Transamerica JPMorgan Enhanced Index VP
SCHEDULE OF INVESTMENTS
At March 31, 2024
(unaudited)
Shares | Value | |||||||
COMMON STOCKS - 97.1% | ||||||||
Aerospace & Defense - 1.3% | ||||||||
Howmet Aerospace, Inc. | 153,962 | $ 10,535,619 | ||||||
Northrop Grumman Corp. | 8,977 | 4,296,931 | ||||||
RTX Corp. | 77,405 | 7,549,310 | ||||||
Textron, Inc. | 124,357 | 11,929,567 | ||||||
TransDigm Group, Inc. | 3,526 | 4,342,621 | ||||||
|
| |||||||
38,654,048 | ||||||||
|
| |||||||
Air Freight & Logistics - 1.0% | ||||||||
FedEx Corp. | 29,456 | 8,534,581 | ||||||
United Parcel Service, Inc., Class B | 127,441 | 18,941,556 | ||||||
|
| |||||||
27,476,137 | ||||||||
|
| |||||||
Automobile Components - 0.2% | ||||||||
Aptiv PLC (A) | 56,180 | 4,474,737 | ||||||
|
| |||||||
Automobiles - 0.9% | ||||||||
Tesla, Inc. (A) | 152,261 | 26,765,961 | ||||||
|
| |||||||
Banks - 3.6% | ||||||||
Bank of America Corp. | 883,909 | 33,517,829 | ||||||
Citigroup, Inc. | 73,557 | 4,651,745 | ||||||
Fifth Third Bancorp | 318,390 | 11,847,292 | ||||||
Truist Financial Corp. | 380,201 | 14,820,235 | ||||||
US Bancorp | 328,652 | 14,690,744 | ||||||
Wells Fargo & Co. | 411,911 | 23,874,362 | ||||||
|
| |||||||
103,402,207 | ||||||||
|
| |||||||
Beverages - 1.9% | ||||||||
Coca-Cola Co. | 389,401 | 23,823,553 | ||||||
Monster Beverage Corp. (A) | 78,803 | 4,671,442 | ||||||
PepsiCo, Inc. | 143,947 | 25,192,165 | ||||||
|
| |||||||
53,687,160 | ||||||||
|
| |||||||
Biotechnology - 2.8% | ||||||||
AbbVie, Inc. | 199,558 | 36,339,512 | ||||||
Biogen, Inc. (A) | 30,871 | 6,656,714 | ||||||
BioMarin Pharmaceutical, Inc. (A) | 14,700 | 1,283,898 | ||||||
Neurocrine Biosciences, Inc. (A) | 19,371 | 2,671,648 | ||||||
Regeneron Pharmaceuticals, Inc. (A) | 17,912 | 17,240,121 | ||||||
Sarepta Therapeutics, Inc. (A) | 9,416 | 1,218,995 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 39,046 | 16,321,619 | ||||||
|
| |||||||
81,732,507 | ||||||||
|
| |||||||
Broadline Retail - 4.2% | ||||||||
Amazon.com, Inc. (A) | 675,658 | 121,875,190 | ||||||
|
| |||||||
Building Products - 1.3% | ||||||||
Carrier Global Corp. | 100,391 | 5,835,729 | ||||||
Masco Corp. | 97,747 | 7,710,283 | ||||||
Trane Technologies PLC | 75,541 | 22,677,408 | ||||||
|
| |||||||
36,223,420 | ||||||||
|
| |||||||
Capital Markets - 2.1% | ||||||||
Ameriprise Financial, Inc. | 9,498 | 4,164,303 | ||||||
Blackstone, Inc. | 18,597 | 2,443,088 | ||||||
Charles Schwab Corp. | 178,588 | 12,919,056 | ||||||
CME Group, Inc. | 41,847 | 9,009,241 | ||||||
Goldman Sachs Group, Inc. | 23,674 | 9,888,393 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Capital Markets (continued) | ||||||||
Intercontinental Exchange, Inc. | 106,796 | $ 14,676,974 | ||||||
State Street Corp. | 100,455 | 7,767,181 | ||||||
|
| |||||||
60,868,236 | ||||||||
|
| |||||||
Chemicals - 2.0% | ||||||||
Dow, Inc. | 225,417 | 13,058,407 | ||||||
Eastman Chemical Co. | 72,749 | 7,290,905 | ||||||
Linde PLC | 55,278 | 25,666,681 | ||||||
LyondellBasell Industries NV, Class A | 70,645 | 7,225,570 | ||||||
PPG Industries, Inc. | 25,797 | 3,737,985 | ||||||
|
| |||||||
56,979,548 | ||||||||
|
| |||||||
Commercial Services & Supplies - 0.1% | ||||||||
Cintas Corp. | 4,444 | 3,053,161 | ||||||
|
| |||||||
