|
06/30/2020* |
Transamerica PIMCO Total Return VP
| Security Description | % of Total Net Assets |
|---|---|
| Uniform Mortgage-Backed Security, 3.00%, TBA | 7.53% |
| Uniform Mortgage-Backed Security, 2.50%, TBA | 5.45% |
| Uniform Mortgage-Backed Security, 2.00%, TBA | 3.56% |
| Government National Mortgage Association, 4.50%, TBA | 3.54% |
| U.S. Treasury Note, 2.12%, due 09/30/2024 | 3.27% |
| U.S. Treasury Note, 2.25%, due 08/15/2027 | 3.24% |
| Uniform Mortgage-Backed Security, 3.50%, TBA | 3.22% |
| U.S. Treasury Bond, 3.12%, due 08/15/2044 | 3.13% |
| U.S. Treasury Bond, 3.37%, due 05/15/2044 | 2.75% |
| Uniform Mortgage-Backed Security, 2.50%, TBA | 2.53% |
| U.S. Treasury Note, 1.87%, due 07/31/2022 | 1.55% |
| U.S. Treasury Bond, 3.00%, due 05/15/2045 | 1.34% |
| Uniform Mortgage-Backed Security, 3.50%, TBA | 1.31% |
| Hawksmoor Mortgages, Series 2019-1A, Class A, 1.28%, due 05/25/2053 | 1.30% |
| Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 1.39%, due 07/20/2045 | 1.23% |
| U.S. Treasury Note, 2.62%, due 02/15/2029 | 1.23% |
| Uniform Mortgage-Backed Security, 2.00%, TBA | 1.03% |
| U.S. Treasury Note, 1.75%, due 06/30/2024 | 0.96% |
| U.S. Treasury Bond, 2.87%, due 05/15/2043 | 0.83% |
| U.S. Treasury Note, 1.87%, due 08/31/2022 | 0.78% |
| U.S. Treasury Note, 2.25%, due 10/31/2024 | 0.72% |
| U.S. Treasury Bond, 2.87%, due 08/15/2045 | 0.71% |
| Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1, 1.67%, due 10/20/2051 | 0.70% |
| Bayer US Finance II LLC, 3.87%, due 12/15/2023 | 0.70% |
| Federal National Mortgage Association, 4.00%, due 08/01/2048 | 0.68% |
| Ford Motor Credit Co. LLC, Series MTN, 1.22%, due 09/24/2020 | 0.66% |
| Washington Prime Group, LP, 6.45%, due 08/15/2024 | 0.59% |
| Government National Mortgage Association, 5.00%, due 08/20/2049 | 0.59% |
| U.S. Treasury Bond, 2.75%, due 08/15/2042 | 0.57% |
| Goldman Sachs Group, Inc., 3.75%, due 05/22/2025 | 0.55% |
| Japan Finance Organization for Municipalities, 3.37%, due 09/27/2023 | 0.52% |
| NXP BV / NXP Funding LLC, 4.12%, due 06/01/2021 | 0.48% |
| Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE10, Class 21A3, 0.42%, due 12/25/2036 | 0.45% |
| Government National Mortgage Association, 1.08%, due 09/20/2066 | 0.45% |
| Japan Bank for International Cooperation, 2.87%, due 07/21/2027 | 0.44% |
| Federal National Mortgage Association, 4.50%, due 12/01/2047 | 0.44% |
| Qatar Government International Bond, 5.10%, due 04/23/2048 | 0.43% |
| Uniform Mortgage-Backed Security, 5.00%, TBA | 0.42% |
| Tyson Foods, Inc., 0.82%, due 08/21/2020 | 0.40% |
| Mizuho Financial Group, Inc., 3.92%, due 09/11/2024 | 0.40% |
| Japan Finance Organization for Municipalities, 2.62%, due 04/20/2022 | 0.40% |
| U.S. Treasury Bond, 3.75%, due 11/15/2043 | 0.40% |
| Qatar Government International Bond, 4.50%, due 04/23/2028 | 0.40% |
| Deutsche Bank AG, 3.70%, due 05/30/2024 | 0.39% |
| American Tower Corp., 3.37%, due 05/15/2024 | 0.39% |
| Hilton USA Trust, Series 2016-SFP, Class A, 2.82%, due 11/05/2035 | 0.39% |
| Santander PLC, 3.75%, due 11/15/2021 | 0.39% |
| Government National Mortgage Association, 0.90%, due 08/20/2065 | 0.39% |
| Cooperatieve Rabobank UA, 4.37%, due 08/04/2025 | 0.38% |
| Evergreen Credit Card Trust, Series 2019-2, Class A, 1.90%, due 09/15/2024 | 0.38% |
| Daimler Finance North America LLC, 3.40%, due 02/22/2022 | 0.38% |
| Deutsche Bank AG, 3.15%, due 01/22/2021 | 0.38% |
| Daimler Finance North America LLC, 2.55%, due 08/15/2022 | 0.38% |
| CIFC Funding, Ltd., Series 2015-5A, Class A1R, 1.85%, due 10/25/2027 | 0.37% |
| Banque Federative du Credit Mutuel SA, 2.09%, due 07/20/2023 | 0.37% |
| Countrywide Asset-Backed Certificates, Series 2006-24, Class 1A, 0.32%, due 06/25/2047 | 0.36% |
| Lloyds Bank PLC, Series MTN, 7.50%, due 04/02/2032 | 0.36% |
| Tralee CLO, Ltd., Series 2018-5A, Class A1, 2.24%, due 10/20/2028 | 0.36% |
| Government National Mortgage Association, 0.90%, due 07/20/2065 | 0.35% |
| Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB, 2.84%, due 10/10/2049 | 0.35% |
| Government National Mortgage Association, 3.00%, TBA | 0.34% |
| UniCredit SpA, 6.57%, due 01/14/2022 | 0.34% |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.30%, due 01/23/2023 | 0.34% |
| Duke Energy Corp., 3.05%, due 08/15/2022 | 0.34% |
| CenterPoint Energy Resources Corp., 3.55%, due 04/01/2023 | 0.34% |
| VMware, Inc., 2.95%, due 08/21/2022 | 0.34% |
| PayPal Holdings, Inc., 2.85%, due 10/01/2029 | 0.34% |
| Marriott International, Inc., 4.15%, due 12/01/2023 | 0.33% |
| DBGS Mortgage Trust, Series 2019-1735, Class A, 3.84%, due 04/10/2037 | 0.33% |
| Banco Santander SA, 3.84%, due 04/12/2023 | 0.33% |
| Credit Suisse Group AG, 4.20%, due 06/12/2024 | 0.33% |
| Boston Properties, LP, 3.40%, due 06/21/2029 | 0.33% |
| AIB Group PLC, 4.75%, due 10/12/2023 | 0.33% |
| Dell International LLC / EMC Corp., 5.45%, due 06/15/2023 | 0.33% |
| Israel Government International Bond, 2.75%, due 07/03/2030 | 0.32% |
| Synchrony Bank, 3.65%, due 05/24/2021 | 0.32% |
| General Motors Financial Co., Inc., 3.20%, due 07/13/2020 | 0.32% |
| Deutsche Bank AG, 2.70%, due 07/13/2020 | 0.32% |
| Societe Generale SA, 4.25%, due 09/14/2023 | 0.32% |
