UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23710
Milliman Variable Insurance Trust
(Exact name of Registrant as specified in charter)
(Exact name of Registrant as specified in charter)
71 South Wacker Drive, 31st Floor
Chicago, IL 60606
(Address of principal executive offices) (Zip code)
(Address of principal executive offices) (Zip code)
Ehsan Sheikh
71 South Wacker Drive, 31st Floor
Chicago, IL 60606
(Name and address of agent for service)
(Name and address of agent for service)
(312) 726-0677
Registrant's telephone number, including area code
Date of fiscal year end: December 31, 2023
Date of reporting period: June 30, 2023
Item 1. Reports to Stockholders.
(a) Semi-Annual Report
Milliman Variable Insurance Trust
Structured Outcome Funds
Semi-Annual Report
June 30, 2023
The following series of Milliman Variable Insurance Trust are presented in this semi-annual report:
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jun/Dec
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jan/Jul
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Feb/Aug
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Mar/Sep
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jan
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Feb
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Mar
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Apr
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – May
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jun
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jul
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Aug
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Sep
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Oct
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Nov
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Dec
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (II)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (II)
TABLE OF CONTENTS
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
Each Fund sells its shares to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. The tables below do not include any fees or sales charges imposed by your variable product.
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service (“12b-1”) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023.
Actual Expenses
The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Actual Expenses Paid During the Period(a) | |||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Strategy# | ||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jan/Jul | $ | 1,000.00 | $ | 1,107.10 | 0.97 | % | $ | 5.07 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Feb/Aug | $ | 1,000.00 | $ | 1,075.60 | 0.97 | % | $ | 4.99 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Mar/Sep | $ | 1,000.00 | $ | 1,127.30 | 0.97 | % | $ | 5.12 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Apr/Oct | $ | 1,000.00 | $ | 1,095.60 | 0.97 | % | $ | 5.04 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - May/Nov | $ | 1,000.00 | $ | 1,091.40 | 0.97 | % | $ | 5.03 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jun/Dec | $ | 1,000.00 | $ | 1,110.30 | 0.97 | % | $ | 5.08 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Strategy# | ||||||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jan/Jul | $ | 1,000.00 | $ | 1,116.90 | 0.97 | % | $ | 5.09 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Feb/Aug | $ | 1,000.00 | $ | 1,087.70 | 0.97 | % | $ | 5.02 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Mar/Sep | $ | 1,000.00 | $ | 1,106.50 | 0.97 | % | $ | 5.07 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Apr/Oct | $ | 1,000.00 | $ | 1,098.00 | 0.97 | % | $ | 5.05 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - May/Nov | $ | 1,000.00 | $ | 1,094.40 | 0.97 | % | $ | 5.04 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec | $ | 1,000.00 | $ | 1,109.20 | 0.97 | % | $ | 5.07 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Strategy# | ||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul | $ | 1,000.00 | $ | 1,052.00 | 0.97 | % | $ | 4.66 | (b) | |||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug | $ | 1,000.00 | $ | 1,044.00 | 0.97 | % | $ | 3.80 | (c) | |||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep | $ | 1,000.00 | $ | 1,058.00 | 0.97 | % | $ | 3.06 | (d) | |||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Apr/Oct | $ | 1,000.00 | $ | 1,067.80 | 0.97 | % | $ | 4.97 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - May/Nov | $ | 1,000.00 | $ | 1,105.80 | 0.97 | % | $ | 5.06 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jun/Dec | $ | 1,000.00 | $ | 1,101.40 | 0.97 | % | $ | 5.05 | ||||||||
3
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Actual Expenses Paid During the Period(a) | |||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Strategy# | ||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jan | $ | 1,000.00 | $ | 1,126.00 | 0.97 | % | $ | 5.11 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Feb | $ | 1,000.00 | $ | 1,127.30 | 0.97 | % | $ | 5.12 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Mar | $ | 1,000.00 | $ | 1,168.70 | 0.97 | % | $ | 5.22 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Apr | $ | 1,000.00 | $ | 1,121.30 | 0.97 | % | $ | 5.10 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - May | $ | 1,000.00 | $ | 1,079.10 | 0.97 | % | $ | 5.00 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jun | $ | 1,000.00 | $ | 1,093.10 | 0.97 | % | $ | 5.03 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jul | $ | 1,000.00 | $ | 1,102.90 | 0.97 | % | $ | 5.06 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Aug | $ | 1,000.00 | $ | 1,072.10 | 0.97 | % | $ | 4.98 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Sep | $ | 1,000.00 | $ | 1,107.20 | 0.97 | % | $ | 5.07 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Oct | $ | 1,000.00 | $ | 1,125.40 | 0.97 | % | $ | 5.11 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Nov | $ | 1,000.00 | $ | 1,112.20 | 0.97 | % | $ | 5.08 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Dec | $ | 1,000.00 | $ | 1,115.80 | 0.97 | % | $ | 5.09 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Strategy# | ||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jan | $ | 1,000.00 | $ | 1,075.70 | 0.97 | % | $ | 4.99 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb | $ | 1,000.00 | $ | 1,044.60 | 0.97 | % | $ | 4.92 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Mar | $ | 1,000.00 | $ | 1,067.00 | 0.97 | % | $ | 4.97 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Apr | $ | 1,000.00 | $ | 1,036.40 | 0.97 | % | $ | 4.90 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - May | $ | 1,000.00 | $ | 1,086.20 | 0.97 | % | $ | 5.02 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jun | $ | 1,000.00 | $ | 1,090.20 | 0.97 | % | $ | 5.03 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul | $ | 1,000.00 | $ | 1,085.30 | 0.97 | % | $ | 5.02 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Aug | $ | 1,000.00 | $ | 1,064.10 | 0.97 | % | $ | 4.96 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Sep | $ | 1,000.00 | $ | 1,092.60 | 0.97 | % | $ | 5.03 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Oct | $ | 1,000.00 | $ | 1,096.30 | 0.97 | % | $ | 5.04 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Nov | $ | 1,000.00 | $ | 1,093.00 | 0.97 | % | $ | 5.03 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Dec | $ | 1,000.00 | $ | 1,090.70 | 0.97 | % | $ | 5.03 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Strategy# | ||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan | $ | 1,000.00 | $ | 1,113.90 | 0.97 | % | $ | 5.08 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb | $ | 1,000.00 | $ | 1,135.30 | 0.97 | % | $ | 5.14 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar | $ | 1,000.00 | $ | 1,115.50 | 0.97 | % | $ | 5.09 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr | $ | 1,000.00 | $ | 1,097.60 | 0.97 | % | $ | 5.04 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May | $ | 1,000.00 | $ | 1,144.70 | 0.97 | % | $ | 5.16 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun | $ | 1,000.00 | $ | 1,152.30 | 0.97 | % | $ | 5.18 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul | $ | 1,000.00 | $ | 1,137.90 | 0.98 | % | $ | 5.19 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug | $ | 1,000.00 | $ | 1,167.80 | 0.97 | % | $ | 5.21 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep | $ | 1,000.00 | $ | 1,177.80 | 0.97 | % | $ | 5.24 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct | $ | 1,000.00 | $ | 1,113.50 | 0.97 | % | $ | 5.08 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov | $ | 1,000.00 | $ | 1,144.00 | 0.97 | % | $ | 5.16 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec | $ | 1,000.00 | $ | 1,146.10 | 0.97 | % | $ | 5.16 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Strategy# | ||||||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (I) | $ | 1,000.00 | $ | 1,127.30 | 0.92 | % | $ | 4.85 | ||||||||
4
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Actual Expenses Paid During the Period(a) | |||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (I) | $ | 1,000.00 | $ | 1,138.10 | 0.93 | % | $ | 4.93 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jul (I) | $ | 1,000.00 | $ | 1,142.10 | 0.94 | % | $ | 4.99 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Oct (I) | $ | 1,000.00 | $ | 1,132.50 | 0.94 | % | $ | 4.97 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II) | $ | 1,000.00 | $ | 1,066.00 | 0.93 | % | $ | 4.50 | (b) | |||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II) | $ | 1,000.00 | $ | 1,062.00 | 0.93 | % | $ | 2.13 | (e) | |||||||
| # | Class 3 shares |
| * | Expense ratio does not reflect the indirect expenses of underlying funds in which the Funds invest. |
| (a) | Unless otherwise noted, actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (181) divided by the number of days in the fiscal year (365) to reflect the period from January 1, 2023 to June 30, 2023. |
| (b) | Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (171) divided by the number of days in the fiscal year (365) to reflect the period from January 10, 2023 (commencement of operations) to June 30, 2023. |
| (c) | Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (140) divided by the number of days in the fiscal year (365) to reflect the period from February 10, 2023 (commencement of operations) to June 30, 2023. |
| (d) | Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (112) divided by the number of days in the fiscal year (365) to reflect the period from March 10, 2023 (commencement of operations) to June 30, 2023. |
| (e) | Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (81) divided by the number of days in the fiscal year (365) to reflect the period from April 10, 2023 (commencement of operations) to June 30, 2023. |
Hypothetical Example for Comparison Purposes
The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. The Funds do not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table below is useful in comparing the ongoing costs only and will not help you determine the relative total costs of owning different funds. The Funds' expenses shown in the tables reflect fee waivers and reimbursements in effect.
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Hypothetical Expenses Paid During the Period(a) | |||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Strategy# | ||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jan/Jul | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Feb/Aug | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Mar/Sep | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
5
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Hypothetical Expenses Paid During the Period(a) | |||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Apr/Oct | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - May/Nov | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jun/Dec | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Strategy# | ||||||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jan/Jul | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Feb/Aug | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Mar/Sep | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Apr/Oct | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - May/Nov | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Strategy# | ||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Apr/Oct | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - May/Nov | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jun/Dec | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Strategy# | ||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jan | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Feb | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Mar | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Apr | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - May | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jun | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jul | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Aug | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Sep | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Oct | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Nov | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Dec | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Strategy# | ||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jan | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Mar | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Apr | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - May | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jun | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Aug | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
6
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Hypothetical Expenses Paid During the Period(a) | |||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Sep | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Oct | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Nov | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Dec | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Strategy# | ||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul | $ | 1,000.00 | $ | 1,019.93 | 0.98 | % | $ | 4.91 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Strategy# | ||||||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (I) | $ | 1,000.00 | $ | 1,020.23 | 0.92 | % | $ | 4.61 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (I) | $ | 1,000.00 | $ | 1,020.18 | 0.93 | % | $ | 4.66 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jul (I) | $ | 1,000.00 | $ | 1,020.13 | 0.94 | % | $ | 4.71 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Oct (I) | $ | 1,000.00 | $ | 1,020.13 | 0.94 | % | $ | 4.71 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II) | $ | 1,000.00 | $ | 1,020.18 | 0.93 | % | $ | 4.66 | ||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II) | $ | 1,000.00 | $ | 1,020.18 | 0.93 | % | $ | 4.66 | ||||||||
| # | Class 3 shares |
| * | Expense ratio does not reflect the indirect expenses of underlying funds in which the Funds invest. |
| (a) | Expenses are equal to the Funds’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). |
7
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jan/Jul
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.53% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 624 | $ | 62,793 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 426 | 46,068 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,863 | 91,931 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,165 | 92,070 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 359 | 20,725 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $314,658) | 313,587 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.91% | ||||||||
| United States Treasury Note, 0.125%, 1/15/2024 (a) | $ | 242,000 | 235,379 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $236,187) | 235,379 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 112.07% (b)(c) | ||||||||||||
| CALL OPTIONS - 112.07% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $391.94 | 16 | $ | 712,064 | 85,404 | ||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.59 | 24 | 1,068,096 | 1,065,877 | |||||||||
| 1,151,281 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $157.36 | 24 | 1,068,096 | 3 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $976,367) | 1,151,284 | |||||||||||
| Total Investments (Cost $1,527,212) - 165.51% | 1,700,250 | |||||||||||
| Liabilities in Excess of Other Assets - (65.51)% | (673,020 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,027,230 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $548,966. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 7/10/2023 | $ | 157.36 | 24 | $ | (1,068,096 | ) | $ | (690,181 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 7/10/2023 | 352.75 | 24 | (1,068,096 | ) | (49 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $586,717) | $ | (690,230 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
8
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jan/Jul
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 313,587 | $ | — | $ | — | $ | 313,587 | ||||||||
| U.S. Treasury Note | — | 235,379 | — | 235,379 | ||||||||||||
| Purchased Options | — | 1,151,284 | — | 1,151,284 | ||||||||||||
| Total Assets | $ | 313,587 | $ | 1,386,663 | $ | — | $ | 1,700,250 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 690,230 | $ | — | $ | 690,230 | ||||||||
| Total Liabilities | $ | — | $ | 690,230 | $ | — | $ | 690,230 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,151,284 | $ | — | $ | 1,151,284 | |||||||
| Liabilities - Written options | Options written, at value | $ | 690,230 | $ | — | $ | 690,230 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (24,539 | ) | $ | (15,726 | ) | $ | (40,265 | ) | ||||
| Written options | Written Options | 18,720 | (23,979 | ) | (5,259 | ) | ||||||||
| $ | (5,819 | ) | $ | (39,705 | ) | $ | (45,524 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 224,728 | $ | (29,915 | ) | $ | 194,813 | ||||||
| Written options | Written Options | (143,004 | ) | 86,535 | (56,469 | ) | ||||||||
| $ | 81,724 | $ | 56,620 | $ | 138,344 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 30.53 | % | ||
| U.S. Treasury Note | 22.91 | |||
| Purchased Options | 112.07 | |||
| Total Investments | 165.51 | |||
| Written Options | (67.19 | ) | ||
| Assets in Excess of Other Liabilities | 1.68 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
9
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Feb/Aug
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.64% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 956 | $ | 96,202 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 655 | 70,832 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 4,383 | 140,738 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,786 | 141,148 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 552 | 31,867 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $482,290) | 480,787 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.64% | ||||||||
| United States Treasury Note, 0.125%, 2/15/2024 (a) | $ | 371,100 | 359,224 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $360,276) | 359,224 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 108.34% (b)(c) | ||||||||||||
| CALL OPTIONS - 108.34% | ||||||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $409.05 | 24 | $ | 1,068,096 | 92,915 | ||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.61 | 35 | 1,557,640 | 1,553,548 | |||||||||
| 1,646,463 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $164.23 | 35 | 1,557,640 | 28 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,486,253) | 1,646,491 | |||||||||||
| Total Investments (Cost $2,328,819) - 163.62% | 2,486,502 | |||||||||||
| Liabilities in Excess of Other Assets - (63.62)% | (966,771 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,519,731 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $840,011. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 8/10/2023 | $ | 164.23 | 35 | $ | (1,557,640 | ) | $ | (984,347 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 8/10/2023 | 368.14 | 35 | (1,557,640 | ) | (849 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $892,763) | $ | (985,196 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
10
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Feb/Aug
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 480,787 | $ | — | $ | — | $ | 480,787 | ||||||||
| U.S. Treasury Note | — | 359,224 | — | 359,224 | ||||||||||||
| Purchased Options | — | 1,646,491 | — | 1,646,491 | ||||||||||||
| Total Assets | $ | 480,787 | $ | 2,005,715 | $ | — | $ | 2,486,502 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 985,196 | $ | — | $ | 985,196 | ||||||||
| Total Liabilities | $ | — | $ | 985,196 | $ | — | $ | 985,196 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,646,491 | $ | — | $ | 1,646,491 | |||||||
| Liabilities - Written options | Options written, at value | $ | 985,196 | $ | — | $ | 985,196 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (114,890 | ) | $ | 41,714 | $ | (73,176 | ) | |||||
| Written options | Written Options | 88,959 | (149,235 | ) | (60,276 | ) | ||||||||
| $ | (25,931 | ) | $ | (107,521 | ) | $ | (133,452 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 368,551 | $ | (134,429 | ) | $ | 234,122 | ||||||
| Written options | Written Options | (243,352 | ) | 241,124 | (2,228 | ) | ||||||||
| $ | 125,199 | $ | 106,695 | $ | 231,894 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 31.64 | % | ||
| U.S. Treasury Note | 23.64 | |||
| Purchased Options | 108.34 | |||
| Total Investments | 163.62 | |||
| Written Options | (64.83 | ) | ||
| Assets in Excess of Other Liabilities | 1.21 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
11
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Mar/Sep
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.38% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 661 | $ | 66,517 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 459 | 49,636 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,062 | 98,321 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,252 | 98,945 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 383 | 22,111 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $333,732) | 335,530 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.46% | ||||||||
| United States Treasury Note, 0.250%, 3/15/2024 (a) | $ | 257,100 | 248,020 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $248,603) | 248,020 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 110.63% (b)(c) | ||||||||||||
| CALL OPTIONS - 110.63% | ||||||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $386.17 | 18 | $ | 801,072 | 113,409 | ||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.58 | 25 | 1,112,600 | 1,108,318 | |||||||||
| 1,221,727 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $155.05 | 25 | 1,112,600 | 38 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,005,294) | 1,221,765 | |||||||||||
| Total Investments (Cost $1,587,629) - 163.47% | 1,805,315 | |||||||||||
| Liabilities in Excess of Other Assets - (63.47)% | (700,981 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,104,334 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $583,550. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 9/11/2023 | $ | 155.05 | 25 | $ | (1,112,600 | ) | $ | (726,358 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 9/11/2023 | 347.56 | 25 | (1,112,600 | ) | (1,146 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $604,713) | $ | (727,504 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
12
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Mar/Sep
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 335,530 | $ | — | $ | — | $ | 335,530 | ||||||||
| U.S. Treasury Note | — | 248,020 | — | 248,020 | ||||||||||||
| Purchased Options | — | 1,221,765 | — | 1,221,765 | ||||||||||||
| Total Assets | $ | 335,530 | $ | 1,469,785 | $ | — | $ | 1,805,315 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 727,504 | $ | — | $ | 727,504 | ||||||||
| Total Liabilities | $ | — | $ | 727,504 | $ | — | $ | 727,504 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,221,765 | $ | — | $ | 1,221,765 | |||||||
| Liabilities - Written options | Options written, at value | $ | 727,504 | $ | — | $ | 727,504 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (103,063 | ) | $ | (55,193 | ) | $ | (158,256 | ) | ||||
| Written options | Written Options | 86,113 | 33,657 | 119,770 | ||||||||||
| $ | (16,950 | ) | $ | (21,536 | ) | $ | (38,486 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 318,297 | $ | (8,940 | ) | $ | 309,357 | ||||||
| Written options | Written Options | (191,882 | ) | 36,619 | (155,263 | ) | ||||||||
| $ | 126,415 | $ | 27,679 | $ | 154,094 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.38 | % | ||
| U.S. Treasury Note | 22.46 | |||
| Purchased Options | 110.63 | |||
| Total Investments | 163.47 | |||
| Written Options | (65.87 | ) | ||
| Assets in Excess of Other Liabilities | 2.40 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
13
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Apr/Oct
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.76% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 773 | $ | 77,787 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 522 | 56,449 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,528 | 113,284 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,429 | 112,934 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 443 | 25,574 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $380,073) | 386,028 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.63% | ||||||||
| United States Treasury Note, 0.375%, 4/15/2024 (a) | $ | 298,800 | 287,209 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $289,106) | 287,209 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 108.27% (b)(c) | ||||||||||||
| CALL OPTIONS - 108.26% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $410.91 | 18 | $ | 801,072 | 76,170 | ||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.62 | 28 | 1,246,112 | 1,239,918 | |||||||||
| 1,316,088 | ||||||||||||
| PUT OPTIONS - 0.01% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $164.98 | 28 | 1,246,112 | 107 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,196,002) | 1,316,195 | |||||||||||
| Total Investments (Cost $1,865,181) - 163.66% | 1,989,432 | |||||||||||
| Liabilities in Excess of Other Assets - (63.66)% | (773,806 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,215,626 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $673,237. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | $ | 164.98 | 28 | $ | (1,246,112 | ) | $ | (786,799 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | 369.82 | 28 | (1,246,112 | ) | (3,750 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $719,642) | $ | (790,549 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
14
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Apr/Oct
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 386,028 | $ | — | $ | — | $ | 386,028 | ||||||||
| U.S. Treasury Note | — | 287,209 | — | 287,209 | ||||||||||||
| Purchased Options | — | 1,316,195 | — | 1,316,195 | ||||||||||||
| Total Assets | $ | 386,028 | $ | 1,603,404 | $ | — | $ | 1,989,432 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 790,549 | $ | — | $ | 790,549 | ||||||||
| Total Liabilities | $ | — | $ | 790,549 | $ | — | $ | 790,549 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,316,195 | $ | — | $ | 1,316,195 | |||||||
| Liabilities - Written options | Options written, at value | $ | 790,549 | $ | — | $ | 790,549 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 214,343 | $ | — | $ | 214,343 | |||||||
| Written options | Written Options | (115,318 | ) | — | (115,318 | ) | ||||||||
| $ | 99,025 | $ | — | $ | 99,025 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 20,643 | $ | — | $ | 20,643 | |||||||
| Written options | Written Options | (24,356 | ) | — | (24,356 | ) | ||||||||
| $ | (3,713 | ) | $ | — | $ | (3,713 | ) | |||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.76 | % | ||
| U.S. Treasury Note | 23.63 | |||
| Purchased Options | 108.27 | |||
| Total Investments | 163.66 | |||
| Written Options | (65.04 | ) | ||
| Assets in Excess of Other Liabilities | 1.38 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
15
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - May/Nov
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.58% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 1,067 | $ | 107,373 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 731 | 79,050 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 4,883 | 156,793 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,984 | 156,796 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 613 | 35,388 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $529,698) | 535,400 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.39% | ||||||||
| United States Treasury Note, 0.250%, 5/15/2024 (a) | $ | 414,600 | 396,510 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $399,203) | 396,510 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 108.85% (b)(c) | ||||||||||||
| CALL OPTIONS - 108.83% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $413.76 | 28 | $ | 1,246,112 | 119,258 | ||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.62 | 39 | 1,735,656 | 1,725,528 | |||||||||
| 1,844,786 | ||||||||||||
| PUT OPTIONS - 0.02% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $166.12 | 39 | 1,735,656 | 292 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,674,137) | 1,845,078 | |||||||||||
| Total Investments (Cost $2,603,038) - 163.82% | 2,776,988 | |||||||||||
| Liabilities in Excess of Other Assets - (63.82)% | (1,081,827 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,695,161 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $931,910. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | $ | 166.12 | 39 | $ | (1,735,656 | ) | $ | (1,093,173 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | 372.38 | 39 | (1,735,656 | ) | (8,322 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $1,004,621) | $ | (1,101,495 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
16
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - May/Nov
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 535,400 | $ | — | $ | — | $ | 535,400 | ||||||||
| U.S. Treasury Note | — | 396,510 | — | 396,510 | ||||||||||||
| Purchased Options | — | 1,845,078 | — | 1,845,078 | ||||||||||||
| Total Assets | $ | 535,400 | $ | 2,241,588 | $ | — | $ | 2,776,988 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,101,495 | $ | — | $ | 1,101,495 | ||||||||
| Total Liabilities | $ | — | $ | 1,101,495 | $ | — | $ | 1,101,495 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,845,078 | $ | — | $ | 1,845,078 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,101,495 | $ | — | $ | 1,101,495 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 60,040 | $ | — | $ | 60,040 | |||||||
| Written options | Written Options | (32,141 | ) | — | (32,141 | ) | ||||||||
| $ | 27,899 | $ | — | $ | 27,899 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 239,602 | $ | — | $ | 239,602 | |||||||
| Written options | Written Options | (140,510 | ) | — | (140,510 | ) | ||||||||
| $ | 99,092 | $ | — | $ | 99,092 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 31.58 | % | ||
| U.S. Treasury Note | 23.39 | |||
| Purchased Options | 108.85 | |||
| Total Investments | 163.82 | |||
| Written Options | (64.98 | ) | ||
| Assets in Excess of Other Liabilities | 1.16 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
17
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jun/Dec
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 33.06% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 779 | $ | 78,391 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 542 | 58,612 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,611 | 115,949 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,473 | 116,411 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 451 | 26,036 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $395,359) | 395,399 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 24.14% | ||||||||
| United States Treasury Note, 0.250%, 6/15/2024 (a) | $ | 303,200 | 288,717 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $289,347) | 288,717 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 105.31% (b)(c) | ||||||||||||
| CALL OPTIONS - 105.27% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $433.91 | �� | 23 | $ | 1,023,592 | 66,242 | |||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.65 | 27 | 1,201,608 | 1,192,777 | |||||||||
| 1,259,019 | ||||||||||||
| PUT OPTIONS - 0.04% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $174.21 | 27 | 1,201,608 | 424 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,198,205) | 1,259,443 | |||||||||||
| Total Investments (Cost $1,882,911) - 162.51% | 1,943,559 | |||||||||||
| Liabilities in Excess of Other Assets - (62.51)% | (747,601 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,195,958 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $684,116. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | $ | 174.21 | 27 | $ | (1,201,608 | ) | $ | (736,071 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | 390.52 | 27 | (1,201,608 | ) | (10,801 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $712,436) | $ | (746,872 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
18
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jun/Dec
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 395,399 | $ | — | $ | — | $ | 395,399 | ||||||||
| U.S. Treasury Note | — | 288,717 | — | 288,717 | ||||||||||||
| Purchased Options | — | 1,259,443 | — | 1,259,443 | ||||||||||||
| Total Assets | $ | 395,399 | $ | 1,548,160 | $ | — | $ | 1,943,559 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 746,872 | $ | — | $ | 746,872 | ||||||||
| Total Liabilities | $ | — | $ | 746,872 | $ | — | $ | 746,872 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,259,443 | $ | — | $ | 1,259,443 | |||||||
| Liabilities - Written options | Options written, at value | $ | 746,872 | $ | — | $ | 746,872 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 140,900 | $ | — | $ | 140,900 | |||||||
| Written options | Written Options | (76,089 | ) | — | (76,089 | ) | ||||||||
| $ | 64,811 | $ | — | $ | 64,811 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 103,064 | $ | — | $ | 103,064 | |||||||
| Written options | Written Options | (59,637 | ) | — | (59,637 | ) | ||||||||
| $ | 43,427 | $ | — | $ | 43,427 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 33.06 | % | ||
| U.S. Treasury Note | 24.14 | |||
| Purchased Options | 105.31 | |||
| Total Investments | 162.51 | |||
| Written Options | (62.45 | ) | ||
| Liabilities in Excess of Other Assets | (0.06 | ) | ||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
19
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jan/Jul
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.24% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 518 | $ | 52,127 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 353 | 38,173 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,376 | 76,293 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 967 | 76,422 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 298 | 17,204 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $261,539) | 260,219 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.71% | ||||||||
| United States Treasury Note, 0.125%, 1/15/2024 (a) | $ | 200,900 | 195,404 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $196,074) | 195,404 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 111.91% (b)(c) | ||||||||||||
| CALL OPTIONS - 111.91% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $391.96 | 14 | $ | 623,056 | 74,701 | ||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.61 | 20 | 890,080 | 888,190 | |||||||||
| 962,891 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $157.38 | 20 | 890,080 | 2 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $815,604) | 962,893 | |||||||||||
| Total Investments (Cost $1,273,217) - 164.86% | 1,418,516 | |||||||||||
| Liabilities in Excess of Other Assets - (64.86)% | (558,126 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 860,390 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $455,623. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 7/10/2023 | $ | 157.38 | 20 | $ | (890,080 | ) | $ | (575,111 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 7/10/2023 | 391.96 | 10 | (445,040 | ) | (41 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $490,928) | $ | (575,152 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
20
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jan/Jul
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 260,219 | $ | — | $ | — | $ | 260,219 | ||||||||
| U.S. Treasury Note | — | 195,404 | — | 195,404 | ||||||||||||
| Purchased Options | — | 962,893 | — | 962,893 | ||||||||||||
| Total Assets | $ | 260,219 | $ | 1,158,297 | $ | — | $ | 1,418,516 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 575,152 | $ | — | $ | 575,152 | ||||||||
| Total Liabilities | $ | — | $ | 575,152 | $ | — | $ | 575,152 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 962,893 | $ | — | $ | 962,893 | |||||||
| Liabilities - Written options | Options written, at value | $ | 575,152 | $ | — | $ | 575,152 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (20,676 | ) | $ | (14,456 | ) | $ | (35,132 | ) | ||||
| Written options | Written Options | 16,341 | (16,725 | ) | (384 | ) | ||||||||
| $ | (4,335 | ) | $ | (31,181 | ) | $ | (35,516 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 189,113 | $ | (22,906 | ) | $ | 166,207 | ||||||