Communications Equipment - 0.2% | ||||||||
Motorola Solutions, Inc. | 14,467 | 5,135,496 | ||||||
|
| |||||||
Consumer Finance - 0.2% | ||||||||
Capital One Financial Corp. | 29,622 | 4,410,420 | ||||||
|
| |||||||
Consumer Staples Distribution & Retail - 1.0% | ||||||||
Costco Wholesale Corp. | 35,859 | 26,271,379 | ||||||
Dollar Tree, Inc. (A) | 23,152 | 3,082,689 | ||||||
|
| |||||||
29,354,068 | ||||||||
|
| |||||||
Containers & Packaging - 0.0% (B) | ||||||||
International Paper Co. | 20,736 | 809,119 | ||||||
|
| |||||||
Distributors - 0.1% | ||||||||
LKQ Corp. | 44,110 | 2,355,915 | ||||||
|
| |||||||
Electric Utilities - 1.9% | ||||||||
Constellation Energy Corp. | 23,437 | 4,332,329 | ||||||
NextEra Energy, Inc. | 273,191 | 17,459,637 | ||||||
PG&E Corp. | 805,242 | 13,495,856 | ||||||
Southern Co. | 284,616 | 20,418,352 | ||||||
|
| |||||||
55,706,174 | ||||||||
|
| |||||||
Electrical Equipment - 0.7% | ||||||||
AMETEK, Inc. | 14,180 | 2,593,522 | ||||||
Eaton Corp. PLC | 57,874 | 18,096,042 | ||||||
|
| |||||||
20,689,564 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 0.3% | ||||||||
Corning, Inc. | 79,679 | 2,626,220 | ||||||
Keysight Technologies, Inc. (A) | 28,507 | 4,457,924 | ||||||
TE Connectivity Ltd. | 19,603 | 2,847,140 | ||||||
|
| |||||||
9,931,284 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.1% | ||||||||
Baker Hughes Co. | 111,742 | 3,743,357 | ||||||
|
| |||||||
Entertainment - 0.5% | ||||||||
Netflix, Inc. (A) | 19,566 | 11,883,019 | ||||||
Warner Bros Discovery, Inc. (A) | 141,176 | 1,232,466 | ||||||
|
| |||||||
13,115,485 | ||||||||
|
| |||||||
Financial Services - 5.0% | ||||||||
Berkshire Hathaway, Inc., Class B (A) | 94,716 | 39,829,972 | ||||||
Block, Inc. (A) | 16,745 | 1,416,292 | ||||||
Corpay, Inc. (A) | 34,797 | 10,736,267 | ||||||
Fidelity National Information Services, Inc. | 39,224 | 2,909,636 | ||||||
Fiserv, Inc. (A) | 59,071 | 9,440,727 |
Transamerica Series Trust | Page 1 |
Transamerica JPMorgan Enhanced Index VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Financial Services (continued) | ||||||||
Mastercard, Inc., Class A | 95,593 | $ 46,034,721 | ||||||
Visa, Inc., Class A | 120,131 | 33,526,160 | ||||||
|
| |||||||
143,893,775 | ||||||||
|
| |||||||
Food Products - 0.8% | ||||||||
Mondelez International, Inc., Class A | 332,222 | 23,255,540 | ||||||
|
| |||||||
Ground Transportation - 1.2% | ||||||||
CSX Corp. | 149,970 | 5,559,388 | ||||||
Norfolk Southern Corp. | 28,069 | 7,153,946 | ||||||
Uber Technologies, Inc. (A) | 183,866 | 14,155,843 | ||||||
Union Pacific Corp. | 30,177 | 7,421,430 | ||||||
|
| |||||||
34,290,607 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 2.3% | ||||||||
Baxter International, Inc. | 98,731 | 4,219,763 | ||||||
Becton Dickinson & Co. | 17,846 | 4,415,993 | ||||||
Boston Scientific Corp. (A) | 297,428 | 20,370,844 | ||||||
Dexcom, Inc. (A) | 24,368 | 3,379,841 | ||||||
Intuitive Surgical, Inc. (A) | 13,976 | 5,577,682 | ||||||
Medtronic PLC | 166,916 | 14,546,729 | ||||||
Stryker Corp. | 39,729 | 14,217,817 | ||||||
|
| |||||||
66,728,669 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.5% | ||||||||
Centene Corp. (A) | 108,555 | 8,519,396 | ||||||
CVS Health Corp. | 47,058 | 3,753,346 | ||||||