| NextEra Energy Capital Holdings, Inc., 3.20%, due 02/25/2022 | 0.32% |
| Simon Property Group, LP, 2.00%, due 09/13/2024 | 0.32% |
| AbbVie, Inc., 2.95%, due 11/21/2026 | 0.32% |
| Government National Mortgage Association, 1.07%, due 10/20/2066 | 0.32% |
| JPMorgan Chase & Co., 3.90%, due 07/15/2025 | 0.32% |
| Standard Chartered PLC, 4.24%, due 01/20/2023 | 0.32% |
| Ashford Hospitality Trust, Series 2018-AHT1, Class A, 1.18%, due 06/15/2035 | 0.32% |
| Volkswagen Group of America Finance LLC, 3.35%, due 05/13/2025 | 0.32% |
| Daimler Finance North America LLC, 3.35%, due 05/04/2021 | 0.32% |
| NextEra Energy Capital Holdings, Inc., 1.95%, due 09/01/2022 | 0.32% |
| BMW Finance NV, 2.25%, due 08/12/2022 | 0.32% |
| RASC Trust, Series 2005-KS11, Class M2, 0.60%, due 12/25/2035 | 0.32% |
| Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, 2.11%, due 10/15/2027 | 0.31% |
| OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A, 3.43%, due 12/16/2024 | 0.31% |
| AT&T, Inc., 2.75%, due 06/01/2031 | 0.31% |
| Anheuser-Busch InBev Worldwide, Inc., 4.50%, due 06/01/2050 | 0.31% |
| Capital One Financial Corp., 4.25%, due 04/30/2025 | 0.31% |
| AT&T, Inc., 1.49%, due 06/12/2024 | 0.31% |
| Volkswagen Group of America Finance LLC, 1.20%, due 11/13/2020 | 0.31% |
| Barings Euro CLO, Series 2016-1A, Class A1R, 0.68%, due 07/27/2030 | 0.31% |
| Jackson National Life Global Funding, 2.37%, due 09/15/2022 | 0.31% |
| Tennessee Gas Pipeline Co. LLC, 2.90%, due 03/01/2030 | 0.31% |
| Boston Gas Co., 3.00%, due 08/01/2029 | 0.31% |
| Credit Suisse Group AG, 1.55%, due 06/12/2024 | 0.31% |
| Venture XVI CLO, Ltd., Series 2014-16A, Class ARR, 2.06%, due 01/15/2028 | 0.30% |
| Gallatin CLO IX, Ltd., Series 2018-1A, Class A, 2.15%, due 01/21/2028 | 0.30% |
| Barclays PLC, 7.75%, due 09/15/2023 | 0.30% |
| Westinghouse Air Brake Technologies Corp., 1.61%, due 09/15/2021 | 0.30% |
| Welltower, Inc., 4.25%, due 04/15/2028 | 0.30% |
| General Motors Financial Co., Inc., 4.20%, due 11/06/2021 | 0.30% |
| LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, 1.31%, due 05/15/2028 | 0.30% |
| Federal National Mortgage Association, 4.00%, due 11/01/2048 | 0.30% |
| Ford Motor Credit Co. LLC, 5.75%, due 02/01/2021 | 0.30% |
| UniCredit SpA, 7.83%, due 12/04/2023 | 0.30% |
| NatWest Markets PLC, Series MTN, 0.62%, due 03/02/2022 | 0.30% |
| Deutsche Bank AG, 3.37%, due 05/12/2021 | 0.30% |
| Ford Motor Credit Co. LLC, 3.20%, due 01/15/2021 | 0.29% |
| TICP CLO I, Ltd., Series 2015-1A, Class AR, 1.93%, due 07/20/2027 | 0.29% |
| Government National Mortgage Association, 5.00%, due 08/20/2048 | 0.29% |
| Government National Mortgage Association, 4.00%, due 06/20/2047 | 0.29% |
| Shell International Finance BV, 2.75%, due 04/06/2030 | 0.29% |
| Walt Disney Co., 3.60%, due 01/13/2051 | 0.29% |
| AvalonBay Communities, Inc., Series MTN, 3.45%, due 06/01/2025 | 0.28% |
| RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2B, 0.46%, due 06/12/2044 | 0.28% |
| GLP Capital, LP / GLP Financing II, Inc., 4.00%, due 01/15/2030 | 0.28% |
| Nissan Motor Acceptance Corp., Series MTN, 2.60%, due 09/28/2022 | 0.28% |
| GS Mortgage Securities Corp. Trust, Series 2016-RENT, Class A, 3.20%, due 02/10/2029 | 0.28% |
| Barclays Bank PLC, 10.17%, due 06/12/2021 | 0.27% |
| Broadcom, Inc., 3.45%, due 09/15/2026 | 0.27% |
| Service Properties Trust, 4.35%, due 10/01/2024 | 0.27% |
| Structured Asset Investment Loan Trust, Series 2005-9, Class M1, 0.60%, due 11/25/2035 | 0.27% |
| U.S. Treasury Note, 1.75%, due 09/30/2022 | 0.27% |
| HCA, Inc., 5.37%, due 09/01/2026 | 0.27% |
| Delta Air Lines Pass-Through Trust, 6.82%, due 02/10/2024 | 0.26% |
| Springleaf Finance Corp., 6.87%, due 03/15/2025 | 0.26% |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class ASB, 3.06%, due 02/15/2048 | 0.26% |
| Broadcom, Inc., 4.11%, due 09/15/2028 | 0.26% |
| KVK CLO, Ltd., Series 2013-1A, Class AR, 2.21%, due 01/14/2028 | 0.26% |
| Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, due 03/01/2025 | 0.26% |
| Chevron Corp., 2.23%, due 05/11/2030 | 0.26% |
| Wells Fargo & Co., Series MTN, 2.62%, due 07/22/2022 | 0.26% |
| Federal National Mortgage Association, 4.00%, due 02/01/2048 | 0.26% |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB, 3.55%, due 12/15/2047 | 0.26% |
| Allstate Corp., 0.93%, due 03/29/2023 | 0.26% |
| Reckitt Benckiser Treasury Services PLC, 2.37%, due 06/24/2022 | 0.26% |
| Lloyds Banking Group PLC, 2.85%, due 03/17/2023 | 0.26% |
| UBS Group AG, 4.25%, due 03/23/2028 | 0.26% |
| Lloyds Banking Group PLC, 4.05%, due 08/16/2023 | 0.25% |
| Wells Fargo Bank NA, 3.55%, due 08/14/2023 | 0.25% |
| Deutsche Bank AG, 5.00%, due 02/14/2022 | 0.25% |
| Mitsubishi UFJ Financial Group, Inc., 3.40%, due 03/07/2024 | 0.25% |
| Federal National Mortgage Association, 4.00%, due 09/01/2048 | 0.25% |
| Option One Mortgage Loan Trust, Series 2007-5, Class 1A1, 0.40%, due 05/25/2037 | 0.25% |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC1, Class A1, 0.34%, due 12/25/2036 | 0.25% |
| Unibail-Rodamco-Westfield SE, Series MTN, 1.00%, due 03/14/2025 | 0.25% |
| TICP CLO III, Ltd., Series 2018-3R, Class A, 1.97%, due 04/20/2028 | 0.25% |
| Royal Bank of Scotland Group PLC, 4.51%, due 06/25/2024 | 0.25% |
