | | 12 | |
| | | | |
| | | | 6,977 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 17,725 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 7 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 17,732 | |
| | | | |
Net realized and unrealized gain | | | 24,709 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 26,202 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica Third Avenue Value VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 1,493 | | | $ | 2,428 | |
| Net realized gain (loss) from investment securities and foreign currency transactions | | | 6,977 | | | | (34,242 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 17,732 | | | | 86,020 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 26,202 | | | | 54,206 | |
| | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (4,740 | ) | | | — | |
| Service Class | | | (468 | ) | | | — | |
| | | | | | | |
| | | | (5,208 | ) | | | — | |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | — | | | | (11,736 | ) |
| Service Class | | | — | | | | (1,236 | ) |
| | | | | | | |
| | | | — | | | | (12,972 | ) |
| | | | | | | |
| |
Total distributions to shareholders | | | (5,208 | ) | | | (12,972 | ) |
| | | | | | | |
| | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 8,949 | | | | 10,219 | |
| Service Class | | | 4,028 | | | | 3,379 | |
| | | | | | | |
| | | | 12,977 | | | | 13,598 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 4,740 | | | | 11,736 | |
| Service Class | | | 468 | | | | 1,236 | |
| | | | | | | |
| | | | 5,208 | | | | 12,972 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (44,224 | ) | | | (34,371 | ) |
| Service Class | | | (8,351 | ) | | | (5,651 | ) |
| | | | | | | |
| | | | (52,575 | ) | | | (40,022 | ) |
| | | | | | | |
Net decrease in net assets from capital shares transactions | | | (34,390 | ) | | | (13,452 | ) |
| | | | | | | |
| |
Net increase (decrease) in net assets | | | (13,396 | ) | | | 27,782 | |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 205,036 | | | | 177,254 | |
| | | | | | | |
| End of year | | $ | 191,640 | | | $ | 205,036 | |
| | | | | | | |
Undistributed (accumulated) net investment income (loss) | | $ | (2,491 | ) | | $ | 596 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 821 | | | | 1,103 | |
| Service Class | | | 371 | | | | 349 | |
| | | | | | | |
| | | | 1,192 | | | | 1,452 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 483 | | | | 1,178 | |
| Service Class | | | 47 | | | | 125 | |
| | | | | | | |
| | | | 530 | | | | 1,303 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (4,096 | ) | | | (3,857 | ) |
| Service Class | | | (781 | ) | | | (617 | ) |
| | | | | | | |
| | | | (4,877 | ) | | | (4,474 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (2,792 | ) | | | (1,576 | ) |
| Service Class | | | (363 | ) | | | (143 | ) |
| | | | | | | |
| | | | (3,155 | ) | | | (1,719 | ) |
| | | | | | | |
| | |
| Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm. |
The notes to the financial statements are an integral part of this report.
| | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica Third Avenue Value VP
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.72 | | | $ | 8.50 | | | $ | 21.75 | | | $ | 26.33 | | | $ | 24.22 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.09 | | | | 0.13 | | | | 0.17 | | | | 0.27 | | | | 0.25 | |
| Net realized and unrealized gain (loss) | | | 1.49 | | | | 2.78 | | | | (7.09 | ) | | | 0.07 | | | | 3.49 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.58 | | | | 2.91 | | | | (6.92 | ) | | | 0.34 | | | | 3.74 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.31 | ) | | | — | | | | (0.70 | ) | | | (1.07 | ) | | | (0.21 | ) |
| From net realized gains | | | — | | | | (0.69 | ) | | | (5.63 | ) | | | (3.85 | ) | | | (1.42 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.31 | ) | | | (0.69 | ) | | | (6.33 | ) | | | (4.92 | ) | | | (1.63 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.99 | | | $ | 10.72 | | | $ | 8.50 | | | $ | 21.75 | | | $ | 26.33 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 15.43 | % | | | 34.88 | % | | | (41.15 | )% | | | 1.20 | % | | | 16.07 | % |
Net assets end of year (000’s) | | $ | 173,877 | | | $ | 185,277 | | | $ | 160,338 | | | $ | 358,128 | | | $ | 1,121,918 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.90 | % | | | 0.92 | % | | | 0.88 | % | | | 0.87 | % | | | 0.86 | % |
| Net investment income, to average net assets | | | 0.82 | % | | | 1.36 | % | | | 1.06 | % | | | 1.05 | % | | | 1.00 | % |
| Portfolio turnover rate | | | 4 | % | | | 8 | % | | | 13 | % | | | 13 | % | | | 17 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 10.69 | | | $ | 8.50 | | | $ | 21.70 | | | $ | 26.30 | | | $ | 24.21 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.06 | | | | 0.10 | | | | 0.14 | | | | 0.19 | | | | 0.19 | |
| Net realized and unrealized gain (loss) | | | 1.50 | | | | 2.78 | | | | (7.09 | ) | | | 0.08 | | | | 3.49 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.56 | | | | 2.88 | | | | (6.95 | ) | | | 0.27 | | | | 3.68 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.29 | ) | | | — | | | | (0.62 | ) | | | (1.02 | ) | | | (0.17 | ) |
| From net realized gains | | | — | | | | (0.69 | ) | | | (5.63 | ) | | | (3.85 | ) | | | (1.42 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.29 | ) | | | (0.69 | ) | | | (6.25 | ) | | | (4.87 | ) | | | (1.59 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 11.96 | | | $ | 10.69 | | | $ | 8.50 | | | $ | 21.70 | | | $ | 26.30 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 15.16 | % | | | 34.52 | % | | | (41.28 | )% | | | 0.94 | % | | | 15.78 | % |
Net assets end of year (000’s) | | $ | 17,763 | | | $ | 19,759 | | | $ | 16,916 | | | $ | 52,218 | | | $ | 53,118 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.15 | % | | | 1.17 | % | | | 1.13 | % | | | 1.12 | % | | | 1.11 | % |
| Net investment income, to average net assets | | | 0.58 | % | | | 1.12 | % | | | 0.83 | % | | | 0.74 | % | | | 0.74 | % |
| Portfolio turnover rate | | | 4 | % | | | 8 | % | | | 13 | % | | | 13 | % | | | 17 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica Third Avenue Value VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica Third Avenue Value VP (the “Fund”) is part of TST. The Fund is “non-diversified” under the 1940 Act.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $6, are included in net realized gain (loss) in the Statement of Operations.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica Third Avenue Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica Third Avenue Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010 is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, and TCI.
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.80% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
1.00% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture at December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica Third Avenue Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
Brokerage commissions: Brokerage commissions incurred on security transactions placed with affiliates of the adviser or sub-adviser for the year ended December 31, 2010 were $16.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 7,492 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 42,533 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | 2 | |
| Undistributed (accumulated) net investment income (loss) | | $ | 628 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (630 | ) |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica Third Avenue Value VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. (continued)
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | | | |
| Capital Loss | | |
| Carryforward | | Available Through |
| $ | 37,447 | | | December 31, 2017 |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $5,161.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 5,208 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | — | |
| Long-term Capital Gain | | | 12,972 | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 8,646 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (37,447 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | (407 | ) |
| | | | |
| Post October Currency Loss Deferral | | $ | (1 | ) |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 32,107 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica Third Avenue Value VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica Third Avenue Value VP:
We have audited the accompanying statement of assets and liabilities of Transamerica Third Avenue Value VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica Third Avenue Value VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica Third Avenue Value VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica U.S. Government Securities VP
(unaudited)
MARKET ENVIRONMENT
The 12 months ended December 31, 2010, was a strong, but at times volatile period in the fixed income markets. A broad trend toward global economic recovery and a return to more normal business activity in the U.S. were sometimes overshadowed by specific domestic and global events.
Economic recovery and investor confidence gained momentum early in the reporting period as the U.S. emerged from the worst recession in decades. Manufacturing showed signs of a revival, reflecting an uptick in new orders and some inventory replenishment. Although the unemployment rate remained high, jobless claims trended downward and leveled out, and temporary employment increased. However, the expiration of the first-time home buyers’ tax credit took some wind out of the housing recovery. Even though there were some signs of inflationary pressures, particularly among commodities prices, inflation remained benign.
By mid-spring, however, confidence eroded over concerns about slowing global and domestic growth. This, combined with the onset of a sovereign debt crisis in Europe, sparked a migration out of risky assets. Also weighing on U.S. markets was legislative action to increase regulation of the largest banks and financial institutions. U.S. and global investors sought the relative safety of U.S. Treasuries and, to a lesser extent, agency securities.
As the period came to a close, U.S. economic data and investor sentiment in the aggregate turned positive. Encouraging data points: improvements in the manufacturing sector; an ease in bank lending conditions; and the release of good retail sales reports, boosted investor confidence. Although housing and unemployment numbers continued to move sideways at relatively weak levels, consumer spending showed signs of resurgence. As the economy gradually emerged from the recession, the announcement by the Federal Reserve Board (“Fed”) of a second round of quantitative easing (“QE2”) had a positive impact on financial markets. Additionally, a more pro-business Congress as a result of the mid-term elections, and the extension of Bush-era tax cuts, further bolstered investor confidence.
Against this backdrop, all sectors of the fixed income markets performed well. Demand for Treasury securities pushed yields to lows this summer that had not been seen since the financial crisis of 2008. However, yields moved significantly higher into year-end after the Fed’s official announcement of QE2 underwhelmed investors in its scope. Corporate bonds outperformed Treasuries during the year as investors sought yield advantages over Treasuries. Plagued by increasing refinancing and low initial yields, the agency mortgage sector generated weaker, though still positive, returns. However, non-agency mortgage-backed securities performed very well given cheap initial valuations combined with a slowing rate of decline in the housing market.
PERFORMANCE
For the year ended December 31, 2010, Transamerica U.S. Government Securities VP Initial Class returned 4.40%. By comparison its benchmark, the Barclays Capital U.S. Government Index, returned 5.52%.
STRATEGY REVIEW
Throughout the period, it was our belief the economy would ultimately pull out of the recession, causing rates to move higher from historically low levels. With this in mind, we maintained a shorter-than-index duration versus the benchmark. Although this positioning was a detractor to performance throughout the middle part of 2010, it helped during the sell off as the period came to a close.
Looking to diversify risk while increasing returns, we found opportunities in foreign government bonds (e.g., Australia, Canada and Mexico) which performed particularly well during the second half of the year. We maintained a moderate allocation to Treasury Inflation Protected Securities (“TIPS”), primarily in intermediate- and longer-dated maturities (i.e., 10 years and longer). Given the massive amounts of stimulus placed into the system, and in anticipation of inflationary pressures building, we chose to own TIPS rather than nominal Treasuries on certain parts of the yield curve.
A modest allocation to high-grade corporate securities boosted performance. We found opportunities in regional banks, cell-phone tower asset-backed securities, select non-agency mortgage-backed securities and FDIC-guaranteed bank bonds which offered greater yield potential than Treasuries.
Derek S. Brown, CFA
Greg D. Haendel, CFA
Co-Portfolio Managers
Transamerica Investment Management, LLC
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica U.S. Government Securities VP
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 4.40 | % | | | 5.16 | % | | | 4.51 | % | | | 05/13/1994 | |
Barclays Capital U.S. Government * | | | 5.52 | % | | | 5.45 | % | | | 5.42 | % | | | | |
| |
| Service Class | | | 4.22 | % | | | 4.92 | % | | | 3.93 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Barclays Capital U.S. Government Index (“Barclays Capital U.S. Government”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica U.S. Government Securities VP
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica U.S. Government Securities VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,009.60 | | | $ | 3.04 | | | $ | 1,022.18 | | | $ | 3.06 | | | | 0.60 | % |
| Service Class | | | 1,000.00 | | | | 1,009.10 | | | | 4.30 | | | | 1,020.92 | | | | 4.33 | | | | 0.85 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net |
| Asset Type | | Assets |
| |
| Corporate Debt Security | | | 39.9 | % |
| U.S. Government Obligation | | | 23.6 | |
| U.S. Government Agency Obligation | | | 22.6 | |
| Foreign Government Obligation | | | 4.9 | |
| Securities Lending Collateral | | | 3.9 | |
| Short-Term U.S. Government Obligation | | | 3.3 | |
| Mortgage-Backed Security | | | 2.9 | |
| Preferred Corporate Debt Security | | | 1.9 | |
| Repurchase Agreement | | | 0.5 | |
Other Assets and Liabilities — Net(A) | | | (3.5 | ) |
| |
Total | | | 100.0 | % |
| | | | | |
| | |
| (A) | | The Other Assets and Liabilities — Net category may include, but is not limited to, Forward Currency contracts, Futures Contracts, Swap Agreements, Written Options and Swaptions, and Securities Sold Short. |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica U.S. Government Securities VP
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts in thousands)
| | | | | | | | | | | | | |
| | | | | | | Principal | | | Value | |
| |
U.S. GOVERNMENT OBLIGATIONS - 23.6% | | | | | | | | | | | | |
| U.S. Treasury Inflation Indexed Bond | | | | | | | | | | | | |
| 1.75%, 01/15/2028 | | | | | | $ | 27,612 | | | $ | 28,108 | |
| 2.50%, 01/15/2029 ^ | | | | | | | 27,356 | | | | 31,040 | |
| U.S. Treasury Note | | | | | | | | | | | | |
| 2.63%, 04/30/2016 | | | | | | | 4,000 | | | | 4,095 | |
| 2.75%, 02/15/2019 | | | | | | | 13,000 | | | | 12,832 | |
| 3.00%, 02/28/2017 | | | | | | | 23,000 | | | | 23,719 | |
| 3.13%, 10/31/2016 | | | | | | | 13,000 | | | | 13,561 | |
| 3.50%, 02/15/2018 | | | | | | | 26,330 | | | | 27,698 | |
| | | | | | | | | | | | |
Total U.S. Government Obligations (cost $134,656) | | | | | | | | | | | 141,053 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS - 22.6% | | | | | | | | | | | | |
| Fannie Mae | | | | | | | | | | | | |
| 2.78%, 07/01/2035 * | | | | | | | 3,130 | | | | 3,278 | |
| 2.94%, 08/01/2035 * | | | | | | | 3,181 | | | | 3,331 | |
| 3.22%, 02/01/2015 | | | | | | | 11,843 | | | | 12,265 | |
| 3.79%, 07/01/2013 | | | | | | | 1,362 | | | | 1,419 | |
| 4.50%, 03/25/2021 - 04/25/2030 | | | | | | | 3,658 | | | | 3,772 | |
| 5.00%, 06/25/2019 - 04/25/2034 | | | | | | | 6,519 | | | | 6,906 | |
| 5.50%, 04/01/2037 | | | | | | | 1,039 | | | | 1,119 | |
| 5.52%, 04/01/2037 * | | | | | | | 5,000 | | | | 5,283 | |
| 5.65%, 12/01/2036 * | | | | | | | 4,932 | | | | 5,250 | |
| 6.00%, 11/01/2037 - 10/01/2038 | | | | | | | 16,942 | | | | 18,546 | |
| Freddie Mac | | | | | | | | | | | | |
| 3.52%, 08/01/2037 * | | | | | | | 330 | | | | 345 | |
| 4.00%, 08/15/2028 - 02/15/2029 | | | | | | | 12,230 | | | | 12,712 | |
| 4.13%, 12/21/2012 - 09/27/2013 | | | | | | | 14,000 | | | | 15,082 | |
| 4.75%, 11/15/2021 | | | | | | | 162 | | | | 163 | |
| 5.00%, 08/15/2012 - 11/15/2032 | | | | | | | 6,256 | | | | 6,541 | |
| 5.32%, 07/01/2038 * | | | | | | | 3,229 | | | | 3,437 | |
| 5.46%, 09/01/2037 * | | | | | | | 2,274 | | | | 2,416 | |
| 5.50%, 09/15/2031 | | | | | | | 3,940 | | | | 4,061 | |
| Ginnie Mae | | | | | | | | | | | | |
| 3.28%, 02/16/2035 | | | | | | | 10,481 | | | | 10,880 | |
| 3.95%, 07/15/2025 | | | | | | | 8,700 | | | | 8,741 | |
| 4.00%, 08/20/2037 | | | | | | | 9,239 | | | | 9,728 | |
| | | | | | | | | | | | |
Total U.S. Government Agency Obligations
(cost $130,552) | | | | | | | | | | | 135,275 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS - 4.9% | | | | | | | | | | | | |
| Australia Government Bond | | | | | | | | | | | | |
| 4.50%, 04/15/2020 | | AUD | | | 7,500 | | | | 7,105 | |
| Canada Housing Trust No. 1 | | | | | | | | | | | | |
| 3.15%, 06/15/2015 | | CAD | | | 6,000 | | | | 6,183 | |
| Canadian Government Bond | | | | | | | | | | | | |
| 2.50%, 06/01/2015 | | CAD | | | 6,000 | | | | 6,084 | |
| United Mexican States | | | | | | | | | | | | |
| 7.50%, 06/21/2012 | | MXN | | | 120,000 | | | | 10,077 | |
| | | | | | | | | | | | |
Total Foreign Government Obligations (cost $27,120) | | | | | | | | | | | 29,449 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES - 2.9% | | | | | | | | | | | | |
| American General Mortgage Loan Trust | | | | | | | | | | | | |
| Series 2009-1, Class A6 | | | | | | | | | | | | |
| 5.75%, 09/25/2048 - 144A * | | | | | | $ | 5,000 | | | | 5,193 | |
| BCAP LLC Trust | | | | | | | | | | | | |
| Series 2009-RR6, Class 2A1 | | | | | | | | | | | | |
| 5.32%, 08/26/2035 - 144A * | | | | | | | 3,120 | | | | 2,969 | |
| Series 2010-RR1, Class 12A1 | | | | | | | | | | | | |
| 5.25%, 08/26/2036 - 144A * | | | | | | | 4,065 | | | | 4,217 | |
| Jefferies & Co., Inc. | | | | | | | | | | | | |
| Series 2009-R7, Class 10A3 | | | | | | | | | | | | |
| 6.00%, 12/26/2036 - 144A | | | | | | | 2,637 | | | | 2,765 | |
| Wells Fargo Mortgage Loan Trust | | | | | | | | | | | | |
| Series 2010-RR1, Class 2A1 | | | | | | | | | | | | |
| 0.36%, 08/27/2047 - 144A * | | | | | | | 2,513 | | | | 2,481 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities (cost $16,897) | | | | | | | | | | | 17,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | |
PREFERRED CORPORATE DEBT SECURITIES - 1.9% | | | | | | | | | | | | |
Capital Markets - 0.1% | | | | | | | | | | | | |
| State Street Capital Trust III | | | | | | | | | | | | |
| 8.25%, 03/15/2011 * Ž ^ | | | | | | | 735 | | | | 747 | |
Commercial Banks - 1.3% | | | | | | | | | | | | |
| Fleet Capital Trust II | | | | | | | | | | | | |
| 7.92%, 12/11/2026 | | | | | | | 4,500 | | | | 4,522 | |
| Rabobank Nederland NV | | | | | | | | | | | | |
| 11.00%, 06/30/2019 - 144A * Ž | | | | | | | 2,200 | | | | 2,843 | |
Diversified Financial Services - 0.5% | | | | | | | | | | | | |
| ZFS Finance USA Trust II | | | | | | | | | | | | |
| 6.45%, 06/15/2016 - 144A * | | | | | | | 3,100 | | | | 3,050 | |
| | | | | | | | | | | | |
Total Preferred Corporate Debt Securities (cost $10,585) | | | | | | | | | | | 11,162 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | |
CORPORATE DEBT SECURITIES - 39.9% | | | | | | | | | | | | |
Beverages - 0.5% | | | | | | | | | | | | |
| Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | | | | | |
| 9.75%, 11/17/2015 ^ | | | | | | | 5,000 | | | | 3,057 | |
Capital Markets - 7.5% | | | | | | | | | | | | |
| Goldman Sachs Group, Inc. | | | | | | | | | | | | |
| 3.25%, 06/15/2012 ^ | | | | | | | 20,000 | | | | 20,762 | |
| Raymond James Financial, Inc. | | | | | | | | | | | | |
| 8.60%, 08/15/2019 | | | | | | | 3,000 | | | | 3,555 | |
| State Street Corp. | | | | | | | | | | | | |
| 2.15%, 04/30/2012 ^ | | | | | | | 20,000 | | | | 20,418 | |
Commercial Banks - 5.1% | | | | | | | | | | | | |
| American Express Bank FSB | | | | | | | | | | | | |
| 3.15%, 12/09/2011 ^ | | | | | | | 9,000 | | | | 9,229 | |
| Barclays Bank PLC | | | | | | | | | | | | |
| 10.18%, 06/12/2021 - 144A | | | | | | | 2,240 | | | | 2,789 | |
| PNC Funding Corp. | | | | | | | | | | | | |
| 2.30%, 06/22/2012 ^ | | | | | | | 18,000 | | | | 18,459 | |
Diversified Financial Services - 24.7% | | | | | | | | | | | | |
| Ally Financial, Inc. | | | | | | | | | | | | |
| 2.20%, 12/19/2012 ^ | | | | | | | 25,000 | | | | 25,712 | |
| Aviation Capital Group | | | | | | | | | | | | |
| 7.13%, 10/15/2020 - 144A | | | | | | | 5,000 | | | | 5,024 | |
| Bank of America Corp. | | | | | | | | | | | | |
| 3.13%, 06/15/2012 | | | | | | | 20,000 | | | | 20,714 | |
| Cemex Finance LLC | | | | | | | | | | | | |
| 9.50%, 12/14/2016 - 144A ^ § | | | | | | | 2,145 | | | | 2,212 | |
| Citigroup, Inc. | | | | | | | | | | | | |
| 2.13%, 04/30/2012 | | | | | | | 25,000 | | | | 25,507 | |
| General Electric Capital Corp. | | | | | | | | | | | | |
| 2.20%, 06/08/2012 | | | | | | | 25,000 | | | | 25,560 | |
| Glencore Funding LLC | | | | | | | | | | | | |
| 6.00%, 04/15/2014 - 144A | | | | | | | 2,000 | | | | 2,114 | |
| International Lease Finance Corp. | | | | | | | | | | | | |
| 6.50%, 09/01/2014 - 144A ^ | | | | | | | 3,000 | | | | 3,180 | |
| Irish Life & Permanent Group Holdings PLC | | | | | | | | | | | | |
| 3.60%, 01/14/2013 - 144A | | | | | | | 4,000 | | | | 3,588 | |
| John Deere Capital Corp. | | | | | | | | | | | | |
| 2.88%, 06/19/2012 ^ | | | | | | | 24,400 | | | | 25,211 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | Annual Report 2010 |
Transamerica Series Trust | | |
Page 4
Transamerica U.S. Government Securities VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Principal | | | Value | |
| |
Diversified Financial Services (continued) | | | | | | | | |
| Unison Ground Lease Funding LLC | | | | | | | | |
| 6.39%, 04/15/2020 - 144A | | $ | 3,750 | | | $ | 3,786 | |
| WCP Wireless Site Funding LLC | | | | | | | | |
| 4.14%, 11/15/2015 - 144A | | | 4,988 | | | | 4,854 | |
Insurance - 0.2% | | | | | | | | |
| Pacific Life Insurance Co. | | | | | | | | |
| 9.25%, 06/15/2039 - 144A | | | 1,000 | | | | 1,300 | |
Oil, Gas & Consumable Fuels - 0.5% | | | | | | | | |
| Lukoil International Finance BV | | | | | | | | |
| 6.38%, 11/05/2014 - 144A | | | 3,000 | | | | 3,210 | |
Paper & Forest Products - 0.2% | | | | | | | | |
| Exopack Holding Corp. | | | | | | | | |
| 11.25%, 02/01/2014 | | | 1,240 | | | | 1,287 | |
Real Estate Investment Trusts - 1.2% | | | | | | | | |
| Kilroy Realty, LP | | | | | | | | |
| 5.00%, 11/03/2015 | | | 4,000 | | | | 3,971 | |
| Tanger Properties, LP | | | | | | | | |
| 6.13%, 06/01/2020 | | | 3,010 | | | | 3,231 | |
| | | | | | | | |
Total Corporate Debt Securities (cost $232,089) | | | | | | | 238,730 | |
| | | | | | | | |
| | | | | | | | | |
SHORT-TERM U.S. GOVERNMENT OBLIGATION - 3.3% | | | | | | | | |
| U.S. Treasury Bill | | | | | | | | |
| 0.12%, 03/10/2011 ▲ | | | 19,500 | | | | 19,495 | |
Total Short-Term U.S. Government Obligation
(cost $19,495) | | | | | | | | |
| | | | | | | | | |
| | | Shares | | | Value | |
| |
SECURITIES LENDING COLLATERAL - 3.9% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 23,329,605 | | | $ | 23,330 | |
Total Securities Lending Collateral (cost $23,330) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 0.5% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $2,709 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 07/15/2025, with a value of $2,766. | | $ | 2,709 | | | | 2,709 | |
Total Repurchase Agreement (cost $2,709) | | | | | | | | |
| |
| | | | | | | | |
| Total Investment Securities (cost $597,433) # | | | | | | | 618,828 | |
| Other Assets and Liabilities — Net | | | | | | | (20,890 | ) |
| | | | | | | | |
| |
Net Assets | | | | | | $ | 597,938 | |
| | | | | | | | |
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Amount in U.S. | | | | |
| | | | | | | Settlement | | | Dollars Bought | | | Net Unrealized | |
| Currency | | (Sold) | | | Date | | | (Sold) | | | (Depreciation) | |
| |
| Australian Dollar | | | (7,000 | ) | | | 01/28/2011 | | | $ | (6,777 | ) | | $ | (355 | ) |
| Canadian Dollar | | | (11,700 | ) | | | 01/28/2011 | | | | (11,430 | ) | | | (331 | ) |
| Mexican Peso | | | (129,000 | ) | | | 01/28/2011 | | | | (10,319 | ) | | | (108 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | (794 | ) |
| | | | | | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $22,865. |
| |
| * | | Floating or variable rate note. Rate is listed as of 12/31/2010. |
| |
| Ž | | The security has a perpetual maturity. The date shown is the next call date. |
| |
| § | | Illiquid. This security aggregated $2,212, or 0.37%, of the fund’s net assets. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $597,433. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $23,805 and $2,410, respectively. Net unrealized appreciation for tax purposes is $21,395. |
DEFINITIONS:
| | | |
|
144A | | 144A Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. At 12/31/2010, these securities aggregated $55,575, or 9.29%, of the fund’s net assets. |
| | | |
AUD | | Australian Dollar |
| | | |
CAD | | Canadian Dollar |
| | | |
FSB | | Full-Service Bank |
| | | |
MXN | | Mexican Peso |
| | | |
|
The notes to the financial statements are an integral part of this report. | | Annual Report 2010 |
Transamerica Series Trust | | |
Page 5
Transamerica U.S. Government Securities VP
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts in thousands)
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| Corporate Debt Securities | | $ | — | | $ | 238,730 | | $ | — | | $ | 238,730 |
| Foreign Government Obligations | | | — | | | 29,449 | | | — | | | 29,449 |
| Mortgage-Backed Securities | | | — | | | 17,625 | | | — | | | 17,625 |
| Preferred Corporate Debt Securities | | | — | | | 11,162 | | | — | | | 11,162 |
| Repurchase Agreement | | | — | | | 2,709 | | | — | | | 2,709 |
| Securities Lending Collateral | | | 23,330 | | | — | | | — | | | 23,330 |
| Short-Term U.S. Government Obligations | | | — | | | 19,495 | | | — | | | 19,495 |
| U.S. Government Agency Obligations | | | — | | | 135,275 | | | — | | | 135,275 |
| U.S. Government Obligations | | | — | | | 141,053 | | | — | | | 141,053 |
| | | | | | | | | |
Total | | $ | 23,330 | | $ | 595,498 | | $ | — | | $ | 618,828 |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| Forward Foreign Currency Contracts — Depreciation | | | — | | | $ | (794 | ) | | | — | | | $ | (794 | ) |
Level 3 Rollforward — Investment Securities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning | | | | | | | | | | | | | | | | | | | | | | Ending |
| | | Balance at | | Net | | Accrued | | Total Realized | | Change in Unrealized | | Net Transfers | | Balance at |
| Securities | | 12/31/2009 | | Sales | | Discounts/(Premiums) | | Gain | | (Depreciation) | | (Out) of Level 3 | | 12/31/2010 |
| |
| Asset-Backed Securities | | $ | 14,166 | | | $ | (683 | ) | | $ | — | | | $ | 52 | | | $ | 477 | | | $ | (14,012 | ) | | $ | — | |
| | |
| * | | Other financial instruments are derivative instruments including, but not limited to, Futures Contracts, Forward Foreign Currency Contracts, and Swap Contracts that are valued at unrealized appreciation (depreciation) on the instrument. |
| | | |
|
The notes to the financial statements are an integral part of this report. | | Annual Report 2010 |
Transamerica Series Trust | | |
Page 6
Transamerica U.S. Government Securities VP
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $594,724) | | $ | 616,119 | |
| (including securities loaned of $22,865) | | | | |
| Repurchase agreement, at value (cost: $2,709) | | | 2,709 | |
| Receivables: | | | | |
| Investment securities sold | | | 4,243 | |
| Shares sold | | | 694 | |
| Interest | | | 3,119 | |
| Securities lending income (net) | | | 3 | |
| Prepaid expenses | | | 8 | |
| | | | |
| | | | 626,895 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 4,047 | |
| Shares redeemed | | | 353 | |
| Management and advisory fees | | | 282 | |
| Distribution and service fees | | | 87 | |
| Administration fees | | | 10 | |
| Printing and shareholder reports fees | | | 23 | |
| Audit and tax fees | | | 7 | |
| Other | | | 24 | |
| Collateral for securities on loan | | | 23,330 | |
| Unrealized depreciation on forward foreign currency contracts | | | 794 | |
| | | | |
| | | | 28,957 | |
| | | | |
Net assets | | $ | 597,938 | |
| | | | |
| |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 463 | |
| Additional paid-in capital | | | 548,601 | |
| Undistributed (accumulated) net investment income (loss) | | | 16,433 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities, futures, and foreign currency transactions | | | 11,837 | |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 21,395 | |
| Translation of assets and liabilities denominated in foreign currencies | | | (791 | ) |
| | | | |
Net assets | | $ | 597,938 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 190,139 | |
| Service Class | | | 407,799 | |
Shares outstanding: | | | | |
| Initial Class | | | 14,908 | |
| Service Class | | | 31,428 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 12.75 | |
| Service Class | | | 12.98 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Interest income | | | 22,210 | |
| Securities lending income (net) | | | 26 | |
| | | | |
| | | | 22,236 | |
| | | | |
| | | | | |
Expenses: | | | | |
| Management and advisory | | | 3,725 | |
| Printing and shareholder reports | | | 58 | |
| Custody | | | 87 | |
| Administration | | | 135 | |
| Legal | | | 35 | |
| Audit and tax | | | 14 | |
| Trustees | | | 24 | |
| Transfer agent | | | 6 | |
| Distribution and service: | | | | |
| Service Class | | | 1,200 | |
| Other | | | 14 | |
| | | | |
| Total expenses | | | 5,298 | |
| | | | |
| | | | | |
Net investment income | | | 16,938 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 17,448 | |
| Futures contracts | | | (3,081 | ) |
| Foreign currency transactions | | | (1,667 | ) |
| | | | |
| | | | 12,700 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 1,929 | |
| Futures contracts | | | (456 | ) |
| Translation of assets and liabilities denominated in foreign currencies | | | (789 | ) |
| | | | |
Change in unrealized appreciation (depreciation) | | | 684 | |
| | | | |
Net realized and unrealized gain | | | 13,384 | |
| | | | |
| | | | | |
Net increase in net assets resulting from operations | | $ | 30,322 | |
| | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | Annual Report 2010 |
Transamerica Series Trust | | |
Page 7
Transamerica U.S. Government Securities VP
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 16,938 | | | $ | 23,001 | |
| Net realized gain (loss) from investment securities, futures contracts, and foreign currency transactions | | | 12,700 | | | | 15,545 | |
| Change in net unrealized appreciation (depreciation) on investment securities, futures contracts, and foreign currency translation | | | 684 | | | | (6,719 | ) |
| | | | | | | |
Net increase in net assets resulting from operations | | | 30,322 | | | | 31,827 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (6,123 | ) | | | (5,415 | ) |
| Service Class | | | (15,268 | ) | | | (11,573 | ) |
| | | | | | | |
| | | | (21,391 | ) | | | (16,988 | ) |
| | | | | | | |
| From net realized gains: | | | | | | | | |
| Initial Class | | | (4,390 | ) | | | — | |
| Service Class | | | (11,944 | ) | | | — | |
| | | | | | | |
| | | | (16,334 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (37,725 | ) | | | (16,988 | ) |
| | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 40,939 | | | | 39,636 | |
| Service Class | | | 353,708 | | | | 188,190 | |
| | | | | | | |
| | | | 394,647 | | | | 227,826 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 10,513 | | | | 5,415 | |
| Service Class | | | 27,212 | | | | 11,573 | |
| | | | | | | |
| | | | 37,725 | | | | 16,988 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (62,279 | ) | | | (94,797 | ) |
| Service Class | | | (435,689 | ) | | | (362,061 | ) |
| | | | | | | |
| | | | (497,968 | ) | | | (456,858 | ) |
| | | | | | | |
Net decrease in net assets from capital shares transactions | | | (65,596 | ) | | | (212,044 | ) |
| | | | | | | |
| | | | | | | | | |
Net decrease in net assets | | | (72,999 | ) | | | (197,205 | ) |
| | | | | | | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 670,937 | | | | 868,142 | |
| | | | | | | |
| End of year | | $ | 597,938 | | | $ | 670,937 | |
| | | | | | | |
Undistributed net investment income | | $ | 16,433 | | | $ | 21,397 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 3,124 | | | | 3,127 | |
| Service Class | | | 26,557 | | | | 14,500 | |
| | | | | | | |
| | | | 29,681 | | | | 17,627 | |
| | | | | | | |
| Shares issued-reinvested from distributions: | | | | | | | | |
| Initial Class | | | 822 | | | | 428 | |
| Service Class | | | 2,092 | | | | 899 | |
| | | | | | | |
| | | | 2,914 | | | | 1,327 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (4,777 | ) | | | (7,440 | ) |
| Service Class | | | (32,962 | ) | | | (27,897 | ) |
| | | | | | | |
| | | | (37,739 | ) | | | (35,337 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (831 | ) | | | (3,885 | ) |
| Service Class | | | (4,313 | ) | | | (12,498 | ) |
| | | | | | | |
| | | | (5,144 | ) | | | (16,383 | ) |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | Annual Report 2010 |
Transamerica Series Trust | | |
Page 8
Transamerica U.S. Government Securities VP
FINANCIAL HIGHLIGHTS:
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 12.89 | | | $ | 12.64 | | | $ | 12.00 | | | $ | 11.86 | | | $ | 11.94 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.35 | | | | 0.39 | | | | 0.44 | | | | 0.54 | | | | 0.52 | |
| Net realized and unrealized gain (loss) | | | 0.22 | | | | 0.17 | | | | 0.47 | | | | 0.16 | | | | (0.14 | ) |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.57 | | | | 0.56 | | | | 0.91 | | | | 0.70 | | | | 0.38 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.41 | ) | | | (0.31 | ) | | | (0.27 | ) | | | (0.56 | ) | | | (0.44 | ) |
| From net realized gains | | | (0.30 | ) | | | — | | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.71 | ) | | | (0.31 | ) | | | (0.27 | ) | | | (0.56 | ) | | | (0.46 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 12.75 | | | $ | 12.89 | | | $ | 12.64 | | | $ | 12.00 | | | $ | 11.86 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 4.40 | % | | | 4.47 | % | | | 7.66 | % | | | 6.05 | % | | | 3.27 | % |
Net assets end of year (000’s) | | $ | 190,139 | | | $ | 202,820 | | | $ | 247,964 | | | $ | 149,664 | | | $ | 164,070 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.61 | % | | | 0.61 | % | | | 0.60 | % | | | 0.62 | % | | | 0.62 | % |
| Net investment income, to average net assets | | | 2.69 | % | | | 3.09 | % | | | 3.60 | % | | | 4.56 | % | | | 4.41 | % |
| Portfolio turnover rate | | | 110 | % | | | 157 | % | | | 200 | % | | | 170 | % | | | 184 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 13.10 | | | $ | 12.86 | | | $ | 12.23 | | | $ | 12.09 | | | $ | 12.18 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.32 | | | | 0.37 | | | | 0.39 | | | | 0.52 | | | | 0.51 | |
| Net realized and unrealized gain (loss) | | | 0.23 | | | | 0.16 | | | | 0.51 | | | | 0.16 | | | | (0.14 | ) |
| | | | | | | | | | | | | | | | |
| Total operations | | | 0.55 | | | | 0.53 | | | | 0.90 | | | | 0.68 | | | | 0.37 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.37 | ) | | | (0.29 | ) | | | (0.27 | ) | | | (0.54 | ) | | | (0.44 | ) |
| From net realized gains | | | (0.30 | ) | | | — | | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.67 | ) | | | (0.29 | ) | | | (0.27 | ) | | | (0.54 | ) | | | (0.46 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 12.98 | | | $ | 13.10 | | | $ | 12.86 | | | $ | 12.23 | | | $ | 12.09 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 4.22 | % | | | 4.20 | % | | | 7.42 | % | | | 5.78 | % | | | 3.06 | % |
Net assets end of year (000’s) | | $ | 407,799 | | | $ | 468,117 | | | $ | 620,178 | | | $ | 26,213 | | | $ | 8,572 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.86 | % | | | 0.86 | % | | | 0.85 | % | | | 0.87 | % | | | 0.87 | % |
| Net investment income, to average net assets | | | 2.43 | % | | | 2.84 | % | | | 3.14 | % | | | 4.29 | % | | | 4.27 | % |
| Portfolio turnover rate | | | 110 | % | | | 157 | % | | | 200 | % | | | 170 | % | | | 184 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | | |
|
The notes to the financial statements are an integral part of this report. | | Annual Report 2010 |
Transamerica Series Trust | | |
Page 9
Transamerica U.S. Government Securities VP
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of
1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. Transamerica U.S. Government Securities VP (the “Fund”) is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreement, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities are translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Forward foreign currency contracts: The Fund is subject to foreign currency exchange rate risk exposure in the normal course of pursuing its investment objective. The Fund enters into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Forward foreign currency contracts are marked to market daily, with the change in value recorded as an unrealized gain or loss. When the contracts are settled, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying currencies and from the possible inability of counterparties to meet the terms of their contracts.