| Written options | Written Options | (112,604 | ) | 68,010 | (44,594 | ) | ||||||||
| $ | 76,509 | $ | 45,104 | $ | 121,613 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.24 | % | ||
| U.S. Treasury Note | 22.71 | |||
| Purchased Options | 111.91 | |||
| Total Investments | 164.86 | |||
| Written Options | (66.84 | ) | ||
| Assets in Excess of Other Liabilities | 1.98 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
21
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Feb/Aug
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.70% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 801 | $ | 80,604 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 549 | 59,369 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,673 | 117,940 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,497 | 118,309 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 462 | 26,671 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $403,620) | 402,893 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 23.68% | ||||||||
| United States Treasury Note, 0.125%, 2/15/2024 (a) | $ | 311,000 | 301,047 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $301,928) | 301,047 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 103.87% (b)(c) | ||||||||||||
| CALL OPTIONS - 103.87% | ||||||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $409.07 | 20 | $ | 890,080 | 77,390 | ||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.63 | 28 | 1,246,112 | 1,242,783 | |||||||||
| 1,320,173 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $164.25 | 28 | 1,246,112 | 23 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,190,985) | 1,320,196 | |||||||||||
| Total Investments (Cost $1,896,533) - 159.25% | 2,024,136 | |||||||||||
| Liabilities in Excess of Other Assets - (59.25)% | (753,089 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,271,047 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $703,940. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 8/10/2023 | $ | 164.25 | 28 | $ | (1,246,112 | ) | $ | (787,421 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 8/10/2023 | 409.07 | 14 | (623,056 | ) | (1,163 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $716,222) | $ | (788,584 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
22
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Feb/Aug
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 402,893 | $ | — | $ | — | $ | 402,893 | ||||||||
| U.S. Treasury Note | — | 301,047 | — | 301,047 | ||||||||||||
| Purchased Options | — | 1,320,196 | — | 1,320,196 | ||||||||||||
| Total Assets | $ | 402,893 | $ | 1,621,243 | $ | — | $ | 2,024,136 | ||||||||
| Liabilities | — | |||||||||||||||
| Options Written | $ | — | $ | 788,584 | $ | — | $ | 788,584 | ||||||||
| Total Liabilities | $ | — | $ | 788,584 | $ | — | $ | 788,584 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,320,196 | $ | — | $ | 1,320,196 | |||||||
| Liabilities - Written options | Options written, at value | $ | 788,584 | $ | — | $ | 788,584 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (97,074 | ) | $ | 35,406 | $ | (61,668 | ) | |||||
| Written options | Written Options | 56,364 | (126,803 | ) | (70,439 | ) | ||||||||
| $ | (40,710 | ) | $ | (91,397 | ) | $ | (132,107 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 304,995 | $ | (114,061 | ) | $ | 190,934 | ||||||
| Written options | Written Options | (168,676 | ) | 204,697 | 36,021 | |||||||||
| $ | 136,319 | $ | 90,636 | $ | 226,955 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.70 | % | ||
| U.S. Treasury Note | 23.68 | |||
| Purchased Options | 103.87 | |||
| Total Investments | 159.25 | |||
| Written Options | (62.04 | ) | ||
| Assets in Excess of Other Liabilities | 2.79 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
23
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Mar/Sep
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.65% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 559 | $ | 56,252 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 388 | 41,958 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,588 | 83,101 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,058 | 83,614 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 323 | 18,647 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $282,150) | 283,572 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.66% | ||||||||
| United States Treasury Note, 0.250%, 3/15/2024 (a) | $ | 217,300 | 209,625 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $210,119) | 209,625 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 106.04% (b)(c) | ||||||||||||
| CALL OPTIONS - 106.04% | ||||||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $386.19 | 15 | $ | 667,560 | 94,479 | ||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.60 | 20 | 890,080 | 886,615 | |||||||||
| 981,094 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $155.07 | 20 | 890,080 | 30 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $805,791) | 981,124 | |||||||||||
| Total Investments (Cost $1,298,060) - 159.35% | 1,474,321 | |||||||||||
| Liabilities in Excess of Other Assets - (59.35)% | (549,115 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 925,206 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $493,197. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 9/11/2023 | $ | 155.07 | 20 | $ | (890,080 | ) | $ | (581,047 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 9/11/2023 | 386.19 | 10 | (445,040 | ) | (1,098 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $484,568) | $ | (582,145 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
24
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Mar/Sep
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 283,572 | $ | — | $ | — | $ | 283,572 | ||||||||
| U.S. Treasury Note | — | 209,625 | — | 209,625 | ||||||||||||
| Purchased Options | — | 981,124 | — | 981,124 | ||||||||||||
| Total Assets | $ | 283,572 | $ | 1,190,749 | $ | — | $ | 1,474,321 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 582,145 | $ | — | $ | 582,145 | ||||||||
| Total Liabilities | $ | — | $ | 582,145 | $ | — | $ | 582,145 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 981,124 | $ | — | $ | 981,124 | |||||||
| Liabilities - Written options | Options written, at value | $ | 582,145 | $ | — | $ | 582,145 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (89,703 | ) | $ | (47,880 | ) | $ | (137,583 | ) | ||||
| Written options | Written Options | 48,991 | 28,979 | 77,970 | ||||||||||
| $ | (40,712 | ) | $ | (18,901 | ) | $ | (59,613 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 264,222 | $ | (7,827 | ) | $ | 256,395 | ||||||
| Written options | Written Options | (146,110 | ) | 31,797 | (114,313 | ) | ||||||||
| $ | 118,112 | $ | 23,970 | $ | 142,082 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.65 | % | ||
| U.S. Treasury Note | 22.66 | |||
| Purchased Options | 106.04 | |||
| Total Investments | 159.35 | |||
| Written Options | (62.92 | ) | ||
| Assets in Excess of Other Liabilities | 3.57 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
25
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Apr/Oct
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.67% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 605 | $ | 60,881 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 409 | 44,229 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,761 | 88,656 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,118 | 88,356 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 347 | 20,032 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $297,399) | 302,154 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.55% | ||||||||
| United States Treasury Note, 0.375%, 4/15/2024 (a) | $ | 233,800 | 224,731 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $226,215) | 224,731 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 108.77% (b)(c) | ||||||||||||
| CALL OPTIONS - 108.76% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $410.93 | 15 | $ | 667,560 | 63,448 | ||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.64 | 22 | 979,088 | 974,177 | |||||||||
| 1,037,625 | ||||||||||||
| PUT OPTIONS - 0.01% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $165.00 | 22 | 979,088 | 84 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $942,080) | 1,037,709 | |||||||||||
| Total Investments (Cost $1,465,694) - 163.99% | 1,564,594 | |||||||||||
| Liabilities in Excess of Other Assets - (63.99)% | (610,483 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 954,111 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $526,885. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | National Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | $ | 165.00 | 22 | $ | (979,088 | ) | $ | (618,156 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | 410.93 | 11 | (489,544 | ) | (3,911 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $566,926) | $ | (622,067 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
26
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Apr/Oct
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 302,154 | $ | — | $ | — | $ | 302,154 | ||||||||
| U.S. Treasury Note | — | 224,731 | — | 224,731 | ||||||||||||
| Purchased Options | — | 1,037,709 | — | 1,037,709 | ||||||||||||
| Total Assets | $ | 302,154 | $ | 1,262,440 | $ | — | $ | 1,564,594 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 622,067 | $ | — | $ | 622,067 | ||||||||
| Total Liabilities | $ | — | $ | 622,067 | $ | — | $ | 622,067 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,037,709 | $ | — | $ | 1,037,709 | |||||||
| Liabilities - Written options | Options written, at value | $ | 622,067 | $ | — | $ | 622,067 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 160,953 | $ | — | $ | 160,953 | |||||||
| Written options | Written Options | (89,675 | ) | — | (89,675 | ) | ||||||||
| $ | 71,278 | $ | — | $ | 71,278 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 20,696 | $ | — | $ | 20,696 | |||||||
| Written options | Written Options | (14,315 | ) | — | (14,315 | ) | ||||||||
| $ | 6,381 | $ | — | $ | 6,381 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.67 | % | ||
| U.S. Treasury Note | 23.55 | |||
| Purchased Options | 108.77 | |||
| Total Investments | 163.99 | |||
| Written Options | (65.20 | ) | ||
| Assets in Excess of Other Liabilities | 1.21 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
27
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - May/Nov
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.56% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 621 | $ | 62,491 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 425 | 45,960 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,841 | 91,224 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,154 | 91,201 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 356 | 20,552 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $307,481) | 311,428 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.38% | ||||||||
| United States Treasury Note, 0.250%, 5/15/2024 (a) | $ | 241,200 | 230,676 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $232,242) | 230,676 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 105.57% (b)(c) | ||||||||||||
| CALL OPTIONS - 105.55% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $413.78 | 16 | $ | 712,064 | 68,120 | ||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.64 | 22 | 979,088 | 973,331 | |||||||||
| 1,041,451 | ||||||||||||
| PUT OPTIONS - 0.02% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $166.15 | 22 | 979,088 | 165 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $944,853) | 1,041,616 | |||||||||||
| Total Investments (Cost $1,484,576) - 160.51% | 1,583,720 | |||||||||||
| Liabilities in Excess of Other Assets - (60.51)% | (597,036 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 986,684 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $542,104. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | $ | 166.15 | 22 | $ | (979,088 | ) | $ | (616,597 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | 413.78 | 11 | (489,544 | ) | (5,606 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $567,432) | $ | (622,203 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
28
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - May/Nov
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 311,428 | $ | — | $ | — | $ | 311,428 | ||||||||
| U.S. Treasury Note | — | 230,676 | — | 230,676 | ||||||||||||
| Purchased Options | — | 1,041,616 | — | 1,041,616 | ||||||||||||
| Total Assets | $ | 311,428 | $ | 1,272,292 | $ | — | $ | 1,583,720 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 622,203 | $ | — | $ | 622,203 | ||||||||
| Total Liabilities | $ | — | $ | 622,203 | $ | — | $ | 622,203 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,041,616 | $ | — | $ | 1,041,616 | |||||||
| Liabilities - Written options | Options written, at value | $ | 622,203 | $ | — | $ | 622,203 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 45,888 | $ | — | $ | 45,888 | |||||||
| Written options | Written Options | (23,927 | ) | — | (23,927 | ) | ||||||||
| $ | 21,961 | $ | — | $ | 21,961 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 121,701 | $ | — | $ | 121,701 | |||||||
| Written options | Written Options | (67,969 | ) | — | (67,969 | ) | ||||||||
| $ | 53,732 | $ | — | $ | 53,732 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.56 | % | ||
| U.S. Treasury Note | 23.38 | |||
| Purchased Options | 105.57 | |||
| Total Investments | 160.51 | |||
| Written Options | (63.06 | ) | ||
| Assets in Excess of Other Liabilities | 2.55 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
29
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 32.03% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 668 | $ | 67,221 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 465 | 50,285 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,096 | 99,413 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,263 | 99,814 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 387 | 22,342 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $339,068) | 339,075 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.39% | ||||||||
| United States Treasury Note, 0.250%, 6/15/2024 (a) | $ | 260,000 | 247,580 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $248,121) | 247,580 |
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 97.28% (b)(c) | ||||||||||||
| CALL OPTIONS - 97.25% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $433.93 | 20 | $ | 890,080 | 57,571 | ||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.67 | 22 | 979,088 | 971,849 | |||||||||
| 1,029,420 | ||||||||||||
| PUT OPTIONS - 0.03% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $174.24 | 22 | 979,088 | 347 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $978,812) | 1,029,767 | |||||||||||
| Total Investments (Cost $1,566,001) - 152.70% | 1,616,422 | |||||||||||
| Liabilities in Excess of Other Assets - (52.70)% | (557,789 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,058,633 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $586,655. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | $ | 174.24 | 22 | $ | (979,088 | ) | $ | (599,697 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | 433.93 | 11 | (489,544 | ) | (10,643 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $582,931) | $ | (610,340 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
30
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 339,075 | $ | — | $ | — | $ | 339,075 | ||||||||
| U.S. Treasury Note | — | 247,580 | — | 247,580 | ||||||||||||
| Purchased Options | — | 1,029,767 | — | 1,029,767 | ||||||||||||
| Total Assets | $ | 339,075 | $ | 1,277,347 | $ | — | $ | 1,616,422 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 610,340 | $ | — | $ | 610,340 | ||||||||
| Total Liabilities | $ | — | $ | 610,340 | $ | — | $ | 610,340 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,029,767 | $ | — | $ | 1,029,767 | |||||||
| Liabilities - Written options | Options written, at value | $ | 610,340 | $ | — | $ | 610,340 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 120,006 | $ | — | $ | 120,006 | |||||||
| Written options | Written Options | (64,983 | ) | — | (64,983 | ) | ||||||||
| $ | 55,023 | $ | — | $ | 55,023 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 86,354 | $ | — | $ | 86,354 | |||||||
| Written options | Written Options | (46,658 | ) | — | (46,658 | ) | ||||||||
| $ | 39,696 | $ | — | $ | 39,696 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 32.03 | % | ||
| U.S. Treasury Note | 23.39 | |||
| Purchased Options | 97.28 | |||
| Total Investments | 152.70 | |||
| Written Options | (57.66 | ) | ||
| Assets in Excess of Other Liabilities | 4.96 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
31
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.16% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 658 | $ | 66,214 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 441 | 47,690 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,998 | 96,266 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,214 | 95,942 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 378 | 21,822 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $331,952) | 327,934 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.60% | ||||||||
| United States Treasury Note, 0.125%, 1/15/2024 (a) | $ | 255,400 | 248,413 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $249,352) | 248,413 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 186.46% (b)(c) | ||||||||||||
| CALL OPTIONS - 186.46% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $394.31 | 167 | $ | 7,432,168 | 851,924 | ||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.58 | 25 | 1,112,600 | 1,110,313 | |||||||||
| 1,962,237 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $159.90 | 25 | 1,112,600 | 3 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,451,777) | 1,962,240 | |||||||||||
| Total Investments (Cost $2,033,081) - 241.22% | 2,538,587 | |||||||||||
| Liabilities in Excess of Other Assets - (141.22)% | (1,486,147 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,052,440 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $576,347. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 7/10/2023 | $ | 398.29 | 167 | $ | (7,432,168 | ) | $ | (785,625 | ) | ||||||||||
| S&P 500® Mini Index | 7/10/2023 | 159.90 | 25 | (1,112,600 | ) | (712,598 | ) | |||||||||||||
| (1,498,223 | ) | |||||||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 7/10/2023 | 358.46 | 25 | (1,112,600 | ) | (55 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $1,038,754) | $ | (1,498,278 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
32
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 327,934 | $ | — | $ | — | $ | 327,934 | ||||||||
| U.S. Treasury Note | — | 248,413 | — | 248,413 | ||||||||||||
| Purchased Options | — | 1,962,240 | — | 1,962,240 | ||||||||||||
| Total Assets | $ | 327,934 | $ | 2,210,653 | $ | — | $ | 2,538,587 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,498,278 | $ | — | $ | 1,498,278 | ||||||||
| Total Liabilities | $ | — | $ | 1,498,278 | $ | — | $ | 1,498,278 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,962,240 | $ | — | $ | 1,962,240 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,498,278 | $ | — | $ | 1,498,278 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 510,463 | $ | — | $ | 510,463 | |||||||
| Written options | Written Options | (459,524 | ) | — | (459,524 | ) | ||||||||
| $ | 50,939 | $ | — | $ | 50,939 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 31.16 | % | ||
| U.S. Treasury Note | 23.60 | |||
| Purchased Options | 186.46 | |||
| Total Investments | 241.22 | |||
| Written Options | (142.37 | ) | ||
| Assets in Excess of Other Liabilities | 1.15 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
33
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.74% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 659 | $ | 66,315 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 452 | 48,879 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,022 | 97,036 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,231 | 97,287 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 380 | 21,937 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $331,832) | 331,454 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.71% | ||||||||
| United States Treasury Note, 0.125%, 2/15/2024 (a) | $ | 255,800 | 247,614 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $248,339) | 247,614 |
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 162.12% (b)(c) | ||||||||||||
| CALL OPTIONS - 162.12% | ||||||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $404.94 | 147 | $ | 6,542,088 | 627,393 | ||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.59 | 24 | 1,068,096 | 1,065,338 | |||||||||
| 1,692,731 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $164.21 | 24 | 1,068,096 | 19 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,400,267) | 1,692,750 | |||||||||||
| Total Investments (Cost $1,980,438) - 217.57% | 2,271,818 | |||||||||||
| Liabilities in Excess of Other Assets - (117.57)% | (1,227,612 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,044,206 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $579,068. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 8/10/2023 | $ | 409.03 | 147 | $ | (6,542,088 | ) | $ | (569,386 | ) | ||||||||||
| S&P 500® Mini Index | 8/10/2023 | 164.21 | 24 | (1,068,096 | ) | (675,028 | ) | |||||||||||||
| (1,244,414 | ) | |||||||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 8/10/2023 | 368.12 | 24 | (1,068,096 | ) | (582 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $992,425) | $ | (1,244,996 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
34
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 331,454 | $ | — | $ | — | $ | 331,454 | ||||||||
| U.S. Treasury Note | — | 247,614 | — | 247,614 | ||||||||||||
| Purchased Options | — | 1,692,750 | — | 1,692,750 | ||||||||||||
| Total Assets | $ | 331,454 | $ | 1,940,364 | $ | — | $ | 2,271,818 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,244,996 | $ | — | $ | 1,244,996 | ||||||||
| Total Liabilities | $ | — | $ | 1,244,996 | $ | — | $ | 1,244,996 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,692,750 | $ | — | $ | 1,692,750 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,244,996 | $ | — | $ | 1,244,996 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 292,483 | $ | — | $ | 292,483 | |||||||
| Written options | Written Options | (252,571 | ) | — | (252,571 | ) | ||||||||
| $ | 39,912 | $ | — | $ | 39,912 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.74 | % | ||
| U.S. Treasury Note | 23.71 | |||
| Purchased Options | 162.12 | |||
| Total Investments | 217.57 | |||
| Written Options | (119.23 | ) | ||
| Assets in Excess of Other Liabilities | 1.66 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
35
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.51% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 657 | $ | 66,114 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 456 | 49,312 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,045 | 97,775 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,245 | 98,392 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 381 | 21,995 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $331,314) | 333,588 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.30% | ||||||||
| United States Treasury Note, 0.250%, 3/15/2024 (a) | $ | 255,700 | 246,669 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $247,250) | 246,669 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 229.56% (b)(c) | ||||||||||||
| CALL OPTIONS - 229.56% | ||||||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $382.29 | 198 | $ | 8,811,792 | 1,321,422 | ||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.56 | 25 | 1,112,600 | 1,108,368 | |||||||||
| 2,429,790 | ||||||||||||
| PUT OPTIONS - 0.00% | ||||||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $155.03 | 25 | 1,112,600 | 38 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,535,668) | 2,429,828 | |||||||||||
| Total Investments (Cost $2,114,232) - 284.37% | 3,010,085 | |||||||||||
| Liabilities in Excess of Other Assets - (184.37)% | (1,951,579 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,058,506 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $580,257. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 9/11/2023 | $ | 386.15 | 198 | $ | (8,811,792 | ) | $ | (1,247,877 | ) | ||||||||||
| S&P 500® Mini Index | 9/11/2023 | 155.03 | 25 | (1,112,600 | ) | (726,407 | ) | |||||||||||||
| (1,974,284 | ) | |||||||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 9/11/2023 | 347.54 | 25 | (1,112,600 | ) | (1,145 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $1,133,818) | $ | (1,975,429 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
36
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep
Scheduled of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 333,588 | $ | — | $ | — | $ | 333,588 | ||||||||
| U.S. Treasury Note | — | 246,669 | — | 246,669 | ||||||||||||
| Purchased Options | — | 2,429,828 | — | 2,429,828 | ||||||||||||
| Total Assets | $ | 333,588 | $ | 2,676,497 | $ | — | $ | 3,010,085 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,975,429 | $ | — | $ | 1,975,429 | ||||||||
| Total Liabilities | $ | — | $ | 1,975,429 | $ | — | $ | 1,975,429 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 2,429,828 | $ | — | $ | 2,429,828 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,975,429 | $ | — | $ | 1,975,429 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 894,159 | $ | — | $ | 894,159 | |||||||
| Written options | Written Options | (841,611 | ) | — | (841,611 | ) | ||||||||
| $ | 52,548 | $ | — | $ | 52,548 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.51 | % | ||
| U.S. Treasury Note | 23.30 | |||
| Purchased Options | 229.56 | |||
| Total Investments | 284.37 | |||
| Written Options | (186.62 | ) | ||
| Assets in Excess of Other Liabilities | 2.25 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
37
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Apr/Oct
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 32.34% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 728 | $ | 73,259 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 492 | 53,205 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,322 | 106,670 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,345 | 106,295 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 417 | 24,073 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $351,975) | 363,502 | |||||||
Principal Amount | ||||||||
| U.S. TREASURY NOTE - 24.07% | ||||||||
| United States Treasury Note, 0.375%, 4/15/2024 (a) | $ | 281,400 | 270,484 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $272,270) | 270,484 |
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 159.80% (b)(c) | ||||||||||||
| CALL OPTIONS - 159.79% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $406.78 | 140 | $ | 6,230,560 | 644,419 | ||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.60 | 26 | 1,157,104 | 1,151,402 | |||||||||
| 1,795,821 | ||||||||||||
| PUT OPTIONS - 0.01% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $164.96 | 26 | 1,157,104 | 100 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,482,026) | 1,795,921 | |||||||||||
| Total Investments (Cost $2,106,271) - 216.21% | 2,429,907 | |||||||||||
| Liabilities in Excess of Other Assets - (116.21)% | (1,306,043 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,123,864 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $633,986. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | $ | 410.89 | 140 | $ | (6,230,560 | ) | $ | (592,680 | ) | ||||||||||
| S&P 500® Mini Index | 10/10/2023 | 164.96 | 26 | (1,157,104 | ) | (730,650 | ) | |||||||||||||
| (1,323,330 | ) | |||||||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | 369.80 | 26 | (1,157,104 | ) | (3,481 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $1,039,186) | $ | (1,326,811 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
38
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Apr/Oct
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 363,502 | $ | — | $ | — | $ | 363,502 | ||||||||
| U.S. Treasury Note | — | 270,484 | — | 270,484 | ||||||||||||
| Purchased Options | — | 1,795,921 | — | 1,795,921 | ||||||||||||
| Total Assets | $ | 363,502 | $ | 2,066,405 | $ | — | $ | 2,429,907 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,326,811 | $ | — | $ | 1,326,811 | ||||||||
| Total Liabilities | $ | — | $ | 1,326,811 | $ | — | $ | 1,326,811 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,795,921 | $ | — | $ | 1,795,921 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,326,811 | $ | — | $ | 1,326,811 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 696,162 | $ | — | $ | 696,162 | |||||||
| Written options | Written Options | (618,331 | ) | — | (618,331 | ) | ||||||||
| $ | 77,831 | $ | — | $ | 77,831 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 97,850 | $ | — | $ | 97,850 | |||||||
| Written options | Written Options | (114,260 | ) | — | (114,260 | ) | ||||||||
| $ | (16,410 | ) | $ | — | $ | (16,410 | ) | |||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 32.34 | % | ||
| U.S. Treasury Note | 24.07 | |||
| Purchased Options | 159.80 | |||
| Total Investments | 216.21 | |||
| Written Options | (118.06 | ) | ||
| Assets in Excess of Other Liabilities | 1.85 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
39
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - May/Nov
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 32.45% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 1,055 | $ | 106,165 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 723 | 78,185 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 4,829 | 155,059 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,961 | 154,978 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 606 | 34,984 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $522,247) | 529,371 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 24.04% | ||||||||
| United States Treasury Note, 0.250%, 5/15/2024 (a) | $ | 410,000 | 392,111 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $394,774) | 392,111 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 170.66% (b)(c) | ||||||||||||
| CALL OPTIONS - 170.64% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $409.60 | 229 | $ | 10,191,416 | 1,058,429 | ||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.60 | 39 | 1,735,656 | 1,725,604 | |||||||||
| 2,784,033 | ||||||||||||
| PUT OPTIONS - 0.02% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $166.10 | 39 | 1,735,656 | 292 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $2,255,687) | 2,784,325 | |||||||||||
| Total Investments (Cost $3,172,708) - 227.15% | 3,705,807 | |||||||||||
| Liabilities in Excess of Other Assets - (127.15)% | (2,074,406 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,631,401 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $921,482. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | $ | 413.74 | 229 | $ | (10,191,416 | ) | $ | (975,758 | ) | ||||||||||
| S&P 500® Mini Index | 11/10/2023 | 166.10 | 39 | (1,735,656 | ) | (1,093,249 | ) | |||||||||||||
| (2,069,007 | ) | |||||||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | 372.36 | 39 | (1,735,656 | ) | (8,318 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $1,585,958) | $ | (2,077,325 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
40
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - May/Nov
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 529,371 | $ | — | $ | — | $ | 529,371 | ||||||||
| U.S. Treasury Note | — | 392,111 | — | 392,111 | ||||||||||||
| Purchased Options | — | 2,784,325 | — | 2,784,325 | ||||||||||||
| Total Assets | $ | 529,371 | $ | 3,176,436 | $ | — | $ | 3,705,807 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 2,077,325 | $ | — | $ | 2,077,325 | ||||||||
| Total Liabilities | $ | — | $ | 2,077,325 | $ | — | $ | 2,077,325 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 2,784,325 | $ | — | $ | 2,784,325 | |||||||
| Liabilities - Written options | Options written, at value | $ | 2,077,325 | $ | — | $ | 2,077,325 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (168,446 | ) | $ | — | $ | (168,446 | ) | |||||
| Written options | Written Options | 267,557 | — | 267,557 | ||||||||||
| $ | 99,111 | $ | — | $ | 99,111 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 922,221 | $ | — | $ | 922,221 | |||||||
| Written options | Written Options | (878,699 | ) | — | (878,699 | ) | ||||||||
| $ | 43,522 | $ | — | $ | 43,522 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 32.45 | % | ||
| U.S. Treasury Note | 24.04 | |||
| Purchased Options | 170.66 | |||
| Total Investments | 227.15 | |||
| Written Options | (127.33 | ) | ||
| Assets in Excess of Other Liabilities | 0.18 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
41
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jun/Dec
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 33.10% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 709 | $ | 71,347 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 493 | 53,313 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,285 | 105,481 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,340 | 105,901 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 410 | 23,669 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $359,470) | 359,711 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 24.17% | ||||||||
| United States Treasury Note, 0.250%, 6/15/2024 (a) | $ | 275,900 | 262,721 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $263,295) | 262,721 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 139.91% (b)(c) | ||||||||||||
| CALL OPTIONS - 139.88% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $429.55 | 143 | $ | 6,364,072 | 460,155 | ||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.63 | 24 | 1,068,096 | 1,060,293 | |||||||||
| 1,520,448 | ||||||||||||
| PUT OPTIONS - 0.03% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $174.19 | 24 | 1,068,096 | 377 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,353,834) | 1,520,825 | |||||||||||
| Total Investments (Cost $1,976,599) - 197.18% | 2,143,257 | |||||||||||
| Liabilities in Excess of Other Assets - (97.18)% | (1,056,361 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,086,896 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $622,432. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | $ | 433.89 | 143 | $ | (6,364,072 | ) | $ | (412,072 | ) | ||||||||||
| S&P 500® Mini Index | 12/11/2023 | 174.19 | 24 | (1,068,096 | ) | (654,332 | ) | |||||||||||||
| (1,066,404 | ) | |||||||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | 390.50 | 24 | (1,068,096 | ) | (9,597 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $920,623) | $ | (1,076,001 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
42
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jun/Dec
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 359,711 | $ | — | $ | — | $ | 359,711 | ||||||||
| U.S. Treasury Note | — | 262,721 | — | 262,721 | ||||||||||||
| Purchased Options | — | 1,520,825 | — | 1,520,825 | ||||||||||||
| Total Assets | $ | 359,711 | $ | 1,783,546 | $ | — | $ | 2,143,257 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,076,001 | $ | — | $ | 1,076,001 | ||||||||
| Total Liabilities | $ | — | $ | 1,076,001 | $ | — | $ | 1,076,001 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,520,825 | $ | — | $ | 1,520,825 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,076,001 | $ | — | $ | 1,076,001 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 330,642 | $ | — | $ | 330,642 | |||||||
| Written options | Written Options | (261,736 | ) | — | (261,736 | ) | ||||||||
| $ | 68,906 | $ | — | $ | 68,906 | |||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 363,739 | $ | — | $ | 363,739 | |||||||
| Written options | Written Options | (341,915 | ) | — | (341,915 | ) | ||||||||
| $ | 21,824 | $ | — | $ | 21,824 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 33.10 | % | ||
| U.S. Treasury Note | 24.17 | |||
| Purchased Options | 139.91 | |||
| Total Investments | 197.18 | |||
| Written Options | (98.99 | ) | ||
| Assets in Excess of Other Liabilities | 1.81 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
43
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jan
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 29.04% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 366 | $ | 36,831 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 373 | 40,336 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,509 | 80,564 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,021 | 80,689 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 633 | 36,543 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $282,880) | 274,963 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 21.84% | ||||||||
| United States Treasury Note, 0.125%, 1/15/2024 (a) | $ | 212,600 | 206,784 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $207,493) | 206,784 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 110.90% (b)(c) | ||||||||||||
| CALL OPTIONS - 110.86% | ||||||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $401.96 | 21 | $ | 934,584 | 121,524 | ||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $0.41 | 21 | 934,584 | 927,972 | |||||||||
| 1,049,496 | ||||||||||||
| PUT OPTIONS - 0.04% | ||||||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $157.18 | 21 | 934,584 | 421 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $883,685) | 1,049,917 | |||||||||||
| Total Investments (Cost $1,374,058) - 161.78% | 1,531,664 | |||||||||||