| Canadian Imperial Bank of Commerce, 0.95%, due 06/23/2023 | 0.25% |
| Level 3 Financing, Inc., 3.40%, due 03/01/2027 | 0.25% |
| American Tower Corp., 2.40%, due 03/15/2025 | 0.25% |
| Credit Suisse Group Funding Guernsey, Ltd., 3.42%, due 04/16/2021 | 0.25% |
| Volkswagen Group of America Finance LLC, 1.15%, due 09/24/2021 | 0.25% |
| Government National Mortgage Association, 0.92%, due 09/20/2065 | 0.24% |
| Government National Mortgage Association, 1.10%, due 06/20/2066 | 0.24% |
| Barclays PLC, 2.55%, due 08/10/2021 | 0.24% |
| Jersey Central Power & Light Co., 4.70%, due 04/01/2024 | 0.24% |
| NextEra Energy Capital Holdings, Inc., Series MTN, 2.20%, due 12/02/2026 | 0.24% |
| Syngenta Finance NV, 4.44%, due 04/24/2023 | 0.24% |
| Mitsubishi UFJ Financial Group, Inc., 3.45%, due 03/02/2023 | 0.24% |
| Uniform Mortgage-Backed Security, 2.00%, TBA | 0.24% |
| Barclays PLC, 2.93%, due 01/10/2023 | 0.24% |
| Royal Bank of Scotland Group PLC, 3.49%, due 05/15/2023 | 0.24% |
| Ambac LSNI LLC, 6.00%, due 02/12/2023 | 0.24% |
| Alternative Loan Trust, Series 2005-76, Class 1A2, 3.50%, due 01/25/2036 | 0.24% |
| Venture XII CLO, Ltd., Series 2012-12A, Class ARR, 1.17%, due 02/28/2026 | 0.23% |
| Monarch Grove CLO Trust, Series 2018-1A, Class A1, 1.87%, due 01/25/2028 | 0.23% |
| Government National Mortgage Association, 0.90%, due 09/20/2065 | 0.23% |
| U.S. Treasury Bond, 4.50%, due 08/15/2039 | 0.23% |
| JT International Financial Services BV, Series MTN, 3.50%, due 09/28/2023 | 0.22% |
| BCAP LLC Trust, Series 2009-RR3, Class 2A2, 3.39%, due 05/26/2037 | 0.22% |
| Aviation Capital Group LLC, 4.12%, due 08/01/2025 | 0.22% |
| Government National Mortgage Association, 2.91%, due 09/20/2067 | 0.22% |
| Federal National Mortgage Association, 3.50%, due 04/01/2045 | 0.22% |
| Imperial Brands Finance PLC, 3.50%, due 07/26/2026 | 0.22% |
| Sasol Financing USA LLC, 5.87%, due 03/27/2024 | 0.22% |
| Microchip Technology, Inc., 3.92%, due 06/01/2021 | 0.22% |
| Alexandria Real Estate Equities, Inc., 4.30%, due 01/15/2026 | 0.21% |
| Government National Mortgage Association, 5.00%, due 04/20/2049 | 0.21% |
| Government National Mortgage Association, 0.90%, due 08/20/2065 | 0.21% |
| Chesapeake Funding II LLC, Series 2018-2A, Class A1, 3.23%, due 08/15/2030 | 0.21% |
| IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A, 0.35%, due 01/25/2037 | 0.21% |
| Deutsche Bank AG, 3.30%, due 11/16/2022 | 0.21% |
| GS Mortgage Securities Trust, Series 2016-GS3, Class AAB, 2.77%, due 10/10/2049 | 0.21% |
| Federal National Mortgage Association, 4.00%, due 09/01/2048 | 0.21% |
| Crown Castle International Corp., 5.25%, due 01/15/2023 | 0.20% |
| BBCMS Trust, Series 2015-STP, Class A, 3.32%, due 09/10/2028 | 0.20% |
| Government National Mortgage Association, 0.90%, due 04/20/2065 | 0.20% |
| Bayer US Finance II LLC, 4.25%, due 12/15/2025 | 0.20% |
| Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates, Series 2004-OPT1, Class M3, 1.12%, due 10/25/2034 | 0.20% |
| AbbVie, Inc., 3.37%, due 11/14/2021 | 0.20% |
| Citigroup, Inc., 1.78%, due 09/01/2023 | 0.20% |
| Pacific Gas & Electric Co., 1.75%, due 06/16/2022 | 0.20% |
| Teva Pharmaceutical Finance II BV, 3.25%, due 04/15/2022 | 0.20% |
| Government National Mortgage Association, 4.00%, TBA | 0.19% |
| Government National Mortgage Association, 0.88%, due 06/20/2065 | 0.19% |
| Deutsche Bank AG, 4.25%, due 10/14/2021 | 0.19% |
| Federal Home Loan Mortgage Corp. REMIC, 0.58%, due 06/15/2041 | 0.19% |
| Mitsubishi UFJ Lease & Finance Co., Ltd., Series MTN, 2.25%, due 09/07/2021 | 0.19% |
| Edison International, 3.55%, due 11/15/2024 | 0.19% |
| Swap Agreement, Receive, 3-Month USD-LIBOR | 0.19% |
| General Motors Financial Co., Inc., 2.16%, due 04/09/2021 | 0.19% |
| Uniform Mortgage-Backed Security, 2.50%, TBA | 0.19% |
| BBVA USA, 2.50%, due 08/27/2024 | 0.19% |
| Charter Communications Operating LLC / Charter Communications Operating Capital, 4.46%, due 07/23/2022 | 0.19% |
| Octagon Investment Partners XXIII, Ltd., Series 2015-1A, Class A1R, 2.06%, due 07/15/2027 | 0.19% |
| Countrywide Asset-Backed Certificates, Series 2007-2, Class 2A3, 0.32%, due 08/25/2037 | 0.19% |
| Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/2026 | 0.19% |
| Aurium CLO II DAC, Series 2A, Class AR, 0.68%, due 10/13/2029 | 0.18% |
| Government National Mortgage Association, 4.50%, due 06/20/2048 | 0.18% |
| Wyndham Hotels & Resorts, Inc., Term Loan B, 1.92%, due 05/30/2025 | 0.18% |
| Government National Mortgage Association, 0.90%, due 07/20/2065 | 0.18% |
| Royal Bank of Scotland Group PLC, 8.62%, due 08/15/2021 | 0.18% |
| SLM Student Loan Trust, Series 2003-11, Class A6, 0.86%, due 12/15/2025 | 0.18% |
| OCP CLO, Ltd., Series 2015-9A, Class A1R, 2.01%, due 07/15/2027 | 0.18% |
| T-Mobile USA, Inc., 2.55%, due 02/15/2031 | 0.18% |
| Venture XX CLO, Ltd., Series 2015-20A, Class AR, 2.03%, due 04/15/2027 | 0.18% |
| Government National Mortgage Association, 0.90%, due 10/20/2065 | 0.18% |
| Keurig Dr. Pepper, Inc., 4.05%, due 05/25/2023 | 0.18% |
| Latam Airlines Pass-Through Trust, 4.20%, due 08/15/2029 | 0.17% |
| Credit Suisse Group Funding Guernsey, Ltd., 3.45%, due 04/16/2021 | 0.17% |