Open forward foreign currency contracts at December 31, 2010 are listed in the Schedule of Investments.
Futures contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objective. The Fund uses futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker either in cash or securities an initial margin in an amount equal to a certain percentage of the contract amount.
Subsequent payments (variation margin) are paid or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or security prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize losses. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
There are no open futures contracts at December 31, 2010.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica U.S. Government Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Treasury inflation-protected securities (“TIPS”): The Fund invests in TIPS, specially structured bonds in which the principal amount is adjusted daily to keep pace with inflation as measured by the U.S. Consumer Price Index. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.
Cash overdraft: Throughout the year, the Fund may have cash overdraft balances. A fee is incurred on these overdrafts by a rate based on the federal funds rate.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Restricted and illiquid securities: Restricted and illiquid securities are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The restricted and illiquid securities at December 31, 2010 are listed in the Schedule of Investments.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Market and credit risk: On September 6, 2008, the Federal Housing Finance Agency (“FHFA”) placed Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”) into conservatorship. As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and the assets of FNMA and FHLMC. On September 7, 2008, the U.S. Treasury announced additional steps taken by it in connection with the conservatorship. The U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of FNMA and FHLMC pursuant to which the U.S. Treasury will purchase up to an aggregate of $100 billion of each of FNMA and FHLMC to maintain a positive net worth in each enterprise. Second, the U.S. Treasury announced the creation of a new secured lending facility which is available to each of FNMA and FHLMC as a liquidity backstop. Third, the U.S. Treasury announced the creation of a temporary program to purchase mortgage-backed securities issued by each of FNMA and FHLMC. On February 18, 2009, the U.S. Treasury announced that it was doubling the size of its commitment to each enterprise under the Senior Preferred Stock Program to $200 billion. Both the liquidity backstop and the mortgage-backed securities purchase program expired December 31, 2009. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remain liable for all of its obligations associated with its mortgage-backed securities, including its guaranty obligations. The Senior Preferred Stock Purchase Agreement is intended to enhance each of FNMA’s and FHLMC’s ability to meet its obligations. The FHFA has indicated that the conservatorship of each enterprise will end when the FHFA determines that the FHFA’s plan to restore the enterprise to a safe and solvent condition has been completed.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica U.S. Government Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Foreign securities, in which their 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 (“ADR”), financial futures, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Repurchase agreements are traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Corporate bonds: The fair value of corporate bonds 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 bonds 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.
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 as Level 3.
Short-term notes: Short-term notes are valued using amortized cost, which approximates fair value. To the extent the inputs are observable and timely, the values would be generally categorized in Level 2 of the fair value hierarchy.
Government securities: Government securities 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. Government securities generally are categorized in Level 2 of the fair value hierarchy.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica U.S. Government Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
U.S. government agency securities: U.S. government agency securities 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 securities. 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.
Restricted securities (equity and debt): Restricted securities for which quotations are not readily available are valued at fair value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Board of Trustees. 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 valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy.
Derivative instruments: 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, 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. A substantial 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.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by TAM’s Valuation Committee under the supervision of the Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, are disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Transamerica Investment Management, LLC (“TIM”) is both an affiliate of the Fund and sub-adviser of the Fund.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TFS, TIM and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TFS, TIM and TCI.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica U.S. Government Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.55% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding distribution and service fees and certain extraordinary expenses, exceed the following stated annual limit:
0.63% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of average net assets. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 184,153 | |
| U.S. Government | | | 523,239 | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 224,860 | |
| U.S. Government | | | 551,457 | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica U.S. Government Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund is subject to various risk in the normal course of pursuing its investment objectives. The volume of forward currency contracts held at year end is indicative of the volume held throughout the year. The volume of futures contracts held was up to seven contracts and decreased to zero contracts by the end of the year. The tables below highlight the types of risk and the derivative instruments used to mitigate the risks:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | |
| | | Foreign exchange |
| Location | | contracts |
| |
Liability Derivatives | | | | |
| Unrealized appreciation (depreciation) on forward currency contracts | | $ | (794 | ) |
Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2010
Derivatives not accounted for as hedging instruments
| | | | | | | | | | | | | |
| | | Interest Rate | | Foreign exchange | | |
| Location | | Contracts | | contracts | | Total |
| |
Realized Gain/(Loss) on derivative transactions | | | | | | | | | | | | |
| Net realized gain(loss) on futures contracts | | $ | (3,081 | ) | | $ | — | | | $ | (3,081 | ) |
| Net realized gain(loss) on foreign currency transactions | | | — | | | | (1,534 | ) | | | (1,534 | ) |
Change in Unrealized Appreciation/(Depreciation) on derivative transactions | | | | | | | | | | | | |
| Net increase (decrease) in unrealized (depreciation) on futures contracts | | | (456 | ) | | | — | | | | (456 | ) |
| Net increase (decrease) in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies | | | | | | | (794 | ) | | | (794 | ) |
| | | | | | | | | | |
| Total | | $ | (3,537 | ) | | $ | (2,328 | ) | | $ | (5,865 | ) |
| | | | | | | | | | |
For non-exchange traded derivatives (swaps and forward foreign currency contracts), under standard derivatives agreements, the Fund may be required to post collateral on derivatives if the Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if the Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
NOTE 6. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | 6 | |
| Undistributed (accumulated) net investment income (loss) | | $ | (511 | ) |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | 505 | |
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica U.S. Government Securities VP
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 6. (continued)
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 36,016 | |
| Long-term Capital Gain | | | 1,709 | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 16,988 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 27,615 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | 2,189 | |
| | | | |
| Capital Loss Carryforward | | $ | — | |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | (361 | ) |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 21,398 | |
| | | | |
| Other Temporary Differences | | $ | (1,967 | ) |
| | | | |
NOTE 7. SUBSEQUENT EVENTS
The Fund’s Board of Trustees has proposed changes to Transamerica U.S. Government Securities VP. The Fund would change its name to Transamerica AEGON U.S. Government Securities VP and sub-adviser from Transamerica Investment Management, LLC to AEGON USA Investment Management, LLC (“AUIM”), an affiliate of TAM. These changes are expected to occur on or about March 31, 2011, but may occur sooner. Shareholder approval of the sub-advisory agreement with AUIM must be obtained, and the Board has authorized seeking such approval.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 16
Transamerica U.S. Government Securities VP
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica U.S. Government Securities VP:
We have audited the accompanying statement of assets and liabilities of Transamerica U.S. Government Securities VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Transamerica U.S. Government Securities VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 17
Transamerica U.S. Government Securities VP
SUPPLEMENTAL TAX INFORMATION (unaudited)
(all amounts in thousands)
For tax purposes, the Fund has made a Long-Term Capital Gain Designation of $1,709 for the year ended December 31, 2010.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 18
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
(unaudited)
MARKET ENVIRONMENT
Equity markets experienced another year of volatile results. Despite the massive stimulus bill during the first half of the year, the unemployment rate remained high. Record government deficits continued as well, and a new healthcare entitlement bill was enacted, increasing taxes significantly for certain companies and individuals. The sustainable future growth of the global economy remained in question and the record government deficits continued to grow due to increased spending, despite increased taxes during the first half of the year. During the second half of the year, equity markets began to reflect the likelihood of a positive change in the direction of the US economy in 2011 due to less onerous regulation and an improvement in the relationship between business and Congress. The market’s increase reflected the positive change from the election in early November. The election resulted in a significant change in the structure of Congress. The new Congress will likely slow down the excessive government spending, historic annual trillion dollar deficits, and massive expansion of government regulation that occurred over the last two years.
In this environment, nine of the ten sectors in the Russell 1000® Growth Index posted positive returns during the period. The Consumer Discretionary and Industrials sectors increased the most, while the Utilities sector was the only sector to post a decline for the year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica WMC Diversified Growth VP Initial Class returned 17.81%. By comparison its benchmark, the Russell 1000® Growth Index, returned 16.71%. (Prior to April 9, 2010, this Portfolio was named Transamerica Equity VP.)
STRATEGY REVIEW
The Portfolio’s investment process leverages the extensive research resources of Wellington Management and emphasizes a balance of growth, valuation, and quality criteria in selecting stocks. We utilize risk analysis tools to help maintain the Portfolio’s emphasis on stock selection and minimize other sources of relative risk. With this bottom-up approach incorporating diversified sources of alpha and effective risk analysis, our goal is to generate consistent outperformance over time.
During the period under Wellington’s management, the Portfolio outperformed its benchmark due to security selection. During the period, stock selection was additive to performance in the Information Technology (“IT”), Industrials, and Energy sectors; while selection was weaker in Financials and Consumer Staples. Sector allocation, a result of bottom-up stock selection, detracted from relative performance, due largely to an overweight position in IT and an underweight in Energy stocks.
The Portfolio’s largest contributors to relative performance during the period included NetApp, Inc., Caterpillar, Inc., and Altera Corp. Network storage equipment manufacturer NetApp, Inc. reported strong revenue growth as IT organizations used the firm’s low-cost, flexible and efficient storage infrastructure products to upgrade data centers. Shares of Altera Corp., a San Jose, California-based programmable logic semiconductor device manufacturer, rose after the company reported strong revenue growth and an increased operating margin. Manufacturer of construction and mining equipment, diesel and natural gas engines, and industrial gas turbines, Caterpillar, Inc.’s shares surged amid continued momentum in machinery sales driven by a robust recovery in construction activity. The Portfolio’s position in Apple, Inc. also contributed to positive returns during the year.
The Portfolio’s largest relative detractors during the period included Cisco Systems, Inc., ITT Educational Services, Inc., and Medtronic, Inc. Cisco Systems, Inc. shares fell on weaker than expected revenue guidance as state and local government spending slowed sharply due to budget concerns. Shares of ITT Educational Services, Inc., a provider of post-secondary degree programs, were hurt by concerns about potential regulation of the for-profit education industry, slowing enrollment growth, and lower placement rates. Diversified medical device manufacturer Medtronic, Inc. experienced a broad-based slowdown in procedural volumes, which led to weakness in revenue growth. The Portfolio’s position in Microsoft Corp. also hurt absolute performance results during the period.
Paul E. Marrkand, CFA
Portfolio Manager
Wellington Management Company, LLP
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 17.81 | % | | | 0.77 | % | | | 1.66 | % | | | 12/31/1980 | |
Russell 1000® Growth * | | | 16.71 | % | | | 3.75 | % | | | 0.02 | % | | | | |
| |
| Service Class | | | 17.48 | % | | | 0.50 | % | | | 7.07 | % | | | 05/01/2003 | |
| |
NOTES
| | |
| * | | The Russell 1000® Growth Index (“Russell 1000® Growth”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on 10 years. You cannot invest directly in an index. |
The performance data presented represents past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
The historical financial information for periods prior to May 1, 2002 has been derived from the financial history of the predecessor portfolio, Growth Portfolio of Transamerica Variable Insurance Fund, Inc.