| Liabilities in Excess of Other Assets - (61.78)% | (584,913 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 946,751 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $481,747. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 1/10/2024 | $ | 157.18 | 21 | $ | (934,584 | ) | $ | (608,713 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 1/10/2024 | 352.74 | 21 | (934,584 | ) | (5,237 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $531,605) | $ | (613,950 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
44
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jan
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 274,963 | $ | — | $ | — | $ | 274,963 | ||||||||
| U.S. Treasury Note | — | 206,784 | — | 206,784 | ||||||||||||
| Purchased Options | — | 1,049,917 | — | 1,049,917 | ||||||||||||
| Total Assets | $ | 274,963 | $ | 1,256,701 | $ | — | $ | 1,531,664 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 613,950 | $ | — | $ | 613,950 | ||||||||
| Total Liabilities | $ | — | $ | 613,950 | $ | — | $ | 613,950 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,049,917 | $ | — | $ | 1,049,917 | |||||||
| Liabilities - Written options | Options written, at value | $ | 613,950 | $ | — | $ | 613,950 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (218,261 | ) | $ | 248,859 | $ | 30,598 | ||||||
| Written options | Written Options | 147,147 | (306,849 | ) | (159,702 | ) | ||||||||
| $ | (71,114 | ) | $ | (57,990 | ) | $ | (129,104 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 402,561 | $ | (302,723 | ) | $ | 99,838 | ||||||
| Written options | Written Options | (230,216 | ) | 359,957 | 129,741 | |||||||||
| $ | 172,345 | $ | 57,234 | $ | 229,579 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 29.04 | % | ||
| U.S. Treasury Note | 21.84 | |||
| Purchased Options | 110.90 | |||
| Total Investments | 161.78 | |||
| Written Options | (64.85 | ) | ||
| Assets in Excess of Other Liabilities | 3.07 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
45
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Feb
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.16% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 394 | $ | 39,648 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 404 | 43,689 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,699 | 86,665 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,100 | 86,933 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 682 | 39,372 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $302,421) | 296,307 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.54% | ||||||||
| United States Treasury Note, 0.125%, 2/15/2024 (a) | $ | 228,800 | 221,478 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $222,126) | 221,478 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 109.56% (b)(c) | ||||||||||||
| CALL OPTIONS - 109.50% | ||||||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $417.76 | 22 | $ | 979,088 | 104,429 | ||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $0.43 | 22 | 979,088 | 971,478 | |||||||||
| 1,075,907 | ||||||||||||
| PUT OPTIONS - 0.06% | ||||||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $164.05 | 22 | 979,088 | 574 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $965,079) | 1,076,481 | |||||||||||
| Total Investments (Cost $1,489,626) - 162.26% | 1,594,266 | |||||||||||
| Liabilities in Excess of Other Assets - (62.26)% | (611,744 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 982,522 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $517,785. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 2/12/2024 | $ | 164.05 | 22 | $ | (979,088 | ) | $ | (624,254 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 2/12/2024 | 368.16 | 22 | (979,088 | ) | (8,667 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $579,491) | $ | (632,921 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
46
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Feb
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 296,307 | $ | — | $ | — | $ | 296,307 | ||||||||
| U.S. Treasury Note | — | 221,478 | — | 221,478 | ||||||||||||
| Purchased Options | — | 1,076,481 | — | 1,076,481 | ||||||||||||
| Total Assets | $ | 296,307 | $ | 1,297,959 | $ | — | $ | 1,594,266 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 632,921 | $ | — | $ | 632,921 | ||||||||
| Total Liabilities | $ | — | $ | 632,921 | $ | — | $ | 632,921 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,076,481 | $ | — | $ | 1,076,481 | |||||||
| Liabilities - Written options | Options written, at value | $ | 632,921 | $ | — | $ | 632,921 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (148,945 | ) | $ | 203,495 | $ | 54,550 | ||||||
| Written options | Written Options | 137,291 | $ | (262,495 | ) | (125,204 | ) | |||||||
| $ | (11,654 | ) | $ | (59,000 | ) | $ | (70,654 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 315,821 | $ | (252,899 | ) | $ | 62,922 | ||||||
| Written options | Written Options | (194,504 | ) | 307,381 | 112,877 | |||||||||
| $ | 121,317 | $ | 54,482 | $ | 175,799 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.16 | % | ||
| U.S. Treasury Note | 22.54 | |||
| Purchased Options | 109.56 | |||
| Total Investments | 162.26 | |||
| Written Options | (64.42 | ) | ||
| Assets in Excess of Other Liabilities | 2.16 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
47
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Mar
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 28.74% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 391 | $ | 39,346 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 406 | 43,905 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,706 | 86,890 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,106 | 87,407 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 679 | 39,199 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $298,926) | 296,747 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 21.27% | ||||||||
| United States Treasury Note, 0.250%, 3/15/2024 (a) | $ | 227,600 | 219,561 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $220,078) | 219,561 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 113.52% (b)(c) | ||||||||||||
| CALL OPTIONS - 113.45% | ||||||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $395.13 | 23 | $ | 1,023,592 | 157,112 | ||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $0.41 | 23 | 1,023,592 | 1,014,296 | |||||||||
| 1,171,408 | ||||||||||||
| PUT OPTIONS - 0.07% | ||||||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $154.87 | 23 | 1,023,592 | 676 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $955,794) | 1,172,084 | |||||||||||
| Total Investments (Cost $1,474,798) - 163.53% | 1,688,392 | |||||||||||
| Liabilities in Excess of Other Assets - (63.53)% | (655,949 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,032,443 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $516,308. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 3/11/2024 | $ | 154.87 | 23 | $ | (1,023,592 | ) | $ | (673,156 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 3/11/2024 | 347.58 | 23 | (1,023,592 | ) | (7,648 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $574,229) | $ | (680,804 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
48
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Mar
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 296,747 | $ | — | $ | — | $ | 296,747 | ||||||||
| U.S. Treasury Note | — | 219,561 | — | 219,561 | ||||||||||||
| Purchased Options | — | 1,172,084 | — | 1,172,084 | ||||||||||||
| Total Assets | $ | 296,747 | $ | 1,391,645 | $ | — | $ | 1,688,392 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 680,804 | $ | — | $ | 680,804 | ||||||||
| Total Liabilities | $ | — | $ | 680,804 | $ | — | $ | 680,804 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,172,084 | $ | — | $ | 1,172,084 | |||||||
| Liabilities - Written options | Options written, at value | $ | 680,804 | $ | — | $ | 680,804 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (170,164 | ) | $ | 136,393 | $ | (33,771 | ) | |||||
| Written options | Written Options | 153,002 | (195,371 | ) | (42,369 | ) | ||||||||
| $ | (17,162 | ) | $ | (58,978 | ) | $ | (76,140 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 391,330 | $ | (184,042 | ) | $ | 207,288 | ||||||
| Written options | Written Options | (231,987 | ) | 243,464 | 11,477 | |||||||||
| $ | 159,343 | $ | 59,422 | $ | 218,765 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 28.74 | % | ||
| U.S. Treasury Note | 21.27 | |||
| Purchased Options | 113.52 | |||
| Total Investments | 163.53 | |||
| Written Options | (65.94 | ) | ||
| Assets in Excess of Other Liabilities | 2.41 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
49
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Apr
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.35% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 404 | $ | 40,655 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 410 | 44,337 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,762 | 88,687 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,119 | 88,435 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 697 | 40,238 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $306,082) | 302,352 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.56% | ||||||||
| United States Treasury Note, 0.375%, 4/15/2024 (a) | $ | 233,800 | 224,731 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $226,215) | 224,731 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 113.61% (b)(c) | ||||||||||||
| CALL OPTIONS - 113.52% | ||||||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $418.88 | 23 | $ | 1,023,592 | 117,622 | ||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $0.43 | 23 | 1,023,592 | 1,013,286 | |||||||||
| 1,130,908 | ||||||||||||
| PUT OPTIONS - 0.09% | ||||||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $164.80 | 23 | 1,023,592 | 867 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,010,764) | 1,131,775 | |||||||||||
| Total Investments (Cost $1,543,061) - 166.52% | 1,658,858 | |||||||||||
| Liabilities in Excess of Other Assets - (66.52)% | (662,666 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 996,192 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $527,083. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 4/10/2024 | $ | 164.80 | 23 | $ | (1,023,592 | ) | $ | (652,034 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 4/10/2024 | 369.84 | 23 | (1,023,592 | ) | (12,441 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $606,913) | $ | (664,475 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
50
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Apr
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 302,352 | $ | — | $ | — | $ | 302,352 | ||||||||
| U.S. Treasury Note | — | 224,731 | — | 224,731 | ||||||||||||
| Purchased Options | — | 1,131,775 | — | 1,131,775 | ||||||||||||
| Total Assets | $ | 302,352 | $ | 1,356,506 | $ | — | $ | 1,658,858 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 664,475 | $ | — | $ | 664,475 | ||||||||
| Total Liabilities | $ | — | $ | 664,475 | $ | — | $ | 664,475 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,131,775 | $ | — | $ | 1,131,775 | |||||||
| Liabilities - Written options | Options written, at value | $ | 664,475 | $ | — | $ | 664,475 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (139,566 | ) | $ | 2,051 | $ | (137,515 | ) | |||||
| Written options | Written Options | 121,670 | (66,351 | ) | 55,319 | |||||||||
| $ | (17,896 | ) | $ | (64,300 | ) | $ | (82,196 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 322,833 | $ | (99,336 | ) | $ | 223,497 | ||||||
| Written options | Written Options | (187,729 | ) | 151,395 | (36,334 | ) | ||||||||
| $ | 135,104 | $ | 52,059 | $ | 187,163 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.35 | % | ||
| U.S. Treasury Note | 22.56 | |||
| Purchased Options | 113.61 | |||
| Total Investments | 166.52 | |||
| Written Options | (66.70 | ) | ||
| Assets in Excess of Other Liabilities | 0.18 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
51
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - May
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.22% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 406 | $ | 40,856 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 417 | 45,094 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,786 | 89,458 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,132 | 89,463 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 703 | 40,584 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $308,482) | 305,455 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.42% | ||||||||
| United States Treasury Note, 0.250%, 5/15/2024 (a) | $ | 237,000 | 226,659 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $228,198) | 226,659 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 112.12% (b)(c) | ||||||||||||
| CALL OPTIONS - 112.02% | ||||||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $420.71 | 23 | $ | 1,023,592 | 119,887 | ||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $0.43 | 23 | 1,023,592 | 1,012,457 | |||||||||
| 1,132,344 | ||||||||||||
| PUT OPTIONS - 0.10% | ||||||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $165.94 | 23 | 1,023,592 | 964 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,018,193) | 1,133,308 | |||||||||||
| Total Investments (Cost $1,554,873) - 164.76% | 1,665,422 | |||||||||||
| Liabilities in Excess of Other Assets - (64.76)% | (654,658 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,010,764 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $532,114. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 5/10/2024 | $ | 165.94 | 23 | $ | (1,023,592 | ) | $ | (650,373 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 5/10/2024 | 372.40 | 23 | (1,023,592 | ) | (14,552 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $611,053) | $ | (664,925 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
52
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - May
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 305,455 | $ | — | $ | — | $ | 305,455 | ||||||||
| U.S. Treasury Note | — | 226,659 | — | 226,659 | ||||||||||||
| Purchased Options | — | 1,133,308 | — | 1,133,308 | ||||||||||||
| Total Assets | $ | 305,455 | $ | 1,359,967 | $ | — | $ | 1,665,422 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 664,925 | $ | — | $ | 664,925 | ||||||||
| Total Liabilities | $ | — | $ | 664,925 | $ | — | $ | 664,925 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,133,308 | $ | — | $ | 1,133,308 | |||||||
| Liabilities - Written options | Options written, at value | $ | 664,925 | $ | — | $ | 664,925 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (34,856 | ) | $ | (39,241 | ) | $ | (74,097 | ) | ||||
| Written options | Written Options | 26,388 | (4,192 | ) | 22,196 | |||||||||
| $ | (8,468 | ) | $ | (43,433 | ) | $ | (51,901 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 213,372 | $ | (34,772 | ) | $ | 178,600 | ||||||
| Written options | Written Options | (125,007 | ) | 68,108 | (56,899 | ) | ||||||||
| $ | 88,365 | $ | 33,336 | $ | 121,701 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.22 | % | ||
| U.S. Treasury Note | 22.42 | |||
| Purchased Options | 112.12 | |||
| Total Investments | 164.76 | |||
| Written Options | (65.78 | ) | ||
| Assets in Excess of Other Liabilities | 1.02 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
53
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jun
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.77% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 437 | $ | 43,975 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 456 | 49,312 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,034 | 97,422 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,238 | 97,839 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 761 | 43,933 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $331,304) | 332,481 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.20% | ||||||||
| United States Treasury Note, 0.250%, 6/15/2024 (a) | $ | 255,000 | 242,819 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $243,350) | 242,819 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 105.56% (b)(c) | ||||||||||||
| CALL OPTIONS - 105.45% | ||||||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $440.07 | 23 | $ | 1,023,592 | 92,181 | ||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $0.46 | 23 | 1,023,592 | 1,011,168 | |||||||||
| 1,103,349 | ||||||||||||
| PUT OPTIONS - 0.11% | ||||||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $174.02 | 23 | 1,023,592 | 1,191 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,063,710) | 1,104,540 | |||||||||||
| Total Investments (Cost $1,638,364) - 160.53% | 1,679,840 | |||||||||||
| Liabilities in Excess of Other Assets - (60.53)% | (633,402 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,046,438 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $575,300. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 6/10/2024 | $ | 174.02 | 23 | $ | (1,023,592 | ) | $ | (633,358 | ) | ||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 6/10/2024 | 390.54 | 23 | (1,023,592 | ) | (20,717 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $634,605) | $ | (654,075 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
54
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jun
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 332,481 | $ | — | $ | — | $ | 332,481 | ||||||||
| U.S. Treasury Note | — | 242,819 | — | 242,819 | ||||||||||||
| Purchased Options | — | 1,104,540 | — | 1,104,540 | ||||||||||||
| Total Assets | $ | 332,481 | $ | 1,347,359 | $ | — | $ | 1,679,840 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 654,075 | $ | — | $ | 654,075 | ||||||||
| Total Liabilities | $ | — | $ | 654,075 | $ | — | $ | 654,075 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,104,540 | $ | — | $ | 1,104,540 | |||||||
| Liabilities - Written options | Options written, at value | $ | 654,075 | $ | — | $ | 654,075 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 119,937 | $ | (34,462 | ) | $ | 85,475 | ||||||
| Written options | Written Options | (54,505 | ) | (11,792 | ) | (66,297 | ) | |||||||
| $ | 65,432 | $ | (46,254 | ) | $ | 19,178 | ||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 98,418 | $ | (31,414 | ) | $ | 67,544 | ||||||
| Written options | Written Options | (64,203 | ) | 58,594 | (5,609 | ) | ||||||||
| $ | 34,215 | $ | 27,180 | $ | 61,935 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.77 | % | ||
| U.S. Treasury Note | 23.20 | |||
| Purchased Options | 105.56 | |||
| Total Investments | 160.53 | |||
| Written Options | (62.51 | ) | ||
| Assets in Excess of Other Liabilities | 1.98 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
55
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jul
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.29% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 985 | $ | 99,121 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,976 | 94,967 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,650 | 47,504 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,651 | 95,311 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $341,258) | 336,903 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 124.47% (b)(c) | ||||||||||||
| CALL OPTIONS - 119.59% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $394.35 | 26 | $ | 1,157,104 | 132,531 | ||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.40 | 26 | 1,157,104 | 1,155,193 | |||||||||
| 1,287,724 | ||||||||||||
| PUT OPTIONS - 4.88% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 7/10/2023, Strike Price $108.70 | 87 | 895,578 | 51,956 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 7/10/2023, Strike Price $105.47 | 90 | 973,260 | 518 | |||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $154.58 | 26 | 1,157,104 | 3 | |||||||||
| 52,477 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,175,621) | 1,340,201 | |||||||||||
| Total Investments (Cost $1,516,879) - 155.76% | 1,677,104 | |||||||||||
| Liabilities in Excess of Other Assets - (55.76)% | (600,399 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,076,705 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $336,903. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 7/10/2023 | $ | 154.58 | 26 | $ | (1,157,104 | ) | $ | (754,913 | ) | ||||||||
| Put Options | ||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 7/10/2023 | 114.42 | 87 | (895,578 | ) | (101,593 | ) | |||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 7/10/2023 | 111.02 | 90 | (973,260 | ) | (29,150 | ) | |||||||||||
| S&P 500® Mini Index | 7/10/2023 | 346.92 | 26 | (1,157,104 | ) | (48 | ) | |||||||||||
| (130,791 | ) | |||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $787,421) | $ | (885,704 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
56
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jul
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 336,903 | $ | — | $ | — | $ | 336,903 | ||||||||
| Purchased Options | — | 1,340,201 | — | 1,340,201 | ||||||||||||
| Total Assets | $ | 336,903 | $ | 1,340,201 | $ | — | $ | 1,677,104 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 885,704 | $ | — | $ | 885,704 | ||||||||
| Total Liabilities | $ | — | $ | 885,704 | $ | — | $ | 885,704 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,287,727 | $ | 52,474 | $ | 1,340,201 | |||||||
| Liabilities - Written options | Options written, at value | $ | 754,961 | $ | 130,743 | $ | 885,704 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 234,727 | $ | (75,723 | ) | $ | 159,004 | ||||||
| Written options | Written Options | (125,979 | ) | 61,015 | (64,964 | ) | ||||||||
| $ | 108,748 | $ | (14,708 | ) | $ | 94,040 | ||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.29 | % | ||
| Purchased Options | 124.47 | |||
| Total Investments | 155.76 | |||
| Written Options | (82.26 | ) | ||
| Assets in Excess of Other Liabilities | 26.50 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
57
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Aug
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 34.70% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 983 | $ | 98,919 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,987 | 95,495 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,659 | 47,763 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,660 | 95,832 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $342,394) | 338,009 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 122.76% (b)(c) | ||||||||||||
| CALL OPTIONS - 114.08% | ||||||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $430.48 | 24 | $ | 1,068,096 | 45,263 | ||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.44 | 24 | 1,068,096 | 1,065,696 | |||||||||
| 1,110,959 | ||||||||||||
| PUT OPTIONS - 8.68% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 8/10/2023, Strike Price $111.57 | 85 | 874,990 | 74,084 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 8/10/2023, Strike Price $108.17 | 88 | 951,632 | 10,412 | |||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $168.85 | 24 | 1,068,096 | 21 | |||||||||
| 84,517 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,161,714) | 1,195,476 | |||||||||||
| Total Investments (Cost $1,504,108) - 157.46% | 1,533,485 | |||||||||||
| Liabilities in Excess of Other Assets - (57.46)% | (559,527 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 973,958 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $338,009. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 8/10/2023 | $ | 168.85 | 24 | $ | (1,068,096 | ) | $ | (663,961 | ) | ||||||||
| Put Options | ||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 8/10/2023 | 117.44 | 85 | (874,990 | ) | (122,865 | ) | |||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 8/10/2023 | 113.86 | 88 | (951,632 | ) | (52,261 | ) | |||||||||||
| S&P 500® Mini Index | 8/10/2023 | 378.93 | 24 | (1,068,096 | ) | (762 | ) | |||||||||||
| (175,888 | ) | |||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $769,764) | $ | (839,849 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
58
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Aug
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 338,009 | $ | — | $ | — | $ | 338,009 | ||||||||
| Purchased Options | — | 1,195,476 | — | 1,195,476 | ||||||||||||
| Total Assets | $ | 338,009 | $ | 1,195,476 | $ | — | $ | 1,533,485 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 839,849 | $ | — | $ | 839,849 | ||||||||
| Total Liabilities | $ | — | $ | 839,849 | $ | — | $ | 839,849 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,110,980 | $ | 84,496 | $ | 1,195,476 | |||||||
| Liabilities - Written options | Options written, at value | $ | 664,723 | $ | 175,126 | $ | 839,849 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 171,145 | $ | (72,507 | ) | $ | 98,638 | ||||||
| Written options | Written Options | (90,996 | ) | 51,315 | (39,681 | ) | ||||||||
| $ | 80,149 | $ | (21,192 | ) | $ | 58,957 | ||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 34.70 | % | ||
| Purchased Options | 122.76 | |||
| Total Investments | 157.46 | |||
| Written Options | (86.24 | ) | ||
| Assets in Excess of Other Liabilities | 28.78 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
59
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Sep
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 32.55% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 976 | $ | 98,215 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,983 | 95,303 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,656 | 47,676 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,657 | 95,659 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $339,658) | 336,853 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 112.08% (b)(c) | ||||||||||||
| CALL OPTIONS - 109.59% | ||||||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $422.74 | 24 | $ | 1,068,096 | 69,725 | ||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.45 | 24 | 1,068,096 | 1,064,294 | |||||||||
| 1,134,019 | ||||||||||||
| PUT OPTIONS - 2.49% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 9/11/2023, Strike Price $102.92 | 92 | 947,048 | 22,899 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 9/11/2023, Strike Price $103.17 | 92 | 994,888 | 2,852 | |||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $164.88 | 24 | 1,068,096 | 44 | |||||||||
| 25,795 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,144,559) | 1,159,814 | |||||||||||
| Total Investments (Cost $1,484,217) - 144.63% | 1,496,667 | |||||||||||
| Liabilities in Excess of Other Assets - (44.63)% | (461,821 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,034,846 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $336,853. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 9/11/2023 | $ | 164.88 | 24 | $ | (1,068,096 | ) | $ | (673,974 | ) | ||||||||
| Put Options | ||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 9/11/2023 | 108.34 | 92 | (947,048 | ) | (55,128 | ) | |||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 9/11/2023 | 108.60 | 92 | (994,888 | ) | (16,269 | ) | |||||||||||
| S&P 500® Mini Index | 9/11/2023 | 370.00 | 24 | (1,068,096 | ) | (1,777 | ) | |||||||||||
| (73,174 | ) | |||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $760,575) | $ | (747,148 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
60
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Sep
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 336,853 | $ | — | $ | — | $ | 336,853 | ||||||||
| Purchased Options | — | 1,159,814 | — | 1,159,814 | ||||||||||||
| Total Assets | $ | 336,853 | $ | 1,159,814 | $ | — | $ | 1,496,667 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 747,148 | $ | — | $ | 747,148 | ||||||||
| Total Liabilities | $ | — | $ | 747,148 | $ | — | $ | 747,148 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,134,063 | $ | 25,751 | $ | 1,159,814 | |||||||
| Liabilities - Written options | Options written, at value | $ | 675,751 | $ | 71,397 | $ | 747,148 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 183,183 | $ | (74,851 | ) | $ | 108,332 | ||||||
| Written options | Written Options | (94,795 | ) | 80,211 | (14,584 | ) | ||||||||
| $ | 88,388 | $ | 5,360 | $ | 93,748 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 32.55 | % | ||
| Purchased Options | 112.08 | |||
| Total Investments | 144.63 | |||
| Written Options | (72.20 | ) | ||
| Assets in Excess of Other Liabilities | 27.57 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
61
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Oct
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 27.97% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 437 | $ | 43,975 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 465 | 50,285 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,036 | 97,486 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,260 | 99,578 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 748 | 43,182 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $323,208) | 334,506 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 20.23% | ||||||||
| United States Treasury Note, 0.625%, 10/15/2024 (a) | $ | 256,900 | 242,038 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $245,063) | 242,038 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 117.91% (b)(c) | ||||||||||||
| CALL OPTIONS - 117.90% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $371.18 | 27 | $ | 1,201,608 | 214,025 | ||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.38 | 27 | 1,201,608 | 1,196,273 | |||||||||
| 1,410,298 | ||||||||||||
| PUT OPTIONS - 0.01% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $144.88 | 27 | 1,201,608 | 71 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,062,943) | 1,410,369 | |||||||||||
| Total Investments (Cost $1,631,214) - 166.11% | 1,986,913 | |||||||||||
| Liabilities in Excess of Other Assets - (66.11)% | (790,763 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,196,150 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $576,544. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | $ | 144.88 | 27 | $ | (1,201,608 | ) | $ | (812,113 | ) | ||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | 325.14 | 27 | (1,201,608 | ) | (1,542 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $645,557) | $ | (813,655 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
62
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Oct
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 334,506 | $ | — | $ | — | $ | 334,506 | ||||||||
| U.S. Treasury Note | — | 242,038 | — | 242,038 | ||||||||||||
| Purchased Options | — | 1,410,369 | — | 1,410,369 | ||||||||||||
| Total Assets | $ | 334,506 | $ | 1,652,407 | $ | — | $ | 1,986,913 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 813,655 | $ | — | $ | 813,655 | ||||||||
| Total Liabilities | $ | — | $ | 813,655 | $ | — | $ | 813,655 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,410,369 | $ | — | $ | 1,410,369 | |||||||
| Liabilities - Written options | Options written, at value | $ | 813,655 | $ | — | $ | 813,655 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 260,676 | $ | — | $ | 260,676 | |||||||
| Written options | Written Options | (134,380 | ) | — | (134,380 | ) | ||||||||
| $ | 126,296 | $ | — | $ | 126,296 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 27.97 | % | ||
| U.S. Treasury Note | 20.23 | |||
| Purchased Options | 117.91 | |||
| Total Investments | 166.11 | |||
| Written Options | (68.02 | ) | ||
| Assets in Excess of Other Liabilities | 1.91 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
63
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Nov
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.13% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 433 | $ | 43,573 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 455 | 49,203 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,990 | 96,009 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,231 | 97,286 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 746 | 43,067 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $322,981) | 329,138 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.14% | ||||||||
| United States Treasury Note, 0.625%, 10/15/2024 (a) | $ | 256,700 | 241,850 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $244,788) | 241,850 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 112.34% (b)(c) | ||||||||||||
| CALL OPTIONS - 112.32% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $407.30 | 25 | $ | 1,112,600 | 120,613 | ||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.42 | 25 | 1,112,600 | 1,106,597 | |||||||||
| 1,227,210 | ||||||||||||
| PUT OPTIONS - 0.02% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $158.65 | 25 | 1,112,600 | 165 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,069,780) | 1,227,375 | |||||||||||
| Total Investments (Cost $1,637,549) - 164.61% | 1,798,363 | |||||||||||
| Liabilities in Excess of Other Assets - (64.61)% | (705,832 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,092,531 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $570,988. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | $ | 158.65 | 25 | $ | (1,112,600 | ) | $ | (719,035 | ) | ||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | 356.05 | 25 | (1,112,600 | ) | (3,919 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $646,863) | $ | (722,954 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
64
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Nov
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 329,138 | $ | — | $ | — | $ | 329,138 | ||||||||
| U.S. Treasury Note | — | 241,850 | — | 241,850 | ||||||||||||
| Purchased Options | — | 1,227,375 | — | 1,227,375 | ||||||||||||
| Total Assets | $ | 329,138 | $ | 1,469,225 | $ | — | $ | 1,798,363 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 722,954 | $ | — | $ | 722,954 | ||||||||
| Total Liabilities | $ | — | $ | 722,954 | $ | — | $ | 722,954 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,227,375 | $ | — | $ | 1,227,375 | |||||||
| Liabilities - Written options | Options written, at value | $ | 722,954 | $ | — | $ | 722,954 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 209,534 | $ | — | $ | 209,534 | |||||||
| Written options | Written Options | (106,483 | ) | — | (106,483 | ) | ||||||||
| $ | 103,051 | $ | — | $ | 103,051 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.13 | % | ||
| U.S. Treasury Note | 22.14 | |||
| Purchased Options | 112.34 | |||
| Total Investments | 164.61 | |||
| Written Options | (66.18 | ) | ||
| Assets in Excess of Other Liabilities | 1.57 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
65
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Dec
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.00% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 432 | $ | 43,472 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 438 | 47,365 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,957 | 94,949 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,206 | 95,311 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 745 | 43,009 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $324,157) | 324,106 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.41% | ||||||||
| United States Treasury Note, 0.750%, 12/31/2023 (a) | $ | 247,600 | 242,074 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $242,813) | 242,074 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 113.15% (b)(c) | ||||||||||||
| CALL OPTIONS - 113.12% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $411.83 | 25 | $ | 1,112,600 | 116,890 | ||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.42 | 25 | 1,112,600 | 1,104,982 | |||||||||
| 1,221,872 | ||||||||||||
| PUT OPTIONS - 0.03% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $160.04 | 25 | 1,112,600 | 328 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,077,506) | 1,222,200 | |||||||||||
| Total Investments (Cost $1,644,476) - 165.56% | 1,788,380 | |||||||||||
| Liabilities in Excess of Other Assets - (65.56)% | (708,175 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,080,205 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $566,179. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | $ | 160.04 | 25 | $ | (1,112,600 | ) | $ | (716,039 | ) | ||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | 359.17 | 25 | (1,112,600 | ) | (5,621 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $650,763) | $ | (721,660 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
66
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Dec
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 324,106 | $ | — | $ | — | $ | 324,106 | ||||||||
| U.S. Treasury Note | — | 242,074 | — | 242,074 | ||||||||||||
| Purchased Options | — | 1,222,200 | — | 1,222,200 | ||||||||||||
| Total Assets | $ | 324,106 | $ | 1,464,274 | $ | — | $ | 1,788,380 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 721,660 | $ | — | $ | 721,660 | ||||||||
| Total Liabilities | $ | — | $ | 721,660 | $ | — | $ | 721,660 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,222,200 | $ | — | $ | 1,222,200 | |||||||
| Liabilities - Written options | Options written, at value | $ | 721,660 | $ | — | $ | 721,660 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 206,046 | $ | — | $ | 206,046 | |||||||
| Written options | Written Options | (103,505 | ) | — | (103,505 | ) | ||||||||
| $ | 102,541 | $ | — | $ | 102,541 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.00 | % | ||
| U.S. Treasury Note | 22.41 | |||
| Purchased Options | 113.15 | |||
| Total Investments | 165.56 | |||
| Written Options | (66.81 | ) | ||
| Assets in Excess of Other Liabilities | 1.25 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
67
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jan