Elevance Health, Inc. | 23,666 | 12,271,768 | ||||||
HCA Healthcare, Inc. | 5,933 | 1,978,833 | ||||||
Humana, Inc. | 13,592 | 4,712,618 | ||||||
McKesson Corp. | 8,306 | 4,459,076 | ||||||
UnitedHealth Group, Inc. | 76,125 | 37,659,038 | ||||||
|
| |||||||
73,354,075 | ||||||||
|
| |||||||
Health Care REITs - 0.5% | ||||||||
Ventas, Inc. | 176,227 | 7,672,924 | ||||||
Welltower, Inc. | 57,178 | 5,342,712 | ||||||
|
| |||||||
13,015,636 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 3.0% | ||||||||
Booking Holdings, Inc. | 4,711 | 17,090,943 | ||||||
Chipotle Mexican Grill, Inc. (A) | 5,921 | 17,210,985 | ||||||
Expedia Group, Inc. (A) | 81,028 | 11,161,607 | ||||||
Marriott International, Inc., Class A | 28,587 | 7,212,786 | ||||||
McDonald’s Corp. | 41,253 | 11,631,283 | ||||||
Royal Caribbean Cruises Ltd. (A) | 66,970 | 9,309,500 | ||||||
Yum! Brands, Inc. | 93,790 | 13,003,983 | ||||||
|
| |||||||
86,621,087 | ||||||||
|
| |||||||
Household Durables - 0.3% | ||||||||
Lennar Corp., Class A | 25,587 | 4,400,452 | ||||||
Toll Brothers, Inc. | 29,457 | 3,810,852 | ||||||
|
| |||||||
8,211,304 | ||||||||
|
| |||||||
Household Products - 0.6% | ||||||||
Church & Dwight Co., Inc. | 39,182 | 4,087,075 | ||||||
Procter & Gamble Co. | 78,233 | 12,693,304 | ||||||
|
| |||||||
16,780,379 | ||||||||
|
| |||||||
Industrial Conglomerates - 0.9% | ||||||||
Honeywell International, Inc. | 129,961 | 26,674,495 | ||||||
|
| |||||||
Industrial REITs - 0.7% | ||||||||
Prologis, Inc. | 145,657 | 18,967,455 | ||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Insurance - 2.0% | ||||||||
Chubb Ltd. | 37,525 | $ 9,723,853 | ||||||
Globe Life, Inc. | 4,740 | 551,594 | ||||||
MetLife, Inc. | 111,338 | 8,251,259 | ||||||
Principal Financial Group, Inc. | 12,369 | 1,067,568 | ||||||
Progressive Corp. | 95,830 | 19,819,561 | ||||||
Travelers Cos., Inc. | 78,444 | 18,053,102 | ||||||
|
| |||||||
57,466,937 | ||||||||
|
| |||||||
Interactive Media & Services - 6.2% | ||||||||
Alphabet, Inc., Class A (A) | 381,036 | 57,509,764 | ||||||
Alphabet, Inc., Class C (A) | 282,869 | 43,069,634 | ||||||
Meta Platforms, Inc., Class A | 158,861 | 77,139,724 | ||||||
|
| |||||||
177,719,122 | ||||||||
|
| |||||||
IT Services - 1.0% | ||||||||
Accenture PLC, Class A | 49,027 | 16,993,249 | ||||||
Cognizant Technology Solutions Corp., Class A | 163,205 | 11,961,294 | ||||||
|
| |||||||
28,954,543 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 1.3% | ||||||||
Danaher Corp. | 69,322 | 17,311,090 | ||||||
Thermo Fisher Scientific, Inc. | 32,038 | 18,620,806 | ||||||
|
| |||||||
35,931,896 | ||||||||
|
| |||||||
Machinery - 1.6% | ||||||||
Deere & Co. | 55,470 | 22,783,748 | ||||||
Dover Corp. | 25,774 | 4,566,895 | ||||||
Ingersoll Rand, Inc. | 44,545 | 4,229,548 | ||||||
Otis Worldwide Corp. | 157,567 | 15,641,676 | ||||||
|
| |||||||
47,221,867 | ||||||||
|
| |||||||
Media - 1.1% | ||||||||
Charter Communications, Inc., Class A (A) | 25,900 | 7,527,317 | ||||||
Comcast Corp., Class A | 511,606 | 22,178,120 | ||||||
Liberty Media Corp. - Liberty SiriusXM, Class A (A) | 62,122 | 1,845,024 | ||||||
|
| |||||||
31,550,461 | ||||||||
|
| |||||||
Metals & Mining - 0.2% | ||||||||
Nucor Corp. | 23,049 | 4,561,397 | ||||||