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| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | Hypothetical Expenses (B) | | |
| | | Beginning | | Ending Account | | Expenses Paid | | Ending Account | | Expenses Paid | | Annualized |
| Fund Name | | Account Value | | Value | | During Period (A) | | Value | | During Period (A) | | Expense Ratio |
| |
| Transamerica WMC Diversified Growth VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,277.30 | | | $ | 4.53 | | | $ | 1,021.22 | | | $ | 4.02 | | | | 0.79 | % |
| Service Class | | | 1,000.00 | | | | 1,275.60 | | | | 5.97 | | | | 1,019.96 | | | | 5.30 | | | | 1.04 | |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net | |
| Asset Type | | Assets | |
| |
| Common Stocks | | | 95.8 | % |
| Securities Lending Collateral | | | 5.6 | |
| Repurchase Agreement | | | 0.0 | (a) |
| Other Assets and Liabilities — Net | | | (1.4 | ) |
| |
Total | | | 100.0 | % |
| | | | |
| | |
| (a) | | Amount rounds to less than 0.01%. |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 95.8% | | | | | | | | |
Aerospace & Defense - 1.9% | | | | | | | | |
| Boeing Co. | | | 205,583 | | | $ | 13,416 | |
| Honeywell International, Inc. | | | 484,803 | | | | 25,772 | |
Air Freight & Logistics - 0.9% | | | | | | | | |
| CH Robinson Worldwide, Inc. ^ | | | 223,195 | | | | 17,898 | |
Airlines - 0.6% | | | | | | | | |
| Southwest Airlines Co. ^ | | | 949,393 | | | | 12,323 | |
Automobiles — 1.3% | | | | | | | | |
| Ford Motor Co. ‡ ^ | | | 1,615,953 | | | | 27,132 | |
Beverages — 0.3% | | | | | | | | |
| Anheuser-Busch InBev NV ADR | | | 107,328 | | | | 6,127 | |
Biotechnology — 0.3% | | | | | | | | |
| Amgen, Inc. ‡ | | | 95,860 | | | | 5,263 | |
Capital Markets — 1.6% | | | | | | | | |
| Goldman Sachs Group, Inc. ^ | | | 191,476 | | | | 32,198 | |
Commercial Banks — 0.8% | | | | | | | | |
| Banco Santander Brasil SA ADR ^ | | | 398,586 | | | | 5,421 | |
| Wells Fargo & Co. | | | 385,408 | | | | 11,944 | |
Communications Equipment - 6.9% | | | | | | | | |
| Cisco Systems, Inc. ‡ ^ | | | 4,378,718 | | | | 88,581 | |
| Emulex Corp. ‡ ^ | | | 1,116,038 | | | | 13,013 | |
| Juniper Networks, Inc. ‡ ^ | | | 690,407 | | | | 25,490 | |
| Riverbed Technology, Inc. ‡ | | | 397,388 | | | | 13,976 | |
Computers & Peripherals - 12.4% | | | | | | | | |
| Apple, Inc. ‡ ^ | | | 277,251 | | | | 89,429 | |
| Dell, Inc. ‡ | | | 1,357,782 | | | | 18,398 | |
| EMC Corp. ‡ ^ | | | 2,878,014 | | | | 65,907 | |
| NetApp, Inc. ‡ ^ | | | 979,496 | | | | 53,833 | |
| QLogic Corp. ‡ ^ | | | 1,113,446 | | | | 18,951 | |
| SanDisk Corp. ‡ | | | 152,417 | | | | 7,600 | |
Consumer Finance - 0.8% | | | | | | | | |
| American Express Co. | | | 401,296 | | | | 17,224 | |
Diversified Consumer Services — 0.7% | | | | | | | | |
| ITT Educational Services, Inc. ‡ ^ | | | 219,266 | | | | 13,965 | |
Electrical Equipment - 1.0% | | | | | | | | |
| Emerson Electric Co. ^ | | | 359,792 | | | | 20,569 | |
Energy Equipment & Services — 1.9% | | | | | | | | |
| Baker Hughes, Inc. ^ | | | 146,570 | | | | 8,379 | |
| Cameron International Corp. ‡ | | | 251,324 | | | | 12,750 | |
| Nabors Industries, Ltd. ‡ ^ | | | 291,404 | | | | 6,836 | |
| Oceaneering International, Inc. ‡ ^ | | | 143,726 | | | | 10,583 | |
Health Care Equipment & Supplies — 0.9% | | | | | | | | |
| Hologic, Inc. ‡ ^ | | | 602,820 | | | | 11,345 | |
| Intuitive Surgical, Inc. ‡ ^ | | | 9,071 | | | | 2,338 | |
| Stryker Corp. ^ | | | 72,720 | | | | 3,905 | |
Health Care Providers & Services — 1.5% | | | | | | | | |
| Laboratory Corp. of America Holdings ‡ ^ | | | 170,653 | | | | 15,004 | |
| UnitedHealth Group, Inc. ^ | | | 467,151 | | | | 16,869 | |
Hotels, Restaurants & Leisure - 2.4% | | | | | | | | |
| Carnival Corp. ^ | | | 197,953 | | | | 9,128 | |
| Ctrip.com International, Ltd. ADR ‡ ^ | | | 115,213 | | | | 4,660 | |
| Las Vegas Sands Corp. ‡ | | | 309,570 | | | | 14,225 | |
| Starbucks Corp. ^ | | | 676,350 | | | | 21,731 | |
Industrial Conglomerates — 1.8% | | | | | | | | |
| General Electric Co. ^ | | | 2,006,259 | | | | 36,694 | |
Insurance - 0.8% | | | | | | | | |
| Lincoln National Corp. ^ | | | 566,952 | | | | 15,767 | |
Internet & Catalog Retail - 2.8% | | | | | | | | |
| Amazon.com, Inc. ‡ ^ | | | 144,998 | | | | 26,100 | |
| Expedia, Inc. ^ | | | 670,285 | | | | 16,817 | |
| priceline.com, Inc. ‡ | | | 34,391 | | | | 13,741 | |
Internet Software & Services - 3.6% | | | | | | | | |
| eBay, Inc. ‡ ^ | | | 439,967 | | | | 12,244 | |
| Google, Inc. — Class A ‡ | | | 90,585 | | | | 53,805 | |
| IAC/InterActiveCorp ‡ ^ | | | 248,615 | | | | 7,135 | |
IT Services - 4.9% | | | | | | | | |
| Cognizant Technology Solutions Corp. — Class A ‡ ^ | | | 117,921 | | | | 8,642 | |
| International Business Machines Corp. ^ | | | 624,604 | | | | 91,667 | |
Life Sciences Tools & Services - 0.9% | | | | | | | | |
| Waters Corp. ‡ ^ | | | 234,207 | | | | 18,200 | |
Machinery - 8.9% | | | | | | | | |
| Caterpillar, Inc. ^ | | | 702,422 | | | | 65,790 | |
| Cummins, Inc. ^ | | | 131,141 | | | | 14,427 | |
| Dover Corp. | | | 318,999 | | | | 18,645 | |
| Illinois Tool Works, Inc. ^ | | | 328,097 | | | | 17,520 | |
| Ingersoll-Rand PLC ^ | | | 318,962 | | | | 15,020 | |
| Joy Global, Inc. | | | 280,230 | | | | 24,310 | |
| Parker Hannifin Corp. | | | 328,669 | | | | 28,365 | |
Media - 1.9% | | | | | | | | |
| News Corp. — Class A ^ | | | 859,707 | | | | 12,517 | |
| Omnicom Group, Inc. | | | 569,828 | | | | 26,098 | |
Metals & Mining - 4.0% | | | | | | | | |
| Cliffs Natural Resources, Inc. ^ | | | 240,251 | | | | 18,742 | |
| Nucor Corp. ^ | | | 420,038 | | | | 18,406 | |
| Rio Tinto PLC ADR | | | 189,590 | | | | 13,586 | |
| Teck Resources, Ltd. — Class B ^ | | | 501,104 | | | | 30,983 | |
Oil, Gas & Consumable Fuels — 4.2% | | | | | | | | |
| Anadarko Petroleum Corp. ^ | | | 298,129 | | | | 22,706 | |
| Exxon Mobil Corp. | | | 230,030 | | | | 16,820 | |
| Occidental Petroleum Corp. ^ | | | 206,621 | | | | 20,270 | |
| Valero Energy Corp. ^ | | | 1,171,539 | | | | 27,085 | |
Semiconductors & Semiconductor Equipment - 8.9% | | | | | | | | |
| Altera Corp. ^ | | | 1,758,711 | | | | 62,574 | |
| Analog Devices, Inc. | | | 716,812 | | | | 27,002 | |
| Broadcom Corp. — Class A ^ | | | 506,152 | | | | 22,043 | |
| Intel Corp. | | | 443,740 | | | | 9,332 | |
| Intersil Corp. — Class A ^ | | | 1,495,580 | | | | 22,838 | |
| Xilinx, Inc. ^ | | | 1,316,202 | | | | 38,144 | |
Software - 12.6% | | | | | | | | |
| Adobe Systems, Inc. ‡ ^ | | | 379,148 | | | | 11,670 | |
| Autodesk, Inc. ‡ ^ | | | 489,349 | | | | 18,693 | |
| BMC Software, Inc. ‡ | | | 373,327 | | | | 17,599 | |
| Check Point Software Technologies, Ltd. ‡ ^ | | | 491,137 | | | | 22,720 | |
| Citrix Systems, Inc. ‡ | | | 250,490 | | | | 17,136 | |
| Longtop Financial Technologies, Ltd. ADR ‡ ^ | | | 192,152 | | | | 6,952 | |
| Microsoft Corp. | | | 2,247,657 | | | | 62,755 | |
| Oracle Corp. | | | 2,292,476 | | | | 71,755 | |
| Red Hat, Inc. ‡ ^ | | | 341,590 | | | | 15,594 | |
| VMware, Inc. — Class A ‡ ^ | | | 162,624 | | | | 14,459 | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | Annual Report 2010 |
Transamerica Series Trust | | |
Page 4
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Specialty Retail - 3.3% | | | | | | | | |
| Advance Auto Parts, Inc. ^ | | | 207,491 | | | $ | 13,726 | |
| Aeropostale, Inc. ‡ ^ | | | 188,146 | | | | 4,636 | |
| Buckle, Inc. ^ | | | 108,842 | | | | 4,111 | |
| Home Depot, Inc. | | | 442,503 | | | | 15,514 | |
| Ross Stores, Inc. ^ | | | 279,792 | | | | 17,697 | |
| TJX Cos., Inc. ^ | | | 284,418 | | | | 12,625 | |
Textiles, Apparel & Luxury Goods - 1.0% | | | | | | | | |
| Coach, Inc. ^ | | | 297,814 | | | | 16,472 | |
| Lululemon Athletica, Inc. ‡ ^ | | | 71,861 | | | | 4,917 | |
| | | | | | | | |
Total Common Stocks (cost $1,641,045) | | | | | | | 1,965,249 | |
| | | | | | | | |
| |
SECURITIES LENDING COLLATERAL - 5.6% | | | | | | | | |
| State Street Navigator Securities Lending | | | | | | | | |
| Trust — Prime Portfolio, 0.36% ▲ | | | 114,595,049 | | | | 114,595 | |
Total Securities Lending Collateral (cost $114,595) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 0.0%∞ | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $839 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 4.00%, due 12/15/2017, with a value of $858. | | $ | 839 | | | $ | 839 | |
Total Repurchase Agreement (cost $839) | | | | | | | | |
| | | | | | | | |
| |
| Total Investment Securities (cost $1,756,479) # | | | | | | | 2,080,683 | |
| Other Assets and Liabilities — Net | | | | | | | (29,221 | ) |
| | | | | | | | |
| |
Net Assets | | | | | | $ | 2,051,462 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $111,953. |
| |
| ‡ | | Non-income producing security. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| ∞ | | Percentage rounds to less than 0.1%. |
| |
| # | | Aggregate cost for federal income tax purposes is $1,762,403. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $349,407 and $31,127, respectively. Net unrealized appreciation for tax purposes is $318,280. |
DEFINITION:
| | | |
|
ADR | | American Depositary Receipt |
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| Common Stocks | | $ | 1,907,795 | | $ | 57,454 | | $ | — | | $ | 1,965,249 |
| Repurchase Agreement | | | — | | | 839 | | | — | | | 839 |
| Securities Lending Collateral | | | 114,595 | | | — | | | — | | | 114,595 |
| | | | | | | | | |
Total | | $ | 2,022,390 | | $ | 58,293 | | $ | — | | $ | 2,080,683 |
| | | | | | | | | |
| | | |
|
The notes to the financial statements are an integral part of this report. | | Annual Report 2010 |
Transamerica Series Trust | | |
Page 5
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
| Investment securities, at value (cost: $1,755,640) | | $ | 2,079,844 | |
| (including securities loaned of $111,953) | | | | |
| Repurchase agreement, at value (cost: $839) | | | 839 | |
| Receivables: | | | | |
| Investment securities sold | | | 2,945 | |
| Shares sold | | | 86,157 | |
| Securities lending income (net) | | | 27 | |
| Dividends | | | 1,110 | |
| Prepaid expenses | | | 17 | |
| | | | |
| | | | 2,170,939 | |
| | | | |
| | | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 2,959 | |
| Shares redeemed | | | 497 | |
| Management and advisory fees | | | 1,181 | |
| Distribution and service fees | | | 7 | |
| Transfer agent fees | | | 1 | |
| Administration fees | | | 33 | |
| Printing and shareholder reports fees | | | 142 | |
| Audit and tax fees | | | 5 | |
| Other | | | 57 | |
| Collateral for securities on loan | | | 114,595 | |
| | | | |
| | | | 119,477 | |
| | | | |
Net assets | | $ | 2,051,462 | |
| | | | |
| | | | | |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 914 | |
| Additional paid-in capital | | | 2,047,106 | |
| Undistributed (accumulated) net investment income (loss) | | | 7,269 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (328,032 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 324,204 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Net assets | | $ | 2,051,462 | |
| | | | |
Net assets by class: | | | | |
| Initial Class | | $ | 1,932,732 | |
| Service Class | | | 118,730 | |
Shares outstanding: | | | | |
| Initial Class | | | 86,070 | |
| Service Class | | | 5,341 | |
Net asset value and offering price per share: | | | | |
| Initial Class | | $ | 22.46 | |
| Service Class | | | 22.23 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $218) | | $ | 20,636 | |
| Interest income | �� | | 2 | |
| Securities lending income (net) | | | 507 | |
| | | | |
| | | | 21,145 | |
| | | | |
Expenses: | | | | |
| Management and advisory | | | 12,567 | |
| Printing and shareholder reports | | | 464 | |
| Custody | | | 195 | |
| Administration | | | 352 | |
| Legal | | | 97 | |
| Audit and tax | | | 13 | |
| Trustees | | | 62 | |
| Transfer agent | | | 16 | |
| Registration | | | 1 | |
| Distribution and service: | | | | |
| Service Class | | | 72 | |
| Other | | | 36 | |
| | | | |
| Total expenses | | | 13,875 | |
| | | | |
| | | | | |
Net investment income | | | 7,270 | |
| | | | |
| | | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 197,056 | |
| | | | |
| | | | 197,056 | |
| | | | |
| | | | | |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 96,271 | |
| Translation of assets and liabilities denominated in foreign currencies | | | 1 | |
| | | | |
Change in unrealized appreciation (depreciation) | | | 96,272 | |
| | | | |
Net realized and unrealized gain | | | 293,328 | |
| | | | |
| |
Net increase in net assets resulting from operations | | $ | 300,598 | |
| | | | |
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 7,270 | | | $ | 9,481 | |
| Net realized gain (loss) from investment securities | | | 197,056 | | | | (286,930 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities and foreign currency translation | | | 96,272 | | | | 679,031 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 300,598 | | | | 401,582 | |
| | | | | | | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
| From net investment income: | | | | | | | | |
| Initial Class | | | (9,397 | ) | | | (14,202 | ) |
| Service Class | | | (87 | ) | | | (120 | ) |
| | | | | | | |
Total distributions to shareholders | | | (9,484 | ) | | | (14,322 | ) |
| | | | | | | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Initial Class | | | 84,071 | | | | 37,580 | |
| Service Class | | | 95,003 | | | | 7,317 | |
| | | | | | | |
| | | | 179,074 | | | | 44,897 | |
| | | | | | | |
| Dividends and distributions reinvested: | | | | | | | | |
| Initial Class | | | 9,397 | | | | 14,202 | |
| Service Class | | | 87 | | | | 120 | |
| | | | | | | |
| | | | 9,484 | | | | 14,322 | |
| | | | | | | |
| Cost of shares redeemed: | | | | | | | | |
| Initial Class | | | (175,409 | ) | | | (147,538 | ) |
| Service Class | | | (10,225 | ) | | | (7,604 | ) |
| | | | | | | |
| | | | (185,634 | ) | | | (155,142 | ) |
| | | | | | | |
Net increase (decrease) in net assets from capital shares transactions | | | 2,924 | | | | (95,923 | ) |
| | | | | | | |
| |
Net increase in net assets | | | 294,038 | | | | 291,337 | |
| | | | | | | |
| |
Net assets: | | | | | | | | |
| Beginning of year | | | 1,757,424 | | | | 1,466,087 | |
| | | | | | | |
| End of year | | $ | 2,051,462 | | | $ | 1,757,424 | |
| | | | | | | |
Undistributed net investment income | | $ | 7,269 | | | $ | 9,483 | |
| | | | | | | |
| | | | | | | | | |
Share activity: | | | | | | | | |
| Shares issued: | | | | | | | | |
| Initial Class | | | 4,330 | | | | 2,290 | |
| Service Class | | | 4,318 | | | | 433 | |
| | | | | | | |
| | | | 8,648 | | | | 2,723 | |
| | | | | | | |
| Shares issued-reinvested from | | | | | | | | |
| distributions: | | | | | | | | |
| Initial Class | | | 533 | | | | 827 | |
| Service Class | | | 5 | | | | 7 | |
| | | | | | | |
| | | | 538 | | | | 834 | |
| | | | | | | |
| Shares redeemed: | | | | | | | | |
| Initial Class | | | (8,876 | ) | | | (9,318 | ) |
| Service Class | | | (534 | ) | | | (479 | ) |
| | | | | | | |
| | | | (9,410 | ) | | | (9,797 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding: | | | | | | | | |
| Initial Class | | | (4,013 | ) | | | (6,201 | ) |
| Service Class | | | 3,789 | | | | (39 | ) |
| | | | | | | |
| | | | (224 | ) | | | (6,240 | ) |
| | | | | | | |
Note: Prior to January, 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 19.18 | | | $ | 14.98 | | | $ | 28.90 | | | $ | 25.95 | | | $ | 23.87 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.08 | | | | 0.10 | | | | 0.15 | | | | 0.05 | | | | 0.01 | |
| Net realized and unrealized gain (loss) | | | 3.31 | | | | 4.26 | | | | (13.09 | ) | | | 4.07 | | | | 2.07 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 3.39 | | | | 4.36 | | | | (12.94 | ) | | | 4.12 | | | | 2.08 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.11 | ) | | | (0.16 | ) | | | (0.06 | ) | | | (0.01 | ) | | | — | |
| From net realized gains | | | — | | | | — | | | | (0.92 | ) | | | (1.16 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.11 | ) | | | (0.16 | ) | | | (0.98 | ) | | | (1.17 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 22.46 | | | $ | 19.18 | | | $ | 14.98 | | | $ | 28.90 | | | $ | 25.95 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 17.81 | % | | | 29.20 | % | | | (46.00 | %) | | | 16.29 | % | | | 8.71 | % |
Net assets end of year (000’s) | | $ | 1,932,732 | | | $ | 1,727,961 | | | $ | 1,442,534 | | | $ | 2,938,220 | | | $ | 3,324,168 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 0.78 | % | | | 0.79 | % | | | 0.76 | % | | | 0.76 | % | | | 0.77 | % |
| Net investment income, to average net assets | | | 0.42 | % | | | 0.63 | % | | | 0.63 | % | | | 0.18 | % | | | 0.04 | % |
| Portfolio turnover rate | | | 134 | %(C) | | | 43 | % | | | 33 | % | | | 38 | % | | | 47 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Service Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 18.99 | | | $ | 14.80 | | | $ | 28.59 | | | $ | 25.73 | | | $ | 23.73 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(A) | | | 0.03 | | | | 0.06 | | | | 0.08 | | | | (0.02 | ) | | | (0.05 | ) |
| Net realized and unrealized gain (loss) | | | 3.27 | | | | 4.21 | | | | (12.95 | ) | | | 4.04 | | | | 2.05 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 3.30 | | | | 4.27 | | | | (12.87 | ) | | | 4.02 | | | | 2.00 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.06 | ) | | | (0.08 | ) | | | — | | | | — | | | | — | |
| From net realized gains | | | — | | | | — | | | | (0.92 | ) | | | (1.16 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.06 | ) | | | (0.08 | ) | | | (0.92 | ) | | | (1.16 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 22.23 | | | $ | 18.99 | | | $ | 14.80 | | | $ | 28.59 | | | $ | 25.73 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 17.48 | % | | | 28.90 | % | | | (46.17 | %) | | | 16.04 | % | | | 8.38 | % |
Net assets end of year (000’s) | | $ | 118,730 | | | $ | 29,463 | | | $ | 23,553 | | | $ | 69,701 | | | $ | 64,730 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | 1.03 | % | | | 1.04 | % | | | 1.01 | % | | | 1.01 | % | | | 1.02 | % |
| Net investment income (loss), to average net assets | | | 0.17 | % | | | 0.37 | % | | | 0.35 | % | | | (0.07 | %) | | | (0.22 | %) |
| Portfolio turnover rate | | | 134 | %(C) | | | 43 | % | | | 33 | % | | | 38 | % | | | 47 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (C) | | Increase in portfolio turnover rate was triggered by a change in the Fund’s objectives. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
The notes to the financial statements are an integral part of this report.
Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. On April 9, 2010, Transamerica Equity VP changed its name to Transamerica WMC Diversified Growth VP (the “Fund”), which is part of TST.
The Fund currently offers two classes of shares; an Initial Class and a Service Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Foreign currency denominated investments: The accounting records of the Fund are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing exchange rate each day. The cost of foreign securities is translated at the exchange rates in effect when the investment was acquired. The Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include: 1) foreign currency fluctuations between trade date and settlement date of investment security transactions; 2) gains and losses on forward foreign currency contracts; and 3) the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of $46, are included in net realized gain (loss) in the Statement of Operations.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 1. (continued)
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Multiple class operations, income, and expenses: Income, non-class specific expenses and realized and unrealized gains and losses are allocated daily to each class, based upon the value of shares outstanding method. Each class bears its own specific expenses as well as a portion of general, common expenses.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
Foreign taxes: The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund accrues such taxes and recoveries as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which the Fund invests.
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. (continued)
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010 is disclosed at the end of the Fund’s
Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Effective April 9, 2010, Transamerica Investment Management, LLC (“TIM”) is no longer a sub-adviser of the Fund. The Fund changed its sub-adviser to Wellington Management Company, LLP.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TIM, TFS, and TCI.
The following schedule reflects the percentage of Fund assets owned by affiliated investment companies at December 31, 2010:
| | | | | | | | | |
| | | Market | | | % of Net | |
| | | Value | | | Assets | |
| Transamerica Asset Allocation- Conservative VP | | $ | 66,004 | | | | 3.22 | % |
| Transamerica Asset Allocation- Growth VP | | | 96,460 | | | | 4.70 | |
| Transamerica Asset Allocation- Moderate VP | | | 163,618 | | | | 7.98 | |
| Transamerica Asset Allocation- Moderate Growth VP | | | 298,465 | | | | 14.55 | |
| | | | | | | |
| Total | | $ | 624,547 | | | | 30.45 | % |
| | | | | | | |
Investment advisory fees: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following breakpoints:
| | | | | |
|
| First $500 million | | | 0.75 | % |
| Over $500 million up to $2.5 billion | | | 0.70 | % |
| Over $2.5 billion | | | 0.65 | % |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. (continued)
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding 12b-1 fees and certain extraordinary expenses, exceed the following stated annual limit:
0.85% Expense Limit
If total Fund expenses, excluding 12b-1 fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived fees.
During the year ended December 31, 2010, there were no amounts reimbursed/waived or recaptured by the adviser. There are no amounts available for recapture by the adviser as of December 31, 2010.
Distribution and service fees: TST has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
The Distribution Plan requires TST to pay distribution fees to TCI as compensation for its activities, not as reimbursement for specific expenses. Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s Initial Class shares. The fee on the Service Class shares is paid to the insurance companies for providing services and account maintenance for their policyholders who invest in the variable insurance products which invest in the Service Class shares.
The Fund is authorized under the Distribution Plan to pay fees on each class up to the following limits:
| | | | | |
|
| Initial Class | | | 0.15 | % |
| Service Class | | | 0.25 | % |
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred with respect to the Initial Class shares before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance. The Fund will pay fees relating to Service Class shares.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 2,315,063 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 2,334,133 | |
| U.S. Government | | | — | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, swaps, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. These reclassifications are as follows:
| | | | | |
|
| Additional paid-in capital | | $ | — | |
| Undistributed (accumulated) net investment income (loss) | | $ | ♦ | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | $ | (♦ | ) |
| | |
| ♦ | | Amount rounds to less than $1. |
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | | | | | | | |
| | Capital Loss | | | | | | |
| | Carryforward | | | | | Available Through | |
| | | | | | | | | |
| | $ 322,023 | | | | | December 31, 2017 | |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $163,680.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 9,484 | |
| Long-term Capital Gain | | | — | |
| | | | | |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 14,322 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 7,185 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (322,023 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 318,280 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica WMC Diversified Growth VP:
We have audited the accompanying statement of assets and liabilities of Transamerica WMC Diversified Growth VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica WMC Diversified Growth VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Transamerica WMC Diversified Growth VP
(formerly, Transamerica Equity VP)
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 15
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
(unaudited)
MARKET ENVIRONMENT
Equity markets experienced another year of volatile results. Despite the massive stimulus bill during the first half of the year, the unemployment rate remained high. Record government deficits continued as well, and a new healthcare entitlement bill was enacted, increasing taxes significantly for certain companies and individuals. The sustainable future growth of the global economy remained in question and the record government deficits continued to grow due to increased spending, despite increased taxes during the first half of the year. During the second half of the year, equity markets began to reflect the likelihood of a positive change in the direction of the US economy in 2011 due to less onerous regulation and an improvement in the relationship between business and Congress. The market’s increase reflected the positive change from the election in early November. The election resulted in a significant change in the structure of Congress. The new Congress will likely slow down the excessive government spending, historic annual trillion dollar deficits, and massive expansion of government regulation that occurred over the last two years.
In this environment, nine of the ten sectors in the Russell 1000® Growth Index posted positive returns during the period. The Consumer Discretionary and Industrials sectors increased the most, while the Utilities sector was the only sector to post a decline for the year.
PERFORMANCE
For the year ended December 31, 2010, Transamerica WMC Diversified Growth II VP Initial Class returned 19.08%. By comparison its benchmark, the Russell 1000® Growth Index, returned 16.71%. (Prior to April 9, 2010, this Portfolio was named Transamerica Equity II VP).
STRATEGY REVIEW
The Portfolio’s investment process leverages the extensive research resources of Wellington Management and emphasizes a balance of growth, valuation, and quality criteria in selecting stocks. We utilize risk analysis tools to help maintain the Portfolio’s emphasis on stock selection and minimize other sources of relative risk. With this bottom-up approach incorporating diversified sources of alpha and effective risk analysis, our goal is to generate consistent outperformance over time.
During the period under Wellington’s management, the Portfolio outperformed its benchmark due to security selection. During the period, stock selection was strong in the Information Technology (“IT”), Industrials, and Energy sectors; while selection was weaker in Financials and Consumer Staples. Sector allocation, a result of bottom-up stock selection, detracted from relative performance, due largely to an overweight position in IT and an underweight in Energy stocks.
The Portfolio’s largest contributors to relative performance during the period included NetApp, Inc., Caterpillar, Inc., and Altera Corp. Network storage equipment manufacturer NetApp, Inc. reported strong revenue growth as IT organizations used the firm’s low-cost, flexible and efficient storage infrastructure products to upgrade data centers. Shares of Altera Corp., a San Jose, California-based programmable logic semiconductor device manufacturer, rose after the company reported strong revenue growth and an increased operating margin. Manufacturer of construction and mining equipment, diesel and natural gas engines, and industrial gas turbines, Caterpillar, Inc.’s shares surged amid continued momentum in machinery sales driven by a robust recovery in construction activity. The Portfolio’s position in Apple, Inc. also contributed to positive returns during the year.
The Portfolio’s largest relative detractors during the period included Cisco Systems, Inc., ITT Educational Services, Inc., and Medtronic, Inc. Cisco Systems, Inc. shares fell on weaker than expected revenue guidance as state and local government spending slowed sharply due to budget concerns. Shares of ITT Educational Services, Inc., a provider of post-secondary degree programs, were hurt by concerns about potential regulation of the for-profit education industry, slowing enrollment growth, and lower placement rates. Diversified medical device manufacturer Medtronic, Inc. experienced a broad-based slowdown in procedural volumes, which led to weakness in revenue growth. The Portfolio’s position in Microsoft Corp. also hurt absolute performance results during the period.
Paul E. Marrkand, CFA
Portfolio Manager
Wellington Management Company, LLP
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 1
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
(unaudited)
Average Annual Total Return for Periods Ended 12/31/2010
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 10 Years or | | |
| | | 1 Year | | 5 Years | | Life of Class | | Inception Date |
| |
| Initial Class | | | 19.08 | % | | | 1.98 | % | | | 6.04 | % | | | 12/30/2003 | |
Russell 1000® Growth * | | | 16.71 | % | | | 3.75 | % | | | 4.34 | % | | | | |
NOTES
| | |
| * | | The Russell 1000® Growth Index (“Russell 1000® Growth”) is an unmanaged index used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or Life of Class calculation is based on the inception date of the Initial Class. You cannot invest in the index. |
The performance data presented past performance, future results may vary. The portfolio’s investment return and net asset value will fluctuate. Past performance does not guarantee future results. Investors’ units when redeemed may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please visit your insurance company’s website for contract or policy level standardized total returns current to the most recent month end. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted.
Performance figures may reflect fee waivers and/or expense reimbursements by the Investment Adviser. Without such waivers and/or reimbursements, the performance would be lower. Future waivers and/or reimbursements are at the discretion of the Investment Adviser.
This material must be preceded or accompanied by a current prospectus, which includes specific contents regarding the investment objectives, explanation of share classes and policies of this portfolio.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 2
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
UNDERSTANDING YOUR FUND’S EXPENSES
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur ongoing costs, including management and advisory fees, distribution and service fees, and other fund expenses.
The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at July 1, 2010 and held for the entire period until December 31, 2010.
ACTUAL EXPENSES
The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your share class titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table under the heading “Hypothetical Expenses” provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries or other financial institutions.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not a part of the advisory and administrative fees, such as fees and expenses of the trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Actual Expenses | | | Hypothetical Expenses (B) | | | | |
| | | Beginning | | | Ending Account | | | Expenses Paid | | | Ending Account | | | Expenses Paid | | | Annualized | |
| Fund Name | | Account Value | | | Value | | | During Period (A) | | | Value | | | During Period (A) | | | Expense Ratio | |
| |
| Transamerica WMC Diversified Growth II VP | | | | | | | | | | | | | | | | | | | | | | | | |
| Initial Class | | $ | 1,000.00 | | | $ | 1,282.40 | | | $ | 1.73 | | | $ | 1,023.69 | | | $ | 1.53 | | | | 0.30 | % |
| | |
| (A) | | Expenses are calculated using the fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). |
| |
| (B) | | 5% return per year before expenses. |
SCHEDULE OF INVESTMENTS COMPOSITION
At December 31, 2010
(the following chart summarizes the Schedule of Investments of the fund by asset type)
(unaudited)
| | | | | |
| | | % of Net | |
| Asset Type | | Assets | |
| |
| Common Stock | | | 99.5 | % |
| Securities Lending Collateral | | | 25.6 | |
| Repurchase Agreement | | | 0.2 | |
| Other Assets and Liabilities - Net | | | (25.3 | ) |
| | | | |
Total | | | 100.0 | % |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 3
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
SCHEDULE OF INVESTMENTS
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
COMMON STOCKS - 99.5% | | | | | | | | |
Aerospace & Defense - 2.1% | | | | | | | | |
| Boeing Co. ^ | | | 1,733 | | | $ | 113 | |
| Honeywell International, Inc. | | | 3,548 | | | | 189 | |
Air Freight & Logistics - 0.9% | | | | | | | | |
| CH Robinson Worldwide, Inc. ^ | | | 1,545 | | | | 124 | |
Airlines - 0.6% | | | | | | | | |
| Southwest Airlines Co. ^ | | | 6,807 | | | | 88 | |
Automobiles - 1.4% | | | | | | | | |
| Ford Motor Co. ‡ ^ | | | 12,399 | | | | 208 | |
Beverages - 0.4% | | | | | | | | |
| Anheuser-Busch InBev NV ADR | | | 885 | | | | 51 | |
Biotechnology - 0.3% | | | | | | | | |
| Amgen, Inc. ‡ | | | 696 | | | | 38 | |
Capital Markets - 1.6% | | | | | | | | |
| Goldman Sachs Group, Inc. | | | 1,386 | | | | 233 | |
Commercial Banks - 0.9% | | | | | | | | |
| Banco Santander Brasil SA ADR | | | 2,918 | | | | 40 | |
| Wells Fargo & Co. | | | 2,915 | | | | 90 | |
Communications Equipment - 7.3% | | | | | | | | |
| Cisco Systems, Inc. ‡ | | | 32,857 | | | | 665 | |
| Emulex Corp. ‡ | | | 8,536 | | | | 100 | |
| Juniper Networks, Inc. ‡ ^ | | | 5,261 | | | | 194 | |
| Riverbed Technology, Inc. ‡ | | | 2,959 | | | | 104 | |
Computers & Peripherals - 13.3% | | | | | | | | |
| Apple, Inc. ‡ | | | 2,084 | | | | 673 | |
| Dell, Inc. ‡ | | | 10,574 | | | | 143 | |
| EMC Corp. ‡ ^ | | | 21,666 | | | | 496 | |
| NetApp, Inc. ‡ ^ | | | 7,105 | | | | 390 | |
| QLogic Corp. ‡ ^ | | | 8,070 | | | | 137 | |
| SanDisk Corp. ‡ | | | 1,487 | | | | 74 | |
Consumer Finance - 0.9% | | | | | | | | |
| American Express Co. | | | 3,012 | | | | 129 | |
Diversified Consumer Services - 0.7% | | | | | | | | |
| ITT Educational Services, Inc. ‡ ^ | | | 1,521 | | | | 97 | |
Electrical Equipment - 1.0% | | | | | | | | |
| Emerson Electric Co. | | | 2,439 | | | | 139 | |
Energy Equipment & Services - 1.9% | | | | | | | | |
| Baker Hughes, Inc. | | | 1,149 | | | | 66 | |
| Cameron International Corp. ‡ | | | 1,829 | | | | 93 | |
| Nabors Industries, Ltd. ‡ | | | 2,134 | | | | 50 | |
| Oceaneering International, Inc. ‡ ^ | | | 874 | | | | 64 | |
Health Care Equipment & Supplies - 0.8% | | | | | | | | |
| Hologic, Inc. ‡ ^ | | | 4,353 | | | | 82 | |
| Intuitive Surgical, Inc. ‡ ^ | | | 69 | | | | 18 | |
| Stryker Corp. ^ | | | 410 | | | | 22 | |
Health Care Providers & Services - 1.6% | | | | | | | | |
| Laboratory Corp. of America Holdings ‡ ^ | | | 1,242 | | | | 109 | |
| UnitedHealth Group, Inc. | | | 3,389 | | | | 122 | |
Hotels, Restaurants & Leisure - 2.5% | | | | | | | | |
| Carnival Corp. ^ | | | 1,407 | | | | 65 | |
| Ctrip.com International, Ltd. ADR ‡ ^ | | | 831 | | | | 34 | |
| Las Vegas Sands Corp. ‡ | | | 2,090 | | | | 96 | |
| Starbucks Corp. ^ | | | 5,025 | | | | 161 | |
Industrial Conglomerates - 1.8% | | | | | | | | |
| General Electric Co. ^ | | | 14,451 | | | | 264 | |
Insurance - 0.8% | | | | | | | | |
| Lincoln National Corp. ^ | | | 4,340 | | | | 121 | |
Internet & Catalog Retail - 2.8% | | | | | | | | |
| Amazon.com, Inc. ‡ | | | 1,088 | | | | 196 | |
| Expedia, Inc. ^ | | | 4,865 | | | | 122 | |
| priceline.com, Inc. ‡ ^ | | | 202 | | | | 81 | |
Internet Software & Services - 3.7% | | | | | | | | |
| eBay, Inc. ‡ ^ | | | 3,338 | | | | 93 | |
| Google, Inc. - Class A ‡ | | | 655 | | | | 389 | |
| IAC/InterActiveCorp ‡ ^ | | | 1,819 | | | | 52 | |
IT Services - 5.0% | | | | | | | | |
| Cognizant Technology Solutions Corp. - Class A ‡ | | | 845 | | | | 62 | |
| International Business Machines Corp. | | | 4,541 | | | | 666 | |
Life Sciences Tools & Services - 0.9% | | | | | | | | |
| Waters Corp. ‡ ^ | | | 1,724 | | | | 134 | |
Machinery - 9.4% | | | | | | | | |
| Caterpillar, Inc. ^ | | | 5,135 | | | | 481 | |
| Cummins, Inc. ^ | | | 1,084 | | | | 119 | |
| Dover Corp. | | | 2,295 | | | | 134 | |
| Illinois Tool Works, Inc. ^ | | | 2,302 | | | | 123 | |
| Ingersoll-Rand PLC ^ | | | 2,523 | | | | 119 | |
| Joy Global, Inc. | | | 2,201 | | | | 191 | |
| Parker Hannifin Corp. | | | 2,347 | | | | 203 | |
Media - 1.9% | | | | | | | | |
| News Corp. - Class A ^ | | | 5,512 | | | | 80 | |
| Omnicom Group, Inc. ^ | | | 4,167 | | | | 191 | |
Metals & Mining - 4.0% | | | | | | | | |
| Cliffs Natural Resources, Inc. | | | 1,705 | | | | 133 | |
| Nucor Corp. ^ | | | 2,915 | | | | 128 | |
| Rio Tinto PLC ADR ^ | | | 1,376 | | | | 99 | |
| Teck Resources, Ltd. - Class B | | | 3,610 | | | | 223 | |
Oil, Gas & Consumable Fuels - 4.3% | | | | | | | | |
| Anadarko Petroleum Corp. | | | 2,201 | | | | 168 | |
| Exxon Mobil Corp. | | | 1,501 | | | | 110 | |
| Occidental Petroleum Corp. ^ | | | 1,601 | | | | 157 | |
| Valero Energy Corp. ^ | | | 7,902 | | | | 182 | |
Semiconductors & Semiconductor Equipment - 9.1% | | | | | | | | |
| Altera Corp. ^ | | | 13,397 | | | | 478 | |
| Analog Devices, Inc. ^ | | | 5,343 | | | | 201 | |
| Broadcom Corp. - Class A | | | 3,379 | | | | 147 | |
| Intel Corp. | | | 1,668 | | | | 35 | |
| Intersil Corp. - Class A ^ | | | 11,089 | | | | 169 | |
| Xilinx, Inc. ^ | | | 9,978 | | | | 289 | |
Software - 13.0% | | | | | | | | |
| Adobe Systems, Inc. ‡ | | | 2,576 | | | | 79 | |
| Autodesk, Inc. ‡ ^ | | | 3,531 | | | | 135 | |
| BMC Software, Inc. ‡ ^ | | | 2,424 | | | | 114 | |
| Check Point Software Technologies, Ltd. ‡ ^ | | | 3,566 | | | | 165 | |
| Citrix Systems, Inc. ‡ | | | 1,771 | | | | 121 | |
| Longtop Financial Technologies, Ltd. ADR ‡ | | | 1,538 | | | | 56 | |
| Microsoft Corp. | | | 16,779 | | | | 468 | |
| Oracle Corp. | | | 16,575 | | | | 519 | |
| Red Hat, Inc. ‡ | | | 2,474 | | | | 113 | |
| VMware, Inc. - Class A ‡ ^ | | | 1,157 | | | | 103 | |
Specialty Retail - 3.5% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 1,552 | | | | 103 | |
| Aeropostale, Inc. ‡ ^ | | | 1,374 | | | | 34 | |
| Buckle, Inc. ^ | | | 842 | | | | 32 | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 4
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2010
(all amounts except share amounts in thousands)
| | | | | | | | | |
| | | Shares | | | Value | |
| |
Specialty Retail (continued) | | | | | | | | |
| Home Depot, Inc. | | | 3,234 | | | $ | 113 | |
| Ross Stores, Inc. | | | 2,069 | | | | 130 | |
| TJX Cos., Inc. ^ | | | 2,426 | | | | 108 | |
Textiles, Apparel & Luxury Goods - 1.1% | | | | | | | | |
| Coach, Inc. ^ | | | 2,347 | | | | 130 | |
| Lululemon Athletica, Inc. ‡ ^ | | | 523 | | | | 36 | |
| | | | | | | | |
Total Common Stocks (cost $12,052) | | | | | | | 14,396 | |
| | | | | | | | |
| |
SECURITIES LENDING COLLATERAL - 25.6% | | | | | | | | |
| State Street Navigator Securities Lending Trust — Prime Portfolio, 0.36% ▲ | | | 3,698,935 | | | | 3,699 | |
Total Securities Lending Collateral (cost $3,699) | | | | | | | | |
| | | | | | | | | |
| | | Principal | | | Value | |
| |
REPURCHASE AGREEMENT - 0.2% | | | | | | | | |
State Street Bank & Trust Co.