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 29.85% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 350 | $ | 35,221 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 357 | 38,605 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,398 | 77,000 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 976 | 77,133 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 605 | 34,927 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $270,457) | 262,886 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.43% | ||||||||
| United States Treasury Note, 0.125%, 1/15/2024 (a) | $ | 203,100 | 197,544 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $198,221) | 197,544 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 111.56% (b)(c) | ||||||||||||
| CALL OPTIONS - 110.94% | ||||||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $391.94 | 14 | $ | 623,056 | 93,267 | ||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $0.39 | 20 | 890,080 | 883,821 | |||||||||
| 977,088 | ||||||||||||
| PUT OPTIONS - 0.62% | ||||||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $352.75 | 20 | 890,080 | 4,988 | |||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $157.17 | 20 | 890,080 | 401 | |||||||||
| 5,389 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $864,365) | 982,477 | |||||||||||
| Total Investments (Cost $1,333,043) - 163.84% | 1,442,907 | |||||||||||
| Liabilities in Excess of Other Assets - (63.84)% | (562,293 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 880,614 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $460,430. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Call Options | |||||||||||||||||||
| S&P 500® Mini Index | 1/10/2024 | $ | 157.17 | 20 | $ | (890,080 | ) | $ | (579,747 | ) | |||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 1/10/2024 | 391.94 | 20 | (890,080 | ) | (9,815 | ) | ||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $528,970) | $ | (589,562 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
68
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jan
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 262,886 | $ | — | $ | — | $ | 262,886 | ||||||||
| U.S. Treasury Note | — | 197,544 | — | 197,544 | ||||||||||||
| Purchased Options | — | 982,477 | — | 982,477 | ||||||||||||
| Total Assets | $ | 262,886 | $ | 1,180,021 | $ | — | $ | 1,442,907 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 589,562 | $ | — | $ | 589,562 | ||||||||
| Total Liabilities | $ | — | $ | 589,562 | $ | — | $ | 589,562 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 982,477 | $ | — | $ | 982,477 | |||||||
| Liabilities - Written options | Options written, at value | $ | 589,562 | $ | — | $ | 589,562 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | (185,158 | ) | $ | 248,859 | $ | 63,701 | ||||||
| Written options | Written Options | 74,199 | (306,702 | ) | (232,503 | ) | ||||||||
| $ | (110,959 | ) | $ | (57,843 | ) | $ | (168,802 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 304,320 | $ | (302,723 | ) | $ | 1,597 | ||||||
| Written options | Written Options | (135,642 | ) | 359,810 | 224,168 | |||||||||
| $ | 168,678 | $ | 57,087 | $ | 225,765 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 29.85 | % | ||
| U.S. Treasury Note | 22.43 | |||
| Purchased Options | 111.56 | |||
| Total Investments | 163.84 | |||
| Written Options | (66.94 | ) | ||
| Assets in Excess of Other Liabilities | 3.10 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
69
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.05% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 358 | $ | 36,026 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 367 | 39,687 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,453 | 78,766 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,000 | 79,029 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 620 | 35,793 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $274,857) | 269,301 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 23.20% | ||||||||
| United States Treasury Note, 0.125%, 2/15/2024 (a) | $ | 207,900 | 201,247 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $201,836) | 201,247 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 111.63% (b)(c) | ||||||||||||
| CALL OPTIONS - 110.66% | ||||||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $409.05 | 14 | $ | 623,056 | 76,470 | ||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $0.41 | 20 | 890,080 | 883,201 | |||||||||
| 959,671 | ||||||||||||
| PUT OPTIONS - 0.97% | ||||||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $368.14 | 20 | 890,080 | 7,877 | |||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $164.03 | 20 | 890,080 | 521 | |||||||||
| 8,398 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $898,049) | 968,069 | |||||||||||
| Total Investments (Cost $1,374,742) - 165.88% | 1,438,617 | |||||||||||
| Liabilities in Excess of Other Assets - (65.88)% | (571,335 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 867,282 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $470,548. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Call Options | |||||||||||||||||||
| S&P 500® Mini Index | 2/12/2024 | $ | 164.03 | 20 | $ | (890,080 | ) | $ | (567,542 | ) | |||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 2/12/2024 | 409.05 | 20 | (890,080 | ) | (15,686 | ) | ||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $547,470) | $ | (583,228 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
70
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 269,301 | $ | — | $ | — | $ | 269,301 | ||||||||
| U.S. Treasury Note | — | 201,247 | — | 201,247 | ||||||||||||
| Purchased Options | — | 968,069 | — | 968,069 | ||||||||||||
| Total Assets | $ | 269,301 | $ | 1,169,316 | $ | — | $ | 1,438,617 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 583,228 | $ | — | $ | 583,228 | ||||||||
| Total Liabilities | $ | — | $ | 583,228 | $ | — | $ | 583,228 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 968,069 | $ | — | $ | 968,069 | |||||||
| Liabilities - Written options | Options written, at value | $ | 583,228 | $ | — | $ | 583,228 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | (171,825 | ) | $ | 203,342 | $ | 31,517 | ||||||
| Written options | Written Options | 69,399 | (262,495 | ) | (193,096 | ) | ||||||||
| $ | (102,426 | ) | $ | (59,153 | ) | $ | (161,579 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 247,477 | $ | (252,753 | ) | $ | (5,276 | ) | |||||
| Written options | Written Options | (108,253 | ) | 307,371 | 199,118 | |||||||||
| $ | 139,224 | $ | 54,618 | $ | 193,842 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.05 | % | ||
| U.S. Treasury Note | 23.20 | |||
| Purchased Options | 111.63 | |||
| Total Investments | 165.88 | |||
| Written Options | (67.25 | ) | ||
| Assets in Excess of Other Liabilities | 1.37 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
71
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Mar
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 29.86% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 357 | $ | 35,925 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 371 | 40,120 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,472 | 79,376 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,011 | 79,899 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 621 | 35,850 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $273,159) | 271,170 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.10% | ||||||||
| United States Treasury Note, 0.250%, 3/15/2024 (a) | $ | 208,000 | 200,654 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $201,126) | 200,654 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 116.23% (b)(c) | ||||||||||||
| CALL OPTIONS - 115.39% | ||||||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $386.17 | 16 | $ | 712,064 | 121,576 | ||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $0.39 | 21 | 934,584 | 926,135 | |||||||||
| 1,047,711 | ||||||||||||
| PUT OPTIONS - 0.84% | ||||||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $347.56 | 21 | 934,584 | 6,981 | |||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $154.86 | 21 | 934,584 | 617 | |||||||||
| 7,598 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $895,216) | 1,055,309 | |||||||||||
| Total Investments (Cost $1,369,501) - 168.19% | 1,527,133 | |||||||||||
| Liabilities in Excess of Other Assets - (68.19)% | (619,134 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 907,999 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $471,824. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Call Options | |||||||||||||||||||
| S&P 500® Mini Index | 3/11/2024 | $ | 154.86 | 21 | $ | (934,584 | ) | $ | (614,642 | ) | |||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 3/11/2024 | 386.17 | 21 | (934,584 | ) | (12,889 | ) | ||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $545,948) | $ | (627,531 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
72
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Mar
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 271,170 | $ | — | $ | — | $ | 271,170 | ||||||||
| U.S. Treasury Note | — | 200,654 | — | 200,654 | ||||||||||||
| Purchased Options | — | 1,055,309 | — | 1,055,309 | ||||||||||||
| Total Assets | $ | 271,170 | $ | 1,255,963 | $ | — | $ | 1,527,133 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 627,531 | $ | — | $ | 627,531 | ||||||||
| Total Liabilities | $ | — | $ | 627,531 | $ | — | $ | 627,531 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,055,309 | $ | — | $ | 1,055,309 | |||||||
| Liabilities - Written options | Options written, at value | $ | 627,531 | $ | — | $ | 627,531 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | (193,300 | ) | $ | 136,236 | $ | (57,064 | ) | |||||
| Written options | Written Options | 83,709 | (195,214 | ) | (111,505 | ) | ||||||||
| $ | (109,591 | ) | $ | (58,978 | ) | $ | (168,569 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 326,752 | $ | (183,933 | ) | $ | 142,819 | ||||||
| Written options | Written Options | (166,678 | ) | 243,296 | 76,618 | |||||||||
| $ | 160,074 | $ | 59,363 | $ | 219,437 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 29.86 | % | ||
| U.S. Treasury Note | 22.10 | |||
| Purchased Options | 116.23 | |||
| Total Investments | 168.19 | |||
| Written Options | (69.11 | ) | ||
| Assets in Excess of Other Liabilities | 0.92 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
73
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Apr
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.05% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 389 | $ | 39,145 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 394 | 42,607 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,659 | 85,381 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,077 | 85,115 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 672 | 38,795 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $294,636) | 291,043 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 23.15% | ||||||||
| United States Treasury Note, 0.375%, 4/15/2024 (a) | $ | 225,700 | 216,945 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $218,378) | 216,945 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 113.97% (b)(c) | ||||||||||||
| CALL OPTIONS - 112.61% | ||||||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $410.91 | 15 | $ | 667,560 | 86,227 | ||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $0.41 | 22 | 979,088 | 969,271 | |||||||||
| 1,055,498 | ||||||||||||
| PUT OPTIONS - 1.36% | ||||||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $369.82 | 22 | 979,088 | 11,897 | |||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $164.78 | 22 | 979,088 | 829 | |||||||||
| 12,726 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $989,768) | 1,068,224 | |||||||||||
| Total Investments (Cost $1,502,782) - 168.17% | 1,576,212 | |||||||||||
| Liabilities in Excess of Other Assets - (68.17)% | (638,924 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 937,288 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $507,988. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Call Options | |||||||||||||||||||
| S&P 500® Mini Index | 4/10/2024 | $ | 164.78 | 22 | $ | (979,088 | ) | $ | (623,726 | ) | |||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 4/10/2024 | 410.91 | 22 | (979,088 | ) | (22,223 | ) | ||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $603,427) | $ | (645,949 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
74
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Apr
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 291,043 | $ | — | $ | — | $ | 291,043 | ||||||||
| U.S. Treasury Note | — | 216,945 | — | 216,945 | ||||||||||||
| Purchased Options | — | 1,068,224 | — | 1,068,224 | ||||||||||||
| Total Assets | $ | 291,043 | $ | 1,285,169 | $ | — | $ | 1,576,212 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 645,949 | $ | — | $ | 645,949 | ||||||||
| Total Liabilities | $ | — | $ | 645,949 | $ | — | $ | 645,949 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,068,224 | $ | — | $ | 1,068,224 | |||||||
| Liabilities - Written options | Options written, at value | $ | 645,949 | $ | — | $ | 645,949 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | (179,224 | ) | $ | 2,388 | $ | (176,836 | ) | |||||
| Written options | Written Options | 86,580 | (68,901 | ) | 17,679 | |||||||||
| $ | (92,644 | ) | $ | (66,513 | ) | $ | (159,157 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 269,449 | $ | (103,146 | ) | $ | 166,303 | ||||||
| Written options | Written Options | (133,992 | ) | 156,950 | 22,958 | |||||||||
| $ | 135,457 | $ | 53,804 | $ | 189,261 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.05 | % | ||
| U.S. Treasury Note | 23.15 | |||
| Purchased Options | 113.97 | |||
| Total Investments | 168.17 | |||
| Written Options | (68.92 | ) | ||
| Assets in Excess of Other Liabilities | 0.75 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
75
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - May
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.89% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 409 | $ | 41,158 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 421 | 45,527 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,810 | 90,229 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,142 | 90,252 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 709 | 40,931 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $311,151) | 308,097 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.92% | ||||||||
| United States Treasury Note, 0.250%, 5/15/2024 (a) | $ | 239,000 | 228,572 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $230,124) | 228,572 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 112.88% (b)(c) | ||||||||||||
| CALL OPTIONS - 111.32% | ||||||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $413.76 | 17 | $ | 756,568 | 97,832 | ||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $0.41 | 23 | 1,023,592 | 1,012,499 | |||||||||
| 1,110,331 | ||||||||||||
| PUT OPTIONS - 1.56% | ||||||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $372.38 | 23 | 1,023,592 | 14,548 | |||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $165.92 | 23 | 1,023,592 | 964 | |||||||||
| 15,512 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,041,693) | 1,125,843 | |||||||||||
| Total Investments (Cost $1,582,968) - 166.69% | 1,662,512 | |||||||||||
| Liabilities in Excess of Other Assets - (66.69)% | (665,139 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 997,373 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $536,669. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Call Options | |||||||||||||||||||
| S&P 500® Mini Index | 5/10/2024 | $ | 165.92 | 23 | $ | (1,023,592 | ) | $ | (650,415 | ) | |||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 5/10/2024 | 413.76 | 23 | (1,023,592 | ) | (26,528 | ) | ||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $634,167) | $ | (676,943 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
76
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - May
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 308,097 | $ | — | $ | — | $ | 308,097 | ||||||||
| U.S. Treasury Note | — | 228,572 | — | 228,572 | ||||||||||||
| Purchased Options | — | 1,125,843 | — | 1,125,843 | ||||||||||||
| Total Assets | $ | 308,097 | $ | 1,354,415 | $ | — | $ | 1,662,512 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 676,943 | $ | — | $ | 676,943 | ||||||||
| Total Liabilities | $ | — | $ | 676,943 | $ | — | $ | 676,943 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,125,843 | $ | — | $ | 1,125,843 | |||||||
| Liabilities - Written options | Options written, at value | $ | 676,943 | $ | — | $ | 676,943 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | (61,403 | ) | $ | (34,194 | ) | $ | (95,597 | ) | ||||
| Written options | Written Options | 58,913 | (8,661 | ) | 50,252 | |||||||||
| $ | (2,490 | ) | $ | (42,855 | ) | $ | (45,345 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 195,131 | $ | (39,752 | ) | $ | 155,379 | ||||||
| Written options | Written Options | (109,016 | ) | 72,632 | (36,384 | ) | ||||||||
| $ | 86,115 | $ | 32,880 | $ | 118,995 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.89 | % | ||
| U.S. Treasury Note | 22.92 | |||
| Purchased Options | 112.88 | |||
| Total Investments | 166.69 | |||
| Written Options | (67.87 | ) | ||
| Assets in Excess of Other Liabilities | 1.18 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
77
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jun
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.77% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 430 | $ | 43,271 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 448 | 48,447 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,982 | 95,752 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,217 | 96,179 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 748 | 43,182 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $325,675) | 326,831 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 23.20% | ||||||||
| United States Treasury Note, 0.250%, 6/15/2024 (a) | $ | 250,600 | 238,629 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $239,151) | 238,629 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 109.09% (b)(c) | ||||||||||||
| CALL OPTIONS - 106.96% | ||||||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $433.91 | 20 | $ | 890,080 | 88,959 | ||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $0.43 | 23 | 1,023,592 | 1,011,234 | |||||||||
| 1,100,193 | ||||||||||||
| PUT OPTIONS - 2.13% | ||||||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $390.52 | 23 | 1,023,592 | 20,712 | |||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $174.00 | 23 | 1,023,592 | 1,190 | |||||||||
| 21,902 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,076,425) | 1,122,095 | |||||||||||
| Total Investments (Cost $1,641,251) - 164.06% | 1,687,555 | |||||||||||
| Liabilities in Excess of Other Assets - (64.06)% | (658,919 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,028,636 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $565,460. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Call Options | |||||||||||||||||||
| S&P 500® Mini Index | 6/10/2024 | $ | 174.00 | 23 | $ | (1,023,592 | ) | $ | (633,401 | ) | |||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 6/10/2024 | 433.91 | 23 | (1,023,592 | ) | (37,642 | ) | ||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $649,072) | $ | (671,043 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
78
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jun
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 326,831 | $ | — | $ | — | $ | 326,831 | ||||||||
| U.S. Treasury Note | — | 238,629 | — | 238,629 | ||||||||||||
| Purchased Options | — | 1,122,095 | — | 1,122,095 | ||||||||||||
| Total Assets | $ | 326,831 | $ | 1,360,724 | $ | — | $ | 1,687,555 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 671,043 | — | $ | 671,043 | |||||||||
| Total Liabilities | $ | — | $ | 671,043 | $ | — | $ | 671,043 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,122,095 | $ | — | $ | 1,122,095 | |||||||
| Liabilities - Written options | Options written, at value | $ | 671,043 | $ | — | $ | 671,043 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 67,136 | $ | (34,460 | ) | $ | 32,676 | ||||||
| Written options | Written Options | (22,176 | ) | (11,704 | ) | (33,880 | ) | |||||||
| $ | 44,960 | $ | (46,164 | ) | $ | (1,204 | ) | |||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 116,878 | $ | (31,358 | ) | $ | 85,520 | ||||||
| Written options | Written Options | (66,408 | ) | 58,574 | (7,834 | ) | ||||||||
| $ | 50,470 | $ | 27,216 | $ | 77,686 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.77 | % | ||
| U.S. Treasury Note | 23.20 | |||
| Purchased Options | 109.09 | |||
| Total Investments | 164.06 | |||
| Written Options | (65.24 | ) | ||
| Assets in Excess of Other Liabilities | 1.18 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
79
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 32.62% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 985 | $ | 99,121 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,976 | 94,967 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,650 | 47,504 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,651 | 95,311 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $341,258) | 336,903 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 126.18% (b)(c) | ||||||||||||
| CALL OPTIONS - 121.12% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $385.45 | 16 | $ | 712,064 | 95,765 | ||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.39 | 26 | 1,157,104 | 1,155,218 | |||||||||
| 1,250,983 | ||||||||||||
| PUT OPTIONS - 5.06% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 7/10/2023, Strike Price $108.68 | 87 | 895,578 | 51,782 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 7/10/2023, Strike Price $105.45 | 90 | 973,260 | 515 | |||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $346.91 | 26 | 1,157,104 | 48 | |||||||||
| S&P 500® Mini Index, Expires 7/10/2023, Strike Price $154.57 | 26 | 1,157,104 | 3 | |||||||||
| 52,348 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,207,515) | 1,303,331 | |||||||||||
| Total Investments (Cost $1,548,773) - 158.80% | 1,640,234 | |||||||||||
| Liabilities in Excess of Other Assets - (58.80)% | (607,378 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,032,856 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $336,903. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Call Options | |||||||||||||||||||
| S&P 500® Mini Index | 7/10/2023 | $ | 154.57 | 26 | $ | (1,157,104 | ) | $ | (754,939 | ) | |||||||||
| Put Options | |||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 7/10/2023 | 114.40 | 87 | (895,578 | ) | (101,420 | ) | ||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 7/10/2023 | 111.00 | 90 | (973,260 | ) | (28,971 | ) | ||||||||||||
| S&P 500® Mini Index | 7/10/2023 | 385.45 | 26 | (1,157,104 | ) | (93 | ) | ||||||||||||
| (130,484 | ) | ||||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $818,010) | $ | (885,423 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
80
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 336,903 | $ | — | $ | — | $ | 336,903 | ||||||||
| Purchased Options | — | 1,303,331 | — | 1,303,331 | ||||||||||||
| Total Assets | $ | 336,903 | $ | 1,303,331 | $ | — | $ | 1,640,234 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 885,423 | $ | — | $ | 885,423 | ||||||||
| Total Liabilities | $ | — | $ | 885,423 | $ | — | $ | 885,423 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,251,034 | $ | 52,297 | $ | 1,303,331 | |||||||
| Liabilities - Written options | Options written, at value | $ | 755,032 | $ | 130,391 | $ | 885,423 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 184,692 | $ | (75,693 | ) | $ | 108,999 | ||||||
| Written options | Written Options | (95,744 | ) | 61,067 | (34,677 | ) | ||||||||
| $ | 88,948 | $ | (14,626 | ) | $ | 74,322 | ||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 32.62 | % | ||
| Purchased Options | 126.18 | |||
| Total Investments | 158.80 | |||
| Written Options | (85.72 | ) | ||
| Assets in Excess of Other Liabilities | 26.92 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
81
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Aug
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 34.83% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 977 | $ | 98,316 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,976 | 94,967 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,649 | 47,475 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,651 | 95,311 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $340,430) | 336,069 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 123.54% (b)(c) | ||||||||||||
| CALL OPTIONS - 114.74% | ||||||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $421.01 | 15 | $ | 667,560 | 41,088 | ||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.42 | 24 | 1,068,096 | 1,065,743 | |||||||||
| 1,106,831 | ||||||||||||
| PUT OPTIONS - 8.80% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 8/10/2023, Strike Price $111.55 | 85 | 874,990 | 73,922 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 8/10/2023, Strike Price $108.15 | 87 | 940,818 | 10,209 | |||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $378.91 | 24 | 1,068,096 | 761 | |||||||||
| S&P 500® Mini Index, Expires 8/10/2023, Strike Price $168.83 | 24 | 1,068,096 | 21 | |||||||||
| 84,913 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,189,141) | 1,191,744 | |||||||||||
| Total Investments (Cost $1,529,571) - 158.37% | 1,527,813 | |||||||||||
| Liabilities in Excess of Other Assets - (58.37)% | (563,053 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 964,760 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $336,069. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
| Call Options | |||||||||||||||||
| S&P 500® Mini Index | 8/10/2023 | $ | 168.83 | 24 | $ | (1,068,096 | ) | $ | (664,008 | ) | |||||||
| Put Options | |||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 8/10/2023 | 117.42 | 85 | (874,990 | ) | (122,697 | ) | ||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 8/10/2023 | 113.84 | 87 | (940,818 | ) | (51,495 | ) | ||||||||||
| S&P 500® Mini Index | 8/10/2023 | 421.01 | 24 | (1,068,096 | ) | (3,349 | ) | ||||||||||
| (177,541 | ) | ||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $799,436) | $ | (841,549 | ) | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
82
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Aug
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 336,069 | $ | — | $ | — | $ | 336,069 | ||||||||
| Purchased Options | — | 1,191,744 | — | 1,191,744 | ||||||||||||
| Total Assets | $ | 336,069 | $ | 1,191,744 | $ | — | $ | 1,527,813 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 841,549 | $ | — | $ | 841,549 | ||||||||
| Total Liabilities | $ | — | $ | 841,549 | $ | — | $ | 841,549 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,107,613 | $ | 84,131 | $ | 1,191,744 | |||||||
| Liabilities - Written options | Options written, at value | $ | 667,357 | $ | 174,192 | $ | 841,549 |
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 119,420 | $ | (72,115 | ) | $ | 47,305 | ||||||
| Written options | Written Options | (47,050 | ) | 51,194 | 4,144 | |||||||||
| $ | 72,370 | $ | (20,921 | ) | $ | 51,449 | ||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 34.83 | % | ||
| Purchased Options | 123.54 | |||
| Total Investments | 158.37 | |||
| Written Options | (87.24 | ) | ||
| Assets in Excess of Other Liabilities | 28.87 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
83
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Sep
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 32.74% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 976 | $ | 98,215 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,983 | 95,303 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,656 | 47,676 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,657 | 95,659 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $339,658) | 336,853 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 112.26% (b)(c) | ||||||||||||
| CALL OPTIONS - 109.59% | ||||||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $411.04 | 16 | $ | 712,064 | 63,322 | ||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.41 | 24 | 1,068,096 | 1,064,389 | |||||||||
| 1,127,711 | ||||||||||||
| PUT OPTIONS - 2.67% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 9/11/2023, Strike Price $102.90 | 92 | 947,048 | 22,810 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 9/11/2023, Strike Price $103.15 | 92 | 994,888 | 2,835 | |||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $369.94 | 24 | 1,068,096 | 1,775 | |||||||||
| S&P 500® Mini Index, Expires 9/11/2023, Strike Price $164.83 | 24 | 1,068,096 | 44 | |||||||||
| 27,464 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,169,387) | 1,155,175 | |||||||||||
| Total Investments (Cost $1,509,045) - 145.00% | 1,492,028 | |||||||||||
| Liabilities in Excess of Other Assets - (45.00)% | (463,090 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,028,938 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $336,853. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |
| June 30, 2023 (Unaudited) | |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 9/11/2023 | $ | 164.83 | 24 | $ | (1,068,096 | ) | $ | (674,093 | ) | ||||||||
| Put Options | ||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 9/11/2023 | 108.32 | 92 | (947,048 | ) | (54,984 | ) | |||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 9/11/2023 | 108.58 | 92 | (994,888 | ) | (16,177 | ) | |||||||||||
| S&P 500® Mini Index | 9/11/2023 | 411.04 | 24 | (1,068,096 | ) | (5,448 | ) | |||||||||||
| (76,609 | ) | |||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $787,511) | $ | (750,702 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
84
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Sep
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 336,853 | $ | — | $ | — | $ | 336,853 | ||||||||
| Purchased Options | — | 1,155,175 | — | 1,155,175 | ||||||||||||
| Total Assets | $ | 336,853 | $ | 1,155,175 | $ | — | $ | 1,492,028 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 750,702 | $ | — | $ | 750,702 | ||||||||
| Total Liabilities | $ | — | $ | 750,702 | $ | — | $ | 750,702 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,129,530 | $ | 25,645 | $ | 1,155,175 | |||||||
| Liabilities - Written options | Options written, at value | $ | 679,541 | $ | 71,161 | $ | 750,702 |
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 133,851 | $ | (74,781 | ) | $ | 59,070 | ||||||
| Written options | Written Options | (58,635 | ) | 80,230 | 21,595 | |||||||||
| $ | 75,216 | $ | 5,449 | $ | 80,665 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 32.74 | % | ||
| Purchased Options | 112.26 | |||
| Total Investments | 145.00 | |||
| Written Options | (72.95 | ) | ||
| Assets in Excess of Other Liabilities | 27.95 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
85
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Oct
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 29.48% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 437 | $ | 43,975 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 465 | 50,285 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,036 | 97,486 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,260 | 99,578 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 748 | 43,182 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $323,208) | 334,506 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 21.33% | ||||||||
| United States Treasury Note, 0.625%, 10/15/2024 (a) | $ | 256,900 | 242,038 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $245,063) | 242,038 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 118.91% (b)(c) | ||||||||||||
| CALL OPTIONS - 118.76% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $361.24 | 17 | $ | 756,568 | 150,963 | ||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.36 | 27 | 1,201,608 | 1,196,326 | |||||||||
| 1,347,289 | ||||||||||||
| PUT OPTIONS - 0.15% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $325.12 | 27 | 1,201,608 | 1,541 | |||||||||
| S&P 500® Mini Index, Expires 10/10/2023, Strike Price $144.86 | 27 | 1,201,608 | 71 | |||||||||
| 1,612 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,092,878) | 1,348,901 | |||||||||||
| Total Investments (Cost $1,661,149) - 169.72% | 1,925,445 | |||||||||||
| Liabilities in Excess of Other Assets - (69.72)% | (790,927 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,134,518 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $576,544. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | $ | 144.86 | 27 | $ | (1,201,608 | ) | $ | (812,167 | ) | ||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 10/10/2023 | 361.24 | 27 | (1,201,608 | ) | (3,031 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $676,579) | $ | (815,198 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
86
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Oct
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 334,506 | $ | — | $ | — | $ | 334,506 | ||||||||
| U.S. Treasury Note | — | 242,038 | — | 242,038 | ||||||||||||
| Purchased Options | — | 1,348,901 | — | 1,348,901 | ||||||||||||
| Total Assets | $ | 334,506 | $ | 1,590,939 | $ | — | $ | 1,925,445 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 815,198 | $ | — | $ | 815,198 | ||||||||
| Total Liabilities | $ | — | $ | 815,198 | $ | — | $ | 815,198 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,348,901 | $ | — | $ | 1,348,901 | |||||||
| Liabilities - Written options | Options written, at value | $ | 815,198 | $ | — | $ | 815,198 |
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 204,636 | $ | — | $ | 204,636 | |||||||
| Written options | Written Options | (113,075 | ) | — | (113,075 | ) | ||||||||
| $ | 91,561 | $ | — | $ | 91,561 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 29.48 | % | ||
| U.S. Treasury Note | 21.33 | |||
| Purchased Options | 118.91 | |||
| Total Investments | 169.72 | |||
| Written Options | (71.86 | ) | ||
| Assets in Excess of Other Liabilities | 2.14 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
87
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Nov
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.40% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 433 | $ | 43,573 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 455 | 49,203 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,990 | 96,009 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,231 | 97,286 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 746 | 43,067 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $322,981) | 329,138 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.34% | ||||||||
| United States Treasury Note, 0.625%, 10/15/2024 (a) | $ | 256,700 | 241,850 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $244,788) | 241,850 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 112.88% (b)(c) | ||||||||||||
| CALL OPTIONS - 112.50% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $395.64 | 19 | $ | 845,576 | 111,518 | ||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.40 | 25 | 1,112,600 | 1,106,646 | |||||||||
| 1,218,164 | ||||||||||||
| PUT OPTIONS - 0.38% | ||||||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $356.07 | 25 | 1,112,600 | 3,921 | |||||||||
| S&P 500® Mini Index, Expires 11/10/2023, Strike Price $158.63 | 25 | 1,112,600 | 165 | |||||||||
| 4,086 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,090,428) | 1,222,250 | |||||||||||
| Total Investments (Cost $1,658,197) - 165.62% | 1,793,237 | |||||||||||
| Liabilities in Excess of Other Assets - (65.62)% | (710,484 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,082,753 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $570,988. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | $ | 158.63 | 25 | $ | (1,112,600 | ) | $ | (719,084 | ) | ||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 11/10/2023 | 395.64 | 25 | (1,112,600 | ) | (8,586 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $667,881) | $ | (727,670 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
88
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Nov
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 329,138 | $ | — | $ | — | $ | 329,138 | ||||||||
| U.S. Treasury Note | — | 241,850 | — | 241,850 | ||||||||||||
| Purchased Options | — | 1,222,250 | — | 1,222,250 | ||||||||||||
| Total Assets | $ | 329,138 | $ | 1,464,100 | $ | — | $ | 1,793,238 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 727,670 | $ | — | $ | 727,670 | ||||||||
| Total Liabilities | $ | — | $ | 727,670 | $ | — | $ | 727,670 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,222,250 | $ | — | $ | 1,222,250 | |||||||
| Liabilities - Written options | Options written, at value | $ | 727,670 | $ | — | $ | 727,670 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 162,196 | $ | — | $ | 162,196 | |||||||
| Written options | Written Options | (77,547 | ) | — | (77,547 | ) | ||||||||
| $ | 84,649 | $ | — | $ | 84,649 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 30.40 | % | ||
| U.S. Treasury Note | 22.34 | |||
| Purchased Options | 112.88 | |||
| Total Investments | 165.62 | |||
| Written Options | (67.21 | ) | ||
| Assets in Excess of Other Liabilities | 1.59 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
89
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Dec
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.29% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 540 | $ | 54,340 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 547 | 59,153 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,697 | 118,711 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,507 | 119,097 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 931 | 53,747 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $405,113) | 405,048 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.64% | ||||||||
