Transamerica Total Return
SCHEDULE OF INVESTMENTS
At July 31, 2022
(unaudited)
Principal | Value | |||||||
ASSET-BACKED SECURITIES - 11.9% | ||||||||
ABFC Trust | ||||||||
Series 2004-OPT5, Class A1, | ||||||||
1-Month LIBOR + 0.70%, | $ 109,649 | $ 103,087 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
Series 2005-R10, Class M2, | ||||||||
1-Month LIBOR + 0.65%, | 10,062 | 10,051 | ||||||
AMMC CLO 20 Ltd. | ||||||||
Series 2017-20A, Class AR, | ||||||||
3-Month LIBOR + 0.87%, | 1,037,447 | 1,025,984 | ||||||
Apres Static CLO Ltd. | ||||||||
Series 2019-1A, Class A1R, | ||||||||
3-Month LIBOR + 1.07%, | 656,848 | 651,526 | ||||||
Aqueduct European CLO DAC | ||||||||
Series 2017-1A, Class AR, | ||||||||
3-Month EURIBOR + 0.64%, | EUR 1,546,573 | 1,544,747 | ||||||
Arbor Realty Commercial Real Estate Notes Ltd. | ||||||||
Series 2021-FL4, Class A, | ||||||||
1-Month LIBOR + 1.35%, | $ 1,600,000 | 1,556,701 | ||||||
Series 2022-FL1, Class A, | ||||||||
1-Month SOFR + 1.45%, | 1,400,000 | 1,362,451 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
Series 2005-AQ1, Class M2, | ||||||||
1-Month LIBOR + 0.98%, | 372,746 | 371,636 | ||||||
Series 2006-HE1, Class 1M2, | ||||||||
1-Month LIBOR + 0.65%, | 467,398 | 466,099 | ||||||
Series 2006-HE10, Class 21A3, | ||||||||
1-Month LIBOR + 0.24%, | 2,694,602 | 2,622,828 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
Series 2002-2, Class A1, | ||||||||
1-Month LIBOR + 0.66%, | 1,594 | 1,566 | ||||||
BlueMountain CLO Ltd. | ||||||||
Series 2013-2A, Class A1R, | ||||||||
3-Month LIBOR + 1.18%, | 1,499,990 | 1,482,304 | ||||||
BlueMountain Fuji CLO II DAC | ||||||||
Series 2017-2A, Class AR, | ||||||||
3-Month EURIBOR + 0.65%, | EUR 1,146,546 | 1,144,305 | ||||||
BRSP Ltd. | ||||||||
Series 2021-FL1, Class A, | ||||||||
1-Month LIBOR + 1.15%, | $ 1,700,000 | 1,634,989 |
Principal | Value | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
BSPDF Issuer Ltd. | ||||||||
Series 2021-FL1, Class A, | ||||||||
1-Month LIBOR + 1.20%, | $ 1,700,000 | $ 1,613,544 | ||||||
C-BASS Trust | ||||||||
Series 2007-CB1, Class AF1A, | ||||||||
1-Month LIBOR + 0.07%, | 279,622 | 99,331 | ||||||
Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates Trust | ||||||||
Series 2004-OPT1, Class M3, | ||||||||
1-Month LIBOR + 0.95%, | 963,784 | 937,472 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
Series 2007-FS1, Class 1A1, | ||||||||
4.35% (A), 10/25/2037 (B) | 454,451 | 434,283 | ||||||
Crestline Denali CLO XV Ltd. | ||||||||
Series 2017-1A, Class AR, | ||||||||
3-Month LIBOR + 1.03%, | 1,645,355 | 1,618,384 | ||||||
CWABS Asset-Backed Certificates Trust | ||||||||
Series 2005-17, Class MV1, | ||||||||
1-Month LIBOR + 0.69%, | 578,742 | 574,663 | ||||||
Series 2006-14, Class 1A, | ||||||||
1-Month LIBOR + 0.14%, | 569,090 | 531,088 | ||||||
Series 2006-15, Class A6, | ||||||||
4.36% (A), 10/25/2046 | 176,827 | 175,779 | ||||||
Series 2006-2, Class M1, | ||||||||
1-Month LIBOR + 0.60%, | 134,071 | 132,955 | ||||||
Dryden 80 CLO Ltd. | ||||||||
Series 2019-80A, Class AR, | ||||||||
3-Month SOFR + 1.25%, | 1,600,000 | 1,570,543 | ||||||
Evergreen Credit Card Trust | ||||||||
Series 2019-2, Class A, | ||||||||
1.90%, 09/15/2024 (B) | 2,000,000 | 1,997,675 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
Series 2004-FFH3, Class M2, | ||||||||
1-Month LIBOR + 0.93%, | 850,843 | 836,212 | ||||||
Series 2006-FF14, Class A6, | ||||||||
1-Month LIBOR + 0.31%, | 2,000,000 | 1,581,515 | ||||||
HalseyPoint CLO 3 Ltd. | ||||||||
Series 2020-3A, Class A1A, | ||||||||
3-Month LIBOR + 1.45%, | 1,500,000 | 1,481,094 | ||||||
Harvest CLO XX DAC | ||||||||
Series 20A, Class AR, | ||||||||
3-Month EURIBOR + 0.68%, | EUR 1,400,000 | 1,381,971 | ||||||
Home Equity Asset Trust | ||||||||
Series 2002-1, Class A4, | ||||||||
1-Month LIBOR + 0.60%, | $ 1,026 | 933 |
Transamerica Funds | Page 1 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Principal | Value | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Home Equity Mortgage Loan Asset-Backed Trust | ||||||||
Series 2007-A, Class 1A, | ||||||||
1-Month LIBOR + 0.22%, | $ 324,108 | $ 253,314 | ||||||
JPMorgan Mortgage Acquisition Trust | ||||||||
Series 2007-CH3, Class A5, | ||||||||
1-Month LIBOR + 0.26%, | 1,610,722 | 1,586,671 | ||||||
LCM XIII LP | ||||||||
Series 13A, Class AR3, | ||||||||
3-Month LIBOR + 0.87%, | 1,297,518 | 1,281,297 | ||||||
LCM XV LP | ||||||||
Series 15A, Class AR2, | ||||||||
3-Month LIBOR + 1.00%, | 1,434,625 | 1,410,549 | ||||||
Lendmark Funding Trust | ||||||||
Series 2021-1A, Class A, | ||||||||
1.90%, 11/20/2031 (B) | 1,600,000 | 1,412,972 | ||||||
LoanCore Issuer Ltd. | ||||||||
Series 2018-CRE1, Class A, | ||||||||
1-Month LIBOR + 1.13%, | 92,777 | 92,085 | ||||||
Series 2021-CRE6, Class A, | ||||||||
1-Month LIBOR + 1.30%, | 1,600,000 | 1,534,987 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2006-FM1, Class A2C, | ||||||||
1-Month LIBOR + 0.32%, | 1,293,528 | 756,886 | ||||||
MF1 Ltd. | ||||||||
Series 2020-FL4, Class A, | ||||||||
1-Month SOFR + 1.81%, | 1,241,977 | 1,226,932 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
Series 2007-10XS, Class A1, | ||||||||
6.00% (A), 02/25/2037 | 79,334 | 57,550 | ||||||
Series 2007-8XS, Class A1, | ||||||||
5.75% (A), 04/25/2037 | 141,249 | 79,359 | ||||||
MP CLO VII Ltd. | ||||||||
Series 2015-1A, Class AR3, | ||||||||
3-Month LIBOR + 0.89%, | 1,635,099 | 1,601,250 | ||||||
New Century Home Equity Loan Trust | ||||||||
Series 2006-1, Class A2B, | ||||||||
1-Month LIBOR + 0.36%, | 26,278 | 25,625 | ||||||
Newcastle Mortgage Securities Trust | ||||||||
Series 2006-1, Class M5, | ||||||||
1-Month LIBOR + 0.72%, | 1,700,000 | 1,577,279 | ||||||
Option One Mortgage Loan Trust | ||||||||
Series 2006-3, Class 2A3, | ||||||||
1-Month LIBOR + 0.14%, | 2,392,911 | 1,295,726 | ||||||
Series 2007-4, Class 2A4, | ||||||||
1-Month LIBOR + 0.31%, | 3,313,514 | 2,006,900 |
Principal | Value | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
OZLM XXIV Ltd. | ||||||||
Series 2019-24A, Class A1AR, | ||||||||
3-Month LIBOR + 1.16%, | $ 1,600,000 | $ 1,555,291 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
Series 2005-WCW2, Class M2, | ||||||||
1-Month LIBOR + 0.80%, | 181,418 | 179,590 | ||||||
Popular ABS Mortgage Pass-Through Trust | ||||||||
Series 2006-A, Class M1, | ||||||||
1-Month LIBOR + 0.59%, | 128,412 | 127,001 | ||||||
Rad CLO 5 Ltd. | ||||||||
Series 2019-5A, Class AR, | ||||||||
3-Month LIBOR + 1.12%, | 1,600,000 | 1,564,960 | ||||||
Saranac CLO VI Ltd. | ||||||||
Series 2018-6A, Class A1R, | ||||||||
3-Month LIBOR + 1.14%, | 1,700,000 | 1,663,839 | ||||||
Securitized Asset-Backed Receivables LLC Trust | ||||||||
Series 2007-HE1, Class A2A, | ||||||||
1-Month LIBOR + 0.12%, | 55,867 | 15,369 | ||||||
Shackleton CLO Ltd. | ||||||||
Series 2014-5RA, Class A, | ||||||||
3-Month LIBOR + 1.10%, | 1,500,000 | 1,468,824 | ||||||
SLM Student Loan Trust | ||||||||
Series 2005-4, Class A3, | ||||||||
3-Month LIBOR + 0.12%, | 188,423 | 187,512 | ||||||
Sound Point CLO XII Ltd. | ||||||||
Series 2016-2A, Class AR2, | ||||||||
3-Month LIBOR + 1.05%, | 1,224,020 | 1,209,052 | ||||||
Structured Asset Investment Loan Trust | ||||||||
Series 2003-BC6, Class M1, | ||||||||
1-Month LIBOR + 1.13%, | 770,123 | 755,670 | ||||||
Series 2004-7, Class M1, | ||||||||
1-Month LIBOR + 1.05%, | 63,075 | 62,850 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | ||||||||
Series 2006-BC1, Class A6, | ||||||||
1-Month LIBOR + 0.27%, | 561,631 | 513,383 | ||||||
STWD Ltd. | ||||||||
Series 2022-FL3, Class A, | ||||||||
1-Month SOFR + 1.35%, | 1,600,000 | 1,544,019 | ||||||
TCI-Symphony CLO Ltd. | ||||||||
Series 2016-1A, Class AR2, | ||||||||
3-Month LIBOR + 1.02%, | 1,600,000 | 1,562,622 |
Transamerica Funds | Page 2 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Principal | Value | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Toro European CLO 7 DAC | ||||||||
Series 7A, Class ARE, | ||||||||
3-Month EURIBOR + 0.81%, | EUR 1,800,000 | $ 1,765,484 | ||||||
TRTX Issuer Ltd. | ||||||||
Series 2022-FL5, Class A, | ||||||||
1-Month SOFR + 1.65%, | $ 1,600,000 | 1,555,784 | ||||||
U.S. Small Business Administration | ||||||||
Series 2003-20I, Class 1, | ||||||||
5.13%, 09/01/2023 | 740 | 737 | ||||||
Series 2004-20C, Class 1, | ||||||||
4.34%, 03/01/2024 | 7,451 | 7,375 | ||||||
Venture XXVIII CLO Ltd. | ||||||||
Series 2017-28A, Class A2R, | ||||||||
3-Month LIBOR + 0.99%, | 1,700,000 | 1,667,890 | ||||||
Wellfleet CLO Ltd. | ||||||||
Series 2017-1A, Class A1RR, | ||||||||
3-Month LIBOR + 0.89%, | 1,173,934 | 1,161,040 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust | ||||||||
Series 2005-4, Class M2, | ||||||||
1-Month LIBOR + 0.72%, | 1,126,948 | 1,121,508 | ||||||
|
| |||||||
Total Asset-Backed Securities |
| 64,834,898 | ||||||
|
| |||||||
CORPORATE DEBT SECURITIES - 30.4% | ||||||||
Aerospace & Defense - 0.2% | ||||||||
BAE Systems PLC | ||||||||
1.90%, 02/15/2031 (B) | 1,400,000 | 1,172,308 | ||||||
|
| |||||||
Airlines - 0.9% | ||||||||
American Airlines Pass-Through Trust | ||||||||
3.15%, 08/15/2033 | 1,426,516 | 1,259,717 | ||||||
3.58%, 07/15/2029 | 1,357,321 | 1,248,040 | ||||||
Delta Air Lines Pass-Through Trust | ||||||||
2.00%, 12/10/2029 | 1,408,659 | 1,224,860 | ||||||
United Airlines Pass-Through Trust | ||||||||
5.88%, 04/15/2029 | 1,309,780 | 1,320,448 | ||||||
|
| |||||||
5,053,065 | ||||||||
|
| |||||||
Automobiles - 0.5% | ||||||||
Nissan Motor Co. Ltd. | ||||||||
2.65%, 03/17/2026 (C) | EUR 1,300,000 | 1,283,105 | ||||||
4.81%, 09/17/2030 (B) | $ 1,600,000 | 1,458,822 | ||||||
|
| |||||||
2,741,927 | ||||||||
|
| |||||||
Banks - 6.9% | ||||||||
AIB Group PLC | ||||||||
4.75%, 10/12/2023 (B) | 1,900,000 | 1,896,918 | ||||||
Bank of America Corp. | ||||||||
Fixed until 09/25/2024, | 1,500,000 | 1,399,347 | ||||||
Fixed until 04/25/2024, | 1,400,000 | 1,396,752 |