| Federal National Mortgage Association, 4.00%, due 12/01/2048 | 0.17% |
| Option One Mortgage Loan Trust, Series 2007-2, Class 1A1, 0.32%, due 03/25/2037 | 0.17% |
| Barclays PLC, 7.87%, due 09/15/2022 | 0.17% |
| Aviation Capital Group LLC, 3.87%, due 05/01/2023 | 0.17% |
| Cooperatieve Rabobank UA, 6.62%, due 06/29/2021 | 0.17% |
| BAT Capital Corp., 3.55%, due 08/15/2027 | 0.17% |
| Florida Power & Light Co., 3.70%, due 12/01/2047 | 0.17% |
| Federal Home Loan Mortgage Corp., 4.00%, due 01/01/2049 | 0.16% |
| Spirit AeroSystems, Inc., 3.95%, due 06/15/2023 | 0.16% |
| New York State Urban Development Corp., 1.77%, due 03/15/2028 | 0.16% |
| Charter Communications Operating LLC / Charter Communications Operating Capital, 2.33%, due 02/01/2024 | 0.16% |
| FirstEnergy Corp., 3.90%, due 07/15/2027 | 0.16% |
| Government National Mortgage Association, 4.00%, due 03/20/2048 | 0.16% |
| Takeda Pharmaceutical Co., Ltd., 2.05%, due 03/31/2030 | 0.16% |
| CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 1.53%, due 10/25/2037 | 0.16% |
| Goldman Sachs Group, Inc., 1.10%, due 02/23/2023 | 0.16% |
| NTT Finance Corp., Series MTN, 1.90%, due 07/21/2021 | 0.16% |
| Benefit Street Partners CLO VII, Ltd., Series 2015-VIIA, Class A1AR, 1.91%, due 07/18/2027 | 0.16% |
| Barclays Bank PLC, 7.62%, due 11/21/2022 | 0.16% |
| JetBlue Pass-Through Trust, 2.75%, due 11/15/2033 | 0.16% |
| Government National Mortgage Association, 1.05%, due 08/20/2067 | 0.15% |
| Federal National Mortgage Association, 3.00%, due 08/01/2049 | 0.15% |
| Countrywide Asset-Backed Certificates, Series 2006-20, Class 1A, 0.32%, due 04/25/2047 | 0.15% |
| Lloyds Banking Group PLC, 7.62%, due 06/27/2023 | 0.15% |
| Alternative Loan Trust, Series 2005-80CB, Class 1A1, 6.00%, due 02/25/2036 | 0.14% |
| U.S. Treasury Bond, 4.25%, due 05/15/2039 | 0.14% |
| Metropolitan Water District of Southern California, Series A, 6.94%, due 07/01/2040 | 0.14% |
| Campbell Soup Co., 3.30%, due 03/15/2021 | 0.14% |
| AbbVie, Inc., 3.75%, due 11/14/2023 | 0.13% |
| Teva Pharmaceutical Finance II BV, 1.25%, due 03/31/2023 | 0.13% |
| Home Equity Asset Trust, Series 2004-4, Class M1, 0.96%, due 10/25/2034 | 0.13% |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-FS1, Class 1A1, 4.44%, due 10/25/2037 | 0.13% |
| Federal Home Loan Mortgage Corp., 3.50%, due 08/01/2049 | 0.13% |
| Master Asset-Backed Securities Trust, Series 2007-HE2, Class A1, 1.33%, due 08/25/2037 | 0.13% |
| Federal National Mortgage Association, 4.00%, due 10/01/2048 | 0.13% |
| Federal National Mortgage Association REMIC, 0.82%, due 09/25/2046 | 0.13% |
| Voya CLO, Ltd., Series 2014-3A, Class A1R, 1.71%, due 07/25/2026 | 0.12% |
| Federal Home Loan Mortgage Corp., 4.00%, due 04/01/2048 | 0.12% |
| Adams Mill CLO, Ltd., Series 2014-1A, Class A1R, 2.31%, due 07/15/2026 | 0.12% |
| Volkswagen Bank GmbH, Series MTN, 1.87%, due 01/31/2024 | 0.12% |
| GSR Mortgage Loan Trust, Series 2005-8F, Class 2A6, 5.50%, due 11/25/2035 | 0.12% |
| Government National Mortgage Association, 1.25%, due 12/20/2066 | 0.12% |
| Brandywine Operating Partnership, LP, 3.95%, due 11/15/2027 | 0.12% |
| UBS Group AG, 4.12%, due 09/24/2025 | 0.11% |
| Alternative Loan Trust, Series 2005-J12, Class 2A1, 0.72%, due 08/25/2035 | 0.11% |
| Time Warner Cable LLC, 4.00%, due 09/01/2021 | 0.11% |
| American International Group, Inc., 3.75%, due 07/10/2025 | 0.11% |
| Molson Coors Beverage Co., 2.10%, due 07/15/2021 | 0.11% |
| Aircastle, Ltd., 5.12%, due 03/15/2021 | 0.11% |
| Choice Hotels International, Inc., 3.70%, due 12/01/2029 | 0.11% |
| CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-9, Class MV4, 1.75%, due 11/25/2034 | 0.11% |
| IndyMac INDX Mortgage Loan Trust, Series 2006-R1, Class A3, 3.31%, due 12/25/2035 | 0.11% |
| GSAMP Trust, Series 2005-HE1, Class M2, 1.50%, due 12/25/2034 | 0.11% |
| Cent CLO 19, Ltd., Series 2013-19A, Class A1A, 2.17%, due 10/29/2025 | 0.11% |
| Reperforming Loan REMIC Trust, Series 2006-R1, Class AF1, 0.52%, due 01/25/2036 | 0.11% |
| Federal National Mortgage Association, 4.00%, due 03/01/2049 | 0.11% |
| Federal National Mortgage Association, 3.78%, due 01/01/2036 | 0.10% |
| Federal Realty Investment Trust, 3.50%, due 06/01/2030 | 0.10% |
| AT&T, Inc., 3.40%, due 06/15/2022 | 0.10% |
| State of Illinois, 6.63%, due 02/01/2035 | 0.10% |
| Pacific Gas & Electric Co., 3.40%, due 08/15/2024 | 0.10% |
| Federal National Mortgage Association, 3.50%, due 05/01/2049 | 0.10% |
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W4, Class A2D, 0.56%, due 02/25/2036 | 0.10% |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-8, Class 1A2, 3.75%, due 09/25/2036 | 0.10% |
| Tayarra, Ltd., 3.62%, due 02/15/2022 | 0.10% |
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M3, 0.94%, due 07/25/2035 | 0.09% |
| Bayer US Finance II LLC, 3.50%, due 06/25/2021 | 0.09% |
| CBL & Associates, LP, 5.95%, due 12/15/2026 | 0.09% |
| General Motors Financial Co., Inc., Series MTN, 0.15%, due 03/26/2022 | 0.09% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 3A3, 3.64%, due 02/25/2037 | 0.09% |
| Countrywide Asset-Backed Certificates, Series 2006-24, Class 2A3, 0.33%, due 06/25/2047 | 0.09% |
| Wells Fargo & Co., 1.99%, due 10/31/2023 | 0.09% |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.09% |