| United States Treasury Note, 0.750%, 12/31/2023 (a) | $ | 309,600 | 302,690 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $303,615) | 302,690 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 112.96% (b)(c) | ||||||||||||
| CALL OPTIONS - 112.41% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $399.06 | 23 | $ | 1,023,592 | 133,051 | ||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.40 | 31 | 1,379,624 | 1,370,238 | |||||||||
| 1,503,289 | ||||||||||||
| PUT OPTIONS - 0.55% | ||||||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $359.15 | 31 | 1,379,624 | 6,968 | |||||||||
| S&P 500® Mini Index, Expires 12/11/2023, Strike Price $160.02 | 31 | 1,379,624 | 406 | |||||||||
| 7,374 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,360,415) | 1,510,663 | |||||||||||
| Total Investments (Cost $2,069,143) - 165.89% | 2,218,401 | |||||||||||
| Liabilities in Excess of Other Assets - (65.89)% | (881,177 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,337,224 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $707,738. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | $ | 160.02 | 31 | $ | (1,379,624 | ) | $ | (887,948 | ) | ||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 12/11/2023 | 399.06 | 31 | (1,379,624 | ) | (14,642 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $833,141) | $ | (902,590 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
90
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Dec
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 405,048 | $ | — | $ | — | $ | 405,048 | ||||||||
| U.S. Treasury Note | — | 302,690 | — | 302,690 | ||||||||||||
| Purchased Options | — | 1,510,663 | — | 1,510,663 | ||||||||||||
| Total Assets | $ | 405,048 | $ | 1,813,353 | $ | — | $ | 2,218,401 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 902,590 | $ | — | $ | 902,590 | ||||||||
| Total Liabilities | $ | — | $ | 902,590 | $ | — | $ | 902,590 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,510,663 | $ | — | $ | 1,510,663 | |||||||
| Liabilities - Written options | Options written, at value | $ | 902,590 | $ | — | $ | 902,590 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 192,982 | $ | — | $ | 192,982 | |||||||
| Written options | Written Options | (92,722 | ) | — | (92,722 | ) | ||||||||
| $ | 100,260 | $ | — | $ | 100,260 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 30.29 | % | ||
| U.S. Treasury Note | 22.64 | |||
| Purchased Options | 112.96 | |||
| Total Investments | 165.89 | |||
| Written Options | (67.49 | ) | ||
| Assets in Excess of Other Liabilities | 1.60 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
91
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 29.36% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 367 | $ | 36,931 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 374 | 40,445 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,513 | 80,692 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,023 | 80,848 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 634 | 36,601 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $283,448) | 275,517 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.06% | ||||||||
| United States Treasury Note, 0.125%, 1/15/2024 (a) | $ | 212,900 | 207,076 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $207,786) | 207,076 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 147.51% (b)(c) | ||||||||||||
| CALL OPTIONS - 147.47% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 1/10/2024, Strike Price $272.83 | 30 | $ | 1,108,260 | 316,303 | ||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $391.96 | 21 | 934,584 | 139,863 | |||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $0.43 | 21 | 934,584 | 927,930 | |||||||||
| 1,384,096 | ||||||||||||
| PUT OPTIONS - 0.04% | ||||||||||||
| S&P 500® Mini Index, Expires 1/10/2024, Strike Price $157.20 | 21 | 934,584 | 421 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,000,524) | 1,384,517 | |||||||||||
| Total Investments (Cost $1,491,758) - 198.93% | 1,867,110 | |||||||||||
| Liabilities in Excess of Other Assets - (98.93)% | (928,591 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 938,519 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $482,593. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN |
| June 30, 2023 (Unaudited) |
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Call Options | ||||||||||||||||||||
| Invesco QQQ Trust Series 1 | 1/10/2024 | $ | 293.84 | 30 | $ | (1,108,260 | ) | $ | (258,502 | ) | ||||||||||
| S&P 500® Mini Index | 1/10/2024 | 422.10 | 21 | (934,584 | ) | (86,078 | ) | |||||||||||||
| S&P 500® Mini Index | 1/10/2024 | 157.20 | 21 | (934,584 | ) | (608,674 | ) | |||||||||||||
| (953,254 | ) | |||||||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 1/10/2024 | 352.77 | 21 | (934,584 | ) | (5,239 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $638,434) | $ | (958,493 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
92
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 275,517 | $ | — | $ | — | $ | 275,517 | ||||||||
| U.S. Treasury Note | — | 207,076 | — | 207,076 | ||||||||||||
| Purchased Options | — | 1,384,517 | — | 1,384,517 | ||||||||||||
| Total Assets | $ | 275,517 | $ | 1,591,593 | $ | — | $ | 1,867,110 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 958,493 | $ | — | $ | 958,493 | ||||||||
| Total Liabilities | $ | — | $ | 958,493 | $ | — | $ | 958,493 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,384,517 | $ | — | $ | 1,384,517 | |||||||
| Liabilities - Written options | Options written, at value | $ | 958,493 | $ | — | $ | 958,493 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (317,210 | ) | $ | 248,712 | $ | (68,498 | ) | |||||
| Written options | Written Options | 257,765 | (306,702 | ) | (48,937 | ) | ||||||||
| $ | (59,445 | ) | $ | (57,990 | ) | $ | (117,435 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 731,505 | $ | (302,576 | ) | $ | 428,929 | ||||||
| Written options | Written Options | (580,534 | ) | 359,811 | (220,723 | ) | ||||||||
| $ | 150,971 | $ | 57,235 | $ | 208,206 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 29.36 | % | ||
| U.S. Treasury Note | 22.06 | |||
| Purchased Options | 147.51 | |||
| Total Investments | 198.93 | |||
| Written Options | (102.12 | ) | ||
| Assets in Excess of Other Liabilities | 3.19 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
93
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.09% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 407 | $ | 40,956 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 418 | 45,203 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,792 | 89,651 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,138 | 89,936 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 705 | 40,700 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $312,482) | 306,446 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.48% | ||||||||
| United States Treasury Note, 0.125%, 2/15/2024 (a) | $ | 236,500 | 228,932 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $229,595) | 228,932 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 138.23% (b)(c) | ||||||||||||
| CALL OPTIONS - 138.17% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 2/12/2024, Strike Price $299.70 | 32 | $ | 1,182,144 | 266,022 | ||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $409.09 | 23 | 1,023,592 | 125,553 | |||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $0.45 | 23 | 1,023,592 | 1,015,592 | |||||||||
| 1,407,167 | ||||||||||||
| PUT OPTIONS - 0.06% | ||||||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $164.07 | 23 | 1,023,592 | 600 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,078,815) | 1,407,767 | |||||||||||
| Total Investments (Cost $1,620,892) - 190.80% | 1,943,145 | |||||||||||
| Liabilities in Excess of Other Assets - (90.80)% | (924,701 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,018,444 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $535,378. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 2/12/2024 | $ | 322.18 | 32 | $ | (1,182,144 | ) | $ | (204,346 | ) | ||||||||
| S&P 500® Mini Index | 2/12/2024 | 439.73 | 23 | (1,023,592 | ) | (70,233 | ) | |||||||||||
| S&P 500® Mini Index | 2/12/2024 | 164.07 | 23 | (1,023,592 | ) | (652,585 | ) | |||||||||||
| (927,164 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 2/12/2024 | 368.18 | 23 | (1,023,592 | ) | (9,064 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $682,593) | $ | (936,228 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
94
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 306,446 | $ | — | $ | — | $ | 306,446 | ||||||||
| U.S. Treasury Note | — | 228,932 | — | 228,932 | ||||||||||||
| Purchased Options | — | 1,407,767 | — | 1,407,767 | ||||||||||||
| Total Assets | $ | 306,446 | $ | 1,636,699 | $ | — | $ | 1,943,145 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 936,228 | $ | — | $ | 936,228 | ||||||||
| Total Liabilities | $ | — | $ | 936,228 | $ | — | $ | 936,228 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,407,767 | $ | — | $ | 1,407,767 | |||||||
| Liabilities - Written options | Options written, at value | $ | 936,228 | $ | — | $ | 936,228 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (312,773 | ) | $ | 203,342 | $ | (109,431 | ) | |||||
| Written options | Written Options | 293,009 | (262,342 | ) | 30,667 | |||||||||
| $ | (19,764 | ) | $ | (59,000 | ) | $ | (78,764 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Purchased options | $ | 653,363 | $ | (252,759 | ) | $ | 400,604 | ||||||
| Written options | Written Options | (514,077 | ) | 307,209 | (206,868 | ) | ||||||||
| $ | 139,286 | $ | 54,450 | $ | 193,736 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.09 | % | ||
| U.S. Treasury Note | 22.48 | |||
| Purchased Options | 138.23 | |||
| Total Investments | 190.80 | |||
| Written Options | (91.93 | ) | ||
| Assets in Excess of Other Liabilities | 1.13 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
95
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.15% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 391 | $ | 39,346 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 406 | 43,905 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,710 | 87,018 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,108 | 87,566 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 680 | 39,256 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $299,262) | 297,091 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.31% | ||||||||
| United States Treasury Note, 0.250%, 3/15/2024 (a) | $ | 227,900 | 219,851 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $220,368) | 219,851 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 149.61% (b)(c) | ||||||||||||
| CALL OPTIONS - 149.54% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 3/11/2024, Strike Price $288.55 | 30 | $ | 1,108,260 | 284,568 | ||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $386.21 | 23 | 1,023,592 | 174,686 | |||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $0.42 | 23 | 1,023,592 | 1,014,272 | |||||||||
| 1,473,526 | ||||||||||||
| PUT OPTIONS - 0.07% | ||||||||||||
| S&P 500® Mini Index, Expires 3/11/2024, Strike Price $154.89 | 23 | 1,023,592 | 676 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,075,093) | 1,474,202 | |||||||||||
| Total Investments (Cost $1,594,723) - 202.07% | 1,991,144 | |||||||||||
| Liabilities in Excess of Other Assets - (102.07)% | (1,005,767 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 985,377 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $516,942. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 3/11/2024 | $ | 309.61 | 30 | $ | (1,108,260 | ) | $ | (229,707 | ) | ||||||||
| S&P 500® Mini Index | 3/11/2024 | 414.36 | 23 | (1,023,592 | ) | (120,397 | ) | |||||||||||
| S&P 500® Mini Index | 3/11/2024 | 154.89 | 23 | (1,023,592 | ) | (673,112 | ) | |||||||||||
| (1,023,216 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 3/11/2024 | 347.59 | 23 | (1,023,592 | ) | (7,649 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $693,288) | $ | (1,030,865 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
96
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 297,091 | $ | — | $ | — | $ | 297,091 | ||||||||
| U.S. Treasury Note | — | 219,851 | — | 219,851 | ||||||||||||
| Purchased Options | — | 1,474,202 | — | 1,474,202 | ||||||||||||
| Total Assets | $ | 297,091 | $ | 1,694,053 | $ | — | $ | 1,991,144 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,030,865 | $ | — | $ | 1,030,865 | ||||||||
| Total Liabilities | $ | — | $ | 1,030,865 | $ | — | $ | 1,030,865 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,474,202 | $ | — | $ | 1,474,202 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,030,865 | $ | — | $ | 1,030,865 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (296,865 | ) | $ | 136,079 | $ | (160,786 | ) | |||||
| Written options | Written Options | 280,643 | (195,057 | ) | 85,586 | |||||||||
| $ | (16,222 | ) | $ | (58,978 | ) | $ | (75,200 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 699,085 | $ | (183,799 | ) | $ | 515,286 | ||||||
| Written options | Written Options | (588,057 | ) | 243,126 | (344,931 | ) | ||||||||
| $ | 111,028 | $ | 59,327 | $ | 170,355 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.15 | % | ||
| U.S. Treasury Note | 22.31 | |||
| Purchased Options | 149.61 | |||
| Total Investments | 202.07 | |||
| Written Options | (104.62 | ) | ||
| Assets in Excess of Other Liabilities | 2.55 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
97
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.03% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 411 | $ | 41,359 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 416 | 44,986 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,810 | 90,230 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,138 | 89,936 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 710 | 40,988 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $311,292) | 307,499 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.14% | ||||||||
| United States Treasury Note, 0.375%, 4/15/2024 (a) | $ | 238,500 | 229,248 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $230,762) | 229,248 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 136.60% (b)(c) | ||||||||||||
| CALL OPTIONS - 136.51% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 4/10/2024, Strike Price $317.87 | 29 | $ | 1,071,318 | 207,259 | ||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $410.95 | 23 | 1,023,592 | 132,141 | |||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $0.45 | 23 | 1,023,592 | 1,013,242 | |||||||||
| 1,352,642 | ||||||||||||
| PUT OPTIONS - 0.09% | ||||||||||||
| S&P 500® Mini Index, Expires 4/10/2024, Strike Price $164.82 | 23 | 1,023,592 | 867 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,129,840) | 1,353,509 | |||||||||||
| Total Investments (Cost $1,671,894) - 190.77% | 1,890,256 | |||||||||||
| Liabilities in Excess of Other Assets - (90.77)% | (899,403 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 990,853 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $536,747. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 4/10/2024 | $ | 338.53 | 29 | $ | (1,071,318 | ) | $ | (160,002 | ) | ||||||||
| S&P 500® Mini Index | 4/10/2024 | 437.62 | 23 | (1,023,592 | ) | (84,955 | ) | |||||||||||
| S&P 500® Mini Index | 4/10/2024 | 164.82 | 23 | (1,023,592 | ) | (651,990 | ) | |||||||||||
| (896,947 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 4/10/2024 | 369.86 | 23 | (1,023,592 | ) | (12,445 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $725,749) | $ | (909,392 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
98
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 307,499 | $ | — | $ | — | $ | 307,499 | ||||||||
| U.S. Treasury Note | — | 229,248 | — | 229,248 | ||||||||||||
| Purchased Options | — | 1,353,509 | — | 1,353,509 | ||||||||||||
| Total Assets | $ | 307,499 | $ | 1,582,757 | $ | — | $ | 1,890,256 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 909,392 | $ | — | $ | 909,392 | ||||||||
| Total Liabilities | $ | — | $ | 909,392 | $ | — | $ | 909,392 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,353,509 | $ | — | $ | 1,353,509 | |||||||
| Liabilities - Written options | Options written, at value | $ | 909,392 | $ | — | $ | 909,392 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (267,413 | ) | $ | 1,146 | $ | (266,267 | ) | |||||
| Written options | Written Options | 249,210 | (66,007 | ) | 183,203 | |||||||||
| $ | (18,203 | ) | $ | (64,861 | ) | $ | (83,064 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 552,753 | $ | (98,962 | ) | $ | 453,791 | ||||||
| Written options | Written Options | (437,880 | ) | 151,429 | (286,451 | ) | ||||||||
| $ | 114,873 | $ | 52,467 | $ | 167,340 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.03 | % | ||
| U.S. Treasury Note | 23.14 | |||
| Purchased Options | 136.60 | |||
| Total Investments | 190.77 | |||
| Written Options | (91.78 | ) | ||
| Assets in Excess of Other Liabilities | 1.01 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
99
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.93% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 446 | $ | 44,881 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 458 | 49,528 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,061 | 98,289 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,244 | 98,314 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 773 | 44,625 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $338,964) | 335,637 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 22.95% | ||||||||
| United States Treasury Note, 0.250%, 5/15/2024 (a) | $ | 260,400 | 249,038 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $250,730) | 249,038 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 134.12% (b)(c) | ||||||||||||
| CALL OPTIONS - 134.02% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 5/10/2024, Strike Price $325.14 | 31 | $ | 1,145,202 | 210,000 | ||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $413.80 | 25 | 1,112,600 | 143,791 | |||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $0.46 | 25 | 1,112,600 | 1,100,426 | |||||||||
| 1,454,217 | ||||||||||||
| PUT OPTIONS - 0.10% | ||||||||||||
| S&P 500® Mini Index, Expires 5/10/2024, Strike Price $165.96 | 25 | 1,112,600 | 1,048 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,232,560) | 1,455,265 | |||||||||||
| Total Investments (Cost $1,822,254) - 188.00% | 2,039,940 | |||||||||||
| Liabilities in Excess of Other Assets - (88.00)% | (954,860 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,085,080 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $584,675. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 5/10/2024 | $ | 345.62 | 31 | $ | (1,145,202 | ) | $ | (161,860 | ) | ||||||||
| S&P 500® Mini Index | 5/10/2024 | 439.83 | 25 | (1,112,600 | ) | (94,766 | ) | |||||||||||
| S&P 500® Mini Index | 5/10/2024 | 165.96 | 25 | (1,112,600 | ) | (706,879 | ) | |||||||||||
| (963,505 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 5/10/2024 | 372.43 | 25 | (1,112,600 | ) | (15,825 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $789,751) | $ | (979,330 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
100
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 335,637 | $ | — | $ | — | $ | 335,637 | ||||||||
| U.S. Treasury Note | — | 249,038 | — | 249,038 | ||||||||||||
| Purchased Options | — | 1,455,265 | — | 1,455,265 | ||||||||||||
| Total Assets | $ | 335,637 | $ | 1,704,303 | $ | — | $ | 2,039,940 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 979,330 | $ | — | 979,330 | |||||||||
| Total Liabilities | $ | — | $ | 979,330 | $ | — | $ | 979,330 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,455,265 | $ | — | $ | 1,455,265 | |||||||
| Liabilities - Written options | Options written, at value | $ | 979,330 | $ | — | $ | 979,330 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (67,274 | ) | $ | (39,319 | ) | $ | (106,593 | ) | ||||
| Written options | Written Options | 161,218 | (3,844 | ) | 157,374 | |||||||||
| $ | 93,944 | $ | (43,163 | ) | $ | 50,781 | ||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 428,041 | $ | (34,561 | ) | $ | 393,480 | ||||||
| Written options | Written Options | (380,456 | ) | 67,869 | (312,587 | ) | ||||||||
| $ | 47,585 | $ | 33,308 | $ | 80,893 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.93 | % | ||
| U.S. Treasury Note | 22.95 | |||
| Purchased Options | 134.12 | |||
| Total Investments | 188.00 | |||
| Written Options | (90.26 | ) | ||
| Assets in Excess of Other Liabilities | 2.26 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
101
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 32.26% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 476 | $ | 47,900 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 497 | 53,745 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,304 | 106,092 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,348 | 106,533 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 829 | 47,858 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $360,846) | 362,128 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 23.57% | ||||||||
| United States Treasury Note, 0.250%, 6/15/2024 (a) | $ | 277,800 | 264,530 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $265,108) | 264,530 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 119.76% (b)(c) | ||||||||||||
| CALL OPTIONS - 119.64% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 6/10/2024, Strike Price $360.49 | 30 | $ | 1,108,260 | �� | 132,866 | |||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $433.95 | 25 | 1,112,600 | 111,127 | |||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $0.47 | 25 | 1,112,600 | 1,099,071 | |||||||||
| 1,343,064 | ||||||||||||
| PUT OPTIONS - 0.12% | ||||||||||||
| S&P 500® Mini Index, Expires 6/10/2024, Strike Price $174.04 | 25 | 1,112,600 | 1,295 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,283,644) | 1,344,359 | |||||||||||
| Total Investments (Cost $1,909,598) - 175.59% | 1,971,017 | |||||||||||
| Liabilities in Excess of Other Assets - (75.59)% | (848,516 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,122,501 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $626,658. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 6/10/2024 | $ | 383.92 | 30 | $ | (1,108,260 | ) | $ | (90,303 | ) | ||||||||
| S&P 500® Mini Index | 6/10/2024 | 462.11 | 25 | (1,112,600 | ) | (64,009 | ) | |||||||||||
| S&P 500® Mini Index | 6/10/2024 | 174.04 | 25 | (1,112,600 | ) | (688,386 | ) | |||||||||||
| (842,698 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 6/10/2024 | 390.56 | 25 | (1,112,600 | ) | (22,525 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $816,981) | $ | (865,223 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
102
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 362,128 | $ | — | $ | — | $ | 362,128 | ||||||||
| U.S. Treasury Note | — | 264,530 | — | 264,530 | ||||||||||||
| Purchased Options | — | 1,344,359 | — | 1,344,359 | ||||||||||||
| Total Assets | $ | 362,128 | $ | 1,608,889 | $ | — | $ | 1,971,017 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 865,223 | $ | — | $ | 865,223 | ||||||||
| Total Liabilities | $ | — | $ | 865,223 | $ | — | $ | 865,223 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,344,359 | $ | — | $ | 1,344,359 | |||||||
| Liabilities - Written options | Options written, at value | $ | 865,223 | $ | — | $ | 865,223 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 253,590 | $ | (34,458 | ) | $ | 219,132 | ||||||
| Written options | Written Options | (103,414 | ) | (11,526 | ) | (114,940 | ) | |||||||
| $ | 150,176 | $ | (45,984 | ) | $ | 104,192 | ||||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 205,059 | $ | (31,332 | ) | $ | 173,727 | ||||||
| Written options | Written Options | (194,833 | ) | 58,464 | (136,369 | ) | ||||||||
| $ | 10,226 | $ | 27,132 | $ | 37,358 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 32.26 | % | ||
| U.S. Treasury Note | 23.57 | |||
| Purchased Options | 119.76 | |||
| Total Investments | 175.59 | |||
| Written Options | (77.08 | ) | ||
| Assets in Excess of Other Liabilities | 1.49 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
103
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.33% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 985 | $ | 99,121 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,976 | 94,967 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,650 | 47,504 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,651 | 95,311 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $341,258) | 336,903 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 146.96% (b)(c) | ||||||||||||
| CALL OPTIONS - 142.26% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 7/10/2023, Strike Price $289.04 | 34 | $ | 1,256,028 | 274,701 | ||||||||
| SPDR S&P 500® Trust ETF, Expires 7/10/2023, Strike Price $384.23 | 26 | 1,152,528 | 154,629 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 7/10/2023, Strike Price $0.38 | 26 | 1,152,528 | 1,151,063 | |||||||||
| 1,580,393 | ||||||||||||
| PUT OPTIONS - 4.70% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 7/10/2023, Strike Price $108.66 | 87 | 895,578 | 51,609 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 7/10/2023, Strike Price $105.43 | 90 | 973,260 | 512 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 7/10/2023, Strike Price $154.08 | 26 | 1,152,528 | — | |||||||||
| 52,121 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,304,329) | 1,632,514 | |||||||||||
| Total Investments (Cost $1,645,587) - 177.29% | 1,969,417 | |||||||||||
| Liabilities in Excess of Other Assets - (77.29)% | (858,539 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,110,878 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $336,903. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 7/10/2023 | $ | 313.46 | 34 | $ | (1,256,028 | ) | $ | (191,837 | ) | ||||||||
| SPDR S&P 500® Trust ETF | 7/10/2023 | 416.71 | 26 | (1,152,528 | ) | (70,426 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 7/10/2023 | 154.08 | 26 | (1,152,528 | ) | (752,028 | ) | |||||||||||
| (1,014,291 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 7/10/2023 | 114.38 | 87 | (895,578 | ) | (101,246 | ) | |||||||||||
| iShares iBoxx $ Investment Grade Corporate | ||||||||||||||||||
| Bond ETF | 7/10/2023 | 110.98 | 90 | (973,260 | ) | (28,793 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 7/10/2023 | 345.81 | 26 | (1,152,528 | ) | (41 | ) | |||||||||||
| (130,080 | ) | |||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $919,804) | $ | (1,144,371 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
104
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 336,903 | $ | — | $ | — | $ | 336,903 | ||||||||
| Purchased Options | — | 1,632,514 | — | 1,632,514 | ||||||||||||
| Total Assets | $ | 336,903 | $ | 1,632,514 | $ | — | $ | 1,969,417 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,144,371 | $ | — | $ | 1,144,371 | ||||||||
| Total Liabilities | $ | — | $ | 1,144,371 | $ | — | $ | 1,144,371 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,580,393 | $ | 52,121 | $ | 1,632,514 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,014,332 | $ | 130,039 | $ | 1,144,371 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 475,988 | $ | (75,663 | ) | $ | 400,325 | ||||||
| Written options | Written Options | (333,258 | ) | 61,119 | (272,139 | ) | ||||||||
| $ | 142,730 | $ | (14,544 | ) | $ | 128,186 | ||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.33 | % | ||
| Purchased Options | 146.96 | |||
| Total Investments | 177.29 | |||
| Written Options | (103.02 | ) | ||
| Assets in Excess of Other Liabilities | 25.73 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
105
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 31.90% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 980 | $ | 98,617 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,980 | 95,159 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,653 | 47,590 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,654 | 95,485 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $341,221) | 336,851 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 128.39% (b)(c) | ||||||||||||
| CALL OPTIONS - 120.44% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 8/10/2023, Strike Price $325.93 | 31 | $ | 1,145,202 | 143,511 | ||||||||
| SPDR S&P 500® Trust ETF, Expires 8/10/2023, Strike Price $419.99 | 24 | 1,063,872 | 65,456 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 8/10/2023, Strike Price $0.42 | 24 | 1,063,872 | 1,062,889 | |||||||||
| 1,271,856 | ||||||||||||
| PUT OPTIONS - 7.95% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 8/10/2023, Strike Price $111.53 | 85 | 874,990 | 73,759 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 8/10/2023, Strike Price $108.13 | 88 | 951,632 | 10,240 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 8/10/2023, Strike Price $168.42 | 24 | 1,063,872 | 35 | |||||||||
| 84,034 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,294,323) | 1,355,890 | |||||||||||
| Total Investments (Cost $1,635,544) - 160.29% | 1,692,741 | |||||||||||
| Liabilities in Excess of Other Assets - (60.29)% | (636,684 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,056,057 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $336,851. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 8/10/2023 | $ | 352.04 | 31 | $ | (1,145,202 | ) | $ | (69,709 | ) | ||||||||
| SPDR S&P 500® Trust ETF | 8/10/2023 | 453.63 | 24 | (1,063,872 | ) | (7,121 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 8/10/2023 | 168.42 | 24 | (1,063,872 | ) | (662,146 | ) | |||||||||||
| (738,976 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 8/10/2023 | 117.40 | 85 | (874,990 | ) | (122,529 | ) | |||||||||||
| iShares iBoxx $ Investment Grade Corporate | ||||||||||||||||||
| Bond ETF | 8/10/2023 | 113.82 | 88 | (951,632 | ) | (51,914 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 8/10/2023 | 377.99 | 24 | (1,063,872 | ) | (809 | ) | |||||||||||
| (175,252 | ) | |||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $901,951) | $ | (914,228 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
106
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Purchased Options | $ | — | $ | 1,355,890 | $ | — | $ | 1,355,890 | ||||||||
| Exchange Traded Funds | 336,851 | — | — | 336,851 | ||||||||||||
| Total Assets | $ | 336,851 | $ | 1,355,890 | $ | — | $ | 1,692,741 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 914,228 | $ | — | $ | 914,228 | ||||||||
| Total Liabilities | $ | — | $ | 914,228 | $ | — | $ | 914,228 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,271,891 | $ | 83,999 | $ | 1,355,890 | |||||||
| Liabilities - Written options | Options written, at value | $ | 739,785 | $ | 174,443 | $ | 914,228 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 315,219 | $ | (72,480 | ) | $ | 242,739 | ||||||
| Written options | Written Options | (148,376 | ) | 51,593 | (96,783 | ) | ||||||||
| $ | 166,843 | $ | (20,887 | ) | $ | 145,956 | ||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 31.90 | % | ||
| Purchased Options | 128.39 | |||
| Total Investments | 160.29 | |||
| Written Options | (86.57 | ) | ||
| Assets in Excess of Other Liabilities | 26.28 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
107
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.43% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 977 | $ | 98,316 | |||||
| Schwab Short-Term U.S. Treasury ETF (a) | 1,984 | 95,351 | ||||||
| SPDR Portfolio Short Term Treasury ETF (a) | 1,656 | 47,676 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 1,658 | 95,716 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $339,865) | 337,059 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 124.43% (b)(c) | ||||||||||||
| CALL OPTIONS - 122.13% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 9/11/2023, Strike Price $310.74 | 31 | $ | 1,145,202 | 196,050 | ||||||||
| SPDR S&P 500® Trust ETF, Expires 9/11/2023, Strike Price $410.97 | 24 | 1,063,872 | 93,763 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 9/11/2023, Strike Price $0.41 | 24 | 1,063,872 | 1,063,104 | |||||||||
| 1,352,917 | ||||||||||||
| PUT OPTIONS - 2.30% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, Expires 9/11/2023, Strike Price $102.88 | 92 | 947,048 | 22,721 | |||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 9/11/2023, Strike Price $103.13 | 92 | 994,888 | 2,819 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 9/11/2023, Strike Price $164.80 | 24 | 1,063,872 | 52 | |||||||||
| 25,592 | ||||||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,280,578) | 1,378,509 | |||||||||||
| Total Investments (Cost $1,620,443) - 154.86% | 1,715,568 | |||||||||||
| Liabilities in Excess of Other Assets - (54.86)% | (607,741 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,107,827 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $337,059. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 9/11/2023 | $ | 336.81 | 31 | $ | (1,145,202 | ) | $ | (121,308 | ) | ||||||||
| SPDR S&P 500® Trust ETF | 9/11/2023 | 445.45 | 24 | (1,063,872 | ) | (25,556 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 9/11/2023 | 164.80 | 24 | (1,063,872 | ) | (672,884 | ) | |||||||||||
| (819,748 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF | 9/11/2023 | 108.30 | 92 | (947,048 | ) | (54,838 | ) | |||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 9/11/2023 | 108.56 | 92 | (994,888 | ) | (16,086 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 9/11/2023 | 369.87 | 24 | (1,063,872 | ) | (1,749 | ) | |||||||||||
| (72,673 | ) | |||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $896,303) | $ | (892,421 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
108
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 337,059 | $ | — | $ | — | $ | 337,059 | ||||||||
| Purchased Options | — | 1,378,509 | — | 1,378,509 | ||||||||||||
| Total Assets | $ | 337,059 | $ | 1,378,509 | $ | — | $ | 1,715,568 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 892,421 | $ | — | $ | 892,421 | ||||||||
| Total Liabilities | $ | — | $ | 892,421 | $ | — | $ | 892,421 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,352,969 | $ | 25,540 | $ | 1,378,509 | |||||||
| Liabilities - Written options | Options written, at value | $ | 821,497 | $ | 70,924 | $ | 892,421 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 363,763 | $ | (74,713 | ) | $ | 289,050 | ||||||
| Written options | Written Options | (209,095 | ) | 80,248 | (128,847 | ) | ||||||||
| $ | 154,668 | $ | 5,535 | $ | 160,203 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 30.43 | % | ||
| Purchased Options | 124.43 | |||
| Total Investments | 154.86 | |||
| Written Options | (80.56 | ) | ||
| Assets in Excess of Other Liabilities | 25.70 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
109
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 28.59% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 437 | $ | 43,975 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 465 | 50,285 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 3,036 | 97,486 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,260 | 99,578 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 748 | 43,182 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $323,208) | 334,506 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 20.69% | ||||||||
| United States Treasury Note, 0.625%, 10/15/2024 (a) | $ | 256,900 | 242,038 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $245,063) | 242,038 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 155.25% (b)(c) | ||||||||||||
| CALL OPTIONS - 155.24% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 10/10/2023, Strike Price $266.41 | 36 | $ | 1,329,912 | 385,822 | ||||||||
| SPDR S&P 500® Trust ETF, Expires 10/10/2023, Strike Price $360.02 | 27 | 1,196,856 | 238,619 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 10/10/2023, Strike Price $0.36 | 27 | 1,196,856 | 1,191,920 | |||||||||
| 1,816,361 | ||||||||||||
| PUT OPTIONS - 0.01% | ||||||||||||
| SPDR S&P 500® Trust ETF, Expires 10/10/2023, Strike Price $144.37 | 27 | 1,196,856 | 89 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,210,165) | 1,816,450 | |||||||||||
| Total Investments (Cost $1,778,436) - 204.53% | 2,392,994 | |||||||||||
| Liabilities in Excess of Other Assets - (104.53)% | (1,222,950 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,170,044 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $576,544. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 10/10/2023 | $ | 293.61 | 36 | $ | (1,329,912 | ) | $ | (291,639 | ) | ||||||||
| SPDR S&P 500® Trust ETF | 10/10/2023 | 396.78 | 27 | (1,196,856 | ) | (144,781 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 10/10/2023 | 144.37 | 27 | (1,196,856 | ) | (809,080 | ) | |||||||||||
| (1,245,500 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| SPDR S&P 500® Trust ETF | 10/10/2023 | 324.02 | 27 | (1,196,856 | ) | (1,583 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $793,928) | $ | (1,247,083 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
110
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 334,506 | $ | — | $ | — | $ | 334,506 | ||||||||
| U.S. Treasury Note | — | 242,038 | — | 242,038 | ||||||||||||
| Purchased Options | — | 1,816,450 | — | 1,816,450 | ||||||||||||
| Total Assets | $ | 334,506 | $ | 2,058,488 | $ | — | $ | 2,392,994 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,247,083 | $ | — | $ | 1,247,083 | ||||||||
| Total Liabilities | $ | — | $ | 1,247,083 | $ | — | $ | 1,247,083 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,816,450 | $ | — | $ | 1,816,450 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,247,083 | $ | — | $ | 1,247,083 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 547,824 | $ | — | $ | 547,824 | |||||||