|
| |||||||
Multi-Utilities - 0.2% | ||||||||
CMS Energy Corp. | 117,713 | 7,102,802 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 3.8% | ||||||||
Chevron Corp. | 43,534 | 6,867,053 | ||||||
ConocoPhillips | 148,599 | 18,913,681 | ||||||
Diamondback Energy, Inc. | 64,373 | 12,756,797 | ||||||
EOG Resources, Inc. | 142,246 | 18,184,729 | ||||||
Exxon Mobil Corp. | 411,456 | 47,827,645 | ||||||
Pioneer Natural Resources Co. | 15,023 | 3,943,538 | ||||||
|
| |||||||
108,493,443 | ||||||||
|
| |||||||
Passenger Airlines - 0.2% | ||||||||
Delta Air Lines, Inc. | 91,516 | 4,380,871 | ||||||
|
| |||||||
Personal Care Products - 0.2% | ||||||||
Kenvue, Inc. | 316,783 | 6,798,163 | ||||||
|
| |||||||
Pharmaceuticals - 3.1% | ||||||||
Bristol-Myers Squibb Co. | 353,337 | 19,161,466 | ||||||
Eli Lilly & Co. | 45,345 | 35,276,596 |
Transamerica Series Trust | Page 2 |
Transamerica JPMorgan Enhanced Index VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Pharmaceuticals (continued) | ||||||||
Johnson & Johnson | 113,500 | $ 17,954,565 | ||||||
Merck & Co., Inc. | 136,672 | 18,033,870 | ||||||
|
| |||||||
90,426,497 | ||||||||
|
| |||||||
Professional Services - 0.3% | ||||||||
Leidos Holdings, Inc. | 62,381 | 8,177,525 | ||||||
|
| |||||||
Residential REITs - 0.2% | ||||||||
Equity LifeStyle Properties, Inc. | 63,195 | 4,069,758 | ||||||
Sun Communities, Inc. | 22,460 | 2,887,907 | ||||||
|
| |||||||
6,957,665 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 10.9% | ||||||||
Advanced Micro Devices, Inc. (A) | 145,615 | 26,282,051 | ||||||
Analog Devices, Inc. | 103,955 | 20,561,259 | ||||||
Broadcom, Inc. | 16,460 | 21,816,249 | ||||||
Lam Research Corp. | 22,193 | 21,562,053 | ||||||
Micron Technology, Inc. | 118,201 | 13,934,716 | ||||||
NVIDIA Corp. | 172,642 | 155,992,405 | ||||||
NXP Semiconductors NV | 97,213 | 24,086,465 | ||||||
Qorvo, Inc. (A) | 35,572 | 4,084,733 | ||||||
Teradyne, Inc. | 15,436 | 1,741,644 | ||||||
Texas Instruments, Inc. | 144,041 | 25,093,383 | ||||||
|
| |||||||
315,154,958 | ||||||||
|
| |||||||
Software - 10.2% | ||||||||
Adobe, Inc. (A) | 28,929 | 14,597,573 | ||||||
Cadence Design Systems, Inc. (A) | 17,370 | 5,406,934 | ||||||
Intuit, Inc. | 30,598 | 19,888,700 | ||||||
Microsoft Corp. | 526,360 | 221,450,179 | ||||||
Salesforce, Inc. | 36,368 | 10,953,314 | ||||||
ServiceNow, Inc. (A) | 29,327 | 22,358,905 | ||||||
|
| |||||||
294,655,605 | ||||||||
|
| |||||||
Specialized REITs - 0.7% | ||||||||
Digital Realty Trust, Inc. | 67,956 | 9,788,382 | ||||||
SBA Communications Corp. | 41,438 | 8,979,615 | ||||||
|
| |||||||
18,767,997 | ||||||||
|
| |||||||
Specialty Retail - 3.0% | ||||||||
AutoNation, Inc. (A) | 16,706 | 2,766,179 | ||||||
AutoZone, Inc. (A) | 7,019 | 22,121,431 | ||||||
Best Buy Co., Inc. | 101,376 | 8,315,873 | ||||||
Burlington Stores, Inc. (A) | 27,319 | 6,343,199 | ||||||
Lowe’s Cos., Inc. | 120,560 | 30,710,249 | ||||||
O’Reilly Automotive, Inc. (A) | 6,235 | 7,038,567 | ||||||
TJX Cos., Inc. | 99,188 | 10,059,647 | ||||||
|
| |||||||
87,355,145 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 6.0% | ||||||||
Apple, Inc. | 915,961 | 157,068,993 | ||||||
Seagate Technology Holdings PLC | 141,862 | 13,200,259 | ||||||