| Pacific Gas & Electric Co., 4.25%, due 08/01/2023 | 0.09% |
| WaMu Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3, 0.43%, due 04/25/2037 | 0.09% |
| Enel Finance International NV, 4.25%, due 09/14/2023 | 0.09% |
| Eurosail PLC, Series 2007-3X, Class A3C, 1.14%, due 06/13/2045 | 0.08% |
| Banc of America Funding Trust, Series 2005-D, Class A1, 4.01%, due 05/25/2035 | 0.08% |
| Digital Realty Trust, LP, 3.70%, due 08/15/2027 | 0.08% |
| Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A2, 5.50%, due 04/25/2035 | 0.08% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY4, Class 2A2, 3.17%, due 04/25/2037 | 0.08% |
| Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 1.15%, due 06/25/2034 | 0.08% |
| U.S. Treasury Bond, 4.62%, due 02/15/2040 | 0.08% |
| BP Capital Markets America, Inc., 3.79%, due 02/06/2024 | 0.08% |
| Alternative Loan Trust, Series 2006-OA12, Class A1B, 0.38%, due 09/20/2046 | 0.08% |
| American Home Mortgage Assets Trust, Series 2007-1, Class A1, 2.20%, due 02/25/2047 | 0.08% |
| Business Mortgage Finance 7 PLC, Series 7X, Class A1, 2.29%, due 02/15/2041 | 0.08% |
| U.S. Treasury Bond, 2.75%, due 11/15/2042 | 0.08% |
| GS Mortgage Securities Trust, Series 2016-GS3, Class WMA, 3.72%, due 10/10/2049 | 0.08% |
| Halcyon Loan Advisors Funding, Ltd., Series 2014-3A, Class AR, 2.19%, due 10/22/2025 | 0.08% |
| Bear Stearns Alt-A Trust, Series 2006-6, Class 31A1, 3.83%, due 11/25/2036 | 0.07% |
| RALI Trust, Series 2007-QO2, Class A1, 0.33%, due 02/25/2047 | 0.07% |
| Evergy, Inc., 2.45%, due 09/15/2024 | 0.07% |
| CVS Health Corp., 3.50%, due 07/20/2022 | 0.07% |
| U.S. Treasury Bond, 4.37%, due 05/15/2040 | 0.07% |
| Residential Asset Securitization Trust, Series 2007-A2, Class 2A2, 6.50%, due 04/25/2037 | 0.07% |
| Continental Airlines Pass-Through Trust, 4.15%, due 10/11/2025 | 0.07% |
| Wachovia Mortgage Loan Trust, Series 2005-WMC1, Class M2, 0.87%, due 10/25/2035 | 0.07% |
| Federal Home Loan Mortgage Corp., 4.00%, due 10/01/2048 | 0.07% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 0.47%, due 10/25/2045 | 0.07% |
| Alternative Loan Trust, Series 2006-OA21, Class A1, 0.38%, due 03/20/2047 | 0.07% |
| Alexandria Real Estate Equities, Inc., 3.37%, due 08/15/2031 | 0.07% |
| Federal Home Loan Mortgage Corp., 4.00%, due 09/01/2048 | 0.07% |
| Bear Stearns Alt-A Trust, Series 2005-8, Class 21A1, 3.71%, due 10/25/2035 | 0.06% |
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C, 0.43%, due 03/25/2037 | 0.06% |
| Kuwait International Government Bond, 2.75%, due 03/20/2022 | 0.06% |
| Hudson Pacific Properties, LP, 4.65%, due 04/01/2029 | 0.06% |
| Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, 3.36%, due 03/20/2023 | 0.06% |
| AbbVie, Inc., 5.00%, due 12/15/2021 | 0.06% |
| U.S. Treasury Bond, 4.37%, due 11/15/2039 | 0.06% |
| Emera US Finance, LP, 2.70%, due 06/15/2021 | 0.06% |
| MPT Operating Partnership, LP / MPT Finance Corp., 2.55%, due 12/05/2023 | 0.06% |
| RALI Trust, Series 2005-QA13, Class 2A1, 4.46%, due 12/25/2035 | 0.06% |
| Mountain Hawk III CLO, Ltd., Series 2014-3A, Class AR, 2.33%, due 04/18/2025 | 0.06% |
| Federal National Mortgage Association, 5.00%, due 08/01/2026 | 0.05% |
| JPMorgan Chase & Co., 3.55%, due 04/23/2024 | 0.05% |
| Expedia Group, Inc., 3.80%, due 02/15/2028 | 0.05% |
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2, 1.11%, due 11/25/2034 | 0.05% |
| Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-A, Class 1A, 0.40%, due 04/25/2037 | 0.05% |
| ING Groep NV, 4.62%, due 01/06/2026 | 0.05% |
| Federal Home Loan Mortgage Corp., 4.00%, due 08/01/2048 | 0.05% |
| RASC Trust, Series 2006-EMX1, Class M1, 0.59%, due 01/25/2036 | 0.04% |
| Government National Mortgage Association, 4.00%, due 04/20/2048 | 0.04% |
| Government National Mortgage Association, 4.00%, due 01/20/2045 | 0.04% |
| Sofi Professional Loan Program Trust, Series 2018-B, Class A1FX, 2.64%, due 08/25/2047 | 0.04% |
| RASC Trust, Series 2006-KS9, Class AI3, 0.34%, due 11/25/2036 | 0.04% |
| Ford Motor Credit Co. LLC, Series MTN, 0.08%, due 12/01/2021 | 0.04% |
| Sabra Health Care, LP, 3.90%, due 10/15/2029 | 0.04% |
| Alternative Loan Trust, Series 2007-HY4, Class 1A1, 2.93%, due 06/25/2037 | 0.04% |
| Federal National Mortgage Association, 4.00%, due 10/01/2047 | 0.04% |
| Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.39%, due 02/25/2042 | 0.04% |
| Federal Home Loan Mortgage Corp., 4.00%, due 12/01/2047 | 0.03% |
| Soundview Home Loan Trust, Series 2006-OPT2, Class A3, 0.36%, due 05/25/2036 | 0.03% |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1, 3.98%, due 09/25/2035 | 0.03% |
| Kentucky State Property & Building Commission, Series C, 4.40%, due 11/01/2020 | 0.03% |
| Morgan Stanley Mortgage Loan Trust, Series 2007-14AR, Class 1A3, 4.04%, due 10/25/2037 | 0.03% |
| CSMC Trust, Series 2008-3R, Class 1A2, 3.71%, due 07/26/2037 | 0.03% |
| Bear Stearns Asset-Backed Securities I Trust, Series 2005-AQ1, Class M2, 0.83%, due 03/25/2035 | 0.03% |
| Government National Mortgage Association, 4.00%, due 10/20/2044 | 0.03% |
| Odebrecht Offshore Drilling Finance, Ltd., 6.72%, due 12/01/2022 | 0.03% |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 2.70%, due 10/25/2044 | 0.02% |