| Written options | Written Options | (436,154 | ) | — | (436,154 | ) | ||||||||
| $ | 111,670 | $ | — | $ | 111,670 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 28.59 | % | ||
| U.S. Treasury Note | 20.69 | |||
| Purchased Options | 155.25 | |||
| Total Investments | 204.53 | |||
| Written Options | (106.59 | ) | ||
| Assets in Excess of Other Liabilities | 2.06 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
111
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 29.11% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 433 | $ | 43,573 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 455 | 49,203 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,990 | 96,009 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,231 | 97,286 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 746 | 43,067 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $322,981) | 329,138 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 21.40% | ||||||||
| United States Treasury Note, 0.625%, 10/15/2024 (a) | $ | 256,800 | 241,944 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $244,883) | 241,944 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 139.45% (b)(c) | ||||||||||||
| CALL OPTIONS - 139.43% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 11/10/2023, Strike Price $282.75 | 35 | $ | 1,292,970 | 326,300 | ||||||||
| SPDR S&P 500® Trust ETF, Expires 11/10/2023, Strike Price $394.69 | 25 | 1,108,200 | 146,127 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 11/10/2023, Strike Price $0.39 | 25 | 1,108,200 | 1,103,734 | |||||||||
| 1,576,161 | ||||||||||||
| PUT OPTIONS - 0.02% | ||||||||||||
| SPDR S&P 500® Trust ETF, Expires 11/10/2023, Strike Price $158.27 | 25 | 1,108,200 | 232 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,215,386) | 1,576,393 | |||||||||||
| Total Investments (Cost $1,783,250) - 189.96% | 2,147,475 | |||||||||||
| Liabilities in Excess of Other Assets - (89.96)% | (1,016,996 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,130,479 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $571,082. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 11/10/2023 | $ | 308.14 | 35 | $ | (1,292,970 | ) | $ | (243,621 | ) | ||||||||
| SPDR S&P 500® Trust ETF | 11/10/2023 | 430.13 | 25 | (1,108,200 | ) | (69,772 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 11/10/2023 | 158.27 | 25 | (1,108,200 | ) | (717,080 | ) | |||||||||||
| (1,030,473 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| SPDR S&P 500® Trust ETF | 11/10/2023 | 355.22 | 25 | (1,108,200 | ) | (3,971 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $793,056) | $ | (1,034,444 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
112
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 329,138 | $ | — | $ | — | $ | 329,138 | ||||||||
| U.S. Treasury Note | — | 241,944 | — | 241,944 | ||||||||||||
| Purchased Options | — | 1,576,393 | — | 1,576,393 | ||||||||||||
| Total Assets | $ | 329,138 | $ | 1,818,337 | $ | — | $ | 2,147,475 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,034,444 | $ | — | $ | 1,034,444 | ||||||||
| Total Liabilities | $ | — | $ | 1,034,444 | $ | — | $ | 1,034,444 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,576,393 | $ | — | $ | 1,576,393 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,034,444 | $ | — | $ | 1,034,444 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 466,420 | $ | — | $ | 466,420 | |||||||
| Written options | Written Options | (331,480 | ) | — | (331,480 | ) | ||||||||
| $ | 134,940 | $ | — | $ | 134,940 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 29.11 | % | ||
| U.S. Treasury Note | 21.40 | |||
| Purchased Options | 139.45 | |||
| Total Investments | 189.96 | |||
| Written Options | (91.50 | ) | ||
| Assets in Excess of Other Liabilities | 1.54 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
113
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 29.05% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 432 | $ | 43,472 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 438 | 47,365 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,957 | 94,949 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,206 | 95,311 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 745 | 43,009 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $324,157) | 324,106 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 21.70% | ||||||||
| United States Treasury Note, 0.750%, 12/31/2023 (a) | $ | 247,600 | 242,073 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $242,813) | 242,073 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 140.05% (b)(c) | ||||||||||||
| CALL OPTIONS - 140.03% | ||||||||||||
| Invesco QQQ Trust Series 1, Expires 12/11/2023, Strike Price $285.58 | 34 | $ | 1,256,028 | 314,235 | ||||||||
| SPDR S&P 500® Trust ETF, Expires 12/11/2023, Strike Price $398.95 | 25 | 1,108,200 | 143,686 | |||||||||
| SPDR S&P 500® Trust ETF, Expires 12/11/2023, Strike Price $0.40 | 25 | 1,108,200 | 1,104,035 | |||||||||
| 1,561,956 | ||||||||||||
| PUT OPTIONS - 0.02% | ||||||||||||
| SPDR S&P 500® Trust ETF, Expires 12/11/2023, Strike Price $159.98 | 25 | 1,108,200 | 265 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $1,222,710) | 1,562,221 | |||||||||||
| Total Investments (Cost $1,789,680) - 190.80% | 2,128,400 | |||||||||||
| Liabilities in Excess of Other Assets - (90.80)% | (1,012,900 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,115,500 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $566,179. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| Invesco QQQ Trust Series 1 | 12/11/2023 | $ | 310.97 | 34 | $ | (1,256,028 | ) | $ | (235,642 | ) | ||||||||
| SPDR S&P 500® Trust ETF | 12/11/2023 | 434.42 | 25 | (1,108,200 | ) | (69,677 | ) | |||||||||||
| SPDR S&P 500® Trust ETF | 12/11/2023 | 159.98 | 25 | (1,108,200 | ) | (715,119 | ) | |||||||||||
| (1,020,438 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| SPDR S&P 500® Trust ETF | 12/11/2023 | 359.06 | 25 | (1,108,200 | ) | (5,539 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $795,729) | $ | (1,025,977 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
114
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 324,106 | $ | — | $ | — | $ | 324,106 | ||||||||
| U.S. Treasury Note | — | 242,073 | — | 242,073 | ||||||||||||
| Purchased Options | — | 1,562,221 | — | 1,562,221 | ||||||||||||
| Total Assets | $ | 324,106 | $ | 1,804,294 | $ | — | $ | 2,128,400 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 1,025,977 | $ | — | $ | 1,025,977 | ||||||||
| Total Liabilities | $ | — | $ | 1,025,977 | $ | — | $ | 1,025,977 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,562,221 | $ | — | $ | 1,562,221 | |||||||
| Liabilities - Written options | Options written, at value | $ | 1,025,977 | $ | — | $ | 1,025,977 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 451,158 | $ | — | $ | 451,158 | |||||||
| Written options | Written Options | (317,750 | ) | — | (317,750 | ) | ||||||||
| $ | 133,408 | $ | — | $ | 133,408 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 29.05 | % | ||
| U.S. Treasury Note | 21.70 | |||
| Purchased Options | 140.05 | |||
| Total Investments | 190.80 | |||
| Written Options | (91.97 | ) | ||
| Assets in Excess of Other Liabilities | 1.17 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
115
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (I)
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 62.41% | ||||||||
| Invesco BulletShares 2028 Corporate Bond ETF (a) | 3,974 | $ | 78,467 | |||||
| Invesco BulletShares 2029 Corporate Bond ETF (a) | 11,780 | 211,395 | ||||||
| iShares iBonds Dec 2028 Term Corporate ETF (a) | 3,186 | 78,057 | ||||||
| iShares iBonds Dec 2029 Term Corporate ETF (a) | 9,356 | 210,042 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $660,975) | 577,961 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 21.41% | ||||||||
| United States Treasury Note, 0.750%, 1/31/2028 (a) | $ | 231,200 | 198,286 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $221,776) | 198,286 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 20.73% (b)(c) | ||||||||||||
| CALL OPTIONS - 20.73% | ||||||||||||
| S&P 500® Mini Index, Expires 1/10/2028, Strike Price $467.03 | 23 | $ | 1,023,592 | 191,973 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $207,500) | 191,973 | |||||||||||
| Total Investments (Cost $1,090,251) - 104.55% | 968,220 | |||||||||||
| Liabilities in Excess of Other Assets - (4.55)% | (42,091 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 926,129 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $776,247. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 1/10/2028 | $ | 373.62 | 21 | $ | (934,584 | ) | $ | (59,901 | ) | ||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $86,357) | $ | (59,901 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
116
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (I)
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 577,961 | $ | — | $ | — | $ | 577,961 | ||||||||
| U.S. Treasury Note | — | 198,286 | — | 198,286 | ||||||||||||
| Purchased Options | — | 191,973 | — | 191,973 | ||||||||||||
| Total Assets | $ | 577,961 | $ | 390,259 | $ | — | $ | 968,220 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 59,901 | $ | — | $ | 59,901 | ||||||||
| Total Liabilities | $ | — | $ | 59,901 | $ | — | $ | 59,901 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 191,973 | $ | — | $ | 191,973 | |||||||
| Liabilities - Written options | Options written, at value | $ | 59,901 | $ | — | $ | 59,901 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 52,840 | $ | — | $ | 52,840 | |||||||
| Written options | Written Options | 36,857 | — | 36,857 | ||||||||||
| $ | 89,697 | $ | — | $ | 89,697 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 62.41 | % | ||
| U.S. Treasury Note | 21.41 | |||
| Purchased Options | 20.73 | |||
| Total Investments | 104.55 | |||
| Written Options | (6.47 | ) | ||
| Assets in Excess of Other Liabilities | 1.92 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
117
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (I)
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 56.61% | ||||||||
| Invesco BulletShares 2028 Corporate Bond ETF (a) | 6,641 | $ | 131,127 | |||||
| Invesco BulletShares 2029 Corporate Bond ETF (a) | 21,357 | 383,257 | ||||||
| iShares iBonds Dec 2028 Term Corporate ETF (a) | 5,318 | 130,291 | ||||||
| iShares iBonds Dec 2029 Term Corporate ETF (a) | 16,950 | 380,528 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $1,062,856) | 1,025,203 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 19.28% | ||||||||
| United States Treasury Note, 1.250%, 4/30/2028 (a) | $ | 399,800 | 349,146 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $368,620) | 349,146 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 27.67% (b)(c) | ||||||||||||
| CALL OPTIONS - 27.67% | ||||||||||||
| S&P 500® Mini Index, Expires 4/10/2028, Strike Price $441.28 | 50 | $ | 2,225,200 | 501,037 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $440,407) | 501,037 | |||||||||||
| Total Investments (Cost $1,871,883) - 103.56% | 1,875,386 | |||||||||||
| Liabilities in Excess of Other Assets - (3.56)% | (64,419 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,810,967 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $1,374,349. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 4/10/2028 | $ | 353.03 | 40 | $ | (1,780,160 | ) | $ | (101,207 | ) | |||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $147,666) | $ | (101,207 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
118
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (I)
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 1,025,203 | $ | — | $ | — | $ | 1,025,203 | ||||||||
| U.S. Treasury Note | — | 349,146 | — | 349,146 | ||||||||||||
| Purchased Options | — | 501,037 | — | 501,037 | ||||||||||||
| Total Assets | $ | 1,025,203 | $ | 850,183 | $ | — | $ | 1,875,386 | �� | |||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 101,207 | $ | — | $ | 101,207 | ||||||||
| Total Liabilities | $ | — | $ | 101,207 | $ | — | $ | 101,207 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 501,037 | $ | — | $ | 501,037 | |||||||
| Liabilities - Written options | Options written, at value | $ | 101,207 | $ | — | $ | 101,207 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 132,124 | $ | — | $ | 132,124 | |||||||
| Written options | Written Options | 60,933 | — | 60,933 | ||||||||||
| $ | 193,057 | $ | — | $ | 193,057 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 56.61 | % | ||
| U.S. Treasury Note | 19.28 | |||
| Purchased Options | 27.67 | |||
| Total Investments | 103.56 | |||
| Written Options | (5.59 | ) | ||
| Assets in Excess of Other Liabilities | 2.03 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
119
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jul (I)
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 49.11% | ||||||||
| Invesco BulletShares 2028 Corporate Bond ETF (a) | 9,557 | $ | 188,703 | |||||
| Invesco BulletShares 2029 Corporate Bond ETF (a) | 30,868 | 553,935 | ||||||
| iShares iBonds Dec 2028 Term Corporate ETF (a) | 7,686 | 188,307 | ||||||
| iShares iBonds Dec 2029 Term Corporate ETF (a) | 24,590 | 552,046 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $1,506,334) | 1,482,991 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 16.82% | ||||||||
| United States Treasury Note, 1.000%, 7/31/2028 (a) | $ | 592,200 | 507,811 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $530,600) | 507,811 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 36.41% (b)(c) | ||||||||||||
| CALL OPTIONS - 36.41% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2028, Strike Price $385.44 | 82 | $ | 3,649,328 | 1,099,462 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $857,722) | 1,099,462 | |||||||||||
| Total Investments (Cost $2,894,656) - 102.34% | 3,090,264 | |||||||||||
| Liabilities in Excess of Other Assets - (2.34)% | (70,450 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 3,019,814 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $1,990,802. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 7/10/2028 | $ | 308.35 | 69 | $ | (3,070,776 | ) | $ | (125,239 | ) | |||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $187,123) | $ | (125,239 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
120
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jul (I)
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 1,482,991 | $ | — | $ | — | $ | 1,482,991 | ||||||||
| U.S. Treasury Note | — | 507,811 | — | 507,811 | ||||||||||||
| Purchased Options | — | 1,099,462 | — | 1,099,462 | ||||||||||||
| Total Assets | $ | 1,482,991 | $ | 1,607,273 | $ | — | $ | 3,090,264 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 125,239 | $ | — | $ | 125,239 | ||||||||
| Total Liabilities | $ | — | $ | 125,239 | $ | — | $ | 125,239 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,099,462 | $ | — | $ | 1,099,462 | |||||||
| Liabilities - Written options | Options written, at value | $ | 125,239 | $ | — | $ | 125,239 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 262,330 | $ | — | $ | 262,330 | |||||||
| Written options | Written Options | 78,366 | — | 78,366 | ||||||||||
| $ | 340,696 | $ | — | $ | 340,696 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 49.11 | % | ||
| U.S. Treasury Note | 16.82 | |||
| Purchased Options | 36.41 | |||
| Total Investments | 102.34 | |||
| Written Options | (4.15 | ) | ||
| Assets in Excess of Other Liabilities | 1.81 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
121
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Oct (I)
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 48.75% | ||||||||
| Invesco BulletShares 2028 Corporate Bond ETF (a) | 10,492 | $ | 207,165 | |||||
| Invesco BulletShares 2029 Corporate Bond ETF (a) | 3,941 | 70,722 | ||||||
| iShares iBonds Dec 2028 Term Corporate ETF (a) | 8,486 | 207,907 | ||||||
| iShares iBonds Dec 2029 Term Corporate ETF (a) | 3,138 | 70,448 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $536,065) | 556,242 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 16.69% | ||||||||
| United States Treasury Note, 1.375%, 10/31/2028 (a) | $ | 219,000 | 190,513 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $190,296) | 190,513 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 35.77% (b)(c) | ||||||||||||
| CALL OPTIONS - 35.77% | ||||||||||||
| S&P 500® Mini Index, Expires 10/10/2028, Strike Price $361.24 | 27 | $ | 1,201,608 | 408,286 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $337,628) | 408,286 | |||||||||||
| Total Investments (Cost $1,063,989) - 101.21% | 1,155,041 | |||||||||||
| Liabilities in Excess of Other Assets - (1.21)% | (13,857 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,141,184 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $746,755. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 10/10/2028 | $ | 289.00 | 27 | $ | (1,201,608 | ) | $ | (42,965 | ) | |||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $77,470) | $ | (42,965 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
122
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Oct (I)
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 556,242 | $ | — | $ | — | $ | 556,242 | ||||||||
| U.S. Treasury Note | — | 190,513 | — | 190,513 | ||||||||||||
| Purchased Options | — | 408,286 | — | 408,286 | ||||||||||||
| Total Assets | $ | 556,242 | $ | 598,799 | $ | — | $ | 1,155,041 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 42,965 | $ | — | $ | 42,965 | ||||||||
| Total Liabilities | $ | — | $ | 42,965 | $ | — | $ | 42,965 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 408,286 | $ | — | $ | 408,286 | |||||||
| Liabilities - Written options | Options written, at value | $ | 42,965 | $ | — | $ | 42,965 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 93,564 | $ | — | $ | 93,564 | |||||||
| Written options | Written Options | 26,717 | — | 26,717 | ||||||||||
| $ | 120,281 | $ | — | $ | 120,281 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 48.75 | % | ||
| U.S. Treasury Note | 16.69 | |||
| Purchased Options | 35.77 | |||
| Total Investments | 101.21 | |||
| Written Options | (3.76 | ) | ||
| Assets in Excess of Other Liabilities | 2.55 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
123
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 51.84% | ||||||||
| Invesco BulletShares 2029 Corporate Bond ETF (a) | 10,229 | $ | 183,562 | |||||
| Invesco Bulletshares 2031 Corporate Bond ETF (a) | 5,792 | 92,471 | ||||||
| iShares iBonds Dec 2029 Term Corporate ETF (a) | 8,173 | 183,484 | ||||||
| iShares iBonds Dec 2031 Term Corporate ETF (a) | 4,588 | 92,999 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $565,914) | 552,516 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 17.65% | ||||||||
| United States Treasury Note, 1.750%, 1/31/2029 (a) | $ | 212,900 | 188,179 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $193,743) | 188,179 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 33.52% (b)(c) | ||||||||||||
| CALL OPTIONS - 33.52% | ||||||||||||
| S&P 500® Mini Index, Expires 1/10/2029, Strike Price $398.31 | 27 | $ | 1,201,608 | 357,371 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $292,727) | 357,371 | |||||||||||
| Total Investments (Cost $1,052,384) - 103.01% | 1,098,066 | |||||||||||
| Liabilities in Excess of Other Assets - (3.01)% | (32,100 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,065,966 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $740,695. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 1/10/2029 | $ | 318.65 | 25 | $ | (1,112,600 | ) | $ | (53,029 | ) | |||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $63,381) | $ | (53,029 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
124
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 552,516 | $ | — | $ | — | $ | 552,516 | ||||||||
| U.S. Treasury Note | — | 188,179 | — | 188,179 | ||||||||||||
| Purchased Options | — | 357,371 | — | 357,371 | ||||||||||||
| Total Assets | $ | 552,516 | $ | 545,550 | $ | — | $ | 1,098,066 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 53,029 | $ | — | $ | 53,029 | ||||||||
| Total Liabilities | $ | — | $ | 53,029 | $ | — | $ | 53,029 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 357,371 | $ | — | $ | 357,371 | |||||||
| Liabilities - Written options | Options written, at value | $ | 53,029 | $ | — | $ | 53,029 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 64,644 | $ | — | $ | 64,644 | |||||||
| Written options | Written Options | 10,352 | — | 10,352 | ||||||||||
| $ | 74,996 | $ | — | $ | 74,996 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 51.84 | % | ||
| U.S. Treasury Note | 17.65 | |||
| Purchased Options | 33.52 | |||
| Total Investments | 103.01 | |||
| Written Options | (4.97 | ) | ||
| Assets in Excess of Other Liabilities | 1.96 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
125
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 52.12% | ||||||||
| Invesco BulletShares 2029 Corporate Bond ETF (a) | 8,501 | $ | 152,553 | |||||
| Invesco Bulletshares 2031 Corporate Bond ETF (a) | 7,759 | 123,875 | ||||||
| iShares iBonds Dec 2029 Term Corporate ETF (a) | 6,812 | 152,929 | ||||||
| iShares iBonds Dec 2031 Term Corporate ETF (a) | 6,127 | 124,194 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $564,797) | 553,551 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 17.56% | ||||||||
| United States Treasury Note, 2.875%, 4/30/2029 (a) | $ | 198,900 | 186,508 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $192,136) | 186,508 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 33.83% (b)(c) | ||||||||||||
| CALL OPTIONS - 33.83% | ||||||||||||
| S&P 500® Mini Index, Expires 4/10/2029, Strike Price $410.91 | 28 | $ | 1,246,112 | 359,260 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $302,617) | 359,260 | |||||||||||
| Total Investments (Cost $1,059,550) - 103.51% | 1,099,319 | |||||||||||
| Liabilities in Excess of Other Assets - (3.51)% | (37,291 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,062,028 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $740,059. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
| SCHEDULE OF OPTIONS WRITTEN | |||||||||||||||||||
| June 30, 2023 (Unaudited) | |||||||||||||||||||
| Notional | |||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | ||||||||||||||
| Put Options | |||||||||||||||||||
| S&P 500® Mini Index | 4/10/2029 | $ | 328.73 | 24 | $ | (1,068,096 | ) | $ | (56,737 | ) | |||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $74,238) | $ | (56,737 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
126
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 553,551 | $ | — | $ | — | $ | 553,551 | ||||||||
| U.S. Treasury Note | — | 186,508 | — | 186,508 | ||||||||||||
| Purchased Options | — | 359,260 | — | 359,260 | ||||||||||||
| Total Assets | $ | 553,551 | $ | 545,768 | $ | — | $ | 1,099,319 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 56,737 | $ | — | $ | 56,737 | ||||||||
| Total Liabilities | $ | — | $ | 56,737 | $ | — | $ | 56,737 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 359,260 | $ | — | $ | 359,260 | |||||||
| Liabilities - Written options | Options written, at value | $ | 56,737 | $ | — | $ | 56,737 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Interest Rate | ||||||||||||||
| Location | Equity Risk | Risk | Total | |||||||||||
| Purchased options | Investments | $ | 56,643 | $ | — | $ | 56,643 | |||||||
| Written options | Written Options | 17,501 | — | 17,501 | ||||||||||
| $ | 74,144 | $ | — | $ | 74,144 | |||||||||
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Exchange Traded Funds | 52.12 | % | ||
| U.S. Treasury Note | 17.56 | |||
| Purchased Options | 33.83 | |||
| Total Investments | 103.51 | |||
| Written Options | (5.34 | ) | ||
| Assets in Excess of Other Liabilities | 1.83 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
127
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman | Milliman | Milliman | Milliman | |||||||||||||||
| 6-Month | 6-Month | 6-Month | 6-Month | |||||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||||
| 500 with Par Up | 500 with Par Up | 500 with Par Up | 500 with Par Up | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – Jan/Jul | – Feb/Aug | – Mar/Sep | – Apr/Oct | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,700,250 | $ | 2,486,502 | $ | 1,805,315 | $ | 1,989,432 | ||||||||||
| Cash and cash equivalents | 24,429 | 26,731 | 34,912 | 25,755 | ||||||||||||||
| Dividends and interest receivable | 255 | 303 | 348 | 358 | ||||||||||||||
| Due from Advisor | 3,626 | 3,623 | 3,407 | 3,394 | ||||||||||||||
| Deposits at broker for written options | 499 | 499 | 494 | 500 | ||||||||||||||
| Prepaid expenses | 248 | 420 | 261 | 303 | ||||||||||||||
| Total Assets | 1,729,307 | 2,518,078 | 1,844,737 | 2,019,742 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 690,230 | 985,196 | 727,504 | 790,549 | ||||||||||||||
| Payable for fund shares redeemed | 5 | 22 | 4 | 9 | ||||||||||||||
| Distribution fees payable | 618 | 917 | 663 | 734 | ||||||||||||||
| Payable to Trustees | 405 | 282 | 580 | 631 | ||||||||||||||
| Other liabilities | 10,819 | 11,930 | 11,652 | 12,193 | ||||||||||||||
| Total Liabilities | 702,077 | 998,347 | 740,403 | 804,116 | ||||||||||||||
| Net Assets | $ | 1,027,230 | $ | 1,519,731 | $ | 1,104,334 | $ | 1,215,626 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,157,058 | $ | 1,701,997 | $ | 1,137,773 | $ | 1,263,822 | ||||||||||
| Total distributable earnings/(accumulated deficit) | (129,828 | ) | (182,266 | ) | (33,439 | ) | (48,196 | ) | ||||||||||
| Net Assets | $ | 1,027,230 | $ | 1,519,731 | $ | 1,104,334 | $ | 1,215,626 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,027,230 | $ | 1,519,731 | $ | 1,104,334 | $ | 1,215,626 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 118,374 | 172,317 | 113,423 | 126,250 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 8.68 | $ | 8.82 | $ | 9.74 | $ | 9.63 | ||||||||||
| (a) | Cost of investments | $ | 1,527,212 | $ | 2,328,819 | $ | 1,587,629 | $ | 1,865,181 | |||||||||
| (b) | Premiums received | 586,717 | 892,763 | 604,713 | 719,642 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
128
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman | Milliman | Milliman | Milliman | |||||||||||||||
| 6-Month | 6-Month | 6-Month Parred | 6-Month Parred | |||||||||||||||
| Buffered S&P | Buffered S&P | Down S&P 500 | Down S&P 500 | |||||||||||||||
| 500 with Par Up | 500 with Par Up | with Par Up | with Par Up | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – May/Nov | – Jun/Dec | – Jan/Jul | – Feb/Aug | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 2,776,988 | $ | 1,943,559 | $ | 1,418,516 | $ | 2,024,136 | ||||||||||
| Cash and cash equivalents | 28,710 | 9,100 | 24,250 | 44,347 | ||||||||||||||
| Dividends and interest receivable | 270 | 74 | 230 | 350 | ||||||||||||||
| Due from Advisor | 3,575 | 3,283 | 3,661 | 3,741 | ||||||||||||||
| Deposits at broker for written options | 499 | 500 | 500 | 499 | ||||||||||||||
| Prepaid expenses | 463 | 288 | 190 | 336 | ||||||||||||||
| Total Assets | 2,810,505 | 1,956,804 | 1,447,347 | 2,073,409 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 1,101,495 | 746,872 | 575,152 | 788,584 | ||||||||||||||
| Payable for fund shares redeemed | 24 | 5 | — | 1,018 | ||||||||||||||
| Distribution fees payable | 1,022 | 714 | 516 | 767 | ||||||||||||||
| Payable to Trustees | 844 | 637 | 247 | 276 | ||||||||||||||
| Other liabilities | 11,959 | 12,618 | 11,042 | 11,717 | ||||||||||||||
| Total Liabilities | 1,115,344 | 760,846 | 586,957 | 802,362 | ||||||||||||||
| Net Assets | $ | 1,695,161 | $ | 1,195,958 | $ | 860,390 | $ | 1,271,047 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,679,081 | $ | 1,125,923 | $ | 997,961 | $ | 1,452,593 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 16,080 | 70,035 | (137,571 | ) | (181,546 | ) | ||||||||||||
| Net Assets | $ | 1,695,161 | $ | 1,195,958 | $ | 860,390 | $ | 1,271,047 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,695,161 | $ | 1,195,958 | $ | 860,390 | $ | 1,271,047 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 171,076 | 113,135 | 100,001 | 150,816 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 9.91 | $ | 10.57 | $ | 8.60 | $ | 8.43 | ||||||||||
| (a) | Cost of investments | $ | 2,603,038 | $ | 1,882,911 | $ | 1,273,217 | $ | 1,896,533 | |||||||||
| (b) | Premiums received | 1,004,621 | 712,436 | 490,928 | 716,222 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
129
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman | Milliman | Milliman | Milliman | |||||||||||||||
| 6-Month Parred | 6-Month Parred | 6-Month Parred | 6-Month Parred | |||||||||||||||
| Down S&P 500 | Down S&P 500 | Down S&P 500 | Down S&P 500 | |||||||||||||||
| with Par Up | with Par Up | with Par Up | with Par Up | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – Mar/Sep | – Apr/Oct | – May/Nov | - Jun/Dec | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,474,321 | $ | 1,564,594 | $ | 1,583,720 | $ | 1,616,422 | ||||||||||
| Cash and cash equivalents | 40,211 | 18,479 | 33,247 | 60,868 | ||||||||||||||
| Dividends and interest receivable | 341 | 275 | 224 | 250 | ||||||||||||||
| Due from Advisor | 3,645 | 3,657 | 3,571 | 3,592 | ||||||||||||||
| Deposits at broker for written options | 500 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 211 | 217 | 228 | 244 | ||||||||||||||
| Total Assets | 1,519,229 | 1,587,722 | 1,621,490 | 1,681,876 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 582,145 | 622,067 | 622,203 | 610,340 | ||||||||||||||
| Distribution fees payable | 556 | 575 | 594 | 631 | ||||||||||||||
| Payable to Trustees | 196 | 159 | 157 | 194 | ||||||||||||||
| Other liabilities | 11,126 | 10,810 | 11,852 | 12,078 | ||||||||||||||
| Total Liabilities | 594,023 | 633,611 | 634,806 | 623,243 | ||||||||||||||
| Net Assets | $ | 925,206 | $ | 954,111 | $ | 986,684 | $ | 1,058,633 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 999,711 | $ | 1,001,580 | $ | 1,001,990 | $ | 1,002,395 | ||||||||||
| Total distributable earnings/(accumulated deficit) | (74,505 | ) | (47,469 | ) | (15,306 | ) | 56,238 | |||||||||||
| Net Assets | $ | 925,206 | $ | 954,111 | $ | 986,684 | $ | 1,058,633 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 925,206 | $ | 954,111 | $ | 986,684 | $ | 1,058,633 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,001 | 100,182 | 100,221 | 100,289 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 9.25 | $ | 9.52 | $ | 9.85 | $ | 10.56 | ||||||||||
| (a) | Cost of investments | $ | 1,298,060 | $ | 1,465,694 | $ | 1,484,576 | $ | 1,566,001 | |||||||||
| (b) | Premiums received | 484,568 | 566,926 | 567,432 | 582,931 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
130
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman | Milliman | Milliman | Milliman | |||||||||||||||
| 6-Month | 6-Month | 6-Month | 6-Month | |||||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||||
| 500 with Trigger | 500 with Trigger | 500 with Trigger | 500 with Trigger | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| - Jan/Jul | - Feb/Aug | - Mar/Sep | –Apr/Oct | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 2,538,587 | $ | 2,271,818 | $ | 3,010,085 | $ | 2,429,907 | ||||||||||
| Cash and cash equivalents | 7,584 | 12,327 | 17,163 | 20,033 | ||||||||||||||
| Dividends and interest receivable | 188 | 176 | 258 | 317 | ||||||||||||||
| Due from Advisor | 5,340 | 5,426 | 5,471 | 5,611 | ||||||||||||||
| Deposits at broker for written options | 500 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | — | — | — | 265 | ||||||||||||||
| Deferred offering costs | 9,636 | 10,241 | 11,748 | 7,025 | ||||||||||||||
| Total Assets | 2,561,835 | 2,300,488 | 3,045,225 | 2,463,658 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 1,498,278 | 1,244,996 | 1,975,429 | 1,326,811 | ||||||||||||||
| Distribution fees payable | 647 | 638 | 650 | 688 | ||||||||||||||
| Payable to Trustees | 156 | 197 | 249 | 92 | ||||||||||||||
| Other liabilities | 10,314 | 10,451 | 10,391 | 12,203 | ||||||||||||||
| Total Liabilities | 1,509,395 | 1,256,282 | 1,986,719 | 1,339,794 | ||||||||||||||
| Net Assets | $ | 1,052,440 | $ | 1,044,206 | $ | 1,058,506 | $ | 1,123,864 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,000,010 | $ | 1,000,010 | $ | 1,000,010 | $ | 1,034,204 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 52,430 | 44,196 | 58,496 | 89,660 | ||||||||||||||
| Net Assets | $ | 1,052,440 | $ | 1,044,206 | $ | 1,058,506 | $ | 1,123,864 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,052,440 | $ | 1,044,206 | $ | 1,058,506 | $ | 1,123,864 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,001 | 100,001 | 100,001 | 103,366 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 10.52 | $ | 10.44 | $ | 10.58 | $ | 10.87 | ||||||||||
| (a) | Cost of investments | $ | 2,033,081 | $ | 1,980,438 | $ | 2,114,232 | $ | 2,106,271 | |||||||||
| (b) | Premiums received | 1,038,754 | 992,425 | 1,133,818 | 1,039,186 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
131
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman | Milliman | |||||||||||||||||
| 6-Month | 6-Month | Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||||
| 500 with Trigger | 500 with Trigger | 500 with Spread | 500 with Spread | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – May/Nov | – Jun/Dec | – Jan | – Feb | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 3,705,807 | $ | 2,143,257 | $ | 1,531,664 | $ | 1,594,266 | ||||||||||
| Cash and cash equivalents | 1,896 | 19,388 | 35,884 | 28,170 | ||||||||||||||
| Dividends and interest receivable | 154 | 105 | 286 | 239 | ||||||||||||||
| Due from Advisor | 5,414 | 4,927 | 3,732 | 3,715 | ||||||||||||||
| Deposits at broker for written options | 499 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 452 | 323 | 208 | 212 | ||||||||||||||
| Deferred offering costs | 7,393 | 8,400 | — | — | ||||||||||||||
| Total Assets | 3,721,615 | 2,176,900 | 1,572,274 | 1,627,102 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 2,077,325 | 1,076,001 | 613,950 | 632,921 | ||||||||||||||
| Payable for fund shares redeemed | 18 | — | — | — | ||||||||||||||
| Distribution fees payable | 996 | 664 | 564 | 586 | ||||||||||||||
| Payable to Trustees | 55 | 152 | 191 | 169 | ||||||||||||||
| Other liabilities | 11,820 | 13,187 | 10,818 | 10,904 | ||||||||||||||
| Total Liabilities | 2,090,214 | 1,090,004 | 625,523 | 644,580 | ||||||||||||||
| Net Assets | $ | 1,631,401 | $ | 1,086,896 | $ | 946,751 | $ | 982,522 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,481,061 | $ | 1,001,003 | $ | 998,636 | $ | 999,439 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 150,340 | 85,893 | (51,885 | ) | (16,917 | ) | ||||||||||||
| Net Assets | $ | 1,631,401 | $ | 1,086,896 | $ | 946,751 | $ | 982,522 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,631,401 | $ | 1,086,896 | $ | 946,751 | $ | 982,522 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 147,292 | 100,102 | 100,001 | 100,001 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 11.08 | $ | 10.86 | $ | 9.47 | $ | 9.83 | ||||||||||
| (a) | Cost of investments | $ | 3,172,708 | $ | 1,976,599 | $ | 1,374,058 | $ | 1,489,626 | |||||||||
| (b) | Premiums received | 1,585,958 | 920,623 | 531,605 | 579,491 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
132
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||||
| 500 with Spread | 500 with Spread | 500 with Spread | 500 with Spread | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – Mar | – Apr | – May | – Jun | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,688,392 | $ | 1,658,858 | $ | 1,665,422 | $ | 1,679,840 | ||||||||||
| Cash and cash equivalents | 31,704 | 8,799 | 17,817 | 28,885 | ||||||||||||||
| Dividends and interest receivable | 313 | 236 | 166 | 578 | ||||||||||||||
| Due from Advisor | 3,707 | 3,722 | 3,662 | 3,434 | ||||||||||||||
| Deposits at broker for written options | 464 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 219 | 228 | 245 | 255 | ||||||||||||||
| Total Assets | 1,724,799 | 1,672,343 | 1,687,812 | 1,713,492 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 680,804 | 664,475 | 664,925 | 654,075 | ||||||||||||||
| Distribution fees payable | 614 | 598 | 606 | 631 | ||||||||||||||
| Payable to Trustees | 137 | 166 | 129 | 125 | ||||||||||||||
| Other liabilities | 10,801 | 10,912 | 11,388 | 12,223 | ||||||||||||||
| Total Liabilities | 692,356 | 676,151 | 677,048 | 667,054 | ||||||||||||||
| Net Assets | $ | 1,032,443 | $ | 996,192 | $ | 1,010,764 | $ | 1,046,438 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,000,011 | $ | 1,016,617 | $ | 1,001,316 | $ | 1,001,747 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 32,432 | (20,425 | ) | 9,448 | 44,691 | |||||||||||||
| Net Assets | $ | 1,032,443 | $ | 996,192 | $ | 1,010,764 | $ | 1,046,438 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,032,443 | $ | 996,192 | $ | 1,010,764 | $ | 1,046,438 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,001 | 101,620 | 100,140 | 100,181 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 10.32 | $ | 9.80 | $ | 10.09 | $ | 10.45 | ||||||||||
| (a) | Cost of investments | $ | 1,474,798 | $ | 1,543,061 | $ | 1,554,873 | $ | 1,638,364 | |||||||||
| (b) | Premiums received | 574,229 | 606,913 | 611,053 | 634,605 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
133
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||||
| 500 with Spread | 500 with Spread | 500 with Spread | 500 with Spread | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – Jul | – Aug | – Sep | – Oct | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,677,104 | $ | 1,533,485 | $ | 1,496,667 | $ | 1,986,913 | ||||||||||
| Cash and cash equivalents | 291,979 | 286,556 | 292,215 | 29,526 | ||||||||||||||