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Banks (continued) | ||||||||
Banque Federative du Credit Mutuel SA | ||||||||
3-Month LIBOR + 0.96%, | $ 2,200,000 | $ 2,208,448 | ||||||
Barclays Bank PLC | ||||||||
7.63%, 11/21/2022 | 805,000 | 810,422 | ||||||
Barclays PLC | ||||||||
Fixed until 10/06/2022, | GBP 600,000 | 729,403 | ||||||
Fixed until 09/15/2022 (D), | 600,000 | 732,869 | ||||||
BNP Paribas SA | ||||||||
Fixed until 09/30/2027, | $ 1,600,000 | 1,383,267 | ||||||
Fixed until 02/25/2031 (D), | 1,600,000 | 1,288,505 | ||||||
BPCE SA | ||||||||
SOFR + 2.87%, | 2,700,000 | 2,778,244 | ||||||
Citigroup, Inc. | ||||||||
Fixed until 06/03/2030, | 1,800,000 | 1,567,775 | ||||||
3-Month LIBOR + 1.43%, | 500,000 | 499,810 | ||||||
Fixed until 03/17/2025, | 1,500,000 | 1,464,873 | ||||||
Cooperatieve Rabobank UA | ||||||||
Fixed until 02/24/2026, | 1,700,000 | 1,516,237 | ||||||
Lloyds Banking Group PLC | ||||||||
4.00%, 03/07/2025 | AUD 2,000,000 | 1,376,955 | ||||||
Fixed until 06/27/2025 (D), | EUR 500,000 | 501,955 | ||||||
Mizuho Financial Group, Inc. | ||||||||
Fixed until 07/10/2030, | $ 1,500,000 | 1,240,243 | ||||||
NatWest Markets PLC | ||||||||
3.48%, 03/22/2025 (B) | 1,500,000 | 1,473,955 | ||||||
Santander Holdings USA, Inc. | ||||||||
Fixed until 01/06/2027, | 1,600,000 | 1,423,229 | ||||||
Societe Generale SA | ||||||||
4.25%, 09/14/2023 (B) | 1,800,000 | 1,804,216 | ||||||
Standard Chartered PLC | ||||||||
Fixed until 11/23/2024, | 1,600,000 | 1,491,382 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.47%, 01/14/2029 | 1,600,000 | 1,424,551 | ||||||
UniCredit SpA | ||||||||
7.83%, 12/04/2023 (B) | 4,100,000 | 4,213,652 | ||||||
Virgin Money PLC | ||||||||
Fixed until 09/25/2025, | GBP 100,000 | 119,000 | ||||||
Wells Fargo & Co. | ||||||||
Fixed until 05/19/2024, | $ 1,600,000 | 1,510,305 | ||||||
Fixed until 06/02/2027, | 1,300,000 | 1,192,107 | ||||||
|
| |||||||
37,444,420 | ||||||||
|
| |||||||
Beverages - 0.5% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.60%, 06/01/2060 | 1,500,000 | 1,438,931 | ||||||
Bacardi Ltd. | ||||||||
4.45%, 05/15/2025 (B) | 1,200,000 | 1,197,862 | ||||||
|
| |||||||
2,636,793 | ||||||||
|
|
Transamerica Funds | Page 3 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Capital Markets - 2.4% | ||||||||
Credit Suisse Group AG | ||||||||
3-Month LIBOR + 1.24%, | $ 1,800,000 | $ 1,804,400 | ||||||
Fixed until 12/18/2024 (D), | 400,000 | 382,808 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.80%, 09/15/2022 | 1,000,000 | 999,291 | ||||||
Deutsche Bank AG | ||||||||
Fixed until 11/16/2026, | 1,500,000 | 1,302,349 | ||||||
3.30%, 11/16/2022 | 1,900,000 | 1,897,093 | ||||||
3.95%, 02/27/2023 | 1,900,000 | 1,898,895 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3-Month LIBOR + 1.17%, | 1,600,000 | 1,567,844 | ||||||
3.00%, 03/15/2024 | 1,500,000 | 1,486,073 | ||||||
Nomura Holdings, Inc. | ||||||||
2.68%, 07/16/2030 | 1,200,000 | 1,009,399 | ||||||
UBS AG | ||||||||
7.63%, 08/17/2022 | 600,000 | 600,709 | ||||||
|
| |||||||
12,948,861 | ||||||||
|
| |||||||
Chemicals - 0.2% | ||||||||
International Flavors & Fragrances, Inc. | ||||||||
2.30%, 11/01/2030 (B) | 1,600,000 | 1,371,740 | ||||||
|
| |||||||
Construction & Engineering - 0.1% | ||||||||
Odebrecht Offshore Drilling Finance Ltd. | ||||||||
PIK Rate 1.00%, Cash Rate 6.72%, 12/01/2026 (B) (F) | 2,235,728 | 514,217 | ||||||
6.72%, 12/01/2022 (B) | 54,898 | 53,526 | ||||||
Odebrecht Oil & Gas Finance Ltd. | ||||||||
Zero Coupon, 08/29/2022 (B) (D) | 266,175 | 1,065 | ||||||
|
| |||||||
568,808 | ||||||||
|
| |||||||
Consumer Finance - 1.3% | ||||||||
Ford Motor Credit Co. LLC | ||||||||
3-Month EURIBOR + 0.73%, | EUR 1,400,000 | 1,400,707 | ||||||
1.74%, 07/19/2024 | 1,500,000 | 1,477,344 | ||||||
3.81%, 01/09/2024 | $ 1,600,000 | 1,580,475 | ||||||
Nissan Motor Acceptance Co. LLC | ||||||||
2.60%, 09/28/2022 (B) | 500,000 | 498,968 | ||||||
3-Month LIBOR + 0.69%, | 1,600,000 | 1,597,103 | ||||||
Volkswagen Bank GmbH | ||||||||
2.50%, 07/31/2026 (C) | EUR 600,000 | 617,298 | ||||||
|
| |||||||
7,171,895 | ||||||||
|
| |||||||
Diversified Financial Services - 1.0% | ||||||||
BGC Partners, Inc. | ||||||||
5.38%, 07/24/2023 | $ 1,500,000 | 1,510,634 | ||||||
Intercontinental Exchange, Inc. | ||||||||
1.85%, 09/15/2032 | 1,100,000 | 911,746 | ||||||
Jyske Realkredit AS | ||||||||
1.50%, 10/01/2053 | DKK 7,848,918 | 897,025 | ||||||
Realkredit Danmark AS | ||||||||
1.50%, 10/01/2053 (C) | 3,043,603 | 334,296 | ||||||
SMBC Aviation Capital Finance DAC | ||||||||
4.13%, 07/15/2023 (B) | $ 1,800,000 | 1,789,647 | ||||||
|
| |||||||
5,443,348 | ||||||||
|
|
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Diversified Telecommunication Services - 0.3% | ||||||||
AT&T, Inc. | ||||||||
2.75%, 06/01/2031 | $ 1,800,000 | $ 1,615,850 | ||||||
|
| |||||||
Electric Utilities - 3.3% | ||||||||
Alabama Power Co. | ||||||||
1.45%, 09/15/2030 | 700,000 | 591,430 | ||||||
Duke Energy Progress LLC | ||||||||
3.40%, 04/01/2032 | 1,700,000 | 1,650,080 | ||||||
Enel Finance International NV | ||||||||
2.25%, 07/12/2031 (B) | 1,700,000 | 1,342,430 | ||||||
2.65%, 09/10/2024 (B) | 1,800,000 | 1,741,011 | ||||||
Evergy, Inc. | ||||||||
2.45%, 09/15/2024 | 1,600,000 | 1,552,806 | ||||||
JSW Hydro Energy Ltd. | ||||||||
4.13%, 05/18/2031 (C) | 1,380,000 | 1,190,250 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
3-Month LIBOR + 0.27%, | 2,000,000 | 1,990,376 | ||||||
Pacific Gas & Electric Co. | ||||||||
3.15%, 01/01/2026 | 1,800,000 | 1,676,162 | ||||||
3.75%, 02/15/2024 (G) (H) | 1,700,000 | 1,667,937 | ||||||
Southern California Edison Co. | ||||||||
3-Month SOFR + 0.47%, | 1,700,000 | 1,696,919 | ||||||
2.50%, 06/01/2031 | 1,600,000 | 1,391,958 | ||||||
Southern Power Co. | ||||||||
0.90%, 01/15/2026 | 1,700,000 | 1,543,267 | ||||||
|
| |||||||
18,034,626 | ||||||||
|
| |||||||
Electrical Equipment - 0.2% | ||||||||
ReNew Wind Energy AP2 / ReNew Power Pvt. Ltd. | ||||||||
4.50%, 07/14/2028 (B) (I) | 1,600,000 | 1,313,387 | ||||||
|
| |||||||
Energy Equipment & Services - 0.2% | ||||||||
Adani Green Energy UP Ltd. / Prayatna Developers Pvt Ltd. / Parampujya Solar Energy | ||||||||
6.25%, 12/10/2024 (C) | 1,400,000 | 1,365,000 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts - 3.9% | ||||||||
Agree LP | ||||||||
2.90%, 10/01/2030 | 1,600,000 | 1,391,629 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
1.88%, 02/01/2033 | 1,300,000 | 1,020,378 | ||||||
American Tower Corp. | ||||||||
2.40%, 03/15/2025 | 1,800,000 | 1,725,219 | ||||||
Crown Castle International Corp. | ||||||||
3.70%, 06/15/2026 | 1,700,000 | 1,677,059 | ||||||
Equinix, Inc. | ||||||||
1.55%, 03/15/2028 | 1,700,000 | 1,479,806 | ||||||
Federal Realty OP LP | ||||||||
3.50%, 06/01/2030 | 600,000 | 555,982 | ||||||
Healthcare Realty Holdings LP | ||||||||
2.00%, 03/15/2031 | 1,400,000 | 1,124,779 | ||||||
Mid-America Apartments LP | ||||||||
1.70%, 02/15/2031 | 1,500,000 | 1,225,386 | ||||||
National Retail Properties, Inc. | ||||||||
3.50%, 10/15/2027 | 1,600,000 | 1,529,319 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
3.38%, 02/01/2031 | 1,600,000 | 1,329,297 | ||||||
Realty Income Corp. | ||||||||
3.40%, 01/15/2028 | 1,500,000 | 1,450,740 | ||||||
SBA Tower Trust | ||||||||
2.33%, 07/15/2052 (B) | 1,600,000 | 1,438,909 |
Transamerica Funds | Page 4 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Equity Real Estate Investment Trusts (continued) | ||||||||
Service Properties Trust | ||||||||
4.35%, 10/01/2024 | $ 1,600,000 | $ 1,431,592 | ||||||
Spirit Realty LP | ||||||||
4.00%, 07/15/2029 | 1,500,000 | 1,403,452 | ||||||
Welltower, Inc. | ||||||||
2.75%, 01/15/2031 | 1,500,000 | 1,303,988 | ||||||
WP Carey, Inc. | ||||||||
2.45%, 02/01/2032 | 1,700,000 | 1,414,773 | ||||||
|
| |||||||
21,502,308 | ||||||||
|
| |||||||
Food Products - 0.3% | ||||||||
Conagra Brands, Inc. | ||||||||
1.38%, 11/01/2027 | 1,600,000 | 1,376,548 | ||||||
|
| |||||||
Health Care Providers & Services - 0.8% | ||||||||
CVS Health Corp. | ||||||||
3.63%, 04/01/2027 | 2,300,000 | 2,294,860 | ||||||
Elevance Health, Inc. | ||||||||
2.38%, 01/15/2025 | 1,900,000 | 1,849,682 | ||||||
|
| |||||||
4,144,542 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 1.8% | ||||||||
Choice Hotels International, Inc. | ||||||||
3.70%, 12/01/2029 | 1,400,000 | 1,268,019 | ||||||
Expedia Group, Inc. | ||||||||
6.25%, 05/01/2025 (B) | 1,459,000 | 1,513,262 | ||||||
GLP Capital LP / GLP Financing II, Inc. | ||||||||
5.30%, 01/15/2029 | 2,400,000 | 2,369,724 | ||||||
Marriott International, Inc. | ||||||||
2.13%, 10/03/2022 | 1,600,000 | 1,596,048 | ||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | ||||||||
4.25%, 05/30/2023 (B) | 1,500,000 | 1,488,750 | ||||||
5.50%, 03/01/2025 (B) | 1,800,000 | 1,773,396 | ||||||
|
| |||||||
10,009,199 | ||||||||
|
| |||||||
Household Durables - 0.3% | ||||||||
D.R. Horton, Inc. | ||||||||
4.38%, 09/15/2022 | 1,800,000 | 1,800,732 | ||||||
|
| |||||||
Insurance - 0.6% | ||||||||
Empower Finance LP | ||||||||
1.36%, 09/17/2027 (B) | 1,600,000 | 1,401,218 | ||||||
Sitka Holdings LLC | ||||||||
3-Month LIBOR + 4.50%, | 1,700,000 | 1,627,975 | ||||||
|
| |||||||
3,029,193 | ||||||||
|
| |||||||
IT Services - 0.4% | ||||||||
Amdocs Ltd. | ||||||||
2.54%, 06/15/2030 | 1,100,000 | 956,208 | ||||||
Fidelity National Information Services, Inc. | ||||||||
1.15%, 03/01/2026 | 1,600,000 | 1,452,260 | ||||||
|
| |||||||
2,408,468 | ||||||||
|
| |||||||
Machinery - 0.3% | ||||||||
Daimler Trucks Finance North America LLC | ||||||||
3-Month SOFR + 0.75%, | 1,600,000 | 1,579,611 | ||||||
|
|
Principal | Value | |||||||
CORPORATE DEBT SECURITIES (continued) | ||||||||
Media - 0.3% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
4.40%, 04/01/2033 | $ 1,500,000 | $ 1,394,616 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 0.2% | ||||||||
Boardwalk Pipelines LP | ||||||||
3.40%, 02/15/2031 | 1,200,000 | 1,059,725 | ||||||