| Futures Contracts, Long, 5-Year U.S. Treasury Note | 0.02% |
| Alternative Loan Trust, Series 2007-9T1, Class 1A10, 6.00%, due 05/25/2037 | 0.02% |
| U.S. Small Business Administration, Series 2008-20L, Class 1, 6.22%, due 12/01/2028 | 0.02% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A, 4.35%, due 09/25/2033 | 0.02% |
| U.S. Treasury Bill, 0.12%, due 08/06/2020 | 0.02% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 1A1, 3.70%, due 09/25/2036 | 0.02% |
| B&M CLO, Ltd., Series 2014-1A, Class A1R, 1.90%, due 04/16/2026 | 0.02% |
| CVS Health Corp., 4.00%, due 12/05/2023 | 0.02% |
| Bear Stearns Alt-A Trust, Series 2006-R1, Class 2E21, 3.49%, due 08/25/2036 | 0.02% |
| Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1, 0.29%, due 02/25/2037 | 0.02% |
| Federal National Mortgage Association, 5.00%, due 09/01/2024 | 0.02% |
| Federal National Mortgage Association, 4.00%, due 11/01/2048 | 0.02% |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Interest Only STRIPS, 1.35%, due 08/25/2022 | 0.02% |
| Federal National Mortgage Association, 5.00%, due 09/01/2026 | 0.02% |
| Sequoia Mortgage Trust, Series 2004-12, Class A1, 0.73%, due 01/20/2035 | 0.02% |
| Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE3, Class 1A2, 0.38%, due 04/25/2037 | 0.02% |
| Odebrecht Offshore Drilling Finance, Ltd., 7.72%, due 12/01/2026 | 0.02% |
| NACC Reperforming Loan REMIC Trust, Series 2004-R1, Class A1, 6.50%, due 03/25/2034 | 0.02% |
| Pacific Gas & Electric Co., 3.30%, due 12/01/2027 | 0.01% |
| Federal National Mortgage Association, 5.00%, due 09/01/2026 | 0.01% |
| AbbVie, Inc., 3.45%, due 03/15/2022 | 0.01% |
| Government National Mortgage Association, 0.67%, due 10/20/2066 | 0.01% |
| Bear Stearns Alt-A Trust, Series 2006-6, Class 32A1, 3.71%, due 11/25/2036 | 0.01% |
| Federal Home Loan Mortgage Corp., 3.50%, due 03/01/2048 | 0.01% |
| Banco Espirito Santo SA, Series MTN, 2.62%, due 05/08/2017 | 0.01% |
| RFMSI Trust, Series 2005-SA4, Class 1A21, 4.22%, due 09/25/2035 | 0.01% |
| Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A, 2.98%, due 01/18/2022 | 0.01% |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 2.90%, due 07/25/2044 | 0.01% |
| Federal National Mortgage Association, 4.11%, due 09/01/2035 | 0.01% |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2C, 0.35%, due 05/25/2037 | 0.01% |
| Alternative Loan Trust, Series 2005-56, Class 5A2, 0.95%, due 11/25/2035 | 0.01% |
| Reperforming Loan REMIC Trust, Series 2003-R4, Class 2A, 4.94%, due 01/25/2034 | 0.01% |
| Futures Contracts, Long, 10-Year U.S. Treasury Note | 0.01% |
| Reperforming Loan REMIC Trust, Series 2005-R2, Class 1AF1, 0.52%, due 06/25/2035 | 0.01% |
| Bear Stearns Alt-A Trust, Series 2006-8, Class 3A1, 0.34%, due 02/25/2034 | 0.01% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1, 3.50%, due 02/25/2037 | 0.01% |
| Sprint Corp., 7.12%, due 06/15/2024 | 0.01% |
| Federal National Mortgage Association, 3.25%, due 08/01/2035 | 0.01% |
| U.S. Treasury Note, 2.00%, due 10/31/2022 | 0.01% |
| HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1A, 0.39%, due 09/19/2046 | 0.01% |
| Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE6, Class M2, 1.18%, due 06/25/2035 | 0.01% |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.01% |
| Bear Stearns ARM Trust, Series 2003-5, Class 2A1, 3.83%, due 08/25/2033 | 0.01% |
| Government National Mortgage Association, 5.00%, due 10/20/2049 | 0.01% |
| GSR Mortgage Loan Trust, Series 2004-12, Class 1A1, 0.52%, due 12/25/2034 | 0.01% |
| Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1, 3.63%, due 01/26/2036 | 0.01% |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 1A1, 3.68%, due 02/25/2035 | 0.01% |
| U.S. Small Business Administration, Series 2004-20C, Class 1, 4.34%, due 03/01/2024 | 0.01% |
| Banc of America Funding Trust, Series 2006-D, Class 5A1, 3.58%, due 05/20/2036 | 0.01% |
| Federal Home Loan Mortgage Corp., 4.18%, due 09/01/2035 | 0.01% |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 2A1, 3.56%, due 06/25/2033 | 0.01% |
| Banco Espirito Santo SA, Series MTN, 4.00%, due 01/21/2019 | 0.01% |
| Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1, 4.25%, due 12/26/2046 | 0.01% |
| RALI Trust, Series 2005-QO3, Class A1, 0.98%, due 10/25/2045 | 0.01% |
| Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M1, 0.57%, due 03/25/2036 | 0.01% |
| Federal National Mortgage Association, 4.00%, due 12/01/2040 | 0.01% |
| Government National Mortgage Association, 1.00%, due 10/20/2065 | 0.01% |
| Federal National Mortgage Association, 4.00%, due 12/01/2040 | 0.01% |
| Reperforming Loan REMIC Trust, Series 2004-R1, Class 2A, 6.50%, due 11/25/2034 | 0.01% |
| Alternative Loan Trust, Series 2005-14, Class 2A1, 0.39%, due 05/25/2035 | 0.01% |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A, 0.46%, due 02/25/2036 | 0.01% |
| Service Properties Trust, 4.25%, due 02/15/2021 | 0.01% |
| HCA, Inc., 5.87%, due 02/01/2029 | 0.01% |
| Swap Agreement, Receive, Tesco PLC, 6.00%, 12/14/2029 | 0.00%** |
| Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A1, 3.84%, due 09/25/2035 | 0.00%** |