0.01% ▲, dated 12/31/2010, to be repurchased at $27 on 01/03/2011. Collateralized by a U.S. Government Agency Obligation, 2.49%, due 03/01/2034, with a value of $28. | | $ | 27 | | | $ | 27 | |
Total Repurchase Agreement (cost $27) | | | | | | | | |
| |
| | | | | | | | |
| Total Investment Securities (cost $15,778) # | | | | | | | 18,122 | |
| Other Assets and Liabilities — Net | | | | | | | (3,656 | ) |
| | | | | | | | |
| | | | | | | | | |
Net Assets | | | | | | $ | 14,466 | |
| | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| | |
| ^ | | All or a portion of this security is on loan. The value of all securities on loan is $3,612. |
| |
| ‡ | | Non-income producing security. |
| |
| ▲ | | Rate shown reflects the yield at 12/31/2010. |
| |
| # | | Aggregate cost for federal income tax purposes is $15,834. Aggregate gross unrealized appreciation/depreciation for all securities in which there is an excess of value over tax cost were $2,516 and $228, respectively. Net appreciation for tax purposes is $2,288. |
DEFINITION:
ADR American Depositary Receipt
VALUATION SUMMARY:
| | | | | | | | | | | | | | | | | |
| Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Common Stocks | | $ | 13,963 | | | $ | 433 | | | $ | — | | | $ | 14,396 | |
| Repurchase Agreement | | | — | | | | 27 | | | | — | | | | 27 | |
| Securities Lending Collateral | | | 3,699 | | | | — | | | | — | | | | 3,699 | |
| | | | | | | | | | | | | |
Total | | $ | 17,662 | | | $ | 460 | | | $ | — | | | $ | 18,122 | |
| | | | | | | | | | | | | |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 5
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
STATEMENT OF ASSETS AND LIABILITIES
At December 31, 2010
(all amounts except per share amounts in thousands)
| | | | | |
|
Assets: | | | | |
Investment securities, at value (cost: $15,751)
(including securities loaned of $3,612) | | $ | 18,095 | |
| Repurchase agreement, at value (cost: $27) | | | 27 | |
| Receivables: | | | | |
| Investment securities sold | | | 21 | |
| Securities lending income (net) | | | 1 | |
| Dividends | | | 8 | |
| Due from advisor | | | 58 | |
| | | | |
| | | | 18,210 | |
| | | | |
Liabilities: | | | | |
| Accounts payable and accrued liabilities: | | | | |
| Investment securities purchased | | | 21 | |
| Shares redeemed | | | 11 | |
| Audit and tax fees | | | 5 | |
| Other | | | 8 | |
| Collateral for securities on loan | | | 3,699 | |
| | | | |
| | | | 3,744 | |
| | | | |
Net assets | | $ | 14,466 | |
| | | | |
| |
Net assets consist of: | | | | |
| Capital stock ($.01 par value) | | $ | 20 | |
| Additional paid-in capital | | | 12,341 | |
| Undistributed (accumulated) net investment income (loss) | | | 129 | |
| Undistributed (accumulated) net realized gain (loss) from investment securities | | | (368 | ) |
| Net unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 2,344 | |
| | | | |
Net assets | | $ | 14,466 | |
| | | | |
| Shares outstanding | | | 1,993 | |
| Net asset value and offering price per share | | $ | 7.26 | |
STATEMENT OF OPERATIONS
For the year ended December 31, 2010
(all amounts in thousands)
| | | | | |
|
Investment income: | | | | |
| Dividend income (including withholding taxes on foreign dividends of $2) | | $ | 163 | |
| Interest income | | | — | (A) |
| Securities lending income (net) | | | 7 | |
| | | | |
| | | | 170 | |
| | | | |
Expenses: | | | | |
| Management and advisory | | | 42 | |
| Printing and shareholder reports | | | 48 | |
| Custody | | | 36 | |
| Administration | | | 3 | |
| Legal | | | 1 | |
| Audit and tax | | | 9 | |
| Trustees | | | — | (A) |
| | | | |
| Transfer agent | | | — | (A) |
| | | | |
| Total expenses | | | 139 | |
| | | | |
| Less waiver/reimbursement | | | (98 | ) |
| | | | |
| Net expenses | | | 41 | |
| | | | |
| |
Net investment income | | | 129 | |
| | | | |
Net realized gain (loss) on transactions from: | | | | |
| Investment securities | | | 1,862 | |
| |
Net increase in unrealized appreciation (depreciation) on: | | | | |
| Investment securities | | | 402 | |
| | | | |
Net realized and unrealized gain | | | 2,264 | |
| | | | |
| |
Net increase in net assets resulting from operations | | $ | 2,393 | |
| | | | |
| | |
| (A) | | Rounds to less than $1. |
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 6
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
STATEMENT OF CHANGES IN NET ASSETS
For the years ended:
(all amounts in thousands)
| | | | | | | | | |
| | | December 31, | | | December 31, | |
| | | 2010 | | | 2009 | |
From operations: | | | | | | | | |
| Net investment income | | $ | 129 | | | $ | 127 | |
| Net realized gain (loss) from investment securities | | | 1,862 | | | | (1,221 | ) |
| Change in net unrealized appreciation (depreciation) on investment securities | | | 402 | | | | 4,608 | |
| | | | | | | |
Net increase in net assets resulting from operations | | | 2,393 | | | | 3,514 | |
| | | | | | | |
| |
Distributions to shareholders: | | | | | | | | |
| From net investment income | | | (127 | ) | | | (180 | ) |
| | | | | | | |
Total distributions to shareholders | | | (127 | ) | | | (180 | ) |
| | | | | | | |
| |
Capital share transactions: | | | | | | | | |
| Proceeds from shares sold | | | 66 | | | | 4 | |
| Dividends and distributions reinvested | | | 127 | | | | 180 | |
| Cost of shares redeemed | | | (2,012 | ) | | | (455 | ) |
| | | | | | | |
Net decrease in net assets from capital shares transactions | | | (1,819 | ) | | | (271 | ) |
| | | | | | | |
| |
Net increase in net assets | | | 447 | | | | 3,063 | |
| | | | | | | |
| |
Net assets: | | | | | | | | |
| Beginning of year | | | 14,019 | | | | 10,956 | |
| | | | | | | |
| End of year | | $ | 14,466 | | | $ | 14,019 | |
| | | | | | | |
Undistributed net investment income | | $ | 129 | | | $ | 127 | |
| | | | | | | |
| |
Share activity: | | | | | | | | |
| Shares issued | | | 11 | | | | 1 | |
| Shares issued-reinvested from distributions | | | 22 | | | | 32 | |
| Shares redeemed | | | (317 | ) | | | (89 | ) |
| | | | | | | |
Net increase (decrease) in shares outstanding | | | (284 | ) | | | (56 | ) |
| | | | | | | |
Note: Prior to January 1, 2010, the statement of changes in net assets were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 7
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | |
| | | Initial Class | |
| | | Year Ended December 31, | |
| For a share outstanding throughout each period | | 2010 | | | 2009 | | | 2008 | | | 2007 | | | 2006 | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| Beginning of year | | $ | 6.16 | | | $ | 4.70 | | | $ | 10.32 | | | $ | 9.50 | | | $ | 9.49 | |
Investment operations | | | | | | | | | | | | | | | | | | | | |
Net investment income(A) | | | 0.06 | | | | 0.06 | | | | 0.09 | | | | 0.06 | | | | 0.05 | |
| Net realized and unrealized gain (loss) | | | 1.10 | | | | 1.48 | | | | (4.28 | ) | | | 1.55 | | | | 0.72 | |
| | | | | | | | | | | | | | | | |
| Total operations | | | 1.16 | | | | 1.54 | | | | (4.19 | ) | | | 1.61 | | | | 0.77 | |
| | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.06 | ) | | | (0.08 | ) | | | (0.07 | ) | | | (0.05 | ) | | | (0.04 | ) |
| From net realized gains | | | — | | | | — | | | | (1.36 | ) | | | (0.74 | ) | | | (0.72 | ) |
| | | | | | | | | | | | | | | | |
| Total distributions | | | (0.06 | ) | | | (0.08 | ) | | | (1.43 | ) | | | (0.79 | ) | | | (0.76 | ) |
| | | | | | | | | | | | | | | | |
Net asset value | | | | | | | | | | | | | | | | | | | | |
| End of year | | $ | 7.26 | | | $ | 6.16 | | | $ | 4.70 | | | $ | 10.32 | | | $ | 9.50 | |
| | | | | | | | | | | | | | | | |
Total return(B) | | | 19.08 | % | | | 32.95 | % | | | (45.59 | %) | | | 17.72 | % | | | 8.76 | % |
Net assets end of year (000’s) | | $ | 14,466 | | | $ | 14,019 | | | $ | 10,956 | | | $ | 21,551 | | | $ | 19,409 | |
Ratio and supplemental data | | | | | | | | | | | | | | | | | | | | |
| Expenses to average net assets | | | | | | | | | | | | | | | | | | | | |
| After reimbursement/fee waiver | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % |
| Before reimbursement/fee waiver | | | 1.01 | % | | | 0.56 | % | | | 0.47 | % | | | 0.47 | % | | | 0.45 | % |
| Net investment income, to average net assets | | | 0.93 | % | | | 1.07 | % | | | 1.08 | % | | | 0.64 | % | | | 0.49 | % |
| Portfolio turnover rate | | | 142 | %(C) | | | 46 | % | | | 32 | % | | | 47 | % | | | 19 | % |
| | |
| (A) | | Calculated based on average number of shares outstanding. |
| |
| (B) | | Total Return reflects all portfolio expenses and includes reinvestment of dividends and capital gains; it does not reflect the charges and deductions under the policies or annuity contracts. |
| |
| (C) | | Increase in portfolio turnover rate was triggered by a change in the Fund’s objectives. |
Note: Prior to January 1, 2010, all of the financial highlights were audited by another independent registered public accounting firm.
| | |
| | | |
| The notes to the financial statements are an integral part of this report. | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 8
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
NOTES TO FINANCIAL STATEMENTS
At December 31, 2010
(all amounts in thousands)
NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Transamerica Series Trust (“TST”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TST serves as a funding vehicle for variable life insurance, variable annuity, and group annuity products. On April 9, 2010, Transamerica Equity II VP changed its name to Transamerica WMC Diversified Growth II VP (the “Fund”), which is part of TST.
The Fund currently offers one class of shares: an Initial Class.
This report should be read in conjunction with the Fund’s current prospectus, which contains more complete information about the Fund, including investment objectives and strategies.
In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
In preparing the Fund’s financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Fund.
Repurchase agreements: Securities purchased subject to a repurchase agreement are held at the Fund’s custodian and, pursuant to the terms of the repurchase agreements, must be collateralized by securities with an aggregate market value greater than or equal to 100% of the resale price. The Fund bears the risk of value fluctuations until the securities can be sold and may encounter delays and incur costs in liquidating the securities. In the event of bankruptcy or insolvency of the seller, delays and costs may be incurred.
Securities lending: Securities are lent to qualified financial institutions and brokers. The lending of Fund’s securities exposes the Fund to risks such as the following: (i) the borrowers may fail to return the loaned securities; (ii) the borrowers may not be able to provide additional collateral; (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral; or (iv) the Fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash collateral equal to at least the market value of the securities loaned. Cash collateral received is invested in the State Street Navigator Securities Lending Trust-Prime Portfolio, a money market mutual fund registered under the 1940 Act. By lending such securities, the Fund seeks to increase its net investment income through the receipt of interest (after rebates and fees).
Such income is reflected separately on the Statement of Operations. The value of loaned securities and related collateral outstanding at December 31, 2010 are shown in the Schedule of Investments and Statement of Assets and Liabilities.
Income from loaned securities on the Statement of Operations is net of fees earned by the lending agent for its services.
Commission recapture: The sub-adviser, to the extent consistent with the best execution and usual commission rate policies and practices, has elected to place security transactions of the Fund with broker/dealers with which TST has established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer on the security transactions to the Fund. In no event will commissions paid by the Fund be used to pay expenses that would otherwise be borne by any other funds within TST, or by any other party.
Commissions recaptured during the year ended December 31, 2010 of less than $1, are included in net realized gain (loss) in the Statement of Operations.
Security transactions and investment income: Security transactions are recorded on the trade date. Security gains and losses are calculated on the first-in, first-out basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Dividend distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations which may differ from GAAP.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 9
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 2. SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the close of the New York Stock Exchange (“NYSE”), normally 4 p.m. Eastern Time, 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. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three Levels of inputs are:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, that 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, to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the investment, based on the best information available.
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.
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.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities (common and preferred stock): 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.
Foreign 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, Exchange Traded Funds, and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Securities lending collateral: Securities lending collateral is a money market fund which is valued at the net assets of the underlying securities and no valuation adjustments are applied. It is categorized in Level 1 of the fair value hierarchy.