|
| |||||||
Pharmaceuticals - 0.7% | ||||||||
Bayer US Finance II LLC | ||||||||
4.38%, 12/15/2028 (B) | 1,400,000 | 1,394,454 | ||||||
Teva Pharmaceutical Finance Netherlands II BV | ||||||||
4.50%, 03/01/2025 | EUR 1,100,000 | 1,121,349 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
6.00%, 04/15/2024 | $ 1,100,000 | 1,109,625 | ||||||
|
| |||||||
3,625,428 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.2% | ||||||||
Tesco Property Finance 6 PLC | ||||||||
5.41%, 07/13/2044 (C) | GBP 734,342 | 929,107 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 1.4% | ||||||||
Broadcom, Inc. | ||||||||
3.14%, 11/15/2035 (B) | $ 1,917,000 | 1,549,466 | ||||||
3.19%, 11/15/2036 (B) | 1,700,000 | 1,365,728 | ||||||
3.50%, 02/15/2041 (B) | 1,700,000 | 1,360,989 | ||||||
4.30%, 11/15/2032 | 1,400,000 | 1,328,330 | ||||||
NXP BV / NXP Funding LLC | ||||||||
4.88%, 03/01/2024 | 1,900,000 | 1,925,015 | ||||||
|
| |||||||
7,529,528 | ||||||||
|
| |||||||
Software - 0.4% | ||||||||
Citrix Systems, Inc. | ||||||||
3.30%, 03/01/2030 | 1,400,000 | 1,384,089 | ||||||
Oracle Corp. | ||||||||
3.85%, 04/01/2060 | 1,300,000 | 935,826 | ||||||
|
| |||||||
2,319,915 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||||||
Dell International LLC / EMC Corp. | ||||||||
5.45%, 06/15/2023 | 587,000 | 593,452 | ||||||
|
| |||||||
Tobacco - 0.3% | ||||||||
Imperial Brands Finance PLC | ||||||||
3.13%, 07/26/2024 (B) | 1,700,000 | 1,643,412 | ||||||
|
| |||||||
Wireless Telecommunication Services - 0.4% | ||||||||
Altice France SA | ||||||||
5.88%, 02/01/2027 (B) | EUR 1,200,000 | 1,154,282 | ||||||
T-Mobile USA, Inc. | ||||||||
2.55%, 02/15/2031 | $ 1,400,000 | 1,223,734 | ||||||
|
| |||||||
2,378,016 | ||||||||
|
| |||||||
Total Corporate Debt Securities |
| 166,205,828 | ||||||
|
|
Transamerica Funds | Page 5 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Principal | Value | |||||||
FOREIGN GOVERNMENT OBLIGATIONS - 3.9% | ||||||||
Israel - 1.4% | ||||||||
Bank of Israel Bill - Makam | ||||||||
Zero Coupon, 03/02/2023 - 05/03/2023 | ILS 20,200,000 | $ 5,874,589 | ||||||
Israel Government International Bond | ||||||||
3.88%, 07/03/2050 | $ 1,900,000 | 1,762,250 | ||||||
|
| |||||||
7,636,839 | ||||||||
|
| |||||||
Japan - 0.8% | ||||||||
Japan Bank for International Cooperation | ||||||||
2.88%, 07/21/2027 | 1,700,000 | 1,679,793 | ||||||
Japan Finance Organization for Municipalities | ||||||||
3.38%, 09/27/2023 (B) | 2,900,000 | 2,904,988 | ||||||
|
| |||||||
4,584,781 | ||||||||
|
| |||||||
Peru - 0.4% | ||||||||
Peru Government International Bond | ||||||||
5.94%, 02/12/2029 (B) | PEN 2,600,000 | 589,645 | ||||||
8.20%, 08/12/2026 (C) | 5,600,000 | 1,473,321 | ||||||
|
| |||||||
2,062,966 | ||||||||
|
| |||||||
Republic of South Africa - 1.3% | ||||||||
Republic of South Africa Government Bond | ||||||||
10.50%, 12/21/2026 | ZAR 110,000,000 | 6,983,875 | ||||||
|
| |||||||
Total Foreign Government Obligations |
| 21,268,461 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES - 14.9% | ||||||||
1211 Avenue of the Americas Trust | ||||||||
Series 2015-1211, Class A1A1, | ||||||||
3.90%, 08/10/2035 (B) | $ 1,600,000 | 1,574,377 | ||||||
A10 Bridge Asset Financing LLC | ||||||||
Series 2020-C, Class A, | ||||||||
2.02%, 08/15/2040 (B) | 212,485 | 209,691 | ||||||
Alternative Loan Trust | ||||||||
Series 2005-J12, Class 2A1, | ||||||||
1-Month LIBOR + 0.54%, | 714,584 | 439,324 | ||||||
Series 2006-30T1, Class 1A3, | ||||||||
6.25%, 11/25/2036 | 81,485 | 66,420 | ||||||
Series 2006-J8, Class A2, | ||||||||
6.00%, 02/25/2037 | 112,199 | 57,770 | ||||||
Series 2006-OA12, Class A1B, | ||||||||
1-Month LIBOR + 0.19%, | 240,985 | 230,502 | ||||||
Series 2007-2CB, Class 1A13, | ||||||||
1-Month LIBOR + 1.00%, | 124,869 | 79,693 | ||||||
Series 2007-HY4, Class 1A1, | ||||||||
3.04% (A), 06/25/2037 | 144,260 | 122,841 | ||||||
Series 2007-J1, Class 2A8, | ||||||||
6.00%, 03/25/2037 | 1,216,778 | 583,553 | ||||||
AREIT LLC | ||||||||
Series 2022-CRE7, Class A, | ||||||||
1-Month SOFR + 2.24%, | 1,400,000 | 1,385,723 |
Principal | Value | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Ashford Hospitality Trust | ||||||||
Series 2018-KEYS, Class A, | ||||||||
1-Month LIBOR + 1.00%, | $ 2,200,000 | $ 2,124,988 | ||||||
Banc of America Funding Trust | ||||||||
Series 2005-D, Class A1, | ||||||||
3.04% (A), 05/25/2035 | 53,287 | 52,122 | ||||||
Series 2006-4, Class A12, | ||||||||
6.00%, 07/25/2036 | 488,900 | 418,863 | ||||||
Series 2006-J, Class 4A1, | ||||||||
3.51% (A), 01/20/2047 | 11,035 | 10,344 | ||||||
BBCMS Mortgage Trust | ||||||||
Series 2022-C15, Class A5, | ||||||||
3.66% (A), 04/15/2055 | 2,800,000 | 2,747,691 | ||||||
Bear Stearns Alt-A Trust | ||||||||
Series 2006-6, Class 31A1, | ||||||||
3.36% (A), 11/25/2036 | 464,764 | 301,555 | ||||||
Series 2006-6, Class 32A1, | ||||||||
2.98% (A), 11/25/2036 | 125,355 | 69,593 | ||||||
Bear Stearns ARM Trust | ||||||||
Series 2003-5, Class 2A1, | ||||||||
3.36% (A), 08/25/2033 | 56,684 | 54,878 | ||||||
Series 2003-8, Class 2A1, | ||||||||
2.09% (A), 01/25/2034 | 1,719 | 1,637 | ||||||
Series 2003-8, Class 4A1, | ||||||||
2.58% (A), 01/25/2034 | 18,484 | 18,181 | ||||||
Series 2006-4, Class 1A1, | ||||||||
3.22% (A), 10/25/2036 | 12,602 | 11,549 | ||||||
Bear Stearns Structured Products, Inc. Trust | ||||||||
Series 2007-R6, Class 1A1, | ||||||||
2.97% (A), 01/26/2036 | 56,507 | 46,471 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2019-B9, Class A5, | ||||||||
4.02%, 03/15/2052 | 1,600,000 | 1,608,937 | ||||||
Series 2022-B33, Class A5, | ||||||||
3.46%, 03/15/2055 | 1,500,000 | 1,450,669 | ||||||
BFLD Trust | ||||||||
Series 2020-EYP, Class A, | ||||||||
1-Month LIBOR + 1.15%, | 1,300,000 | 1,259,046 | ||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates | ||||||||
Series 2004-3A, Class A1, | ||||||||
1-Month LIBOR + 0.25%, | 22,835 | 21,286 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
Series 2005-6, Class A2, | ||||||||
1-Year CMT + 2.15%, | 9,486 | 9,279 | ||||||
Series 2009-3, Class 5A3, | ||||||||
6.00% (A), 02/25/2037 (B) | 461,509 | 421,064 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
Series 2006-A7, Class 1A9, | ||||||||
1-Month LIBOR + 0.65%, | 654,487 | 549,866 | ||||||
COMM Mortgage Trust | ||||||||
Series 2015-CR26, Class ASB, | ||||||||
3.37%, 10/10/2048 | 877,257 | 876,916 | ||||||
Series 2016-787S, Class A, | ||||||||
3.55%, 02/10/2036 (B) | 1,400,000 | 1,335,640 |
Transamerica Funds | Page 6 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Principal | Value | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
1.44% (A), 03/25/2032 (B) | $ 105 | $ 97 | ||||||
Series 2003-AR15, Class 2A1, | ||||||||
2.87% (A), 06/25/2033 | 66,990 | 63,664 | ||||||
Series 2003-AR28, Class 2A1, | ||||||||
3.24% (A), 12/25/2033 | 314,096 | 310,903 | ||||||
CRSNT Trust | ||||||||
Series 2021-Moon, Class A, | ||||||||
1-Month LIBOR + 0.82%, | 1,600,000 | 1,544,052 | ||||||
CSMC Trust | ||||||||
Series 2014-7R, Class 4A2, | ||||||||
1.16% (A), 10/27/2036 (B) | 1,346,105 | 1,286,285 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | ||||||||
Series 2005-6, Class 2A3, | ||||||||
5.50%, 12/25/2035 | 137,850 | 123,689 | ||||||
DOLP Trust | ||||||||
Series 2021-NYC, Class A, | ||||||||
2.96%, 05/10/2041 (B) | 1,600,000 | 1,417,825 | ||||||
Extended Stay America Trust | ||||||||
Series 2021-ESH, Class A, | ||||||||
1-Month LIBOR + 1.08%, | 1,689,601 | 1,651,376 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
Series 2007-FA4, Class 1A8, | ||||||||
6.25%, 08/25/2037 | 87,004 | 43,194 | ||||||
First Horizon Mortgage Pass-Through Trust | ||||||||
Series 2005-AR3, Class 2A1, | ||||||||
3.87% (A), 08/25/2035 | 5,566 | 3,986 | ||||||
GS Mortgage-Backed Securities Corp. Trust | ||||||||
Series 2022-PJ2, Class A4, | ||||||||
2.50% (A), 06/25/2052 (B) | 1,327,735 | 1,172,410 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
Series 2021-GR3, Class A2, | ||||||||
2.50% (A), 04/25/2052 (B) | 1,480,058 | 1,307,431 | ||||||
Series 2021-HP1, Class A2, | ||||||||
2.50% (A), 01/25/2052 (B) | 1,463,332 | 1,294,237 | ||||||
Series 2022-GR2, Class A2, | ||||||||
3.00% (A), 08/26/2052 (B) | 1,746,366 | 1,604,338 | ||||||
GSR Mortgage Loan Trust | ||||||||
Series 2005-AR6, Class 2A1, | ||||||||
2.99% (A), 09/25/2035 | 7,550 | 7,325 | ||||||
HarborView Mortgage Loan Trust | ||||||||
Series 2005-14, Class 4A1A, | ||||||||
2.95% (A), 12/19/2035 | 98,620 | 59,618 | ||||||
Series 2006-6, Class 5A1A, | ||||||||
3.40% (A), 08/19/2036 | 15,610 | 14,519 | ||||||
Series 2007-1, Class 2A1A, | ||||||||
1-Month LIBOR + 0.26%, | 1,520,367 | 1,359,861 | ||||||
Hawksmoor Mortgages PLC | ||||||||
Series 2019-1A, Class A, | ||||||||
1-Month SONIA + 1.05%, | GBP 4,288,978 | 5,222,297 | ||||||
Hilton USA Trust | ||||||||
Series 2016-SFP, Class A, | ||||||||
2.83%, 11/05/2035 (B) | $ 1,700,000 | 1,660,291 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
Series 2005-AR11, Class A3, | ||||||||
3.19% (A), 08/25/2035 | 514,762 | 424,325 |
Principal | Value | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
INTOWN Mortgage Trust | ||||||||
Series 2022-STAY, Class A, | ||||||||
1-Month SOFR + 2.49%, | $ 1,400,000 | $ 1,392,999 | ||||||
JPMorgan Alternative Loan Trust | ||||||||
Series 2006-A2, Class 1A1, | ||||||||
1-Month LIBOR + 0.36%, | 594,425 | 525,524 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2018-PHH, Class A, | ||||||||
1-Month LIBOR + 1.21%, | 1,744,354 | 1,698,198 | ||||||
Series 2021-HTL5, Class A, | ||||||||
1-Month LIBOR + 1.12%, | 1,700,000 | 1,632,055 | ||||||
JPMorgan Mortgage Trust | ||||||||
Series 2022-LTV2, Class A3, | ||||||||
3.50% (A), 09/25/2052 (B) | 1,479,463 | 1,407,284 | ||||||
Legacy Mortgage Asset Trust | ||||||||
Series 2019-GS6, Class A1, | ||||||||
3.00% (A), 06/25/2059 (B) | 1,196,027 | 1,194,305 | ||||||
Series 2020-GS1, Class A1, | ||||||||
2.88% (A), 10/25/2059 (B) | 1,283,457 | 1,275,615 | ||||||