| Futures Contracts, Short, OTC Put Options Exercise Price EUR 171.5 on German Euro Bund Futures | 0.00%** |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 2A, 2.48%, due 07/25/2046 | 0.00%** |
| Adjustable Rate Mortgage Trust, Series 2005-10, Class 1A21, 3.81%, due 01/25/2036 | 0.00%** |
| Bear Stearns ARM Trust, Series 2006-4, Class 1A1, 4.17%, due 10/25/2036 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 07/01/2024 | 0.00%** |
| Soundview Home Loan Trust, Series 2005-3, Class M3, 1.00%, due 06/25/2035 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 09/01/2026 | 0.00%** |
| GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, 4.06%, due 09/25/2035 | 0.00%** |
| Bear Stearns Asset-Backed Securities Trust, Series 2006-SD3, Class 21A1, 4.12%, due 07/25/2036 | 0.00%** |
| Federal Home Loan Mortgage Corp., 5.00%, due 07/01/2025 | 0.00%** |
| Federal National Mortgage Association, 2.89%, due 06/01/2043 | 0.00%** |
| Adjustable Rate Mortgage Trust, Series 2005-5, Class 2A1, 3.86%, due 09/25/2035 | 0.00%** |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR1, Class 2A1, 2.86%, due 08/25/2035 | 0.00%** |
| Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2, 2.29%, due 09/25/2035 | 0.00%** |
| CHL Mortgage Pass-Through Trust, Series 2005-HY10, Class 5A1, 3.45%, due 02/20/2036 | 0.00%** |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.44%, due 07/19/2035 | 0.00%** |
| Bear Stearns ARM Trust, Series 2003-8, Class 4A1, 4.17%, due 01/25/2034 | 0.00%** |
| ABFC Trust, Series 2004-OPT4, Class A1, 0.80%, due 04/25/2034 | 0.00%** |
| Bear Stearns ARM Trust, Series 2004-10, Class 22A1, 4.37%, due 01/25/2035 | 0.00%** |
| Adjustable Rate Mortgage Trust, Series 2005-4, Class 1A1, 2.57%, due 08/25/2035 | 0.00%** |
| Federal National Mortgage Association, 5.50%, due 01/01/2025 | 0.00%** |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 6.50%, due 07/25/2043 | 0.00%** |
| Federal National Mortgage Association, 3.12%, due 05/01/2035 | 0.00%** |
| Futures Contracts, Short, OTC Put Options Exercise Price EUR 172.5 on German Euro Bund Futures | 0.00%** |
| Futures Contracts, Long, German Euro BUXL | 0.00%** |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, 3.36%, due 01/25/2035 | 0.00%** |
| Federal National Mortgage Association, 3.48%, due 08/01/2036 | 0.00%** |
| Federal National Mortgage Association, 4.50%, due 07/01/2041 | 0.00%** |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1, 0.44%, due 07/19/2035 | 0.00%** |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A1, 3.71%, due 09/25/2034 | 0.00%** |
| Banc of America Funding Trust, Series 2006-J, Class 4A1, 4.18%, due 01/20/2047 | 0.00%** |
| Federal National Mortgage Association, 4.00%, due 03/01/2041 | 0.00%** |
| Federal Home Loan Mortgage Corp., 3.63%, due 09/01/2035 | 0.00%** |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1, 3.87%, due 08/25/2035 | 0.00%** |
| BCAP LLC Trust, Series 2013-RR12, Class 1A3, 0.66%, due 05/26/2035 | 0.00%** |
| Bear Stearns ARM Trust, Series 2003-9, Class 2A1, 3.88%, due 02/25/2034 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 06/01/2037 | 0.00%** |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2, 0.44%, due 07/19/2035 | 0.00%** |
| Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.25%, due 12/25/2033 | 0.00%** |
| Bear Stearns ARM Trust, Series 2003-8, Class 2A1, 4.10%, due 01/25/2034 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 05/01/2037 | 0.00%** |
| U.S. Small Business Administration, Series 2003-20I, Class 1, 5.13%, due 09/01/2023 | 0.00%** |
| First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1, 3.86%, due 08/25/2035 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 12/01/2022 | 0.00%** |
| Federal Home Loan Mortgage Corp. REMIC, 0.53%, due 12/15/2029 | 0.00%** |
| CHL Mortgage Pass-Through Trust, Series 2004-12, Class 11A1, 3.42%, due 08/25/2034 | 0.00%** |
| MASTR Alternative Loan Trust, Series 2006-2, Class 2A1, 0.58%, due 03/25/2036 | 0.00%** |
| Federal National Mortgage Association, 3.98%, due 01/01/2028 | 0.00%** |
| Alternative Loan Trust, Series 2005-62, Class 2A1, 2.50%, due 12/25/2035 | 0.00%** |
| Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1, 0.85%, due 09/19/2032 | 0.00%** |
| Federal National Mortgage Association, 5.50%, due 09/01/2027 | 0.00%** |
| Federal National Mortgage Association, 3.77%, due 08/01/2035 | 0.00%** |
| Sequoia Mortgage Trust, Series 2010, Class 2A1, 0.95%, due 10/20/2027 | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Bear Stearns Asset-Backed Securities Trust, Series 2002-2, Class A1, 0.84%, due 10/25/2032 | 0.00%** |
| Federal Home Loan Mortgage Corp., 3.86%, due 08/01/2023 | 0.00%** |
| Federal National Mortgage Association, 3.47%, due 12/01/2034 | 0.00%** |
| Government National Mortgage Association, 0.98%, due 03/20/2062 | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Federal National Mortgage Association, 4.17%, due 10/01/2035 | 0.00%** |
| RFMSI Trust, Series 2003-S9, Class A1, 6.50%, due 03/25/2032 | 0.00%** |
| Federal National Mortgage Association, 4.53%, due 07/01/2032 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 01/01/2023 | 0.00%** |
| Futures Contracts, Short, 30-Year U.S. Treasury Bond | 0.00%** |
| GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 3.85%, due 01/25/2036 | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Home Equity Asset Trust, Series 2002-1, Class A4, 0.78%, due 11/25/2032 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 06/01/2023 | 0.00%** |
| Odebrecht Oil & Gas Finance, Ltd., Zero Coupon, due 07/30/2020 | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A2, 0.48%, due 04/25/2046 | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Swaption Written, PUT, Federal National Mortgage Association, 2.50%, TBA | 0.00%** |
| Option Written, PUT, 10-Year U.S. Treasury Note Futures | 0.00%** |
| Swaption Written, PUT, Federal National Mortgage Association, 2.00%, TBA | 0.00%** |
| Swaption Written, PUT, Federal National Mortgage Association, 2.50%, TBA | 0.00%** |
| Swaption Written, PUT, Federal National Mortgage Association, 2.50%, TBA | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, Boeing Co., 8.75%, 08/15/2021 | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swaption Written, PUT, Federal National Mortgage Association, 2.00%, TBA | 0.00%** |
| Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 | 0.00%** |
| Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | -0.01%** |
| Swap Agreement, Receive, Home Equity ABS Index - Series 6-2 | -0.01%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.01%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.01%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.02%** |
| Swap Agreement, Receive, Republic of South Africa Government International Bond, 5.50%, 03/09/2020 | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.03%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.04%** |
| Swap Agreement, Pay, 6-Month GBP-LIBOR | -0.04%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.06%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.08%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.09%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.11%** |
| Uniform Mortgage-Backed Security | -0.19%** |
| Net Other Assets (Liabilities) | -25.26%** |
Mutual funds, variable annuities and variable life insurance policies are subject to market risk, including the loss of principal. There is no assurance the fund will meet its investment objective. See the fund’s prospectus for complete information on all of the risks inherent with investing in the fund.
*There is no assurance that the securities listed are held beyond the indicated date. The holdings will remain online for six months, starting 15 days after the end of each calendar month.
**This security represents less than 0.01% of total holdings.
The Net Other Assets (Liabilities) category may include, but is not limited to, repurchase agreements, reverse repurchase agreements, security lending collateral, forward foreign currency contracts, and cash collateral.
This list of portfolio holdings is published on a delayed basis, 15 days after the end of each calendar month, and does not necessarily represent the actual investments held by a portfolio at the time of publication. All holdings are subject to change daily. This list has not been audited and is provided for informational use only. It is not intended as a recommendation, offer, or solicitation for the purchase or sale of any security. Transamerica assumes no obligation to update or supplement this list to reflect any change that may occur, and assumes no liability relating to the use of this information.
Unlike the fund’s regulatory filings, the portfolio data and its presentation in this document are not required to conform to Generally Accepted Accounting Principles (GAAP) and Securities and Exchange Commission (SEC) presentation requirements. Therefore, it differs from that in the complete statement of investments in the annual and semiannual report to shareholders filed with the SEC on Form N-CSR, and the complete statement of investments provided in the first and third quarter SEC Form N-Q filings for each fiscal year.
Shares of the funds may only be sold by offering the funds’ prospectus. You should consider the investment objective, risks, charges, and expenses of the fund carefully before investing. The prospectus contains this and additional important information regarding the fund. For Transamerica Funds - To obtain the prospectus and/or a summary prospectus, please contact your financial professional or go to transamerica.com. For Transamerica Partners Funds - go to transamericapartners.com. For Transamerica Series Trust portfolios - Investors should carefully consider their investment objectives and risks, along with a product’s charges and expenses before investing. The prospectus includes complete information and other important facts about the variable annuity or variable universal life insurance policy’s charges and expenses. Please contact your financial professional for a prospectus. The prospectus should be read carefully before investing.
Transamerica Series Trust portfolios are only available through the purchase of a variable life insurance policy or variable annuity contract.
No part of this material may be reproduced in any form, or referred to in any publication, without express written permission.
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