Other: Securities for which quotations are not readily available or whose values have been determined to be unreliable are valued at fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee under the supervision of the Fund’s Board of Trustees.
The hierarchy classification of inputs used to value the Fund’s investments at December 31, 2010 is disclosed at the end of the Fund’s Schedule of Investments.
There were no significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.
| | |
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| Transamerica Series Trust | | Annual Report 2010 |
Page 10
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 3. RELATED PARTY TRANSACTIONS
TST serves as a funding vehicle for certain affiliated asset allocation portfolios and certain affiliated separate accounts of Western Reserve Life Assurance Co. of Ohio, Transamerica Life Insurance Company, Transamerica Financial Life Insurance Company, Monumental Life Insurance Company, Transamerica Advisors Life Insurance Company (formerly, Merrill Lynch Life Insurance Company), and Transamerica Advisors Life Insurance Company of New York (formerly, ML Life Insurance Company of New York).
TAM, the Fund’s investment adviser, is directly owned by Western Reserve Life Assurance Co. of Ohio and AUSA Holding Company (“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, LLC (“AEGON USA”), a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group.
Effective April 9, 2010, Transamerica Investment Management, LLC (“TIM”) is no longer a sub-adviser of the Fund. The Fund changed its sub-adviser to Wellington Management Company, LLP.
Transamerica Fund Services, Inc. (“TFS”) is the Fund’s administrator and transfer agent. Transamerica Capital, Inc. (“TCI”) is the Fund’s distributor. TAM, TIM, TFS, and TCI are affiliates of AEGON NV.
Certain officers and trustees of the Fund are also officers of TAM, TIM, TFS, and TCI.
Investment advisory fee: The Fund pays management fees to TAM based on average daily net assets (“ANA”) at the following rate:
0.30% of ANA
TAM has contractually agreed to waive its advisory fee and will reimburse the Fund to the extent that operating expenses, excluding distribution and service fees and certain extraordinary expenses, exceed the following stated annual limit:
0.30% Expense Limit
If total Fund expenses, excluding distribution and service fees and certain extraordinary expenses, fall below the annual expense limitation agreement agreed to by the adviser within the succeeding 36 months, the Fund may be required to pay the adviser a portion or all of the previously waived advisory fees.
During the year ended December 31, 2010, the amount reimbursed/waived by the adviser was $98. The following amounts were available for recapture by the adviser as of December 31, 2010:
| | | | | | | | | |
| | | Reimbursement of | | Available for Recapture |
| | | Expenses | | Through |
| Fiscal Year 2010: | | $ | 98 | | | | 12/31/2013 | |
| Fiscal Year 2009 | | | 30 | | | | 12/31/2012 | |
| Fiscal Year 2008: | | | 29 | | | | 12/31/2011 | |
Distribution and service fees: TST has adopted a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, TST entered into a Distribution Agreement with TCI as the Fund’s distributor.
Under the Distribution Plan and Distribution Agreement, TCI, on behalf of the Fund, is authorized to pay various service providers, as direct payment for expenses incurred in connection with distribution of the Fund’s shares, amounts equal to actual expenses associated with distributing the shares.
The Fund is authorized under the Distribution Plan to pay fees up to a limit of 0.15%.
TCI has determined that it will not seek payment by the Fund of the distribution expenses incurred before April 30, 2011. Prior to TCI seeking reimbursement of future expenses, policy and contract owners will be notified in advance.
Administrative services: The Fund has entered into an agreement with TFS for financial and legal fund administration services. The Fund pays TFS an annual fee of 0.02% of ANA. The Legal fees on the Statement of Operations are for fees paid to external legal counsel.
Deferred compensation plan: Under a non-qualified deferred compensation plan effective January 1, 1996, as amended and restated January 1, 2010 (the “Deferred Compensation Plan”), available to the Trustees, compensation may be deferred that would otherwise be payable by the Trust to an Independent Trustee on a current basis for services rendered as Trustee. Deferred compensation amounts will accumulate based on the value of Class A (or comparable) shares of a series of Transamerica Funds (without imposition of a sales charge), or investment options under Transamerica Partners Institutional Funds and Transamerica Institutional Asset Allocation Funds, as elected by the Trustee.
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 11
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2010
(all amounts in thousands)
NOTE 4. INVESTMENT TRANSACTIONS
The cost of securities purchased and proceeds from securities sold (excluding short-term securities) for the year ended December 31, 2010 were as follows:
| | | | | |
|
| Purchases of securities: | | | | |
| Long-term | | $ | 19,140 | |
| U.S. Government | | | — | |
| Proceeds from maturities and sales of securities: | | | | |
| Long-term | | | 20,122 | |
| U.S. Government | | | — | |
NOTE 5. FEDERAL INCOME TAX MATTERS
The Fund has not made any provision for federal income or excise taxes due to its policy to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has evaluated the Fund’s tax provisions taken for all open tax years (2007 — 2009), or expected to be taken in the Fund’s 2010 tax return, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund identifies its major tax jurisdictions as U.S. Federal, the state of Florida, and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatment for items including, but not limited to, wash sales, structured notes, foreign bonds, net operating losses, distribution reclasses for REITs, passive foreign investment companies, foreign currency transactions, capital loss carryforwards, and post-October loss deferrals.
The capital loss carryforward is available to offset future realized gains through the period listed below:
| | | | | | | | | |
| | | Capital Loss | | |
| | | Carryforward | | Available Through | |
| | | $ | 312 | | | December 31, 2017 | |
The capital loss carryforwards utilized or expired during the year ended December 31, 2010 were $1,813.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2010 and 2009 was as follows:
| | | | | |
|
| 2010 Distributions paid from: | | | | |
| Ordinary Income | | $ | 127 | |
| Long-term Capital Gain | | | — | |
| |
| 2009 Distributions paid from: | | | | |
| Ordinary Income | | | 180 | |
| Long-term Capital Gain | | | — | |
The tax basis components of distributable earnings as of December 31, 2010 are as follows:
| | | | | |
|
| Undistributed Ordinary Income | | $ | 129 | |
| | | | |
| Undistributed Long-term Capital Gain | | $ | — | |
| | | | |
| Capital Loss Carryforward | | $ | (312 | ) |
| | | | |
| Post October Capital Loss Deferral | | $ | — | |
| | | | |
| Post October Currency Loss Deferral | | $ | — | |
| | | | |
| Net Unrealized Appreciation (Depreciation) | | $ | 2,288 | |
| | | | |
| Other Temporary Differences | | $ | — | |
| | | | |
| | |
| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 12
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Transamerica Series Trust and Shareholders of Transamerica WMC Diversified Growth II VP:
We have audited the accompanying statement of assets and liabilities of Transamerica WMC Diversified Growth II VP (the “Fund”) (one of the portfolios constituting Transamerica Series Trust), including the schedule of investments, as of December 31, 2010, and the related statements of operations and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statement of changes in net assets for the year ended December 31, 2009 and the financial highlights for periods ended prior to January 1, 2010 were audited by another independent registered public accounting firm whose report, dated February 24, 2010, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Transamerica WMC Diversified Growth II VP of Transamerica Series Trust at December 31, 2010, the results of its operations and changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2011
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| Transamerica Series Trust | | Annual Report 2010 |
Page 13
Transamerica WMC Diversified Growth II VP
(formerly, Transamerica Equity II VP)
SUPPLEMENTAL TAX INFORMATION (unaudited)
For tax purposes, the Fund has made no Long-Term Capital Gain Designation for the year ended December 31, 2010.
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| | | |
| Transamerica Series Trust | | Annual Report 2010 |
Page 14
Change of Independent Registered Certified Public Accounting Firm
PricewaterhouseCooper LLP (“PwC”) served as independent registered certified public accounting firm through April 7, 2010. On April 8, 2010, upon recommendation by Transamerica Series Trust’s Audit Committee, the Transamerica Series Trust’s Board selected Ernst & Young LLP to replace PwC as the independent public accountant for the fiscal year ending December 31, 2010.
The reports of PwC on the financial statements for the past two fiscal years contained no adverse opinion or disclaimer of opinion and were not qualified or modified as to uncertainty, audit scope or accounting principles.
During the two most recent fiscal years and through April 7, 2010, there have been no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements if not resolved to the satisfaction of PwC would have caused them to make reference thereto in their reports on the financial statements for such years.
During the two most recent fiscal years and through April 7, 2010, there have been no reportable events (as defined in Item 304(a)(1)(v) of Regulation S-K).
Transamerica Series Trust requested that PwC furnish it with a letter addressed to the Securities and Exchange Commission stating whether or not it agrees with the above statements. A copy of such letter will be filed as Exhibit 77 to Form N-SAR for the period.
Transamerica Series Trust
BOARD MEMBERS AND OFFICERS
(unaudited)
The Board Members and executive officers of the Trust are listed below. The Board governs each fund and is responsible for protecting the interests of the shareholders. The Board Members are experienced executives who meet periodically throughout the year to oversee the business affairs of each fund and the operation of the Trust by its officers. The Board also reviews the management of each fund’s assets by the investment adviser and its respective sub-adviser. The funds are among the funds advised and sponsored by Transamerica Asset Management, Inc. (“TAM”) (collectively, “Transamerica Asset Management Group”). Transamerica Asset Management Group (“TAMG”) consists of Transamerica Funds, Transamerica Series Trust (“TST”), Transamerica Income Shares, Inc. (“TIS”), Transamerica Partners Funds Group (“TPFG”), Transamerica Partners Funds Group II (“TPFG II”), Transamerica Partners Portfolios (“TPP”), and Transamerica Asset Allocation Variable Funds (“TAAVF”) and consists of 152 funds as of the date of this annual report.
The mailing address of each Board Member is c/o Secretary, 570 Carillon Parkway, St. Petersburg, Florida 33716. The Board Members, their ages, their positions with the Trust, and their principal occupations for the past five years (their titles may have varied during that period), the number of funds in TAMG the Board oversees, and other board memberships they hold are set forth in the table below.
| | | | | | | | | | | | | |
| | | | | | | | | Number of | | |
| | | | | | | | | Funds in | | |
| | | | | Term of | | | | Complex | | |
| | | | | Office and | | | | Overseen | | |
| | | Position(s) Held | | Length of | | Principal Occupation(s) During | | by Board | | Other |
| Name and Age | | with Trust | | Time Served* | | Past 5 Years | | Member | | Directorships |
| INTERESTED BOARD MEMBER** | | | | | | | | |
| | | | | | | | | | | | | |
| John K. Carter (1961) | | Chairman, Board Member, President, and Chief Executive Officer | | Since 1999 | | Chairman, Board Member, President and Chief Executive Officer, TPP, TPFG, TPFG II and TAAVF (2007 — present);
Chairman (2007 — present), Board Member (2006 — present), President and Chief Executive Officer (2006 — present), Senior Vice President (1999 — 2006), Chief Compliance Officer, General Counsel and Secretary (1999 — 2006), Transamerica Funds and TST;
Chairman (2007 — present), Board Member (2006 — present), President and Chief Executive Officer (2006 — present), Senior Vice President (2002 — 2006), General Counsel, Secretary and Chief Compliance Officer (2002 — 2006), TIS;
Chairman, President and Chief Executive Officer (2006 — present), Director (2002 — present), Senior Vice President (1999 — 2006), General Counsel and Secretary (2000 — 2006), Chief Compliance Officer (2004 — 2006), TAM;
Chairman, President and Chief Executive Officer (2006 — present), Senior Vice President (1999 — 2006), Director (2002 — present), General Counsel and Secretary (2001 — 2006), Transamerica Fund Services, Inc. (“TFS”);
Vice President, AFSG Securities Corporation (2001 —present);
Chairman and Board Member (2008 — present), President (2007 — 2010), Chief Executive Officer (2006 — 2010), Vice President, Secretary and Chief | | | 152 | | | N/A |
| | | | | | | | | | | | | |
| | | | | | | | | Number of | | |
| | | | | | | | | Funds in | | |
| | | | | Term of | | | | Complex | | |
| | | | | Office and | | | | Overseen | | |
| | | Position(s) Held | | Length of | | Principal Occupation(s) During | | by Board | | Other |
| Name and Age | | with Trust | | Time Served* | | Past 5 Years | | Member | | Directorships |
| | | | | | | Compliance Officer (2003 — 2006), Transamerica Investors, Inc. (“TII”); Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (“TIF”) (2002 — 2004); and
Director, (2008 — present), Vice President, Transamerica Investment Services, Inc. (“TISI”) (2003 — 2005) and Transamerica Investment Management, LLC (“TIM”) (2001 — 2005). | | | | | | |
| | | | | | | | | | | | | |
| INDEPENDENT BOARD MEMBERS*** | | | | | | | | |
| | | | | | | | | | | | | |
| Sandra N. Bane (1952) | | Board Member | | Since 2008 | | Retired (1999 — present);
Board Member, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2008 — present);
Board Member, TII (2003 — 2010); and
Partner, KPMG (1975 — 1999). | | | 152 | | | Big 5 Sporting Goods (2002 — present); AGL Resources, Inc. (energy services holding company) (2008 — present) |
| | | | | | | | | | | | | |
Leo J. Hill
(1956) | | Lead Independent Board Member | | Since 2001 | | Principal, Advisor Network Solutions, LLC (business consulting) (2006 — present);
Board Member, TST (2001 — present);
Board Member, Transamerica Funds and TIS (2002 — present);
Board Member, TPP, TPFG, TPFG II and TAAVF (2007 — present);
Board Member, TII (2008 — 2010);
President, L. J. Hill & Company (a holding company for privately-held assets) (1999 — present);
Market President, Nations Bank of Sun Coast Florida (1998 — 1999);
Chairman, President and Chief Executive Officer, Barnett Banks of Treasure Coast Florida (1994 — 1998);
Executive Vice President and Senior Credit Officer, Barnett Banks of Jacksonville, Florida (1991 — 1994); and
Senior Vice President and Senior Loan Administration Officer, Wachovia Bank of Georgia (1976 — 1991). | | | 152 | | | N/A |
| | | | | | | | | | | | | |
| David W. Jennings (1946) | | Board Member | | Since 2009 | | Board Member, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 — present);
Board Member, TII (2009 — 2010);
Principal, Maxam Capital Management, LLC (2006 — 2008); and | | | 152 | | | N/A |
| | | | | | | | | | | | | |
| | | | | | | | | Number of | | |
| | | | | | | | | Funds in | | |
| | | | | Term of | | | | Complex | | |
| | | | | Office and | | | | Overseen | | |
| | | Position(s) Held | | Length of | | Principal Occupation(s) During | | by Board | | Other |
| Name and Age | | with Trust | | Time Served* | | Past 5 Years | | Member | | Directorships |
| | | | | | | Principal, Cobble Creek Management LP (2004 — 2006). | | | | | | |
| | | | | | | | | | | | | |
Russell A. Kimball, Jr.
(1944) | | Board Member | | 1986 — 1990 and Since 2002 | | General Manager, Sheraton Sand Key Resort (1975 — present);
Board Member, TST (1986 — present);
Board Member, Transamerica Funds, (1986 — 1990), (2002 — present);
Board Member, TIS (2002 — present);
Board Member, TPP, TPFG, TPFG II and TAAVF (2007 — present); and
Board Member, TII (2008 — 2010). | | | 152 | | | N/A |
| | | | | | | | | | | | | |
| Eugene M. Mannella (1954) | | Board Member | | Since 2007 | | Chief Executive Officer, HedgeServ Corporation (hedge fund administration) (2008 — present);
Self-employed consultant (2006 — present);
President, ARAPAHO Partners LLC (limited purpose broker-dealer) (1998 — 2008);
Board Member, TPP, TPFG, TPFG II and TAAVF (1993 — present);
Board Member, Transamerica Funds, TST and TIS (2007 — present);
Board Member, TII (2008 — 2010); and
President, International Fund Services (alternative asset administration) (1993 — 2005). | | | 152 | | | N/A |
| | | | | | | | | | | | | |
| Norman R. Nielsen, Ph.D. (1939) | | Board Member | | Since 2006 | | Retired (2005 — present);
Board Member, Transamerica Funds, TST and TIS (2006 — present);
Board Member, TPP, TPFG, TPFG II and TAAVF (2007 — present);
Board Member, TII (2008 — 2010); Director, Iowa Student Loan Service Corporation (2006 — present); Director, League for Innovation in the Community Colleges (1985 — 2005);
Director, Iowa Health Systems (1994 — 2003);
Director, U.S. Bank (1985 — 2006); and
President, Kirkwood Community College (1985 — 2005). | | | 152 | | | Buena Vista University Board of Trustees (2004 — present) |
| | | | | | | | | | | | | |
| Joyce G. Norden (1939) | | Board Member | | Since 2007 | | Retired (2004 — present);
Board Member, TPFG, TPFG II and TAAVF (1993 — present); | | | 152 | | | Board of Governors, Reconstruction -ist Rabbinical |
| | | | | | | | | | | | | |
| | | | | | | | | Number of | | |
| | | | | | | | | Funds in | | |
| | | | | Term of | | | | Complex | | |
| | | | | Office and | | | | Overseen | | |
| | | Position(s) Held | | Length of | | Principal Occupation(s) During | | by Board | | Other |
| Name and Age | | with Trust | | Time Served* | | Past 5 Years | | Member | | Directorships |
| | | | | | | Board Member, TPP (2002 — present); Board Member, Transamerica Funds, TST and TIS (2007 — present);
Board Member, TII (2008 — 2010); and
Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996 — 2004). | | | | | | College (2007 — present) |
| | | | | | | | | | | | | |
| Patricia L. Sawyer (1950) | | Board Member | | Since 2007 | | Retired (2007 — present);
President/Founder, Smith & Sawyer LLC (management consulting) (1989 — 2007);
Board Member, Transamerica Funds, TST and TIS (2007 — present);
Board Member, TII (2008 — 2010);
Board Member, TPP, TPFG, TPFG II and TAAVF (1993 — present);
Trustee, Chair of Finance Committee and Chair of Nominating Committee (1987 — 1996), Bryant University;
Vice President, American Express (1987 — 1989);
Vice President, The Equitable (1986 — 1987); and
Strategy Consultant, Booz, Allen & Hamilton (1982 — 1986). | | | 152 | | | Honorary Trustee, Bryant University (1996 — present) |
| | | | | | | | | | | | | |
| John W. Waechter (1952) | | Board Member | | Since 2005 | | Attorney, Englander and Fischer, LLP (2008 — present);
Retired (2004 — 2008); Board Member, TST and TIS (2004 — present);
Board Member, Transamerica Funds (2005 — present);
Board Member, TPP, TPFG, TPFG II and TAAVF (2007 — present);
Board Member, TII (2008 — 2010);
Employee, RBC Dain Rauscher (securities dealer) (2004);
Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979 — 2004); and
Treasurer, The Hough Group of Funds (1993 — 2004). | | | 152 | | | Operation PAR, Inc. (2008 — present); West Central Florida Council — Boy Scouts of America (2008 — present) |
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| * | | Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the Trust’s Declaration of Trust. |
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| ** | | May be deemed an “interested person” (as that term is defined in the 1940 Act) of the Trust because of his employment with TAM or an affiliate of TAM. |
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| *** | | Independent Board Member means a Board Member who is not an “interested person” (as defined under the 1940 Act) of the Trust. |
OFFICERS
The mailing address of each officer is c/o Secretary, 570 Carillon Parkway, St. Petersburg, Florida 33716. The following table shows information about the officers, including their ages, their positions held with the Trust and their principal occupations during the past five years (their titles may have varied during that period). Each officer will hold office until his or her successor has been duly elected or appointed or until his or her earlier death, resignation or removal.