Lehman XS Trust | ||||||||
Series 2007-4N, Class 2A, | ||||||||
1-Month LIBOR + 0.40%, | 1,306,980 | 1,162,091 | ||||||
Ludgate Funding PLC | ||||||||
Series 2007-1, Class A2A, | ||||||||
3-Month GBP LIBOR + 0.16%, | GBP 1,056,640 | 1,185,075 | ||||||
LUXE Trust | ||||||||
Series 2021-TRIP, Class A, | ||||||||
1-Month LIBOR + 1.05%, | $ 1,700,000 | 1,637,614 | ||||||
Manhattan West Mortgage Trust | ||||||||
Series 2020-1MW, Class A, | ||||||||
2.13%, 09/10/2039 (B) | 1,500,000 | 1,349,662 | ||||||
MASTR Alternative Loan Trust | ||||||||
Series 2006-2, Class 2A1, | ||||||||
1-Month LIBOR + 0.40%, | 87,511 | 7,847 | ||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||
Series 2021-FL5, Class A, | ||||||||
1-Month SOFR + 0.96%, | 1,008,071 | 993,055 | ||||||
Mill City Mortgage Loan Trust | ||||||||
Series 2019-GS2, Class M2, | ||||||||
3.25% (A), 08/25/2059 (B) | 1,600,000 | 1,486,602 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2021-230P, Class A, | ||||||||
1-Month LIBOR + 1.17%, | 1,700,000 | 1,634,397 | ||||||
Mortimer BTL PLC | ||||||||
Series 2020-1, Class A, | ||||||||
SONIA + 1.07%, | GBP 1,010,825 | 1,223,202 |
Transamerica Funds | Page 7 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Principal | Value | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
NYO Commercial Mortgage Trust | ||||||||
Series 2021-1290, Class A, | ||||||||
1-Month LIBOR + 1.10%, | $ 1,700,000 | $ 1,616,248 | ||||||
One New York Plaza Trust | ||||||||
Series 2020-1NYP, Class A, | ||||||||
1-Month LIBOR + 0.95%, | 1,000,000 | 960,422 | ||||||
Ready Capital Mortgage Financing LLC | ||||||||
Series 2021-FL7, Class A, | ||||||||
1-Month LIBOR + 1.20%, | 1,597,755 | 1,553,914 | ||||||
Reperforming Loan Trust REMIC | ||||||||
Series 2004-R1, Class 2A, | ||||||||
6.50%, 11/25/2034 (B) | 42,649 | 40,304 | ||||||
Series 2005-R2, Class 1AF1, | ||||||||
1-Month LIBOR + 0.34%, | 165,559 | 158,554 | ||||||
RFMSI Trust | ||||||||
Series 2003-S9, Class A1, | ||||||||
6.50%, 03/25/2032 | 376 | 372 | ||||||
Ripon Mortgages PLC | ||||||||
Series 1RA, Class A, | ||||||||
1-Month SONIA + 0.70%, | GBP 2,214,820 | 2,644,671 | ||||||
Series 1RA, Class C, | ||||||||
SONIA + 1.15%, | 2,300,000 | 2,645,076 | ||||||
RMAC Securities No. 1 PLC | ||||||||
Series 2007-NS1X, Class A2B, | ||||||||
3-Month LIBOR + 0.15%, | $ 1,272,216 | 1,197,128 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2004-11, Class A2, | ||||||||
6-Month LIBOR + 0.64%, | 385,161 | 345,437 | ||||||
Series 2007-1, Class 1A1, | ||||||||
2.22% (A), 01/20/2047 | 93,920 | 65,497 | ||||||
Series 2007-3, Class 2AA1, | ||||||||
3.20% (A), 07/20/2037 | 480,253 | 399,108 | ||||||
Series 2010, Class 2A1, | ||||||||
1-Month LIBOR + 0.76%, | 2,088 | 2,011 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
Series 2004-12, Class 3A1, | ||||||||
2.81% (A), 09/25/2034 | 43,310 | 42,444 | ||||||
Series 2004-19, Class 2A1, | ||||||||
12-MTA + 1.40%, | 48,678 | 42,146 | ||||||
Structured Asset Mortgage Investments II Trust | ||||||||
Series 2005-AR5, Class A1, | ||||||||
1-Month LIBOR + 0.50%, | 6,072 | 5,556 | ||||||
Series 2005-AR5, Class A2, | ||||||||
1-Month LIBOR + 0.50%, | 5,236 | 4,923 | ||||||
Series 2005-AR5, Class A3, | ||||||||
1-Month LIBOR + 0.50%, | 15,867 | 14,714 |
Principal | Value | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Structured Asset Mortgage Investments II Trust (continued) | ||||||||
Series 2005-AR8, Class A1A, | ||||||||
1-Month LIBOR + 0.56%, | $ 145,434 | $ 131,957 | ||||||
Structured Asset Mortgage Investments Trust | ||||||||
Series 2002-AR3, Class A1, | ||||||||
1-Month LIBOR + 0.66%, | 1,657 | 1,601 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | ||||||||
Series 2003-22A, Class 2A1, | ||||||||
3.39% (A), 06/25/2033 | 34,459 | 33,390 | ||||||
Towd Point Mortgage Funding | ||||||||
Series 2019-A13A, Class A1, | ||||||||
SONIA + 0.90%, | GBP 3,987,144 | 4,848,265 | ||||||
Series 2019-GR4A, Class A1, | ||||||||
SONIA + 1.03%, | 1,138,747 | 1,371,391 | ||||||
UBS Commercial Mortgage Trust | ||||||||
Series 2019-C17, Class A4, | ||||||||
2.92%, 10/15/2052 | $ 1,300,000 | 1,203,558 | ||||||
UWM Mortgage Trust | ||||||||
Series 2021-INV3, Class A3, | ||||||||
2.50% (A), 11/25/2051 (B) | 2,166,970 | 1,914,789 | ||||||
Series 2021-INV4, Class A3, | ||||||||
2.50% (A), 12/25/2051 (B) | 1,512,138 | 1,336,178 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
Series 2003-AR9, Class 2A, | ||||||||
2.57% (A), 09/25/2033 | 62,785 | 58,770 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2006-AR1, Class 2A4, | ||||||||
2.83% (A), 03/25/2036 | 326,060 | 298,920 | ||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 81,455,061 | ||||||
|
| |||||||
MUNICIPAL GOVERNMENT OBLIGATIONS - 0.7% | ||||||||
Illinois - 0.5% | ||||||||
City of Chicago, General Obligation Unlimited, | ||||||||
Series B, | ||||||||
7.75%, 01/01/2042 | 170,000 | 181,869 | ||||||
State of Illinois, General Obligation Unlimited, | ||||||||
6.63%, 02/01/2035 | 1,500,000 | 1,630,373 | ||||||
7.35%, 07/01/2035 | 942,500 | 1,065,436 | ||||||
|
| |||||||
2,877,678 | ||||||||
|
| |||||||
New York - 0.2% | ||||||||
New York State Urban Development Corp., Revenue Bonds, | ||||||||
1.83%, 03/15/2029 | 1,200,000 | 1,060,072 | ||||||
|
| |||||||
Total Municipal Government Obligations |
| 3,937,750 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS - 28.5% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
12-Month LIBOR + 1.35%, | 5,014 | 5,089 | ||||||
12-Month LIBOR + 1.87%, | 21,754 | 21,641 | ||||||
1-Year CMT + 2.22%, | 9,270 | 9,195 |
Transamerica Funds | Page 8 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Principal | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
1-Year CMT + 2.26%, | $ 446,990 | $ 443,365 | ||||||
1-Year CMT + 2.23%, | 16,762 | 17,057 | ||||||
3.00%, 04/01/2052 | 3,999,529 | 3,865,405 | ||||||
3.50%, 07/01/2026 - 03/01/2027 | 254,739 | 257,622 | ||||||
4.50%, 08/01/2025 | 773 | 794 | ||||||
5.00%, 11/01/2024 | 332,014 | 343,049 | ||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||
6.50%, 04/15/2029 | 385 | 403 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates | ||||||||
12-MTA + 1.20%, | 74,180 | 76,770 | ||||||
12-MTA + 1.40%, | 68,724 | 71,782 | ||||||
6.50%, 07/25/2043 | 6,150 | 6,782 | ||||||
Federal National Mortgage Association | ||||||||
12-MTA + 1.20%, | 218,687 | 221,994 | ||||||
1-Month LIBOR + 0.35%, | 78,864 | 77,857 | ||||||
1-Year CMT + 2.04%, | 25,317 | 25,294 | ||||||
1-Year CMT + 2.19%, | 785 | 784 | ||||||
12-Month LIBOR + 1.72%, | 16,294 | 16,646 | ||||||
1-Year CMT + 2.27%, | 9,361 | 9,280 | ||||||
12-Month LIBOR + 1.25%, | 9,910 | 10,077 | ||||||
1-Year CMT + 2.22%, | 3,502 | 3,484 | ||||||
3.00%, 03/01/2052 | 2,336,043 | 2,258,153 | ||||||
3.50%, 02/01/2026 - 05/01/2035 | 4,026,648 | 4,080,320 | ||||||
4.50%, 12/01/2024 | 14,749 | 15,181 | ||||||
5.00%, 08/01/2026 - 10/01/2029 | 205,801 | 212,215 | ||||||
6.00%, 07/01/2035 - 06/01/2040 | 453,602 | 492,076 | ||||||
Federal National Mortgage Association REMIC | ||||||||
6.30%, 10/17/2038 | 20,407 | 20,386 | ||||||
Federal National Mortgage Association REMIC, Interest Only STRIPS | ||||||||
(1.00) * 1-Month LIBOR + 7.10%, | 153,668 | 18,272 | ||||||
Government National Mortgage Association | ||||||||
1-Year CMT + 1.50%, | 2,708 | 2,742 | ||||||
3.00%, 11/15/2049 | 309,357 | 301,230 | ||||||
4.00%, 03/15/2050 | 179,191 | 183,048 | ||||||
Government National Mortgage Association REMIC | ||||||||
1-Month LIBOR + 0.60%, | 2,025,774 | 2,012,428 | ||||||
1-Month LIBOR + 0.95%, | 772,580 | 773,151 | ||||||
1-Month LIBOR + 1.00%, | 3,026,328 | 3,028,879 | ||||||
Government National Mortgage Association REMIC, Interest Only STRIPS | ||||||||
(1.00) * 1-Month LIBOR + 6.56%, | 84,991 | 1,766 | ||||||
(1.00) * 1-Month LIBOR + 6.60%, | 200,911 | 17,447 |
Principal | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||
Uniform Mortgage-Backed Security | ||||||||
3.00%, TBA (J) | $ 74,700,000 | $ 72,021,395 | ||||||
3.50%, TBA (J) | 42,800,000 | 42,280,123 | ||||||
4.00%, TBA (J) | 22,400,000 | 22,494,399 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 155,697,581 | ||||||
|
| |||||||
U.S. GOVERNMENT OBLIGATIONS - 18.2% | ||||||||
U.S. Treasury - 18.2% | ||||||||
U.S. Treasury Bond | ||||||||
1.38%, 11/15/2040 - 08/15/2050 (K) | 27,600,000 | 20,083,211 | ||||||
1.63%, 11/15/2050 (K) | 1,000,000 | 730,352 | ||||||
1.88%, 02/15/2041 | 5,900,000 | 4,787,297 | ||||||
2.25%, 05/15/2041 | 800,000 | 690,625 | ||||||
2.38%, 02/15/2042 | 2,000,000 | 1,756,875 | ||||||
2.88%, 08/15/2045 - 05/15/2049 (K) | 16,200,000 | 15,421,406 | ||||||
3.00%, 02/15/2048 (K) | 7,800,000 | 7,583,977 | ||||||
3.13%, 08/15/2044 (K) | 10,800,000 | 10,556,578 | ||||||
3.25%, 05/15/2042 | 16,000,000 | 16,160,000 | ||||||
4.25%, 05/15/2039 (K) | 900,000 | 1,067,449 | ||||||
4.38%, 11/15/2039 (K) | 4,900,000 | 5,880,574 | ||||||
4.63%, 02/15/2040 (K) | 700,000 | 865,703 | ||||||
U.S. Treasury Note | ||||||||
1.75%, 06/30/2024 (K) (L) | 4,200,000 | 4,110,914 | ||||||
1.88%, 08/31/2022 (K) (L) (M) | 4,000,000 | 3,998,774 | ||||||
2.00%, 10/31/2022 | 400,000 | 399,613 | ||||||
2.25%, 08/15/2027 (K) (M) | 4,800,000 | 4,691,813 | ||||||
2.88%, 05/15/2032 | 400,000 | 407,937 | ||||||
|
| |||||||
Total U.S. Government Obligations |
| 99,193,098 | ||||||
|
| |||||||
Shares | Value | |||||||
COMMON STOCK - 0.0% (N) | ||||||||
Household Durables - 0.0% (N) | ||||||||
Urbi Desarrollos Urbanos SAB de CV (H) | 381 | 157 | ||||||
|
| |||||||
Total Common Stock |
| 157 | ||||||
|
| |||||||
Principal | Value | |||||||
SHORT-TERM FOREIGN GOVERNMENT OBLIGATIONS - 1.1% | ||||||||
Israel - 1.1% | ||||||||
Bank of Israel Bill - Makam | ||||||||
0.00% (O), 09/07/2022 - 10/07/2022 | ILS 9,300,000 | 2,731,625 | ||||||
0.01% (O), 10/07/2022 - 11/02/2022 | 11,100,000 | 3,257,258 | ||||||
|
| |||||||
Total Short-Term Foreign Government Obligations |