| Dividends and interest receivable | 1,233 | 1,176 | 1,234 | 475 | ||||||||||||||
| Due from Advisor | 4,090 | 4,412 | 4,080 | 4,119 | ||||||||||||||
| Deposits at broker for written options | 500 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 260 | 234 | 244 | 280 | ||||||||||||||
| Deferred offering costs | 264 | 580 | 689 | 1,409 | ||||||||||||||
| Total Assets | 1,975,430 | 1,826,943 | 1,795,629 | 2,023,222 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 885,704 | 839,849 | 747,148 | 813,655 | ||||||||||||||
| Distribution fees payable | 645 | 594 | 622 | 710 | ||||||||||||||
| Payable to Trustees | 143 | 185 | 195 | 182 | ||||||||||||||
| Other liabilities | 12,233 | 12,357 | 12,818 | 12,525 | ||||||||||||||
| Total Liabilities | 898,725 | 852,985 | 760,783 | 827,072 | ||||||||||||||
| Net Assets | $ | 1,076,705 | $ | 973,958 | $ | 1,034,846 | $ | 1,196,150 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,014,339 | $ | 1,007,810 | $ | 1,001,895 | $ | 1,065,502 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 62,366 | (33,852 | ) | 32,951 | 130,648 | |||||||||||||
| Net Assets | $ | 1,076,705 | $ | 973,958 | $ | 1,034,846 | $ | 1,196,150 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,076,705 | $ | 973,958 | $ | 1,034,846 | $ | 1,196,150 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 101,436 | 100,800 | 100,202 | 106,590 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 10.61 | $ | 9.66 | $ | 10.33 | $ | 11.22 | ||||||||||
| (a) | Cost of investments | $ | 1,516,879 | $ | 1,504,108 | $ | 1,484,217 | $ | 1,631,214 | |||||||||
| (b) | Premiums received | 787,421 | 769,764 | 760,575 | 645,557 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
134
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | Floored S&P | Floored S&P | |||||||||||||||
| 500 with Spread | 500 with Spread | 500 with Par Up | 500 with Par Up | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – Nov | – Dec | – Jan | – Feb | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,798,363 | $ | 1,788,380 | $ | 1,442,907 | $ | 1,438,617 | ||||||||||
| Cash and cash equivalents | 23,155 | 20,423 | 34,061 | 18,835 | ||||||||||||||
| Dividends and interest receivable | 448 | 100 | 272 | 190 | ||||||||||||||
| Due from Advisor | 4,012 | 3,833 | 3,813 | 3,746 | ||||||||||||||
| Deposits at broker for written options | 499 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 284 | 323 | 192 | 199 | ||||||||||||||
| Deferred offering costs | 1,649 | 2,221 | — | — | ||||||||||||||
| Total Assets | 1,828,410 | 1,815,780 | 1,481,745 | 1,462,087 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 722,954 | 721,660 | 589,562 | 583,228 | ||||||||||||||
| Distribution fees payable | 652 | 644 | 530 | 522 | ||||||||||||||
| Payable to Trustees | 193 | 211 | 186 | 173 | ||||||||||||||
| Other liabilities | 12,080 | 13,060 | 10,853 | 10,882 | ||||||||||||||
| Total Liabilities | 735,879 | 735,575 | 601,131 | 594,805 | ||||||||||||||
| Net Assets | $ | 1,092,531 | $ | 1,080,205 | $ | 880,614 | $ | 867,282 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,001,851 | $ | 1,000,928 | $ | 998,706 | $ | 999,432 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 90,680 | 79,277 | (118,092 | ) | (132,150 | ) | ||||||||||||
| Net Assets | $ | 1,092,531 | $ | 1,080,205 | $ | 880,614 | $ | 867,282 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,092,531 | $ | 1,080,205 | $ | 880,614 | $ | 867,282 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,189 | 100,096 | 100,001 | 100,001 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 10.90 | $ | 10.79 | $ | 8.81 | $ | 8.67 | ||||||||||
| (a) | Cost of investments | $ | 1,637,549 | $ | 1,644,476 | $ | 1,333,043 | $ | 1,374,742 | |||||||||
| (b) | Premiums received | 646,863 | 650,763 | 528,970 | 547,470 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
135
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Floored S&P | Floored S&P | Floored S&P | Floored S&P | |||||||||||||||
| 500 with Par Up | 500 with Par Up | 500 with Par Up | 500 with Par Up | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – Mar | – Apr | – May | – Jun | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,527,133 | $ | 1,576,212 | $ | 1,662,512 | $ | 1,687,555 | ||||||||||
| Cash and cash equivalents | 15,082 | 14,022 | 19,386 | 20,415 | ||||||||||||||
| Dividends and interest receivable | 229 | 251 | 174 | 564 | ||||||||||||||
| Due from Advisor | 3,755 | 3,747 | 3,660 | 3,474 | ||||||||||||||
| Deposits at broker for written options | 486 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 213 | 231 | 239 | 248 | ||||||||||||||
| Total Assets | 1,546,898 | 1,594,963 | 1,686,471 | 1,712,756 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 627,531 | 645,949 | 676,943 | 671,043 | ||||||||||||||
| Payable for fund shares redeemed | — | 2 | — | — | ||||||||||||||
| Distribution fees payable | 545 | 566 | 604 | 624 | ||||||||||||||
| Payable to Trustees | 142 | 142 | 133 | 133 | ||||||||||||||
| Other liabilities | 10,681 | 11,016 | 11,418 | 12,320 | ||||||||||||||
| Total Liabilities | 638,899 | 657,675 | 689,098 | 684,120 | ||||||||||||||
| Net Assets | $ | 907,999 | $ | 937,288 | $ | 997,373 | $ | 1,028,636 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,000,010 | $ | 1,062,233 | $ | 1,001,389 | $ | 1,001,879 | ||||||||||
| Total distributable earnings/(accumulated deficit) | (92,011 | ) | (124,945 | ) | (4,016 | ) | 26,757 | |||||||||||
| Net Assets | $ | 907,999 | $ | 937,288 | $ | 997,373 | $ | 1,028,636 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 907,999 | $ | 937,288 | $ | 997,373 | $ | 1,028,636 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,001 | 106,223 | 100,150 | 100,197 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 9.08 | $ | 8.82 | $ | 9.96 | $ | 10.27 | ||||||||||
| (a) | Cost of investments | $ | 1,369,501 | $ | 1,502,782 | $ | 1,582,968 | $ | 1,641,251 | |||||||||
| (b) | Premiums received | 545,948 | 603,427 | 634,167 | 649,072 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
136
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Floored S&P | Floored S&P | Floored S&P | Floored S&P | |||||||||||||||
| 500 with Par Up | 500 with Par Up | 500 with Par Up | 500 with Par Up | |||||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||||
| – Jul | – Aug | – Sep | – Oct | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,640,234 | $ | 1,527,813 | $ | 1,492,028 | $ | 1,925,445 | ||||||||||
| Cash and cash equivalents | 285,029 | 284,766 | 294,505 | 30,982 | ||||||||||||||
| Dividends and interest receivable | 1,204 | 1,147 | 1,244 | 481 | ||||||||||||||
| Due from Advisor | 4,116 | 4,453 | 4,096 | 4,126 | ||||||||||||||
| Deposits at broker for written options | 500 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 249 | 233 | 245 | 268 | ||||||||||||||
| Deferred offering costs | 264 | 579 | 689 | 1,409 | ||||||||||||||
| Total Assets | 1,931,596 | 1,819,491 | 1,793,307 | 1,963,211 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 885,423 | 841,549 | 750,702 | 815,198 | ||||||||||||||
| Distribution fees payable | 626 | 586 | 620 | 683 | ||||||||||||||
| Payable to Trustees | 149 | 186 | 192 | 185 | ||||||||||||||
| Other liabilities | 12,542 | 12,410 | 12,855 | 12,627 | ||||||||||||||
| Total Liabilities | 898,740 | 854,731 | 764,369 | 828,693 | ||||||||||||||
| Net Assets | $ | 1,032,856 | $ | 964,760 | $ | 1,028,938 | $ | 1,134,518 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,001,907 | $ | 1,001,949 | $ | 1,002,004 | $ | 1,038,122 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 30,949 | (37,189 | ) | 26,934 | 96,396 | |||||||||||||
| Net Assets | $ | 1,032,856 | $ | 964,760 | $ | 1,028,938 | $ | 1,134,518 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,032,856 | $ | 964,760 | $ | 1,028,938 | $ | 1,134,518 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,199 | 100,214 | 100,212 | 103,828 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 10.31 | $ | 9.63 | $ | 10.27 | $ | 10.93 | ||||||||||
| (a) | Cost of investments | $ | 1,548,773 | $ | 1,529,571 | $ | 1,509,045 | $ | 1,661,149 | |||||||||
| (b) | Premiums received | 818,010 | 799,436 | 787,511 | 676,579 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
137
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | |||||||||||||||||
| Milliman 1-Year | Milliman 1-Year | Buffered S&P | Buffered S&P | |||||||||||||||
| Floored S&P | Floored S&P | 500 & Nasdaq | 500 & Nasdaq | |||||||||||||||
| 500 with Par Up | 500 with Par Up | with Stacker | with Stacker | |||||||||||||||
| Outcome Fund | Outcome Fund | Cap Outcome | Cap Outcome | |||||||||||||||
| – Nov | – Dec | Fund - Jan | Fund - Feb | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,793,237 | $ | 2,218,401 | $ | 1,867,110 | $ | 1,943,145 | ||||||||||
| Cash and cash equivalents | 23,302 | 28,133 | 36,814 | 18,489 | ||||||||||||||
| Dividends and interest receivable | 448 | 135 | 290 | 202 | ||||||||||||||
| Due from Advisor | 4,069 | 4,074 | 3,863 | 3,829 | ||||||||||||||
| Deposits at broker for written options | 500 | 571 | 122 | 500 | ||||||||||||||
| Prepaid expenses | 286 | 414 | 208 | 212 | ||||||||||||||
| Deferred offering costs | 1,653 | 2,221 | — | — | ||||||||||||||
| Total Assets | 1,823,495 | 2,253,949 | 1,908,407 | 1,966,377 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 727,670 | 902,590 | 958,493 | 936,228 | ||||||||||||||
| Payable for fund shares redeemed | — | 9 | — | 1 | ||||||||||||||
| Distribution fees payable | 650 | 803 | 570 | 614 | ||||||||||||||
| Payable to Trustees | 199 | 201 | 185 | 175 | ||||||||||||||
| Other liabilities | 12,223 | 13,122 | 10,640 | 10,915 | ||||||||||||||
| Total Liabilities | 740,742 | 916,725 | 969,888 | 947,933 | ||||||||||||||
| Net Assets | $ | 1,082,753 | $ | 1,337,224 | $ | 938,519 | $ | 1,018,444 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,001,846 | $ | 1,249,495 | $ | 998,673 | $ | 1,026,097 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 80,907 | 87,729 | (60,154 | ) | (7,653 | ) | ||||||||||||
| Net Assets | $ | 1,082,753 | $ | 1,337,224 | $ | 938,519 | $ | 1,018,444 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,082,753 | $ | 1,337,224 | $ | 938,519 | $ | 1,018,444 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,187 | 124,954 | 100,001 | 102,905 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 10.81 | $ | 10.70 | $ | 9.39 | $ | 9.90 | ||||||||||
| (a) | Cost of investments | $ | 1,658,197 | $ | 2,069,143 | $ | 1,491,758 | $ | 1,620,892 | |||||||||
| (b) | Premiums received | 667,881 | 833,141 | 638,434 | 682,593 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
138
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||||
| 500 & Nasdaq | 500 & Nasdaq | 500 & Nasdaq | 500 & Nasdaq | |||||||||||||||
| with Stacker | with Stacker | with Stacker | with Stacker | |||||||||||||||
| Cap Outcome | Cap Outcome | Cap Outcome | Cap Outcome | |||||||||||||||
| Fund - Mar | Fund - Apr | Fund - May | Fund - Jun | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,991,144 | $ | 1,890,256 | $ | 2,039,940 | $ | 1,971,017 | ||||||||||
| Cash and cash equivalents | 31,815 | 16,963 | 31,982 | 24,936 | ||||||||||||||
| Dividends and interest receivable | 315 | 274 | 234 | 573 | ||||||||||||||
| Due from Advisor | 3,842 | 3,777 | 3,724 | 3,476 | ||||||||||||||
| Deposits at broker for written options | 467 | 492 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 223 | 231 | 251 | 260 | ||||||||||||||
| Total Assets | 2,027,806 | 1,911,993 | 2,076,631 | 2,000,762 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 1,030,865 | 909,392 | 979,330 | 865,223 | ||||||||||||||
| Payable for fund shares redeemed | — | 1 | — | — | ||||||||||||||
| Distribution fees payable | 599 | 600 | 657 | 684 | ||||||||||||||
| Payable to Trustees | 133 | 156 | 124 | 127 | ||||||||||||||
| Other liabilities | 10,832 | 10,991 | 11,440 | 12,227 | ||||||||||||||
| Total Liabilities | 1,042,429 | 921,140 | 991,551 | 878,261 | ||||||||||||||
| Net Assets | $ | 985,377 | $ | 990,853 | $ | 1,085,080 | $ | 1,122,501 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,000,010 | $ | 1,035,400 | $ | 1,001,381 | $ | 1,001,800 | ||||||||||
| Total distributable earnings/(accumulated deficit) | (14,633 | ) | (44,547 | ) | 83,699 | 120,701 | ||||||||||||
| Net Assets | $ | 985,377 | $ | 990,853 | $ | 1,085,080 | $ | 1,122,501 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 985,377 | $ | 990,853 | $ | 1,085,080 | $ | 1,122,501 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,001 | 103,621 | 100,144 | 100,183 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 9.85 | $ | 9.56 | $ | 10.84 | $ | 11.20 | ||||||||||
| (a) | Cost of investments | $ | 1,594,723 | $ | 1,671,894 | $ | 1,822,254 | $ | 1,909,598 | |||||||||
| (b) | Premiums received | 693,288 | 725,749 | 789,751 | 816,981 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
139
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||||
| 500 & Nasdaq | 500 & Nasdaq | 500 & Nasdaq | 500 & Nasdaq | |||||||||||||||
| with Stacker | with Stacker | with Stacker | with Stacker | |||||||||||||||
| Cap Outcome | Cap Outcome | Cap Outcome | Cap Outcome | |||||||||||||||
| Fund - Jul | Fund - Aug | Fund - Sep | Fund - Oct | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 1,969,417 | $ | 1,692,741 | $ | 1,715,568 | $ | 2,392,994 | ||||||||||
| Cash and cash equivalents | 292,594 | 283,805 | 291,564 | 30,667 | ||||||||||||||
| Dividends and interest receivable | 1,236 | 1,199 | 1,233 | 480 | ||||||||||||||
| Due from Advisor | 4,160 | 4,483 | 4,136 | 4,179 | ||||||||||||||
| Deposits at broker for written options | 500 | 500 | 500 | 500 | ||||||||||||||
| Prepaid expenses | 259 | 234 | 246 | 268 | ||||||||||||||
| Deferred offering costs | 270 | 581 | 691 | 1,417 | ||||||||||||||
| Total Assets | 2,268,436 | 1,983,543 | 2,013,938 | 2,430,505 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 1,144,371 | 914,228 | 892,421 | 1,247,083 | ||||||||||||||
| Distribution fees payable | 680 | 626 | 661 | 714 | ||||||||||||||
| Payable to Trustees | 147 | 188 | 193 | 190 | ||||||||||||||
| Other liabilities | 12,360 | 12,444 | 12,836 | 12,474 | ||||||||||||||
| Total Liabilities | 1,157,558 | 927,486 | 906,111 | 1,260,461 | ||||||||||||||
| Net Assets | $ | 1,110,878 | $ | 1,056,057 | $ | 1,107,827 | $ | 1,170,044 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,004,871 | $ | 1,004,278 | $ | 1,001,934 | $ | 1,002,862 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 106,007 | 51,779 | 105,893 | 167,182 | ||||||||||||||
| Net Assets | $ | 1,110,878 | $ | 1,056,057 | $ | 1,107,827 | $ | 1,170,044 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,110,878 | $ | 1,056,057 | $ | 1,107,827 | $ | 1,170,044 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,483 | 100,448 | 100,205 | 100,274 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 11.06 | $ | 10.51 | $ | 11.06 | $ | 11.67 | ||||||||||
| (a) | Cost of investments | $ | 1,645,587 | $ | 1,635,544 | $ | 1,620,443 | $ | 1,778,436 | |||||||||
| (b) | Premiums received | 919,804 | 901,951 | 896,303 | 793,928 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
140
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year | Milliman 1-Year | |||||||||||||||||
| Buffered S&P | Buffered S&P | Milliman 6-Year | Milliman 6-Year | |||||||||||||||
| 500 & Nasdaq | 500 & Nasdaq | Buffered S&P | Buffered S&P | |||||||||||||||
| with Stacker | with Stacker | 500 with Par Up | 500 with Par Up | |||||||||||||||
| Cap Outcome | Cap Outcome | Outcome Fund – | Outcome Fund – | |||||||||||||||
| Fund - Nov | Fund - Dec | Jan (I) | Apr (I) | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 2,147,475 | $ | 2,128,400 | $ | 968,220 | $ | 1,875,386 | ||||||||||
| Cash and cash equivalents | 23,292 | 20,031 | 23,034 | 45,527 | ||||||||||||||
| Dividends and interest receivable | 449 | 99 | 827 | 1,043 | ||||||||||||||
| Due from Advisor | 4,188 | 3,912 | 3,696 | 3,360 | ||||||||||||||
| Deposits at broker for written options | 500 | 428 | 500 | 499 | ||||||||||||||
| Prepaid expenses | 284 | 322 | 201 | 482 | ||||||||||||||
| Deferred offering costs | 1,818 | 2,224 | — | — | ||||||||||||||
| Total Assets | 2,178,006 | 2,155,416 | 996,478 | 1,926,297 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 1,034,444 | 1,025,977 | 59,901 | 101,207 | ||||||||||||||
| Payable for fund shares redeemed | — | — | — | 28 | ||||||||||||||
| Distribution fees payable | 683 | 672 | 551 | 1,071 | ||||||||||||||
| Payable to Trustees | 199 | 209 | 335 | 159 | ||||||||||||||
| Other liabilities | 12,201 | 13,058 | 9,562 | 12,865 | ||||||||||||||
| Total Liabilities | 1,047,527 | 1,039,916 | 70,349 | 115,330 | ||||||||||||||
| Net Assets | $ | 1,130,479 | $ | 1,115,500 | $ | 926,129 | $ | 1,810,967 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 1,001,860 | $ | 1,000,935 | $ | 1,012,832 | $ | 1,819,802 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 128,619 | 114,565 | (86,703 | ) | (8,835 | ) | ||||||||||||
| Net Assets | $ | 1,130,479 | $ | 1,115,500 | $ | 926,129 | $ | 1,810,967 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 1,130,479 | $ | 1,115,500 | $ | 926,129 | $ | 1,810,967 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 100,188 | 100,096 | 101,596 | 181,684 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 11.28 | $ | 11.14 | $ | 9.12 | $ | 9.97 | ||||||||||
| (a) | Cost of investments | $ | 1,783,250 | $ | 1,789,680 | $ | 1,090,251 | $ | 1,871,883 | |||||||||
| (b) | Premiums received | 793,056 | 795,729 | 86,357 | 147,666 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
141
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 6-Year | Milliman 6-Year | Milliman 6-Year | Milliman 6-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||||
| 500 with Par Up | 500 with Par Up | 500 with Par Up | 500 with Par Up | |||||||||||||||
| Outcome Fund – | Outcome Fund – | Outcome Fund - | Outcome Fund - | |||||||||||||||
| Jul (I) | Oct (I) | Jan (II) | Apr (II) | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments, at value (a) | $ | 3,090,264 | $ | 1,155,041 | $ | 1,098,066 | $ | 1,099,319 | ||||||||||
| Cash and cash equivalents | 63,348 | 35,920 | 13,365 | 23,149 | ||||||||||||||
| Dividends and interest receivable | 2,747 | 666 | 1,614 | 1,052 | ||||||||||||||
| Due from Advisor | 4,123 | 3,734 | 5,383 | — | ||||||||||||||
| Deposits at broker for written options | 499 | 500 | 500 | 717 | ||||||||||||||
| Prepaid expenses | 865 | 260 | — | — | ||||||||||||||
| Deferred offering costs | 670 | 1,527 | 10,807 | 8,155 | ||||||||||||||
| Total Assets | 3,162,516 | 1,197,648 | 1,129,735 | 1,132,392 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Options written, at value (b) | 125,239 | 42,965 | 53,029 | 56,737 | ||||||||||||||
| Payable for fund shares redeemed | 64 | — | — | — | ||||||||||||||
| Payable to Adviser | — | — | — | 4,726 | ||||||||||||||
| Distribution fees payable | 1,785 | 678 | 631 | 553 | ||||||||||||||
| Payable to Trustees | 39 | 257 | 181 | 174 | ||||||||||||||
| Other liabilities | 15,575 | 12,564 | 9,928 | 8,174 | ||||||||||||||
| Total Liabilities | 142,702 | 56,464 | 63,769 | 70,364 | ||||||||||||||
| Net Assets | $ | 3,019,814 | $ | 1,141,184 | $ | 1,065,966 | $ | 1,062,028 | ||||||||||
| Net Assets Consist of: | ||||||||||||||||||
| Paid-in capital | $ | 2,763,820 | $ | 1,011,927 | $ | 1,000,010 | $ | 1,000,010 | ||||||||||
| Total distributable earnings/(accumulated deficit) | 255,994 | 129,257 | 65,956 | 62,018 | ||||||||||||||
| Net Assets | $ | 3,019,814 | $ | 1,141,184 | $ | 1,065,966 | $ | 1,062,028 | ||||||||||
| Class 3 | ||||||||||||||||||
| Net assets | $ | 3,019,814 | $ | 1,141,184 | $ | 1,065,966 | $ | 1,062,028 | ||||||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 270,292 | 101,204 | 100,001 | 100,001 | ||||||||||||||
| Net asset value, offering price and redemption price per share | $ | 11.17 | $ | 11.28 | $ | 10.66 | $ | 10.62 | ||||||||||
| (a) | Cost of investments | $ | 2,894,656 | $ | 1,063,989 | $ | 1,052,384 | $ | 1,059,550 | |||||||||
| (b) | Premiums received | 187,123 | 77,470 | 63,381 | 74,238 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
142
Milliman Variable Insurance Trust
Statements of Operations
| Milliman | Milliman | Milliman | Milliman | |||||||||||||
| 6-Month | 6-Month | 6-Month | 6-Month | |||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||
| 500 with Par Up | 500 with Par Up | 500 with Par Up | 500 with Par Up | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – Jan/Jul | – Feb/Aug | – Mar/Sep | – Apr/Oct | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 4,927 | $ | 7,537 | $ | 5,128 | $ | 5,867 | ||||||||
| Interest | 6,113 | 9,376 | 6,830 | 6,599 | ||||||||||||
| Total Investment Income | 11,040 | 16,913 | 11,958 | 12,466 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,373 | 3,545 | 2,530 | 2,818 | ||||||||||||
| Accounting and administration fees | 10,996 | 12,536 | 11,002 | 11,107 | ||||||||||||
| Custody fees | 1,060 | 765 | 905 | 911 | ||||||||||||
| Transfer agent fees | 2,932 | 2,942 | 2,951 | 2,955 | ||||||||||||
| Distribution service fees | 1,211 | 1,809 | 1,290 | 1,438 | ||||||||||||
| Professional fees and expenses | 8,122 | 10,096 | 8,759 | 9,037 | ||||||||||||
| Trustees fees and expenses | 287 | 465 | 547 | 616 | ||||||||||||
| Pricing fees | 999 | 1,051 | 1,102 | 807 | ||||||||||||
| Licensing fees | 277 | 412 | 290 | 319 | ||||||||||||
| Offering costs | 519 | 2,100 | 1,367 | 2,236 | ||||||||||||
| Other expenses | 177 | 362 | 321 | 451 | ||||||||||||
| Total Expenses | 28,953 | 36,083 | 31,064 | 32,695 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (24,157 | ) | (28,919 | ) | (25,954 | ) | (27,001 | ) | ||||||||
| Acquired fund fees and expenses waiver | (88 | ) | (133 | ) | (88 | ) | (107 | ) | ||||||||
| Net Expenses | 4,708 | 7,031 | 5,022 | 5,587 | ||||||||||||
| Net Investment Income/(Loss) | 6,332 | 9,882 | 6,936 | 6,879 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | (49,529 | ) | (86,826 | ) | (166,718 | ) | 214,524 | |||||||||
| Options written | (5,259 | ) | (60,276 | ) | 119,770 | (115,318 | ) | |||||||||
| Net realized gain/(loss) | (54,788 | ) | (147,102 | ) | (46,948 | ) | 99,206 | |||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 203,624 | 246,674 | 319,425 | 23,940 | ||||||||||||
| Options written | (56,469 | ) | (2,228 | ) | (155,263 | ) | (24,356 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 147,155 | 244,446 | 164,162 | (416 | ) | |||||||||||
| Net realized and unrealized gain/(loss) | 92,367 | 97,344 | 117,214 | 98,790 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 98,699 | $ | 107,226 | $ | 124,150 | $ | 105,669 | ||||||||
The accompanying notes are an integral part of these financial statements.
143
Milliman Variable Insurance Trust
Statements of Operations
| Milliman | Milliman | Milliman | Milliman | |||||||||||||
| 6-Month | 6-Month | 6-Month Parred | 6-Month Parred | |||||||||||||
| Buffered S&P | Buffered S&P | Down S&P 500 | Down S&P 500 | |||||||||||||
| 500 with Par Up | 500 with Par Up | with Par Up | with Par Up | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – May/Nov | – Jun/Dec | – Jan/Jul | – Feb/Aug | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 8,339 | $ | 5,815 | $ | 4,088 | $ | 6,336 | ||||||||
| Interest | 8,821 | 6,779 | 4,973 | 8,377 | ||||||||||||
| Total Investment Income | 17,160 | 12,594 | 9,061 | 14,713 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 3,936 | 2,739 | 1,978 | 2,965 | ||||||||||||
| Accounting and administration fees | 11,321 | 10,731 | 10,851 | 10,851 | ||||||||||||
| Custody fees | 923 | 978 | 1,122 | 872 | ||||||||||||
| Transfer agent fees | 2,906 | 2,914 | 2,929 | 2,941 | ||||||||||||
| Distribution service fees | 2,008 | 1,397 | 1,009 | 1,513 | ||||||||||||
| Professional fees and expenses | 9,386 | 8,850 | 8,625 | 9,464 | ||||||||||||
| Trustees fees and expenses | 969 | 706 | 370 | 447 | ||||||||||||
| Pricing fees | 859 | 916 | 999 | 1,051 | ||||||||||||
| Licensing fees | 430 | 304 | 234 | 336 | ||||||||||||
| Offering costs | 2,851 | 3,274 | 518 | 2,099 | ||||||||||||
| Other expenses | 318 | 185 | 131 | 283 | ||||||||||||
| Total Expenses | 35,907 | 32,994 | 28,766 | 32,822 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (27,955 | ) | (27,460 | ) | (24,769 | ) | (26,831 | ) | ||||||||
| Acquired fund fees and expenses waiver | (150 | ) | (105 | ) | (72 | ) | (112 | ) | ||||||||
| Net Expenses | 7,802 | 5,429 | 3,925 | 5,879 | ||||||||||||
| Net Investment Income/(Loss) | 9,358 | 7,165 | 5,136 | 8,834 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | 60,747 | 139,919 | (43,459 | ) | (71,890 | ) | ||||||||||
| Options written | (32,141 | ) | (76,089 | ) | (384 | ) | (70,439 | ) | ||||||||
| Net realized gain/(loss) | 28,606 | 63,830 | (43,843 | ) | (142,329 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 244,091 | 107,351 | 174,155 | 200,244 | ||||||||||||
| Options written | (140,510 | ) | (59,637 | ) | (44,594 | ) | 36,021 | |||||||||
| Net change in unrealized appreciation/(depreciation) | 103,581 | 47,714 | 129,561 | 236,265 | ||||||||||||
| Net realized and unrealized gain/(loss) | 132,187 | 111,544 | 85,718 | 93,936 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 141,545 | $ | 118,709 | $ | 90,854 | $ | 102,770 | ||||||||
The accompanying notes are an integral part of these financial statements.
144
Milliman Variable Insurance Trust
Statements of Operations
| Milliman | Milliman | Milliman | Milliman | |||||||||||||
| 6-Month Parred | 6-Month Parred | 6-Month Parred | 6-Month Parred | |||||||||||||
| Down S&P 500 | Down S&P 500 | Down S&P 500 | Down S&P 500 | |||||||||||||
| with Par Up | with Par Up | with Par Up | with Par Up | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – Mar/Sep | – Apr/Oct | – May/Nov | - Jun/Dec | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 4,382 | $ | 4,595 | $ | 4,828 | $ | 4,977 | ||||||||
| Interest | 5,504 | 5,347 | 5,887 | 6,629 | ||||||||||||
| Total Investment Income | 9,886 | 9,942 | 10,715 | 11,606 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,135 | 2,206 | 2,283 | 2,420 | ||||||||||||
| Accounting and administration fees | 11,011 | 11,077 | 10,730 | 10,808 | ||||||||||||
| Custody fees | 1,077 | 1,033 | 1,030 | 1,189 | ||||||||||||
| Transfer agent fees | 2,949 | 2,954 | 2,904 | 2,913 | ||||||||||||
| Distribution service fees | 1,089 | 1,126 | 1,165 | 1,235 | ||||||||||||
| Professional fees and expenses | 8,939 | 8,885 | 8,873 | 9,045 | ||||||||||||
| Trustees fees and expenses | 377 | 393 | 408 | 408 | ||||||||||||
| Pricing fees | 1,102 | 807 | 859 | 916 | ||||||||||||
| Licensing fees | 246 | 251 | 257 | 268 | ||||||||||||
| Offering costs | 1,367 | 2,236 | 2,901 | 3,261 | ||||||||||||
| Other expenses | 270 | 370 | 473 | 576 | ||||||||||||
| Total Expenses | 30,562 | 31,338 | 31,883 | 33,039 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (26,249 | ) | (26,881 | ) | (27,270 | ) | (28,148 | ) | ||||||||
| Acquired fund fees and expenses waiver | (76 | ) | (83 | ) | (87 | ) | (89 | ) | ||||||||
| Net Expenses | 4,237 | 4,374 | 4,526 | 4,802 | ||||||||||||
| Net Investment Income/(Loss) | 5,649 | 5,568 | 6,189 | 6,804 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | (145,126 | ) | 161,095 | 46,140 | 119,167 | |||||||||||
| Options written | 77,970 | (89,675 | ) | (23,927 | ) | (64,983 | ) | |||||||||
| Net realized gain/(loss) | (67,156 | ) | 71,420 | 22,213 | 54,184 | |||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 265,291 | 23,286 | 124,467 | 90,025 | ||||||||||||
| Options written | (114,313 | ) | (14,315 | ) | (67,969 | ) | (46,658 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 150,978 | 8,971 | 56,498 | 43,367 | ||||||||||||
| Net realized and unrealized gain/(loss) | 83,822 | 80,391 | 78,711 | 97,551 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 89,471 | $ | 85,959 | $ | 84,900 | $ | 104,355 | ||||||||
The accompanying notes are an integral part of these financial statements.
145
Milliman Variable Insurance Trust
Statements of Operations
| Milliman | Milliman | Milliman | Milliman | |||||||||||||
| 6-Month | 6-Month | 6-Month | 6-Month | |||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||
| 500 with Trigger | 500 with Trigger | 500 with Trigger | 500 with Trigger | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| - Jan/Jul | - Feb/Aug | - Mar/Sep | – Apr/Oct | |||||||||||||
| Period January | Period February | Period March | Six Months | |||||||||||||
| 10, 2023(a) to | 10, 2023(a) to | 10, 2023(a) to | Ended June | |||||||||||||
| June 30, 2023 | June 30, 2023 | June 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 5,153 | $ | 4,166 | $ | 3,234 | $ | 5,528 | ||||||||
| Interest | 5,922 | 4,910 | 4,030 | 6,375 | ||||||||||||
| Total Investment Income | 11,075 | 9,076 | 7,264 | 11,903 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,332 | 1,861 | 1,518 | 2,653 | ||||||||||||
| Accounting and administration fees | 10,439 | 8,739 | 7,013 | 10,977 | ||||||||||||
| Custody fees | 845 | 757 | 591 | 939 | ||||||||||||
| Transfer agent fees | 2,827 | 2,310 | 1,842 | 2,963 | ||||||||||||
| Distribution service fees | 1,190 | 950 | 775 | 1,354 | ||||||||||||
| Professional fees and expenses | 7,447 | 6,495 | 5,546 | 8,756 | ||||||||||||
| Trustees fees and expenses | 386 | 339 | 297 | 424 | ||||||||||||
| Pricing fees | 1,040 | 855 | 681 | 1,008 | ||||||||||||
| Licensing fees | 238 | 190 | 155 | 271 | ||||||||||||
| Offering costs | 8,357 | 7,182 | 5,766 | 8,395 | ||||||||||||
| Other expenses | 683 | 575 | 478 | 482 | ||||||||||||
| Total Expenses | 35,784 | 30,253 | 24,662 | 38,222 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (31,072 | ) | (26,493 | ) | (21,595 | ) | (32,861 | ) | ||||||||
| Acquired fund fees and expenses waiver | (85 | ) | (71 | ) | (57 | ) | (99 | ) | ||||||||
| Net Expenses | 4,627 | 3,689 | 3,010 | 5,262 | ||||||||||||
| Net Investment Income/(Loss) | 6,448 | 5,387 | 4,254 | 6,641 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | — | — | — | 696,365 | ||||||||||||
| Options written | — | — | — | (618,331 | ) | |||||||||||
| Net realized gain/(loss) | — | — | — | 78,034 | ||||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 505,506 | 291,380 | 895,853 | 100,933 | ||||||||||||
| Options written | (459,524 | ) | (252,571 | ) | (841,611 | ) | (114,260 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 45,982 | 38,809 | 54,242 | (13,327 | ) | |||||||||||
| Net realized and unrealized gain/(loss) | 45,982 | 38,809 | 54,242 | 64,707 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 52,430 | $ | 44,196 | $ | 58,496 | $ | 71,348 | ||||||||
(a) Commencement of Operations
The accompanying notes are an integral part of these financial statements.
146
Milliman Variable Insurance Trust
Statements of Operations
| Milliman | Milliman | |||||||||||||||
| 6-Month | 6-Month | Milliman 1-Year | Milliman 1-Year | |||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||
| 500 with Trigger | 500 with Trigger | 500 with Spread | 500 with Spread | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – May/Nov | – Jun/Dec | – Jan | – Feb | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 7,916 | $ | 5,216 | $ | 4,199 | $ | 4,564 | ||||||||
| Interest | 8,431 | 6,172 | 5,628 | 5,800 | ||||||||||||
| Total Investment Income | 16,347 | 11,388 | 9,827 | 10,364 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 3,798 | 2,534 | 2,158 | 2,237 | ||||||||||||
| Accounting and administration fees | 11,892 | 11,088 | 11,101 | 11,050 | ||||||||||||
| Custody fees | 963 | 988 | 1,032 | 1,022 | ||||||||||||
| Transfer agent fees | 3,030 | 3,022 | 2,932 | 2,941 | ||||||||||||
| Distribution service fees | 1,938 | 1,293 | 1,101 | 1,141 | ||||||||||||
| Professional fees and expenses | 9,772 | 10,440 | 8,560 | 8,680 | ||||||||||||
| Trustees fees and expenses | 526 | 403 | 410 | 400 | ||||||||||||
| Pricing fees | 1,077 | 1,095 | 999 | 1,051 | ||||||||||||
| Licensing fees | 388 | 259 | 252 | 258 | ||||||||||||
| Offering costs | 8,271 | 8,473 | 486 | 1,991 | ||||||||||||
| Other expenses | 1,018 | 1,046 | 146 | 155 | ||||||||||||
| Total Expenses | 42,673 | 40,641 | 29,177 | 30,926 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (34,999 | ) | (35,522 | ) | (24,817 | ) | (26,407 | ) | ||||||||
| Acquired fund fees and expenses waiver | (143 | ) | (94 | ) | (77 | ) | (81 | ) | ||||||||
| Net Expenses | 7,531 | 5,025 | 4,283 | 4,438 | ||||||||||||
| Net Investment Income/(Loss) | 8,816 | 6,363 | 5,544 | 5,926 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | (167,764 | ) | 329,762 | 27,011 | 51,151 | |||||||||||
| Options written | 267,557 | (261,736 | ) | (159,702 | ) | (125,204 | ) | |||||||||
| Net realized gain/(loss) | 99,793 | 68,026 | (132,691 | ) | (74,053 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 926,061 | 367,602 | 102,954 | 65,512 | ||||||||||||
| Options written | (878,699 | ) | (341,915 | ) | 129,741 | 112,877 | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 47,362 | 25,687 | 232,695 | 178,389 | ||||||||||||
| Net realized and unrealized gain/(loss) | 147,155 | 93,713 | 100,004 | 104,336 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 155,971 | $ | 100,076 | $ | 105,548 | $ | 110,262 | ||||||||
The accompanying notes are an integral part of these financial statements.
147
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar | Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr | Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May | Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun | |||||||||||||
| Six Months Ended June 30, 2023 (Unaudited) | Six Months Ended June 30, 2023 (Unaudited) | Six Months Ended June 30, 2023 (Unaudited) | Six Months Ended June 30, 2023 (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 4,557 | $ | 4,822 | $ | 4,825 | $ | 4,951 | ||||||||
| Interest | 5,838 | 5,546 | 6,135 | 6,326 | ||||||||||||
| Total Investment Income | 10,395 | 10,368 | 10,960 | 11,277 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,309 | 2,296 | 2,352 | 2,438 | ||||||||||||
| Accounting and administration fees | 11,097 | 10,925 | 10,656 | 10,802 | ||||||||||||
| Custody fees | 1,013 | 1,065 | 969 | 913 | ||||||||||||
| Transfer agent fees | 2,949 | 2,955 | 2,904 | 2,914 | ||||||||||||
| Distribution service fees | 1,178 | 1,171 | 1,200 | 1,244 | ||||||||||||
| Professional fees and expenses | 8,695 | 8,779 | 8,839 | 9,038 | ||||||||||||
| Trustees fees and expenses | 419 | 400 | 423 | 427 | ||||||||||||
| Pricing fees | 1,102 | 1,153 | 1,205 | 1,262 | ||||||||||||
| Licensing fees | 264 | 260 | 264 | 269 | ||||||||||||
| Offering costs | 1,251 | 1,952 | 2,629 | 2,851 | ||||||||||||
| Other expenses | 280 | 384 | 492 | 588 | ||||||||||||
| Total Expenses | 30,557 | 31,340 | 31,933 | 32,746 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (25,893 | ) | (26,701 | ) | (27,181 | ) | (27,821 | ) | ||||||||
| Acquired fund fees and expenses waiver | (80 | ) | (82 | ) | (80 | ) | (80 | ) | ||||||||
| Net Expenses | 4,584 | 4,557 | 4,672 | 4,845 | ||||||||||||
| Net Investment Income/(Loss) | 5,811 | 5,811 | 6,288 | 6,432 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | (38,222 | ) | (140,131 | ) | (76,065 | ) | 82,190 | |||||||||
| Options written | (42,369 | ) | 55,319 | 22,196 | (66,297 | ) | ||||||||||
| Net realized gain/(loss) | (80,591 | ) | (84,812 | ) | (53,869 | ) | 15,893 | |||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 213,072 | 223,778 | 179,332 | 71,613 | ||||||||||||
| Options written | 11,477 | (36,334 | ) | (56,899 | ) | (5,609 | ) | |||||||||
| Net change in unrealized appreciation/(depreciation) | 224,549 | 187,444 | 122,433 | 66,004 | ||||||||||||
| Net realized and unrealized gain/(loss) | 143,958 | 102,632 | 68,564 | 81,897 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 149,769 | $ | 108,443 | $ | 74,852 | $ | 88,329 | ||||||||
The accompanying notes are an integral part of these financial statements.
148
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||
| 500 with Spread | 500 with Spread | 500 with Spread | 500 with Spread | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – Jul | – Aug | – Sep | – Oct | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 4,932 | $ | 4,945 | $ | 4,926 | $ | 5,111 | ||||||||
| Interest | 6,566 | 6,134 | 6,547 | 5,917 | ||||||||||||
| Total Investment Income | 11,498 | 11,079 | 11,473 | 11,028 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,482 | 2,295 | 2,388 | 2,715 | ||||||||||||
| Accounting and administration fees | 10,625 | 10,670 | 10,702 | 10,920 | ||||||||||||
| Custody fees | 918 | 1,070 | 1,040 | 939 | ||||||||||||
| Transfer agent fees | 2,915 | 2,956 | 2,946 | 2,963 | ||||||||||||
| Distribution service fees | 1,266 | 1,171 | 1,219 | 1,385 | ||||||||||||
| Professional fees and expenses | 8,877 | 8,960 | 9,371 | 9,168 | ||||||||||||
| Trustees fees and expenses | 430 | 398 | 397 | 436 | ||||||||||||
| Pricing fees | 1,321 | 1,379 | 1,438 | 747 | ||||||||||||
| Licensing fees | 253 | 234 | 244 | 277 | ||||||||||||
| Offering costs | 3,482 | 3,660 | 2,599 | 2,716 | ||||||||||||
| Other expenses | 695 | 745 | 898 | 613 | ||||||||||||
| Total Expenses | 33,264 | 33,538 | 33,242 | 32,879 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (28,249 | ) | (28,901 | ) | (28,417 | ) | (27,393 | ) | ||||||||
| Acquired fund fees and expenses waiver | (78 | ) | (79 | ) | (77 | ) | (95 | ) | ||||||||
| Net Expenses | 4,937 | 4,558 | 4,748 | 5,391 | ||||||||||||
| Net Investment Income/(Loss) | 6,561 | 6,521 | 6,725 | 5,637 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 158,817 | 98,446 | 108,139 | 262,406 | ||||||||||||
| Options written | (64,964 | ) | (39,681 | ) | (14,584 | ) | (134,380 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 93,853 | 58,765 | 93,555 | 128,026 | ||||||||||||
| Net realized and unrealized gain/(loss) | 93,853 | 58,765 | 93,555 | 128,026 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 100,414 | $ | 65,286 | $ | 100,280 | $ | 133,663 | ||||||||
The accompanying notes are an integral part of these financial statements.