Western Digital Corp. (A) | 36,476 | 2,489,122 | ||||||
|
| |||||||
172,758,374 | ||||||||
|
| |||||||
Tobacco - 0.3% | ||||||||
Altria Group, Inc. | 66,877 | 2,917,175 | ||||||
Philip Morris International, Inc. | 69,430 | 6,361,176 | ||||||
|
| |||||||
9,278,351 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.2% | ||||||||
United Rentals, Inc. | 8,059 | 5,811,426 | ||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Wireless Telecommunication Services - 0.2% | ||||||||
T-Mobile US, Inc. | 38,135 | $ 6,224,395 | ||||||
|
| |||||||
Total Common Stocks |
| 2,797,985,656 | ||||||
|
| |||||||
Principal | Value | |||||||
REPURCHASE AGREEMENT - 2.6% | ||||||||
Fixed Income Clearing Corp., 2.50% (C), dated 03/28/2024, to be repurchased at $76,961,552 on 04/01/2024. Collateralized by U.S. Government Obligations, 4.00% - 4.25%, due 12/15/2025 - 12/31/2025, and with a total value of $78,457,227. | $ 76,918,820 | 76,918,820 | ||||||
|
| |||||||
Total Repurchase Agreement |
| 76,918,820 | ||||||
|
| |||||||
Total Investments |
| 2,874,904,476 | ||||||
Net Other Assets (Liabilities) - 0.3% | 7,307,248 | |||||||
|
| |||||||
Net Assets - 100.0% | $ 2,882,211,724 | |||||||
|
|
Transamerica Series Trust | Page 3 |
Transamerica JPMorgan Enhanced Index VP
SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
FUTURES CONTRACTS:
Long Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
S&P 500® E-Mini Index | 303 | 06/21/2024 | $ | 79,230,915 | $ | 80,423,775 | $ | 1,192,860 | $ | — |
INVESTMENT VALUATION:
Valuation Inputs (D)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Value | |||||||||||||
ASSETS | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 2,797,985,656 | $ | — | $ | — | $ | 2,797,985,656 | ||||||||
Repurchase Agreement | — | 76,918,820 | — | 76,918,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,797,985,656 | $ | 76,918,820 | $ | — | $ | 2,874,904,476 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts (E) | $ | 1,192,860 | $ | — | $ | — | $ | 1,192,860 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,192,860 | $ | — | $ | — | $ | 1,192,860 | ||||||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | Percentage rounds to less than 0.1% or (0.1)%. | |
(C) | Rate disclosed reflects the yield at March 31, 2024. | |
(D) | There were no transfers in or out of Level 3 during the period ended March 31, 2024. Please reference the Investment Valuation section of the Notes to Schedule of Investments for more information regarding investment valuation and pricing inputs. | |
(E) | Derivative instruments are valued at unrealized appreciation (depreciation). |
PORTFOLIO ABBREVIATION:
REIT | Real Estate Investment Trust |
Transamerica Series Trust | Page 4 |
Transamerica JPMorgan Enhanced Index VP
NOTES TO SCHEDULE OF INVESTMENTS
At March 31, 2024
(unaudited)
INVESTMENT VALUATION
Transamerica JPMorgan Enhanced Index VP (the “Portfolio”) is a series of the Transamerica Series Trust.
Transamerica Asset Management, Inc. (“TAM”) has been designated as the Portfolio’s valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended, with responsibility for fair valuation subject to oversight by the Portfolio’s Board of Trustees. The net asset value of the Portfolio is computed as of the official close of the New York Stock Exchange (“NYSE”) each day the NYSE is open for business.