| 5,988,883 | ||||||
|
| |||||||
SHORT-TERM U.S. GOVERNMENT OBLIGATIONS - 1.1% | ||||||||
U.S. Treasury Bill | ||||||||
1.14% (O), 09/01/2022 (P) | $ 1,700,000 | 1,696,889 | ||||||
2.15% (O), 10/13/2022 (I) (P) | 2,200,000 | 2,189,728 | ||||||
2.52% (O), 10/20/2022 | 2,000,000 | 1,989,659 | ||||||
|
| |||||||
Total Short-Term U.S. Government Obligations |
| 5,876,276 | ||||||
|
|
Transamerica Funds | Page 9 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Shares | Value | |||||||
OTHER INVESTMENT COMPANY - 0.5% | ||||||||
Securities Lending Collateral - 0.5% | ||||||||
State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 2.27% (O) | 2,584,279 | $ 2,584,279 | ||||||
|
| |||||||
Total Other Investment Company |
| 2,584,279 | ||||||
|
| |||||||
Principal | Value | |||||||
REPURCHASE AGREEMENTS - 12.5% | ||||||||
Credit Agricole Securities, Inc. 2.28% (O), dated 07/29/2022, to be repurchased at $67,612,844 on 08/01/2022. Collateralized by a U.S. Government Obligation, 1.50%, due 08/15/2026, and with a value of $69,497,334. | $ 67,600,000 | 67,600,000 | ||||||
Fixed Income Clearing Corp., 0.65% (O), dated 07/29/2022, to be repurchased at $840,147 on 08/01/2022. Collateralized by a U.S. Government Obligation, 3.00%, due 07/15/2025, and with a value of $856,930. | 840,101 | 840,101 | ||||||
|
| |||||||
Total Repurchase Agreements |
| 68,440,101 | ||||||
|
| |||||||
Total Investments Excluding Swaptions Purchased |
| 675,482,373 | ||||||
Total Swaptions Purchased - 0.0% (N) |
| 11 | ||||||
|
| |||||||
Total Investments |
| 675,482,384 | ||||||
Net Other Assets (Liabilities) - (23.7)% | (129,511,809 | ) | ||||||
|
| |||||||
Net Assets - 100.0% | $ 545,970,575 | |||||||
|
|
Transamerica Funds | Page 10 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
OVER-THE-COUNTER INTEREST RATE SWAPTIONS PURCHASED:
Description | Counterparty | Floating Rate Index | Pay/Receive Floating Rate | Exercise Rate | Expiration Date | Notional Amount/ Number of Contracts | Premiums Paid | Value | ||||||||||||||||||||||||||||||||||
Put - 10-Year | NGFP | 3-Month USD-SOFR | Pay | 2.86 | % | 08/04/2022 | USD | 1,500,000 | $ | 16,500 | $ | 11 |
EXCHANGE-TRADED OPTIONS WRITTEN:
Description | Exercise Price | Expiration Date | Notional Amount | Number of Contracts | Premiums (Received) | Value | ||||||||||||||||||||||||
Put - 90-Day Euro Dollar Futures | USD 96.50 | 12/18/2023 | USD 360,000 | 144 | $ (166,863) | $ (162,900) |
OVER-THE-COUNTER OPTIONS WRITTEN:
Description | Counterparty | Exercise Price | Expiration Date | Notional Amount | Number of Contracts | Premiums (Received) | Value | |||||||||||||||||||||||||||||
Call - Uniform Mortgage-Backed Security, TBA | JPM | USD | 98.91 | 08/04/2022 | USD | 11,151,783,000 | 2,700,000 | $ | (10,547 | ) | $ | (8,402 | ) | |||||||||||||||||||||||
Call - Uniform Mortgage-Backed Security, TBA | JPM | USD | 101.87 | 08/04/2022 | USD | 291,246,000 | 3,000,000 | (9,375 | ) | (4,679 | ) | |||||||||||||||||||||||||
Put - Uniform Mortgage-Backed Security, TBA | JPM | USD | 96.91 | 08/04/2022 | USD | 11,151,783,000 | 2,700,000 | (13,500 | ) | (32 | ) | |||||||||||||||||||||||||
Put - Uniform Mortgage-Backed Security, TBA | JPM | USD | 98.09 | 08/04/2022 | USD | 1,320,315,200 | 13,600,000 | (66,938 | ) | (48 | ) | |||||||||||||||||||||||||
Put - Uniform Mortgage-Backed Security, TBA | JPM | USD | 99.66 | 09/07/2022 | USD | 737,823,200 | 7,600,000 | (28,500 | ) | (9,945 | ) | |||||||||||||||||||||||||
Put - Uniform Mortgage-Backed Security, TBA | JPM | USD | 99.77 | 08/04/2022 | USD | 22,303,566,000 | 5,400,000 | (14,344 | ) | (18 | ) | |||||||||||||||||||||||||
Put - Uniform Mortgage-Backed Security, TBA | JPM | USD | 99.83 | 08/04/2022 | USD | 524,242,800 | 5,400,000 | (14,344 | ) | (22 | ) | |||||||||||||||||||||||||
Put - Uniform Mortgage-Backed Security, TBA | JPM | USD | 99.87 | 08/04/2022 | USD | 3,000,000 | 3,000,000 | (14,531 | ) | (14 | ) | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Total | $ | (172,079 | ) | $ | (23,160 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
OVER-THE-COUNTER FOREIGN EXCHANGE OPTIONS WRITTEN:
Description | Counterparty | Exercise Price | Expiration Date | Notional Amount/ Number of Contracts | Premiums (Received) | Value | ||||||||||||||||||||||||||||||||||
Call - AUD vs USD | BCLY | AUD | 0.74 | 08/11/2022 | AUD | 1,400,000 | $ | (8,076 | ) | $ | (118 | ) | ||||||||||||||||||||||||||||
Call - USD vs BRL | HSBC | USD | 5.62 | 08/09/2022 | USD | 2,200,000 | (34,118 | ) | (946 | ) | ||||||||||||||||||||||||||||||
Call - USD vs BRL | DUB | USD | 5.72 | 08/12/2022 | USD | 6,570,000 | (107,873 | ) | (2,359 | ) | ||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total | $ | (150,067 | ) | $ | (3,423 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
OVER-THE-COUNTER INTEREST RATE SWAPTIONS WRITTEN:
Description | Counterparty | Floating Rate Index | Pay/Receive Floating Rate | Exercise Rate | Expiration Date | Notional Amount/ Number of Contracts | Premiums (Received) | Value | ||||||||||||||||||||||||||||
Call - 1-Year | GSB | 3-Month USD-SOFR | Receive | 2.15% | 11/20/2023 | USD | 4,900,000 | $ | (17,089 | ) | $ | (22,056 | ) | |||||||||||||||||||||||
Call - 1-Year(J) | GSB | 3-Month USD-SOFR | Receive | 2.70 | 04/02/2024 | USD | 3,600,000 | (28,238 | ) | (32,969 | ) | |||||||||||||||||||||||||
Call - 5-Year | GSB | 3-Month USD-SOFR | Receive | 2.25 | 08/25/2022 | USD | 12,600,000 | (64,890 | ) | (36,738 | ) | |||||||||||||||||||||||||
Call - 10-Year | GSB | 3-Month USD-SOFR | Receive | 2.31 | 08/19/2022 | USD | 10,900,000 | (95,648 | ) | (54,989 | ) | |||||||||||||||||||||||||
Put - 1-Year(J) | GSB | 3-Month USD-SOFR | Pay | 2.70 | 04/02/2024 | USD | 3,600,000 | (28,238 | ) | (19,539 | ) | |||||||||||||||||||||||||
Put - 1-Year | GSB | 3-Month USD-SOFR | Pay | 3.65 | 11/20/2023 | USD | 4,900,000 | (17,089 | ) | (12,382 | ) | |||||||||||||||||||||||||
Put - 5-Year | GSB | 3-Month USD-SOFR | Pay | 2.85 | 08/25/2022 | USD | 12,600,000 | (64,890 | ) | (13,469 | ) | |||||||||||||||||||||||||
Put - 10-Year | GSB | 3-Month USD-SOFR | Pay | 3.01 | 08/19/2022 | USD | 10,900,000 | (95,648 | ) | (2,321 | ) | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Total | $ | (411,730 | ) | $ | (194,463 | ) | ||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Premiums (Received) | Value | |||||||||||||||||||||||||||||||||||
TOTAL WRITTEN OPTIONS AND SWAPTIONS |
| $ | (900,739 | ) | $ | (383,946 | ) |
Transamerica Funds | Page 11 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
CENTRALLY CLEARED SWAP AGREEMENTS:
Credit Default Swap Agreements on Corporate and Sovereign Issues – Sell Protection (Q)
Reference Obligation | Fixed Rate Receivable | Payment | Maturity | Implied Credit Spread at July 31, 2022 (R) | Notional Amount (S) | Value (T) | Premiums Paid (Received) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||
AT&T Inc., | 1.00% | Quarterly | 12/20/2022 | 0.64% | USD | 1,400,000 | $ | 3,467 | $ | 1,661 | $ | 1,806 | |||||||||||||||||||||||||||
AT&T, Inc., | 1.00 | Quarterly | 12/20/2026 | 1.14 | USD | 1,500,000 | (5,310 | ) | 15,103 | (20,413 | ) | ||||||||||||||||||||||||||||
Bank of America Corp., | 1.00 | Quarterly | 12/20/2022 | 0.40 | USD | 1,700,000 | 5,908 | 4,740 | 1,168 | ||||||||||||||||||||||||||||||
General Electric Co., | 1.00 | Quarterly | 12/20/2023 | 0.70 | USD | 600,000 | 3,330 | (8,219 | ) | 11,549 | |||||||||||||||||||||||||||||
General Electric Co., | 1.00 | Quarterly | 06/20/2024 | 0.75 | USD | 200,000 | 1,159 | (224 | ) | 1,383 | |||||||||||||||||||||||||||||
General Electric Co., | 1.00 | Quarterly | 12/20/2024 | 0.88 | USD | 700,000 | 3,234 | (4,603 | ) | 7,837 | |||||||||||||||||||||||||||||
General Electric Co., | 1.00 | Quarterly | 06/20/2026 | 1.20 | USD | 1,400,000 | (8,925 | ) | 6,797 | (15,722 | ) | ||||||||||||||||||||||||||||
General Electric Co., | 1.00 | Quarterly | 12/20/2026 | 1.34 | USD | 200,000 | (2,469 | ) | 1,946 | (4,415 | ) | ||||||||||||||||||||||||||||
General Motors Co., | 5.00 | Quarterly | 12/20/2026 | 1.99 | USD | 1,500,000 | 188,128 | 247,329 | (59,201 | ) | |||||||||||||||||||||||||||||
Rolls-Royce Holdings PLC, | 1.00 | Quarterly | 12/20/2024 | 2.92 | EUR | 1,300,000 | (51,750 | ) | (3,217 | ) | (48,533 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||
Total | $ | 136,772 | $ | 261,313 | $ | (124,541 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
Credit Default Swap Agreements on Credit Indices – Buy Protection (U)
Reference Obligation | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount (S) | Value (T) | Premiums Paid (Received) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||
Markit iTraxx Europe Crossover - Series 27 | 1.00% | Quarterly | 06/20/2027 | EUR | 2,400,000 | $ | (2,407 | ) | $ | 6,010 | $ | (8,417 | ) | |||||||||||||||||||||||||||
North America High Yield Index - Series 35 | 5.00 | Quarterly | 12/20/2025 | USD | 490,000 | (15,134 | ) | (23,680 | ) | 8,546 | ||||||||||||||||||||||||||||||
North America High Yield Index - Series 36 | 5.00 | Quarterly | 06/20/2026 | USD | 1,078,000 | (32,316 | ) | (77,463 | ) | 45,147 | ||||||||||||||||||||||||||||||
North America High Yield Index - Series 38 | 5.00 | Quarterly | 06/20/2027 | USD | 7,722,000 | (130,801 | ) | 124,355 | (255,156 | ) | ||||||||||||||||||||||||||||||
North American Investment Grade Index - Series 38 | 1.00 | Quarterly | 06/20/2027 | USD | 22,400,000 | (222,081 | ) | (11,303 | ) | (210,778 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
Total | $ | (402,739 | ) | $ | 17,919 | $ | (420,658 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
Credit Default Swap Agreements on Credit Indices – Sell Protection (Q)
Fixed Rate Receivable | Payment Frequency | Maturity Date | Notional Amount (S) | Value (T) | Premiums Paid (Received) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
Markit iTraxx® Europe Crossover - Series 27 | 5.00% | Quarterly | 06/20/2027 | EUR 13,600,000 | $ 15,342 | $ 801,998 | $ (786,656) |