| | | | | | | |
| | | | | Term of Office | | |
| | | | | and Length of | | Principal Occupation(s) or Employment During |
| Name and Age | | Position | | Time Served* | | Past 5 Years |
John K. Carter
(1961) | | Chairman, Board Member, President, and Chief Executive Officer | | Since 1999 | | See previous table. |
| | | | | | | |
Dennis P. Gallagher
(1970) | | Vice President, General Counsel and Secretary | | Since 2006 | | Vice President, General Counsel and Secretary, Transamerica Funds, TST and TIS (2006 — present);
Vice President, General Counsel and Secretary, TPP, TPFG, TPFG II and TAAVF (2007 — present);
Vice President, General Counsel and Secretary, TII, (2006 — 2010);
Director, Senior Vice President, General Counsel, Operations, and Secretary, TAM and TFS (2006 — present);
Assistant Vice President, TCI (2007 — present);
Director, Deutsche Asset Management (1998 — 2006); and
Corporate Associate, Ropes & Gray LLP (1995 — 1998). |
| | | | | | | |
Robert A. DeVault, Jr.
(1965) | | Vice President, Treasurer and Principal Financial Officer | | Since 2009 | | Vice President, Treasurer and Principal Financial Officer, (2010 — present), Assistant Treasurer, (2009 — 2010), Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF;
Vice President, Treasurer and Principal Financial Officer, (2010), Assistant Treasurer, (2009 — 2010), TII;
Vice President (2010 — present), Assistant Vice President (2007 — 2010) and Manager, Fund Administration, (2002 — 2007), TFS; and
Vice President (2010 — present), TAM. |
| | | | | | | |
Christopher A. Staples
(1970) | | Vice President and Chief Investment Officer | | Since 2005 | | Vice President and Chief Investment Officer (2007 — present), Senior Vice President — Investment Management (2006 — 2007), Vice President — Investment Management (2005 — 2006), Transamerica Funds, TST and TIS;
Vice President and Chief Investment Officer, TPP, TPFG, TPFG II and TAAVF (2007 — present);
Vice President and Chief Investment Officer (2007 — 2010); Vice President — Investment Administration (2005 — 2007), TII;
Director (2005 — present), Senior Vice President — Investment Management (2006 — present) and Chief Investment Officer (2007 — present), TAM; |
| | | | | | | |
| | | | | Term of Office | | |
| | | | | and Length of | | Principal Occupation(s) or Employment During |
| Name and Age | | Position | | Time Served* | | Past 5 Years |
| | | | | | | Director, TFS (2005 — present); and Assistant Vice President, Raymond James & Associates (1999 — 2004). |
| | | | | | | |
Robert S. Lamont, Jr.
(1973) | | Vice President, Chief Compliance Officer and Conflicts of Interest Officer | | Since 2010 | | Vice President, Chief Compliance Officer and Conflicts of Interest Officer, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2010 — present);
Vice President and Senior Counsel, TAM and TFS (2007 — present);
Senior Counsel, United States Securities and Exchange Commission (2004 — 2007); and
Associate, Dechert, LLP (1999 — 2004). |
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Bradley O. Ackerman
(1966) | | Anti-Money Laundering Officer | | Since 2007 | | Anti-Money Laundering Officer, TPP, TPFG, TPFG II and TAAVF (2009 — present);
Anti-Money Laundering Officer, Transamerica Funds (2007 — present);
Senior Compliance Officer, TAM (2007 — present); and
Director, Institutional Services, Rydex Investments (2002 — 2007). |
| | | | | | | |
Sarah L. Bertrand
(1967) | | Assistant Secretary | | Since 2009 | | Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 — present);
Assistant Secretary, TII (2009 — 2010);
Assistant Vice President and Director, Legal Administration, TAM and TFS (2007 — present);
Assistant Secretary and Chief Compliance Officer, 40|86 Series Trust and 40|86 Strategic Income Fund (2000 — 2007); and
Second Vice President and Assistant Secretary, Legal and Compliance, 40|86 Capital Management, Inc. (1994 — 2007). |
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Timothy J. Bresnahan
(1968) | | Assistant Secretary | | Since 2009 | | Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2009 — present);
Assistant Secretary, TII (2009 — 2010);
Counsel, TAM (2008 — present);
Counsel (contract), Massachusetts Financial Services, Inc. (2007);
Assistant Counsel, BISYS Fund Services Ohio, Inc. (2005 — 2007); and
Associate, Greenberg Traurig, P.A. (2004 — 2005). |
| | | | | | | |
| | | | | Term of Office | | |
| | | | | and Length of | | Principal Occupation(s) or Employment During |
| Name and Age | | Position | | Time Served* | | Past 5 Years |
Margaret A. Cullem-Fiore
(1957) | | Assistant Secretary | | Since 2010 | | Assistant Secretary, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2010 — present);
Assistant Vice President, TCI (2009 — present);
Vice President and Senior Counsel, TAM and TFS (2006 — present);
Vice President and Senior Counsel, Transamerica Financial Advisors, Inc. (2004 — 2007); and
Vice President and Senior Counsel, Western Reserve Life Assurance Co. of Ohio (2006). |
| | | | | | | |
Richard E. Shield, Jr.
(1974) | | Tax Officer | | Since 2008 | | Tax Officer, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2008 — present);
Tax Officer, TII (2008 — 2010);
Tax Manager, Jeffrey P. McClanathan, CPA (2006 — 2007) and Gregory, Sharer & Stuart (2005 — 2006);
Tax Senior, Kirkland, Russ, Murphy & Tapp, P.A. (2003 — 2005); and
Certified Public Accountant, Schultz, Chaipel & Co., LLP (1998 — 2003). |
| | | | | | | |
Elizabeth Strouse
(1974) | | Assistant Treasurer | | Since 2010 | | Assistant Treasurer, Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2010 — present);
Director, Fund Financial Services (2009 — present), TFS;
Director, Fund Administration, TIAA-CREF (2007 — 2009); and
Manager (2006 — 2007) and Senior (2003 — 2006) Accounting and Assurance, PricewaterhouseCoopers, LLC. |
| | |
| * | | Elected and serves at the pleasure of the Board of the Trust. |
If an officer has held offices for different funds for different periods of time, the earliest applicable date is shown. No officer of the Trust, except for the Chief Compliance Officer, receives any compensation from the Trust.
Additional information about the Funds’ Board Members can be found in the Statement of Additional Information, available, without charge, upon request, by calling toll free 1-888-233-4339 or on the Trust’s website at www.transamericafunds.com.
PROXY VOTING POLICIES AND PROCEDURES AND QUARTERLY PORTFOLIO HOLDINGS
(unaudited)
A description of Transamerica Series Trust’s (the “Trust”) proxy voting policies and procedures is available in the Statement of Additional Information of the Funds, available without charge upon request by calling 1-800-851-9777 (toll free) or on the Securities and Exchange Commission (“SEC”) website at http://www.sec.gov.
In addition, the Funds are required to file Form N-PX, with their complete proxy voting records for the 12 months ended June 30th, no later than August 31st of each year. The Form is available without charge: (1) from the Funds, upon request by calling 1-800-851-9777; and (2) on the SEC’s website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarter of each fiscal year on Form N-Q which is available on the SEC’s website at http://www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
You may also visit the Trust’s website at www.transamericafunds.com for this and other information about the Funds and the Trust.
Important Notice Regarding Delivery of Shareholder Documents
Every year we send shareholders informative materials such as the Transamerica Series Trust Annual Report, the Transamerica Series Trust Prospectus, and other required documents that keep you informed regarding your portfolios. Transamerica Series Trust will only send one piece per mailing address, a method that saves your portfolios money by reducing mailing and printing costs. We will continue to do this unless you tell us not to. To elect to receive individual mailings, simply call a Transamerica Customer Service Representative toll free at 1-888-233-4339, 8 a.m. to 7 p.m. Eastern Time, Monday—Friday. Your request will take effect within 30 days.
NOTICE OF PRIVACY POLICY
(unaudited)
Protecting your privacy is very important to us. We want you to understand what information we collect and how we use it. We collect and use “nonpublic personal information” in connection with providing our customers with a broad range of financial products and services as effectively and conveniently as possible. We treat nonpublic personal information in accordance with our Privacy Policy.
What Information We Collect and From Whom We Collect It
We may collect nonpublic personal information about you from the following sources:
| • | | Information we receive from you on applications or other forms, such as your name, address, and account number; |
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| • | | Information about your transactions with us, our affiliates, or others, such as your account balance and purchase/redemption history; and |
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| • | | Information we receive from non-affiliated third parties, including consumer reporting agencies. |
What Information We Disclose and To Whom We Disclose It
We do not disclose any nonpublic personal information about current or former customers to anyone without their express consent, except as permitted by law. We may disclose the nonpublic personal information we collect, as described above, to persons or companies that perform services on our behalf and to other financial institutions with which we have joint marketing agreements. We will require these companies to protect the confidentiality of your nonpublic personal information and to use it only to perform the services for which we have hired them.
Our Security Procedures
We restrict access to your nonpublic personal information and only allow disclosures to persons and companies as permitted by law to assist in providing products or services to you. We maintain physical, electronic, and procedural safeguards to protect your nonpublic personal information and to safeguard the disposal of certain consumer information.
If you have any questions about our privacy policy, please call 1-888-233-4339 on any business day between 8 a.m. and 7 p.m. Eastern Time.
Note: This privacy policy applies only to customers that have a direct relationship with us or our affiliates. If you own shares of our funds in the name of a third party such as a bank or broker-dealer, its privacy policy may apply to you instead of ours.
P.O. Box 9012
Clearwater, FL 33758-9012
| | |
| Distributor: | | Transamerica Capital, Inc.
4600 South Syracuse Street
Denver, CO 80237
Customer Service: 1-800-851-9777 |
Item 2: Code of Ethics.
| (a) | | Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, and any other officers who serve a similar function. |
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| (b) | | Registrant’s code of ethics is reasonably designed as described in this Form N-CSR. |
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| (c) | | During the period covered by the report, the code of ethics was revised to reflect the appointment of a new Principal Financial Officer. In addition, Transamerica Investors, Inc. was deregistered as an investment management company and removed as a party to the Code of Ethics. |
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| (d) | | During the period covered by the report, Registrant did not grant any waivers, including implicit waivers, from the provisions of this code of ethics. |
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| (e) | | Not Applicable |
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| (f) | | Registrant has filed this code of ethics as an exhibit pursuant to Item 12(a)(1) of Form N-CSR. |
Item 3: Audit Committee Financial Experts.
Registrant’s Board of Trustees has determined that Sandra N. Bane, John W. Waechter and Eugene M. Mannella are “audit committee financial experts,” as such term is defined in Item 3 of Form N-CSR. Ms. Bane, Mr. Waechter and Mr. Mannella are “independent” under the standards set forth in Item 3 of Form N-CSR. The designation of Ms. Bane, Mr. Waechter and Mr. Mannella as “audit committee financial experts” pursuant to Item 3 of Form N-CSR does not (i) impose upon them any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed upon them as a member of the Registrant’s audit committee or Board of Trustees in the absence of such designation; or (ii) affect the duties, obligations or liabilities of any other member of the Registrant’s audit committee or Board of Trustees.
Item 4: Principal Accountant Fees and Services.
| | | | | | | | | | | |
| | | | | Fiscal Year Ended 12/31 |
| (in thousands) | | 2010* | | 2009 |
| (a) | | Audit Fees | | | 403 | | | | 673 | |
| (b) | | Audit-Related Fees (1) | | | 6 | | | | 15 | |
| (c) | | Tax Fees (2) | | | 127 | | | | 247 | |
| (d) | | All Other Fees | | | 8 | | | | N/A | |
| (e) (1) | | Pre-approval policy (3) | | | | | | | | |
| (e) (2) | | % of above that were pre-approved | | | 0 | % | | | 0 | % |
| (f) | | If greater than 50%, disclose hours | | | N/A | | | | N/A | |
| (g) | | Non-audit fees rendered to Adviser (or affiliate that provided services to Registrant) | | | N/A | | | | N/A | |
| (h) | | Disclose whether the Audit Committee has considered whether the provisions of non-audit services rendered to the Adviser that were NOT pre-approved is compatible with maintaining the auditor’s independence. | | Yes | | Yes |
| | |
| (1) | | Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the Registrant, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements. |
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| (2) | | Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the preparation and review of the Registrant’s tax returns. |
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| (3) | | The Audit Committee may delegate any portion of its authority, including the authority to grant pre-approvals of audit and permitted non-audit services, to one or more members or a subcommittee. Any decision of the subcommittee to grant pre-approvals shall be presented to the full Audit Committee at its next regularly scheduled meeting. |
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| * | | PricewaterhouseCoopers LLP (“PwC”) served as independent registered certified public accounting firm through April 7, 2010. On April 8, 2010, Ernst & Young LLP (“E&Y”) replaced PwC as the independent public accountant. Audit fees, audit-related fees, tax fees and all other fees include $401, $0, $118 and $6, respectively, billed to Transamerica Series Trust by E&Y for the fiscal year end December 31, 2010. |
Item 5: Audit Committee of Listed Registrants.
The following individuals comprise the standing Audit Committee: Sandra N. Bane, Leo J. Hill, David W. Jennings, Russell A. Kimball, Jr., Eugene M. Mannella, Norman R. Nielsen, Joyce G. Norden, Patricia L. Sawyer and John W. Waechter.
Item 6: Schedule of Investments.
The schedules of investments are included in the annual report to shareholders filed under Item 1 of this Form N-CSR.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies. Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that have been implemented since the Registrant last provided disclosure in response to the requirements of this Item.
Item 11: Controls and Procedures.
| | (a) | | The Registrant’s principal executive officer and principal financial officer evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are appropriately designed to ensure that information required to be disclosed by Registrant in the reports that it files on Form N-CSR (a) is accumulated and communicated to Registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. |
| | (b) | | The Registrant’s principal executive officer and principal financial officer are aware of no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12: Exhibits.
| (a) | | (1) Registrant’s code of ethics (that is the subject of the disclosure required by Item 2(a)) is attached. |
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| | (2) Separate certifications for Registrant’s principal executive officer and principal financial officer, as required by Rule
30a-2(a) under the 1940 Act, are attached. |
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| | (3) Not applicable. |
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| (b) | | A certification for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, is attached. The certification furnished pursuant to this paragraph is not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates it by reference. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | | | | |
|
| | | Transamerica Series Trust | | |
| | | (Registrant) | | |
| | | | | | | |
| | | By: | | /s/ John K. Carter John K. Carter | | |
| | | | | Chief Executive Officer | | |
| | | Date: | | February 25, 2011 | | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | | | | |
|
| By: | | /s/ John K. Carter John K. Carter | | |
| | | Chief Executive Officer | | |
| Date: | | February 25, 2011 | | |
| | | | | |
| By: | | /s/ Robert A. DeVault, Jr. Robert A. DeVault, Jr. | | |
| | | Principal Financial Officer | | |
| Date: | | February 25, 2011 | | |
EXHIBIT INDEX
| | | |
| Exhibit No. | | Description of Exhibit |
| | | |
| 12(a)(1) | | Code of Ethics for Principal Executive and Senior Financial Officers |
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| 12(a)(2)(i) | | Section 302 N-CSR Certification of Principal Executive Officer |
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| 12(a)(2)(ii) | | Section 302 N-CSR Certification of Principal Financial Officer |
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| 12(b) | | Section 906 N-CSR Certification of Principal Executive Officer and Principal Financial Officer |