TAM utilizes various methods to measure the fair value of its investments on a recurring basis. Generally Accepted Accounting Principles in the United States of America establishes a hierarchy that prioritizes inputs to valuation methods. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels (“Levels”) of inputs of the fair value hierarchy are defined as follows:
Level 1 — Unadjusted quoted prices in active markets for identical securities.
Level 2 — Inputs, other than quoted prices included in Level 1, which are observable, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include TAM’s own assumptions used in determining the fair value of the Portfolio’s investments and derivative instruments.
The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy that is assigned to the fair value measurement of a security is determined based on the lowest Level input that is significant to the fair value measurement in its entirety. Certain investments that are measured at fair value using Net Asset Value per share, or its equivalent, using the “practical expedient” have not been classified in the fair value Levels. The hierarchy classification of inputs used to value the Portfolio’s investments at March 31, 2024, is disclosed within the Investment Valuation section of the Schedule of Investments.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, but not limited to, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is generally greatest for instruments categorized in Level 3. Due to the inherent uncertainty of valuation, the determination of values may differ significantly from values that would have been realized had a ready market for investments existed, and the differences could be material.
Fair value measurements: Descriptions of the valuation techniques applied to the Portfolio’s significant categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities: Securities are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Equities traded on inactive markets or valued by reference to similar instruments are generally categorized in Level 2 or Level 3 if inputs are unobservable.
Foreign equity securities: Securities in which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and are categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, or ETFs and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Transamerica Series Trust | Page 5 |
Transamerica JPMorgan Enhanced Index VP
NOTES TO SCHEDULE OF INVESTMENTS (continued)
At March 31, 2024
(unaudited)
Repurchase agreements: Repurchase agreements are valued at cost, which approximates fair value. To the extent the inputs are observable and timely, the values are generally categorized in Level 2 of the fair value hierarchy.
Derivative instruments: Centrally cleared or listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivative contracts include forward, swap, swaption, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. The majority of OTC derivative products valued by the Portfolio using pricing models fall into this category and are categorized within Level 2 of the fair value hierarchy or Level 3 if inputs are unobservable.
Transamerica Series Trust | Page 6 |