Transamerica Funds | Page 12 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
CENTRALLY CLEARED SWAP AGREEMENTS (continued):
Interest Rate Swap Agreements
Floating Rate Index | Pay/Receive | Fixed Rate | Payment | Maturity Date | Notional Amount | Value | Premiums Paid (Received) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
3-Month USD-LIBOR | Receive | 2.80% | Quarterly/Semi-Annually | 08/22/2023 | USD | 6,700,000 | $ | 27,230 | $ | (159 | ) | $ | 27,389 | |||||||||||||||||||
6-Month EUR-EURIBOR | Receive | 0.75 | Semi-Annually/Annually | 06/15/2032 | EUR | 28,700,000 | (2,359,438 | ) | (1,184,058 | ) | (1,175,380 | ) | ||||||||||||||||||||
6-Month EUR-EURIBOR | Receive | 1.00 | Semi-Annually/Annually | 05/18/2027 | EUR | 7,000,000 | (79,416 | ) | (129,648 | ) | 50,232 | |||||||||||||||||||||
6-Month JPY-TONA | Receive | 0.38 | Semi-Annually/Annually | 06/18/2028 | JPY | 460,000,000 | 35,429 | 23,624 | 11,805 | |||||||||||||||||||||||
12-Month GBP-SONIA | Pay | 0.75 | Annually | 09/21/2052 | GBP | 10,000,000 | 3,459,164 | 2,435,997 | 1,023,167 | |||||||||||||||||||||||
12-Month GBP-SONIA | Receive | 0.80 | Annually | 03/15/2032 | GBP | 5,400,000 | (714,405 | ) | (66 | ) | (714,339 | ) | ||||||||||||||||||||
12-Month GBP-SONIA | Pay | 0.90 | Annually | 03/15/2052 | GBP | 2,000,000 | 607,631 | 32 | 607,599 | |||||||||||||||||||||||
12-Month JPY-TONA | Pay | 0.50 | Annually | 03/15/2042 | JPY | 807,000,000 | 306,876 | 222,254 | 84,622 | |||||||||||||||||||||||
12-Month JPY-TONA | Pay | 0.66 | Annually | 04/19/2042 | JPY | 35,000,000 | 5,087 | — | 5,087 | |||||||||||||||||||||||
12-Month JPY-TONA | Pay | 0.80 | Annually | 06/15/2052 | JPY | 530,000,000 | 186,373 | 6,047 | 180,326 | |||||||||||||||||||||||
12-Month USD-SOFR | Pay | 1.75 | Annually | 12/21/2052 | USD | 14,300,000 | 1,999,008 | 2,839,382 | (840,374 | ) | ||||||||||||||||||||||
12-Month USD-SOFR | Receive | 1.79 | Annually | 05/03/2027 | USD | 5,000,000 | (139,376 | ) | — | (139,376 | ) | |||||||||||||||||||||
12-Month USD-SOFR | Receive | 3.13 | Maturity/Annually | 06/21/2025 | USD | 59,300,000 | 484,766 | 12,781 | 471,985 | |||||||||||||||||||||||
BRL-CDI | Receive | 11.09 | Maturity | 01/02/2025 | BRL | 120,000,000 | (656,812 | ) | — | (656,812 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 3,162,117 | $ | 4,226,186 | $ | (1,064,069 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
OVER-THE-COUNTER SWAP AGREEMENTS:
Credit Default Swap Agreements on Corporate and Sovereign Issues – Sell Protection (Q)
Reference Obligation | Counterparty | Fixed Rate Receivable | Payment Frequency | Maturity Date | Implied Credit Spread at July 31, 2022 (R) | Notional Amount (S) | Value (T) | Premiums Paid (Received) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||
Colombia Government International Bond, | MSC | 1.00% | Quarterly | 06/20/2027 | 2.57% | USD | 2,100,000 | $ | (141,911 | ) | $ | (110,434 | ) | $ | (31,477 | ) | ||||||||||||||||||||||||
Colombia Government International Bond, | BNP | 1.00 | Quarterly | 06/20/2027 | 2.57 | USD | 100,000 | (6,758 | ) | (4,477 | ) | (2,281 | ) | |||||||||||||||||||||||||||
Colombia Government International Bond, | CITI | 1.00 | Quarterly | 06/20/2027 | 2.57 | USD | 200,000 | (13,515 | ) | (6,767 | ) | (6,748 | ) | |||||||||||||||||||||||||||
Republic of South Africa Government International Bond, | GSI | 1.00 | Quarterly | 06/20/2024 | 2.00 | USD | 1,900,000 | (32,733 | ) | (28,642 | ) | (4,091 | ) | |||||||||||||||||||||||||||
Republic of South Africa Government International Bond, | MSC | 1.00 | Quarterly | 12/20/2026 | 2.82 | USD | 1,400,000 | (98,540 | ) | (56,121 | ) | (42,419 | ) | |||||||||||||||||||||||||||
Republic of South Africa Government International Bond, | BOA | 1.00 | Quarterly | 12/20/2026 | 2.82 | USD | 3,200,000 | (225,274 | ) | (133,469 | ) | (91,805 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
Total | $ | (518,731 | ) | $ | (339,910 | ) | $ | (178,821 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||||||||
OTC Swap Agreements, at value (Liabilities) |
| $ | (518,731 | ) |
Transamerica Funds | Page 13 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
FUTURES CONTRACTS:
Long Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized | ||||||||||||||||||||||||
5-Year U.S. Treasury Note | 324 | 09/30/2022 | $ | 36,162,247 | $ | 36,847,406 | $ | 685,159 | $ | — | ||||||||||||||||||||
10-Year U.S. Treasury Note | 377 | 09/21/2022 | 45,230,386 | 45,670,016 | 439,630 | — | ||||||||||||||||||||||||
German Euro BOBL | 31 | 09/08/2022 | 3,831,916 | 4,051,374 | 219,458 | — | ||||||||||||||||||||||||
U.K. Gilt | 10 | 09/28/2022 | 1,367,222 | 1,439,196 | 71,974 | — | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 1,416,221 | $ | — | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Short Futures Contracts | ||||||||||||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||
10-Year Japan Government Bond | (20 | ) | 09/12/2022 | $ | (22,384,168 | ) | $ | (22,573,678 | ) | $ | — | $ | (189,510 | ) | ||||||||||||||||
30-Year U.S. Treasury Bond | (3 | ) | 09/21/2022 | (408,719 | ) | (432,000 | ) | — | (23,281 | ) | ||||||||||||||||||||
Euro OAT | (45 | ) | 09/08/2022 | (6,446,580 | ) | (6,736,483 | ) | — | (289,903 | ) | ||||||||||||||||||||
Euro-BTP Italy Government Bond | (111 | ) | 09/08/2022 | (13,331,815 | ) | (14,331,825 | ) | — | (1,000,010 | ) | ||||||||||||||||||||
German Euro Bund | (82 | ) | 09/08/2022 | (12,800,130 | ) | (13,211,505 | ) | — | (411,375 | ) | ||||||||||||||||||||
German Euro BUXL | (5 | ) | 09/08/2022 | (873,030 | ) | (949,484 | ) | — | (76,454 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total | $ | — | $ | (1,990,533 | ) | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total Futures Contracts | $ | 1,416,221 | $ | (1,990,533 | ) | |||||||||||||||||||||||||
|
|
|
|
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
BCLY | 08/16/2022 | NOK | 46,607,890 | USD | 4,763,003 | $ | 61,401 | $ | — | |||||||||||||
BCLY | 08/16/2022 | GBP | 489,000 | USD | 616,336 | — | (20,606 | ) | ||||||||||||||
BCLY | 09/26/2022 | USD | 3,501 | ZAR | 60,227 | — | (99 | ) | ||||||||||||||
BNP | 08/01/2022 | DKK | 5,825,501 | USD | 794,336 | 5,530 | — | |||||||||||||||
BNP | 08/02/2022 | USD | 14,193 | BRL | 73,639 | — | (31 | ) | ||||||||||||||
BNP | 08/02/2022 | USD | 15,791,473 | EUR | 15,002,000 | 456,597 | — | |||||||||||||||
BNP | 08/02/2022 | AUD | 6,153,000 | USD | 4,226,291 | 72,946 | — | |||||||||||||||
BNP | 08/02/2022 | EUR | 660,000 | USD | 675,398 | — | (753 | ) | ||||||||||||||
BNP | 08/02/2022 | BRL | 73,639 | USD | 14,170 | 54 | — | |||||||||||||||
BNP | 08/09/2022 | USD | 2,618,580 | MXN | 57,520,000 | — | (198,396 | ) | ||||||||||||||
BNP | 08/10/2022 | CNH | 10,143,000 | USD | 1,505,058 | — | (2,348 | ) | ||||||||||||||
BNP | 08/16/2022 | USD | 265,049 | NOK | 2,635,000 | — | (7,701 | ) | ||||||||||||||
BNP | 08/16/2022 | JPY | 80,500,000 | USD | 587,821 | 16,565 | — | |||||||||||||||
BNP | 09/01/2022 | USD | 794,336 | DKK | 5,812,435 | — | (5,507 | ) | ||||||||||||||
BNP | 09/02/2022 | USD | 524,811 | AUD | 749,006 | 1,172 | — | |||||||||||||||
BNP | 09/15/2022 | MXN | 57,764,000 | USD | 2,831,922 | — | (22,457 | ) | ||||||||||||||
BNP | 10/05/2022 | USD | 322,465 | PEN | 1,316,336 | — | (10,211 | ) | ||||||||||||||
BOA | 08/01/2022 | USD | 1,449,218 | DKK | 10,166,898 | 53,261 | — | |||||||||||||||
BOA | 08/08/2022 | USD | 184,712 | PEN | 719,415 | 1,552 | — | |||||||||||||||
BOA | 08/08/2022 | PEN | 868,099 | USD | 223,093 | — | (2,079 | ) | ||||||||||||||
BOA | 08/16/2022 | USD | 500,138 | GBP | 412,000 | — | (1,786 | ) | ||||||||||||||
BOA | 08/16/2022 | NOK | 25,897,642 | USD | 2,719,960 | — | (39,283 | ) | ||||||||||||||
BOA | 08/16/2022 | BRL | 3,463,640 | USD | 655,000 | 11,123 | — | |||||||||||||||
BOA | 08/16/2022 | GBP | 590,000 | USD | 737,956 | — | (19,182 | ) | ||||||||||||||
BOA | 09/01/2022 | USD | 595,177 | DKK | 4,351,068 | — | (3,569 | ) | ||||||||||||||
BOA | 09/02/2022 | USD | 425,277 | AUD | 608,074 | 165 | — | |||||||||||||||
BOA | 03/02/2023 | USD | 263,050 | ILS | 892,530 | — | (3,460 | ) | ||||||||||||||
CITI | 08/02/2022 | USD | 13,662 | BRL | 73,639 | — | (562 | ) | ||||||||||||||
CITI | 08/02/2022 | BRL | 73,639 | USD | 14,193 | 31 | — | |||||||||||||||
CITI | 08/08/2022 | USD | 127,472 | PEN | 482,277 | 4,686 | �� | — | ||||||||||||||
CITI | 08/08/2022 | PEN | 2,513,154 | USD | 665,225 | — | (25,388 | ) | ||||||||||||||
CITI | 08/09/2022 | USD | 720,496 | PEN | 2,806,910 | 5,981 | — | |||||||||||||||
CITI | 08/09/2022 | PEN | 2,040,125 | USD | 522,750 | — | (3,424 | ) | ||||||||||||||
CITI | 08/10/2022 | CNH | 20,092,000 | USD | 2,987,829 | — | (11,151 | ) | ||||||||||||||
CITI | 08/16/2022 | USD | 549,719 | GBP | 451,000 | 283 | — | |||||||||||||||
CITI | 08/16/2022 | BRL | 3,462,985 | USD | 655,000 | 10,997 | — | |||||||||||||||
CITI | 08/18/2022 | PEN | 2,806,910 | USD | 719,481 | — | (5,953 | ) |
Transamerica Funds | Page 14 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS (continued):
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
CITI | 09/02/2022 | BRL | 73,639 | USD | 13,540 | $ | 553 | $ | — | |||||||||||||||
CITI | 10/07/2022 | USD | 1,621,888 | ILS | 5,200,260 | 85,265 | — | |||||||||||||||||
CITI | 11/08/2022 | USD | 503,901 | PEN | 2,000,084 | — | (199 | ) | ||||||||||||||||
CITI | 12/12/2022 | USD | 1,592,722 | PEN | 6,132,778 | 51,204 | — | |||||||||||||||||
CITI | 12/27/2022 | USD | 1,064,610 | PEN | 4,131,218 | 27,436 | — | |||||||||||||||||
CITI | 01/25/2023 | USD | 912,624 | ZAR | 15,989,818 | — | (32,284 | ) | ||||||||||||||||
CITI | 04/05/2023 | USD | 2,797,377 | ILS | 9,130,080 | 65,856 | — | |||||||||||||||||
CITI | 04/27/2023 | USD | 642,974 | PEN | 2,539,221 | 11,083 | — | |||||||||||||||||
CITI | 05/03/2023 | USD | 1,652,817 | ILS | 5,453,800 | 18,484 | — | |||||||||||||||||
DUB | 08/09/2022 | MXN | 57,520,000 | USD | 2,802,372 | 14,605 | — | |||||||||||||||||
DUB | 08/16/2022 | USD | 1,310,000 | BRL | 6,940,380 | — | (24,766 | ) | ||||||||||||||||
DUB | 08/16/2022 | USD | 23,813,702 | GBP | 19,305,000 | 295,170 | — | |||||||||||||||||
DUB | 10/07/2022 | USD | 1,911,903 | ILS | 6,099,640 | 109,522 | — | |||||||||||||||||
DUB | 10/27/2022 | USD | 2,760,147 | MXN | 57,520,000 | — | (14,656 | ) | ||||||||||||||||
DUB | 12/12/2022 | USD | 2,099,277 | ZAR | 32,983,420 | 141,980 | — | |||||||||||||||||
DUB | 03/02/2023 | USD | 1,345,199 | ILS | 4,562,510 | — | (17,172 | ) | ||||||||||||||||
GSB | 08/08/2022 | PEN | 28,197 | USD | 7,515 | — | (336 | ) | ||||||||||||||||
GSB | 08/15/2022 | USD | 561,985 | PEN | 2,207,758 | 505 | — | |||||||||||||||||
GSB | 08/16/2022 | USD | 11,596 | ZAR | 199,000 | — | (354 | ) | ||||||||||||||||
GSB | 08/23/2022 | PEN | 2,207,758 | USD | 561,413 | — | (623 | ) | ||||||||||||||||
GSB | 11/02/2022 | USD | 1,619,297 | ILS | 4,999,500 | 138,988 | — | |||||||||||||||||
HSBC | 08/02/2022 | USD | 5,880,889 | AUD | 8,538,000 | — | (84,801 | ) | ||||||||||||||||
HSBC | 08/02/2022 | EUR | 14,342,000 | USD | 14,632,701 | 27,532 | — | |||||||||||||||||
HSBC | 08/02/2022 | AUD | 1,027,920 | USD | 713,788 | 4,443 | — | |||||||||||||||||
HSBC | 08/05/2022 | USD | 20,383 | CLP | 17,079,970 | 1,446 | — | |||||||||||||||||
HSBC | 08/08/2022 | USD | 555,271 | PEN | 2,207,758 | — | (6,813 | ) | ||||||||||||||||
HSBC | 08/09/2022 | PEN | 766,785 | USD | 197,951 | — | (2,762 | ) | ||||||||||||||||
HSBC | 08/10/2022 | USD | 2,371,701 | CNH | 15,925,972 | 12,230 | — | |||||||||||||||||
HSBC | 08/10/2022 | CNH | 9,879,000 | USD | 1,461,867 | 1,731 | — | |||||||||||||||||
HSBC | 08/11/2022 | USD | 447,000 | BRL | 2,333,340 | — | (2,458 | ) | ||||||||||||||||
HSBC | 08/15/2022 | PEN | 2,207,758 | USD | 554,831 | 6,648 | — | |||||||||||||||||
HSBC | 08/16/2022 | USD | 504,509 | GBP | 417,000 | — | (3,506 | ) | ||||||||||||||||
HSBC | 08/16/2022 | USD | 3,863,483 | JPY | 519,300,000 | — | (35,369 | ) | ||||||||||||||||
HSBC | 08/16/2022 | USD | 555,787 | NOK | 5,500,000 | — | (13,521 | ) | ||||||||||||||||
HSBC | 08/16/2022 | JPY | 776,800,000 | USD | 5,672,110 | 160,025 | — | |||||||||||||||||
HSBC | 09/02/2022 | USD | 714,142 | AUD | 1,027,920 | — | (4,489 | ) | ||||||||||||||||
HSBC | 09/02/2022 | USD | 13,869,122 | EUR | 13,564,000 | — | (25,619 | ) | ||||||||||||||||
HSBC | 05/10/2023 | USD | 1,158,941 | CNH | 7,777,653 | 175 | — | |||||||||||||||||
JPM | 08/10/2022 | USD | 1,041,260 | CNH | 7,001,916 | 3,909 | — | |||||||||||||||||
JPM | 08/10/2022 | CNH | 18,726,000 | USD | 2,762,161 | 12,141 | — | |||||||||||||||||
JPM | 08/11/2022 | BRL | 2,335,575 | USD | 447,000 | 2,889 | — | |||||||||||||||||
JPM | 08/16/2022 | USD | 3,123,118 | JPY | 426,083,790 | — | (75,876 | ) | ||||||||||||||||
JPM | 08/16/2022 | USD | 3,706,392 | NOK | 36,760,000 | — | (98,652 | ) | ||||||||||||||||
JPM | 08/16/2022 | GBP | 448,000 | USD | 552,117 | — | (6,336 | ) | ||||||||||||||||
JPM | 09/07/2022 | USD | 1,285,194 | ILS | 4,100,410 | 76,245 | — | |||||||||||||||||
SCB | 08/05/2022 | CLP | 17,079,970 | USD | 18,356 | 582 | — | |||||||||||||||||
SCB | 08/10/2022 | USD | 4,217,255 | CNH | 28,250,675 | 31,850 | — | |||||||||||||||||
SCB | 09/12/2022 | USD | 1,945,553 | ZAR | 30,077,860 | 144,651 | — | |||||||||||||||||
SCB | 10/18/2022 | USD | 18,141 | CLP | 17,079,970 | — | (551 | ) | ||||||||||||||||
UBS | 08/16/2022 | USD | 2,626,930 | NOK | 26,385,000 | — | (104,194 | ) | ||||||||||||||||
UBS | 08/16/2022 | GBP | 518,000 | USD | 622,849 | 8,210 | — | |||||||||||||||||
UBS | 09/26/2022 | USD | 912,624 | ZAR | 15,787,489 | — | (31,218 | ) | ||||||||||||||||
UBS | 10/14/2022 | USD | 1,474,856 | ZAR | 25,377,405 | — | (39,541 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 2,157,702 | $ | (1,010,042 | ) | |||||||||||||||||||
|
|
|
|
Transamerica Funds | Page 15 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
INVESTMENT VALUATION:
Valuation Inputs (V)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Value | |||||||||||||
ASSETS | ||||||||||||||||
Investments |
| |||||||||||||||
Asset-Backed Securities | $ | — | $ | 64,834,898 | $ | — | $ | 64,834,898 | ||||||||
Corporate Debt Securities | — | 166,205,828 | — | 166,205,828 | ||||||||||||
Foreign Government Obligations | — | 21,268,461 | — | 21,268,461 | ||||||||||||
Mortgage-Backed Securities | — | 81,455,061 | — | 81,455,061 | ||||||||||||
Municipal Government Obligations | — | 3,937,750 | — | 3,937,750 | ||||||||||||
U.S. Government Agency Obligations | — | 155,697,581 | — | 155,697,581 | ||||||||||||
U.S. Government Obligations | — | 99,193,098 | — | 99,193,098 | ||||||||||||
Common Stock | 157 | — | — | 157 | ||||||||||||
Short-Term Foreign Government Obligations | — | 5,988,883 | — | 5,988,883 | ||||||||||||
Short-Term U.S. Government Obligations | — | 5,876,276 | — | 5,876,276 | ||||||||||||
Other Investment Company | 2,584,279 | — | — | 2,584,279 | ||||||||||||
Repurchase Agreements | — | 68,440,101 | — | 68,440,101 | ||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased | — | 11 | — | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,584,436 | $ | 672,897,948 | $ | — | $ | 675,482,384 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments |
| |||||||||||||||
Centrally Cleared Credit Default Swap Agreements | $ | — | $ | 220,568 | $ | — | $ | 220,568 | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 7,111,564 | — | 7,111,564 | ||||||||||||
Futures Contracts (W) | 1,416,221 | — | — | 1,416,221 | ||||||||||||
Forward Foreign Currency Contracts (W) | — | 2,157,702 | — | 2,157,702 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,416,221 | $ | 9,489,834 | $ | — | $ | 10,906,055 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Other Financial Instruments |
| |||||||||||||||
Exchange-Traded Options Written | $ | (162,900 | ) | $ | — | $ | — | $ | (162,900 | ) | ||||||
Over-the-Counter Options Written | — | (23,160 | ) | — | (23,160 | ) | ||||||||||
Over-the-Counter Foreign Exchange Options Written | — | (3,423 | ) | — | (3,423 | ) | ||||||||||
Over-the-Counter Interest Rate Swaptions Written | — | (194,463 | ) | — | (194,463 | ) | ||||||||||
Centrally Cleared Credit Default Swap Agreements | — | (471,193 | ) | — | (471,193 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (3,949,447 | ) | — | (3,949,447 | ) | ||||||||||
Over-the-Counter Credit Default Swap Agreements | — | (518,731 | ) | — | (518,731 | ) | ||||||||||
Futures Contracts (W) | (1,990,533 | ) | — | — | (1,990,533 | ) | ||||||||||
Forward Foreign Currency Contracts (W) | — | (1,010,042 | ) | — | (1,010,042 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (2,153,433 | ) | $ | (6,170,459 | ) | $ | — | $ | (8,323,892 | ) | |||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Floating or variable rate securities. The rates disclosed are as of July 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated within the description. Variable rate securities with a floor or ceiling feature are disclosed at the inherent rate, where applicable. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions; these securities do not indicate a reference rate and spread in the description. | |
(B) | Securities are exempt from registration pursuant to Rule 144A of the Securities Act of 1933. Securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2022, the total value of 144A securities is $166,143,633, representing 30.4% of the Fund’s net assets. | |
(C) | Securities are exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Securities may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2022, the total value of Regulation S securities is $12,881,009, representing 2.4% of the Fund’s net assets. | |
(D) | Perpetual maturity. The date displayed is the next call date. | |
(E) | Restricted securities. At July 31, 2022, the value of such securities held by the Fund are as follows: |
Investments | Description | Acquisition Date | Acquisition Cost | Value | Value as Percentage of Net Assets | |||||||||||||
Corporate Debt Securities | Citigroup, Inc. | 05/26/2020 | $ | 1,800,000 | $ | 1,567,775 | 0.3 | % | ||||||||||
Corporate Debt Securities | Citigroup, Inc. | 03/10/2022 | 1,500,000 | 1,464,873 | 0.3 | |||||||||||||
|
|
|
|
|
| |||||||||||||
Total | $ | 3,300,000 | $ | 3,032,648 | 0.6 | % | ||||||||||||
|
|
|
|
|
|
(F) | Payment in-kind. Security pays interest or dividends in the form of additional bonds or preferred stock. If the security makes a cash payment in addition to in-kind, the cash rate is disclosed separately. | |
(G) | Security in default; no interest payments received and/or dividends declared during the last 12 months. At July 31, 2022, the value of this security is $1,667,937, representing 0.3% of the Fund’s net assets. |
Transamerica Funds | Page 16 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
FOOTNOTES TO SCHEDULE OF INVESTMENTS (continued):
(H) | Non-income producing securities. | |
(I) | All or a portion of the securities are on loan. The total value of all securities on loan is $2,531,097, collateralized by cash collateral of $2,584,279. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers. | |
(J) | When-issued, delayed-delivery and/or forward commitment (including TBAs) securities. Securities to be settled and delivered after July 31, 2022. Securities may display a coupon rate of 0.00%, as the rate is to be determined at time of settlement. | |
(K) | Securities are subject to sale-buyback transactions. The average amount of sale-buybacks outstanding during the period ended July 31, 2022 was $11,482 at a weighted average interest rate of 0.08%. | |
(L) | All or a portion of these securities have been segregated by the custodian as collateral to cover margin requirements for open futures contracts. The total value of such securities is $395,387. | |
(M) | All or a portion of these securities have been segregated by the custodian as collateral for centrally cleared swap agreements. The total value of such securities is $2,457,054. | |
(N) | Percentage rounds to less than 0.1% or (0.1)%. | |
(O) | Rates disclosed reflect the yields at July 31, 2022. | |
(P) | All or a portion of these securities have been segregated by the custodian as collateral for open over-the-counter options and/or swaptions, swap agreements and forward foreign currency contracts. The total value of such securities is $787,536. | |
(Q) | 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 (a) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced obligation or (b) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation. | |
(R) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include the referenced 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. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. | |
(S) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | |
(T) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period ended. Increasing market values, in absolute terms when compared to the notional amount of the swap agreement, represent a deterioration of the referenced 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. | |
(U) | 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 (a) 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 obligation or (b) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation. | |
(V) | There were no transfers in or out of Level 3 during the period ended July 31, 2022. Please reference the Investment Valuation section of the Notes to Schedule of Investments for more information regarding investment valuation and pricing inputs. | |
(W) | Derivative instruments are valued at unrealized appreciation (depreciation). |
CURRENCY ABBREVIATIONS:
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CLP | Chilean Peso | |
CNH | Chinese Yuan Renminbi (offshore) | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | Pound Sterling | |
ILS | Israel New Shekel | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
PEN | Peruvian Sol | |
USD | United States Dollar | |
ZAR | South African Rand |
COUNTERPARTY ABBREVIATIONS:
BCLY | Barclays Bank PLC | |
BNP | BNP Paribas | |
BOA | Bank of America, N.A. | |
CITI | Citibank, N.A. | |
DUB | Deutsche Bank AG | |
GSB | Goldman Sachs Bank | |
GSI | Goldman Sachs International | |
HSBC | HSBC Bank USA | |
JPM | JPMorgan Chase Bank, N.A. | |
MSC | Morgan Stanley & Co. | |
NGFP | Nomura Global Financial Products, Inc. | |
SCB | Standard Chartered Bank | |
UBS | UBS AG |
Transamerica Funds | Page 17 |
Transamerica Total Return
SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
PORTFOLIO ABBREVIATIONS:
BOBL | Bundesobligationen (German Federal Government Securities) | |
BRL-CDI | Brazil Interbank Deposit Rate | |
BTP | Buoni del Tesoro Poliennali (Italian Treasury Bonds) | |
BUXL | Bundesanleihen (German Long-Term Debt) | |
CMT | Constant Maturity Treasury | |
EURIBOR | Euro Interbank Offer Rate | |
LIBOR | London Interbank Offered Rate | |
MTA | Month Treasury Average | |
OAT | Obligations Assimilables du Tresor (Treasury Obligations) | |
SOFR | Secured Overnight Financing Rate | |
SONIA | Sterling Overnight Interbank Average | |
STRIPS | Separate Trading of Registered Interest and Principal of Securities | |
TBA | To Be Announced | |
TONA | Tokyo Overnight Average |
Transamerica Funds | Page 18 |
Transamerica Total Return
NOTES TO SCHEDULE OF INVESTMENTS
At July 31, 2022
(unaudited)
INVESTMENT VALUATION
Transamerica Total Return (the “Fund”) is a series of the Transamerica Funds.
All investments in securities are recorded at their estimated fair value. The Fund values its investments at the official close of the New York Stock Exchange (“NYSE”) each day the NYSE is open for business.
The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. Generally Accepted Accounting Principles in the United States of America establishes a hierarchy that prioritizes inputs to valuation methods. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels (“Levels”) of inputs of the fair value hierarchy are defined as follows:
Level 1 — Unadjusted quoted prices in active markets for identical securities.
Level 2 — Inputs, other than quoted prices included in Level 1, which are observable, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include the Fund’s own assumptions used in determining the fair value of investments and derivative instruments.
The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy that is assigned to the fair value measurement of a security is determined based on the lowest Level input that is significant to the fair value measurement in its entirety. Certain investments that are measured at fair value using Net Asset Value (“NAV”) per share, or its equivalent, using the “practical expedient” have not been classified in the fair value Levels. The hierarchy classification of inputs used to value the Fund’s investments at July 31, 2022, is disclosed within the Investment Valuation section of the Schedule of Investments.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, but not limited to, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is generally greatest for instruments categorized in Level 3. Due to the inherent uncertainty of valuation, the determination of values may differ significantly from values that would have been realized had a ready market for investments existed, and the differences could be material.
Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s significant categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Asset-backed securities: The fair value of asset-backed securities is estimated based on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized in Level 3.
Corporate debt securities: The fair value of corporate debt securities is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate debt securities are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3.
Foreign government obligations: Foreign government obligations are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued by principally using dealer quotations. Foreign government obligations generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.
Mortgage-backed securities: The fair value of mortgage-backed securities is estimated based on models that consider issuer type, coupon, cash flows, mortgage prepayment projection tables and adjustable rate mortgage evaluations that incorporate index data, periodic life caps and the next coupon reset date. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they are categorized in Level 3.
Transamerica Funds | Page 19 |
Transamerica Total Return
NOTES TO SCHEDULE OF INVESTMENTS (continued)
At July 31, 2022
(unaudited)
Municipal government obligations: The fair value of municipal government obligations and variable rate notes is estimated based on models that consider, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the liquidity of the bond, state of issuance, benchmark yield curves, and bond or note insurance. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they are categorized in Level 3.
U.S. government agency obligations: U.S. government agency obligations are comprised of two main categories consisting of agency issued debt and mortgage pass-throughs. Generally, agency issued debt securities are valued in a manner similar to U.S. government obligations. Mortgage pass-throughs include to be announced (“TBA”) securities and mortgage pass-through certificates. Generally, TBA securities and mortgage pass-throughs are valued using dealer quotations. Depending on market activity levels and whether quotations or other observable data are used, these securities are typically categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized in Level 3.
U.S. government obligations: U.S. government obligations are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued by principally using dealer quotations. U.S. government obligations generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.
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.
Short-term notes: The Fund normally values short-term government and U.S. government agency securities using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers and reference data. Certain securities are valued by principally using dealer quotations. Short-term government and U.S. government agency securities generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.
Securities lending collateral: Securities lending collateral is invested in a money market fund which is valued at the actively traded NAV and no valuation adjustments are applied. Securities lending collateral is categorized in Level 1 of the fair value hierarchy.
Repurchase agreements: Repurchase agreements are valued at cost, which approximates fair value. To the extent the inputs are observable and timely, the values are generally categorized in Level 2 of the fair value hierarchy.
Restricted securities: Restricted securities for which quotations are not readily available are valued at fair value. Restricted securities issued by publicly traded companies are generally valued at a discount to similar publicly traded securities. Restricted securities issued by nonpublic entities may be valued by reference to comparable public entities and/or fundamental data relating to the issuer. Depending on the relative significance of observable valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy.
Derivative instruments: Centrally cleared or listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivative contracts include forward, swap, swaption, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. The majority of OTC derivative products valued by the Fund using pricing models fall into this category and are categorized within Level 2 of the fair value hierarchy or Level 3 if inputs are unobservable.
Transamerica Funds | Page 20 |