149
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||
| Buffered S&P | Buffered S&P | Floored S&P | Floored S&P | |||||||||||||
| 500 with Spread | 500 with Spread | 500 with Par Up | 500 with Par Up | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – Nov | – Dec | – Jan | – Feb | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 5,028 | $ | 4,949 | $ | 4,015 | $ | 4,234 | ||||||||
| Interest | 5,767 | 6,063 | 5,356 | 4,996 | ||||||||||||
| Total Investment Income | 10,795 | 11,012 | 9,371 | 9,230 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,499 | 2,465 | 2,036 | 2,018 | ||||||||||||
| Accounting and administration fees | 10,906 | 11,079 | 10,967 | 10,989 | ||||||||||||
| Custody fees | 945 | 980 | 1,184 | 1,123 | ||||||||||||
| Transfer agent fees | 3,029 | 3,022 | 2,929 | 2,942 | ||||||||||||
| Distribution service fees | 1,275 | 1,258 | 1,039 | 1,030 | ||||||||||||
| Professional fees and expenses | 9,065 | 10,420 | 8,513 | 8,524 | ||||||||||||
| Trustees fees and expenses | 415 | 421 | 395 | 385 | ||||||||||||
| Pricing fees | 898 | 909 | 1,180 | 1,231 | ||||||||||||
| Licensing fees | 255 | 252 | 240 | 236 | ||||||||||||
| Offering costs | 2,628 | 2,659 | 486 | 1,990 | ||||||||||||
| Other expenses | 900 | 1,079 | 127 | 140 | ||||||||||||
| Total Expenses | 32,815 | 34,544 | 29,096 | 30,608 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (27,766 | ) | (29,562 | ) | (24,983 | ) | (26,531 | ) | ||||||||
| Acquired fund fees and expenses waiver | (93 | ) | (91 | ) | (74 | ) | (77 | ) | ||||||||
| Net Expenses | 4,956 | 4,891 | 4,039 | 4,000 | ||||||||||||
| Net Investment Income/(Loss) | 5,839 | 6,121 | 5,332 | 5,230 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | — | — | 59,807 | 27,599 | ||||||||||||
| Options written | — | — | (232,503 | ) | (193,096 | ) | ||||||||||
| Net realized gain/(loss) | — | — | (172,696 | ) | (165,497 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 211,146 | 209,343 | 5,092 | (2,066 | ) | |||||||||||
| Options written | (106,483 | ) | (103,505 | ) | 224,168 | 199,118 | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 104,663 | 105,838 | 229,260 | 197,052 | ||||||||||||
| Net realized and unrealized gain/(loss) | 104,663 | 105,838 | 56,564 | 31,555 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 110,502 | $ | 111,959 | $ | 61,896 | $ | 36,785 | ||||||||
The accompanying notes are an integral part of these financial statements.
150
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||
| Floored S&P | Floored S&P | Floored S&P | Floored S&P | |||||||||||||
| 500 with Par Up | 500 with Par Up | 500 with Par Up | 500 with Par Up | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – Mar | – Apr | – May | – Jun | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 4,316 | $ | 4,845 | $ | 4,834 | $ | 4,951 | ||||||||
| Interest | 4,970 | 5,147 | 5,971 | 6,385 | ||||||||||||
| Total Investment Income | 9,286 | 9,992 | 10,805 | 11,336 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,111 | 2,207 | 2,325 | 2,402 | ||||||||||||
| Accounting and administration fees | 11,040 | 10,828 | 10,592 | 10,716 | ||||||||||||
| Custody fees | 1,061 | 1,046 | 1,006 | 913 | ||||||||||||
| Transfer agent fees | 2,949 | 2,955 | 2,904 | 2,912 | ||||||||||||
| Distribution service fees | 1,077 | 1,126 | 1,186 | 1,226 | ||||||||||||
| Professional fees and expenses | 8,583 | 8,756 | 8,778 | 9,060 | ||||||||||||
| Trustees fees and expenses | 400 | 401 | 412 | 425 | ||||||||||||
| Pricing fees | 1,282 | 1,331 | 1,384 | 1,449 | ||||||||||||
| Licensing fees | 244 | 252 | 261 | 266 | ||||||||||||
| Offering costs | 1,251 | 1,952 | 2,629 | 2,851 | ||||||||||||
| Other expenses | 272 | 390 | 483 | 580 | ||||||||||||
| Total Expenses | 30,270 | 31,244 | 31,960 | 32,800 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (26,005 | ) | (26,785 | ) | (27,263 | ) | (27,946 | ) | ||||||||
| Acquired fund fees and expenses waiver | (76 | ) | (80 | ) | (80 | ) | (80 | ) | ||||||||
| Net Expenses | 4,189 | 4,379 | 4,617 | 4,774 | ||||||||||||
| Net Investment Income/(Loss) | 5,097 | 5,613 | 6,188 | 6,562 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | (61,875 | ) | (179,491 | ) | (97,562 | ) | 29,382 | |||||||||
| Options written | (111,505 | ) | 17,679 | 50,252 | (33,880 | ) | ||||||||||
| Net realized gain/(loss) | (173,380 | ) | (161,812 | ) | (47,310 | ) | (4,498 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 148,838 | 166,979 | 156,072 | 90,118 | ||||||||||||
| Options written | 76,618 | 22,958 | (36,384 | ) | (7,834 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 225,456 | 189,937 | 119,688 | 82,284 | ||||||||||||
| Net realized and unrealized gain/(loss) | 52,076 | 28,125 | 72,378 | 77,786 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 57,173 | $ | 33,738 | $ | 78,566 | $ | 84,348 | ||||||||
The accompanying notes are an integral part of these financial statements.
151
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||
| Floored S&P | Floored S&P | Floored S&P | Floored S&P | |||||||||||||
| 500 with Par Up | 500 with Par Up | 500 with Par Up | 500 with Par Up | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – Jul | – Aug | – Sep | – Oct | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 4,932 | $ | 4,916 | $ | 4,926 | $ | 5,111 | ||||||||
| Interest | 6,405 | 5,933 | 6,596 | 5,947 | ||||||||||||
| Total Investment Income | 11,337 | 10,849 | 11,522 | 11,058 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,411 | 2,266 | 2,383 | 2,620 | ||||||||||||
| Accounting and administration fees | 10,686 | 10,671 | 10,656 | 10,907 | ||||||||||||
| Custody fees | 936 | 1,089 | 1,040 | 945 | ||||||||||||
| Transfer agent fees | 2,913 | 2,959 | 2,946 | 2,976 | ||||||||||||
| Distribution service fees | 1,230 | 1,156 | 1,216 | 1,337 | ||||||||||||
| Professional fees and expenses | 8,916 | 8,954 | 9,362 | 9,076 | ||||||||||||
| Trustees fees and expenses | 418 | 399 | 398 | 427 | ||||||||||||
| Pricing fees | 1,500 | 1,558 | 1,618 | 926 | ||||||||||||
| Licensing fees | 246 | 231 | 243 | 267 | ||||||||||||
| Offering costs | 3,482 | 3,656 | 2,599 | 2,716 | ||||||||||||
| Other expenses | 687 | 743 | 899 | 597 | ||||||||||||
| Total Expenses | 33,425 | 33,682 | 33,360 | 32,794 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (28,554 | ) | (29,105 | ) | (28,546 | ) | (27,500 | ) | ||||||||
| Acquired fund fees and expenses waiver | (78 | ) | (76 | ) | (77 | ) | (95 | ) | ||||||||
| Net Expenses | 4,793 | 4,501 | 4,737 | 5,199 | ||||||||||||
| Net Investment Income/(Loss) | 6,544 | 6,348 | 6,785 | 5,859 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 108,813 | 47,113 | 58,877 | 206,368 | ||||||||||||
| Options written | (34,677 | ) | 4,144 | 21,595 | (113,075 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 74,136 | 51,257 | 80,472 | 93,293 | ||||||||||||
| Net realized and unrealized gain/(loss) | 74,136 | 51,257 | 80,472 | 93,293 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 80,680 | $ | 57,605 | $ | 87,257 | $ | 99,152 | ||||||||
The accompanying notes are an integral part of these financial statements.
152
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Milliman 1-Year | Milliman 1-Year | Buffered S&P | Buffered S&P | |||||||||||||
| Floored S&P | Floored S&P | 500 & Nasdaq | 500 & Nasdaq | |||||||||||||
| 500 with Par Up | 500 with Par Up | with Stacker Cap | with Stacker Cap | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| – Nov | – Dec | - Jan | - Feb | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 5,028 | $ | 6,185 | $ | 4,208 | $ | 4,688 | ||||||||
| Interest | 5,701 | 7,535 | 5,661 | 5,796 | ||||||||||||
| Total Investment Income | 10,729 | 13,720 | 9,869 | 10,484 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,496 | 3,084 | 2,170 | 2,308 | ||||||||||||
| Accounting and administration fees | 10,910 | 11,325 | 11,030 | 11,060 | ||||||||||||
| Custody fees | 950 | 998 | 1,038 | 1,044 | ||||||||||||
| Transfer agent fees | 3,041 | 3,033 | 2,930 | 2,940 | ||||||||||||
| Distribution service fees | 1,273 | 1,573 | 1,107 | 1,178 | ||||||||||||
| Professional fees and expenses | 9,112 | 10,936 | 8,515 | 8,726 | ||||||||||||
| Trustees fees and expenses | 423 | 484 | 404 | 408 | ||||||||||||
| Pricing fees | 1,077 | 1,091 | 1,691 | 1,594 | ||||||||||||
| Licensing fees | 255 | 315 | 368 | 369 | ||||||||||||
| Offering costs | 2,624 | 2,659 | 486 | 1,991 | ||||||||||||
| Other expenses | 903 | 1,200 | 147 | 155 | ||||||||||||
| Total Expenses | 33,064 | 36,698 | 29,886 | 31,773 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (28,022 | ) | (30,466 | ) | (25,501 | ) | (27,110 | ) | ||||||||
| Acquired fund fees and expenses waiver | (93 | ) | (112 | ) | (77 | ) | (84 | ) | ||||||||
| Net Expenses | 4,949 | 6,120 | 4,308 | �� | 4,579 | |||||||||||
| Net Investment Income/(Loss) | 5,780 | 7,600 | 5,561 | 5,905 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | — | — | (72,071 | ) | (112,843 | ) | ||||||||||
| Options written | — | — | (48,937 | ) | 30,667 | |||||||||||
| Net realized gain/(loss) | — | — | (121,008 | ) | (82,176 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 163,807 | 197,102 | 432,028 | 403,257 | ||||||||||||
| Options written | (77,547 | ) | (92,722 | ) | (220,723 | ) | (206,868 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 86,260 | 104,380 | 211,305 | 196,389 | ||||||||||||
| Net realized and unrealized gain/(loss) | 86,260 | 104,380 | 90,297 | 114,213 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 92,040 | $ | 111,980 | $ | 95,858 | $ | 120,118 | ||||||||
The accompanying notes are an integral part of these financial statements.
153
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||
| 500 & Nasdaq | 500 & Nasdaq | 500 & Nasdaq | 500 & Nasdaq | |||||||||||||
| with Stacker Cap | with Stacker Cap | with Stacker Cap | with Stacker Cap | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| - Mar | - Apr | - May | - Jun | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 4,560 | $ | 4,867 | $ | 4,923 | $ | 4,951 | ||||||||
| Interest | 5,873 | 5,712 | 6,440 | 6,408 | ||||||||||||
| Total Investment Income | 10,433 | 10,579 | 11,363 | 11,359 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,280 | 2,305 | 2,492 | 2,590 | ||||||||||||
| Accounting and administration fees | 11,191 | 10,807 | 10,671 | 10,819 | ||||||||||||
| Custody fees | 1,063 | 1,060 | 908 | 877 | ||||||||||||
| Transfer agent fees | 2,949 | 2,955 | 2,904 | 2,912 | ||||||||||||
| Distribution service fees | 1,164 | 1,176 | 1,272 | 1,321 | ||||||||||||
| Professional fees and expenses | 8,705 | 8,735 | 8,885 | 9,041 | ||||||||||||
| Trustees fees and expenses | 412 | 394 | 423 | 435 | ||||||||||||
| Pricing fees | 1,642 | 1,692 | 1,741 | 1,822 | ||||||||||||
| Licensing fees | 363 | 359 | 363 | 362 | ||||||||||||
| Offering costs | 1,254 | 1,952 | 2,624 | 2,847 | ||||||||||||
| Other expenses | 286 | 389 | 499 | 595 | ||||||||||||
| Total Expenses | 31,309 | 31,824 | 32,782 | 33,621 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (26,702 | ) | (27,168 | ) | (27,747 | ) | (28,389 | ) | ||||||||
| Acquired fund fees and expenses waiver | (80 | ) | (83 | ) | (83 | ) | (81 | ) | ||||||||
| Net Expenses | 4,527 | 4,573 | 4,952 | 5,151 | ||||||||||||
| Net Investment Income/(Loss) | 5,906 | 6,006 | 6,411 | 6,208 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net realized gain/(loss) on: | ||||||||||||||||
| Investments | (165,244 | ) | (268,819 | ) | (108,537 | ) | 215,895 | |||||||||
| Options written | 85,586 | 183,203 | 157,374 | (114,940 | ) | |||||||||||
| Net realized gain/(loss) | (79,658 | ) | (85,616 | ) | 48,837 | 100,955 | ||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 521,077 | 454,024 | 393,759 | 178,393 | ||||||||||||
| Options written | (344,931 | ) | (286,451 | ) | (312,587 | ) | (136,369 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 176,146 | 167,573 | 81,172 | 42,024 | ||||||||||||
| Net realized and unrealized gain/(loss) | 96,488 | 81,957 | 130,009 | 142,979 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 102,394 | $ | 87,963 | $ | 136,420 | $ | 149,187 | ||||||||
The accompanying notes are an integral part of these financial statements.
154
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | Milliman 1-Year | |||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||
| 500 & Nasdaq | 500 & Nasdaq | 500 & Nasdaq | 500 & Nasdaq | |||||||||||||
| with Stacker Cap | with Stacker Cap | with Stacker Cap | with Stacker Cap | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund | Outcome Fund | |||||||||||||
| - Jul | - Aug | - Sep | - Oct | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 4,932 | $ | 4,928 | $ | 4,929 | $ | 5,111 | ||||||||
| Interest | 6,586 | 6,310 | 6,561 | 5,953 | ||||||||||||
| Total Investment Income | 11,518 | 11,238 | 11,490 | 11,064 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,580 | 2,373 | 2,496 | 2,721 | ||||||||||||
| Accounting and administration fees | 10,706 | 10,676 | 10,715 | 10,918 | ||||||||||||
| Custody fees | 932 | 1,093 | 1,020 | 939 | ||||||||||||
| Transfer agent fees | 2,915 | 2,956 | 2,948 | 2,963 | ||||||||||||
| Distribution service fees | 1,317 | 1,211 | 1,274 | 1,388 | ||||||||||||
| Professional fees and expenses | 8,913 | 8,971 | 9,373 | 9,079 | ||||||||||||
| Trustees fees and expenses | 426 | 397 | 397 | 434 | ||||||||||||
| Pricing fees | 1,857 | 1,916 | 1,976 | 1,285 | ||||||||||||
| Licensing fees | 358 | 346 | 353 | 364 | ||||||||||||
| Offering costs | 3,556 | 3,662 | 2,600 | 2,719 | ||||||||||||
| Other expenses | 698 | 745 | 901 | 600 | ||||||||||||
| Total Expenses | 34,258 | 34,346 | 34,053 | 33,410 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (29,044 | ) | (29,551 | ) | (29,010 | ) | (27,912 | ) | ||||||||
| Acquired fund fees and expenses waiver | (78 | ) | (77 | ) | (77 | ) | (95 | ) | ||||||||
| Net Expenses | 5,136 | 4,718 | 4,966 | 5,403 | ||||||||||||
| Net Investment Income/(Loss) | 6,382 | 6,520 | 6,524 | 5,661 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 400,140 | 242,548 | 288,857 | 549,556 | ||||||||||||
| Options written | (272,139 | ) | (96,783 | ) | (128,847 | ) | (436,154 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 128,001 | 145,765 | 160,010 | 113,402 | ||||||||||||
| Net realized and unrealized gain/(loss) | 128,001 | 145,765 | 160,010 | 113,402 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 134,383 | $ | 152,285 | $ | 166,534 | $ | 119,063 | ||||||||
The accompanying notes are an integral part of these financial statements.
155
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 1-Year | Milliman 1-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | Milliman 6-Year | Milliman 6-Year | |||||||||||||
| 500 & Nasdaq | 500 & Nasdaq | Buffered S&P | Buffered S&P | |||||||||||||
| with Stacker Cap | with Stacker Cap | 500 with Par Up | 500 with Par Up | |||||||||||||
| Outcome Fund | Outcome Fund | Outcome Fund – | Outcome Fund – | |||||||||||||
| - Nov | - Dec | Jan (I) | Apr (I) | |||||||||||||
| Six Months | Six Months | Six Months | Six Months | |||||||||||||
| Ended June | Ended June | Ended June | Ended June | |||||||||||||
| 30, 2023 | 30, 2023 | 30, 2023 | 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 5,028 | $ | 4,950 | $ | 10,393 | $ | 18,438 | ||||||||
| Interest | 5,783 | 6,063 | 2,381 | 6,428 | ||||||||||||
| Total Investment Income | 10,811 | 11,013 | 12,774 | 24,866 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 2,591 | 2,550 | 2,105 | 4,092 | ||||||||||||
| Accounting and administration fees | 10,969 | 11,088 | 10,979 | 11,844 | ||||||||||||
| Custody fees | 945 | 980 | 597 | 527 | ||||||||||||
| Transfer agent fees | 3,029 | 3,022 | 2,830 | 2,855 | ||||||||||||
| Distribution service fees | 1,322 | 1,301 | 1,074 | 2,088 | ||||||||||||
| Professional fees and expenses | 9,171 | 10,421 | 7,052 | 9,835 | ||||||||||||
| Trustees fees and expenses | 422 | 421 | 221 | 439 | ||||||||||||
| Pricing fees | 1,436 | 1,455 | 660 | 648 | ||||||||||||
| Licensing fees | 358 | 367 | 247 | 462 | ||||||||||||
| Offering costs | 2,720 | 2,646 | 486 | 1,952 | ||||||||||||
| Other expenses | 899 | 1,076 | 642 | 1,330 | ||||||||||||
| Total Expenses | 33,862 | 35,327 | 26,893 | 36,072 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (28,627 | ) | (30,176 | ) | (22,640 | ) | (27,805 | ) | ||||||||
| Acquired fund fees and expenses waiver | (93 | ) | (91 | ) | (289 | ) | (513 | ) | ||||||||
| Net Expenses | 5,142 | 5,060 | 3,964 | 7,754 | ||||||||||||
| Net Investment Income/(Loss) | 5,669 | 5,953 | 8,810 | 17,112 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 468,030 | 454,456 | 58,948 | 141,010 | ||||||||||||
| Options written | (331,480 | ) | (317,750 | ) | 36,857 | 60,933 | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 136,550 | 136,706 | 95,805 | 201,943 | ||||||||||||
| Net realized and unrealized gain/(loss) | 136,550 | 136,706 | 95,805 | 201,943 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 142,219 | $ | 142,659 | $ | 104,615 | $ | 219,055 | ||||||||
The accompanying notes are an integral part of these financial statements.
156
Milliman Variable Insurance Trust
Statements of Operations
| Milliman 6-Year | Milliman 6-Year | Milliman 6-Year | Milliman 6-Year | |||||||||||||
| Buffered S&P | Buffered S&P | Buffered S&P | Buffered S&P | |||||||||||||
| 500 with Par Up | 500 with Par Up | 500 with Par Up | 500 with Par Up | |||||||||||||
| Outcome Fund – | Outcome Fund – | Outcome Fund - | Outcome Fund - | |||||||||||||
| Jul (I) | Oct (I) | Jan (II) | Apr (II) | |||||||||||||
| Six Months | Six Months | Period January | Period April | |||||||||||||
| Ended June | Ended June | 10, 2023(a) to | 10, 2023(a) to | |||||||||||||
| 30, 2023 | 30, 2023 | June 30, 2023 | June 30, 2023 | |||||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividends | $ | 26,669 | $ | 9,967 | $ | 10,365 | $ | 5,022 | ||||||||
| Interest | 10,035 | 4,643 | 3,885 | 1,792 | ||||||||||||
| Total Investment Income | 36,704 | 14,610 | 14,250 | 6,814 | ||||||||||||
| Expenses: | ||||||||||||||||
| Investment advisory fees | 6,812 | 2,587 | 2,269 | 1,084 | ||||||||||||
| Accounting and administration fees | 13,207 | 10,894 | 10,384 | 4,903 | ||||||||||||
| Custody fees | 719 | 1,067 | 845 | 495 | ||||||||||||
| Transfer agent fees | 2,913 | 3,772 | 2,827 | 1,331 | ||||||||||||
| Distribution service fees | 3,476 | 1,320 | 1,157 | 553 | ||||||||||||
| Professional fees and expenses | 11,684 | 8,609 | 7,072 | 4,027 | ||||||||||||
| Trustees fees and expenses | 657 | 317 | 334 | 174 | ||||||||||||
| Pricing fees | 637 | 636 | 129 | 101 | ||||||||||||
| Licensing fees | 695 | 264 | 231 | 111 | ||||||||||||
| Offering costs | 9,020 | 2,759 | 9,000 | 3,329 | ||||||||||||
| Other expenses | 1,602 | 587 | 683 | 305 | ||||||||||||
| Total Expenses | 51,422 | 32,812 | 34,931 | 16,413 | ||||||||||||
| Waivers/expense reimbursement by Advisor | (37,659 | ) | (27,586 | ) | (30,347 | ) | (14,224 | ) | ||||||||
| Acquired fund fees and expenses waiver | (742 | ) | (278 | ) | (256 | ) | (123 | ) | ||||||||
| Net Expenses | 13,021 | 4,948 | 4,328 | 2,066 | ||||||||||||
| Net Investment Income/(Loss) | 23,683 | 9,662 | 9,922 | 4,748 | ||||||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
| Investments | 275,126 | 96,921 | 45,682 | 39,769 | ||||||||||||
| Options written | 78,366 | 26,717 | 10,352 | 17,501 | ||||||||||||
| Net change in unrealized appreciation/(depreciation) | 353,492 | 123,638 | 56,034 | 57,270 | ||||||||||||
| Net realized and unrealized gain/(loss) | 353,492 | 123,638 | 56,034 | 57,270 | ||||||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 377,175 | $ | 133,300 | $ | 65,956 | $ | 62,018 | ||||||||
| (a) | Commencement of Operations |
The accompanying notes are an integral part of these financial statements.
157
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Month Buffered | Milliman 6-Month Buffered | |||||||||||||||
| S&P 500 with Par Up | S&P 500 with Par Up | |||||||||||||||
| Outcome Fund – Jan/Jul | Outcome Fund – Feb/Aug | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | January 10, | Six Months | February 10, | |||||||||||||
| Ended June | 2022(a) to | Ended June | 2022(a) to | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | December 31, | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment Income/(Loss) | $ | 6,332 | $ | (836 | ) | $ | 9,882 | $ | 387 | |||||||
| Net realized gain/(loss) | (54,788 | ) | (150,897 | ) | (147,102 | ) | (110,683 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 147,155 | (77,630 | ) | 244,446 | (179,196 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 98,699 | (229,363 | ) | 107,226 | (289,492 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,160,309 | — | 1,712,362 | ||||||||||||
| Cost of Shares redeemed | (1,318 | ) | (1,097 | ) | (3,824 | ) | (6,541 | ) | ||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (1,318 | ) | 1,159,212 | (3,824 | ) | 1,705,821 | ||||||||||
| Total Increase/(Decrease) in Net Assets | 97,381 | 929,849 | 103,402 | 1,416,329 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 929,849 | — | 1,416,329 | — | ||||||||||||
| End of the period | $ | 1,027,230 | $ | 929,849 | $ | 1,519,731 | $ | 1,416,329 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 118,663 | — | 173,519 | ||||||||||||
| Shares redeemed | (160 | ) | (129 | ) | (452 | ) | (750 | ) | ||||||||
| Net Increase/(Decrease) | (160 | ) | 118,534 | (452 | ) | 172,769 | ||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
158
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Month Buffered | Milliman 6-Month Buffered | |||||||||||||||
| S&P 500 with Par Up | S&P 500 with Par Up | |||||||||||||||
| Outcome Fund – Mar/Sep | Outcome Fund – Apr/Oct | |||||||||||||||
| Six Months | Period March | Six Months | Period April | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 11, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment Income/(Loss) | $ | 6,936 | $ | 477 | $ | 6,879 | $ | 2,544 | ||||||||
| Net realized gain/(loss) | (46,948 | ) | (88,704 | ) | 99,206 | (207,737 | ) | |||||||||
| Net change in unrealized appreciation/(depreciation) | 164,162 | (69,267 | ) | (416 | ) | 53,760 | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 124,150 | (157,494 | ) | 105,669 | (151,433 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (95 | ) | — | (2,432 | ) | ||||||||||
| Total distributions to shareholders | — | (95 | ) | — | (2,432 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from Shares sold | — | 1,139,619 | — | 1,265,014 | ||||||||||||
| ReInvestments | — | 95 | — | 2,432 | ||||||||||||
| Cost of Shares redeemed | (769 | ) | (1,172 | ) | (1,498 | ) | (2,126 | ) | ||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (769 | ) | 1,138,542 | (1,498 | ) | 1,265,320 | ||||||||||
| Total Increase/(Decrease) in Net Assets | 123,381 | 980,953 | 104,171 | 1,111,455 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 980,953 | — | 1,111,455 | — | ||||||||||||
| End of the period | $ | 1,104,334 | $ | 980,953 | $ | 1,215,626 | $ | 1,111,455 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 113,625 | — | 126,371 | ||||||||||||
| Shares reinvested | — | 11 | — | 277 | ||||||||||||
| Shares redeemed | (84 | ) | (129 | ) | (163 | ) | (235 | ) | ||||||||
| Net Increase/(Decrease) | (84 | ) | 113,507 | (163 | ) | 126,413 | ||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
159
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Month Buffered | Milliman 6-Month Buffered | |||||||||||||||
| S&P 500 with Par Up | S&P 500 with Par Up | |||||||||||||||
| Outcome Fund – May/Nov | Outcome Fund – Jun/Dec | |||||||||||||||
| Six Months | Period May | Six Months | Period June | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment Income/(Loss) | $ | 9,358 | $ | 4,022 | $ | 7,165 | $ | 2,788 | ||||||||
| Net realized gain/(loss) | 28,606 | (98,960 | ) | 63,830 | (24,627 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 103,581 | (26,505 | ) | 47,714 | (21,503 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 141,545 | (121,443 | ) | 118,709 | (43,342 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (4,022 | ) | — | (5,332 | ) | ||||||||||
| Tax return of capital to shareholders | — | (319 | ) | — | (453 | ) | ||||||||||
| Total distributions to shareholders | — | (4,341 | ) | — | (5,785 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from Shares sold | — | 1,681,374 | — | 1,122,205 | ||||||||||||
| ReInvestments | — | 4,341 | — | 5,785 | ||||||||||||
| Cost of Shares redeemed | (4,185 | ) | (2,130 | ) | (783 | ) | (831 | ) | ||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (4,185 | ) | 1,683,585 | (783 | ) | 1,127,159 | ||||||||||
| Total Increase/(Decrease) in Net Assets | 137,360 | 1,557,801 | 117,926 | 1,078,032 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 1,557,801 | — | 1,078,032 | — | ||||||||||||
| End of the period | $ | 1,695,161 | $ | 1,557,801 | $ | 1,195,958 | $ | 1,078,032 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 171,264 | — | 112,690 | ||||||||||||
| Shares reinvested | — | 479 | — | 609 | ||||||||||||
| Shares redeemed | (443 | ) | (224 | ) | (79 | ) | (85 | ) | ||||||||
| Net Increase/(Decrease) | (443 | ) | 171,519 | (79 | ) | 113,214 | ||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
160
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Month Parred | Milliman 6-Month Parred | |||||||||||||||
| Down S&P 500 with Par Up | Down S&P 500 with Par Up | |||||||||||||||
| Outcome Fund – Jan/Jul | Outcome Fund – Feb/Aug | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | January 10, | Six Months | February 10, | |||||||||||||
| Ended June | 2022(a) to | Ended June | 2022(a) to | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | December 31, | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment Income/(Loss) | $ | 5,136 | $ | (2,049 | ) | $ | 8,834 | $ | 1,152 | |||||||
| Net realized gain/(loss) | (43,843 | ) | (159,939 | ) | (142,329 | ) | (103,781 | ) | ||||||||
| Net change in unrealized appreciation/(depreciation) | 129,561 | (68,486 | ) | 236,265 | (181,024 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 90,854 | (230,474 | ) | 102,770 | (283,653 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | — | — | (663 | ) | |||||||||||
| Total distributions to shareholders | — | — | — | (663 | ) | |||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from Shares sold | — | 1,000,010 | — | 1,461,555 | ||||||||||||
| ReInvestments | — | — | — | 663 | ||||||||||||
| Cost of Shares redeemed | — | — | (7,592 | ) | (2,033 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,000,010 | (7,592 | ) | 1,460,185 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 90,854 | 769,536 | 95,178 | 1,175,869 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 769,536 | — | 1,175,869 | — | ||||||||||||
| End of the period | $ | 860,390 | $ | 769,536 | $ | 1,271,047 | $ | 1,175,869 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 151,918 | ||||||||||||
| Shares reinvested | — | — | — | 84 | ||||||||||||
| Shares redeemed | — | — | (934 | ) | (252 | ) | ||||||||||
| Net Increase/(Decrease) | — | 100,001 | (934 | ) | 151,750 | |||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
161
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Month Parred Down | Milliman 6-Month Parred Down | |||||||||||||||
| S&P 500 with Par Up | S&P 500 with Par Up | |||||||||||||||
| Outcome Fund – Mar/Sep | Outcome Fund – Apr/Oct | |||||||||||||||
| Six Months | Period March | Six Months | Period April | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 11, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment Income/(Loss) | $ | 5,649 | $ | (299 | ) | $ | 5,568 | $ | 1,661 | |||||||
| Net realized gain/(loss) | (67,156 | ) | (91,682 | ) | 71,420 | (168,307 | ) | |||||||||
| Net change in unrealized appreciation/(depreciation) | 150,978 | (72,294 | ) | 8,971 | 34,788 | |||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 89,471 | (164,275 | ) | 85,959 | (131,858 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | — | — | (1,570 | ) | |||||||||||
| Total distributions to shareholders | — | — | — | (1,570 | ) | |||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from Shares sold | — | 1,000,010 | — | 1,000,010 | ||||||||||||
| ReInvestments | — | — | — | 1,570 | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,000,010 | — | 1,001,580 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 89,471 | 835,735 | 85,959 | 868,152 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 835,735 | — | 868,152 | — | ||||||||||||
| End of the period | $ | 925,206 | $ | 835,735 | $ | 954,111 | $ | 868,152 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | — | — | 181 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 100,001 | — | 100,182 | ||||||||||||
| (a) | Commencement of Operations |
| (b) | Class 3 |
The accompanying notes are an integral part of these financial statements.
162
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Month Parred | Milliman 6-Month Parred | |||||||||||||||
| Down S&P 500 with Par Up | Down S&P 500 with Par Up | |||||||||||||||
| Outcome Fund – May/Nov | Outcome Fund - Jun/Dec | |||||||||||||||
| Six Months | Period May | Six Months | Period June | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment Income/(Loss) | $ | 6,189 | $ | 2,079 | $ | 6,804 | $ | 2,385 | ||||||||
| Net realized gain/(loss) | 22,213 | (88,179 | ) | 54,184 | (27,762 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 56,498 | (12,126 | ) | 43,367 | (20,355 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 84,900 | (98,226 | ) | 104,355 | (45,732 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,980 | ) | — | (2,385 | ) | ||||||||||
| Tax return of capital to shareholders | — | — | — | (358 | ) | |||||||||||
| Total distributions to shareholders | — | (1,980 | ) | — | (2,743 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from Shares sold | — | 1,000,010 | — | 1,000,010 | ||||||||||||
| ReInvestments | — | 1,980 | — | 2,743 | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,001,990 | — | 1,002,753 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 84,900 | 901,784 | 104,355 | 954,278 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 901,784 | — | 954,278 | — | ||||||||||||
| End of the period | $ | 986,684 | $ | 901,784 | $ | 1,058,633 | $ | 954,278 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 220 | — | 288 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 100,221 | — | 100,289 | ||||||||||||
| (a) | Commencement of Operations |
| (b) | Class 3 |
The accompanying notes are an integral part of these financial statements.
163
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman | Milliman | Milliman | ||||||||||
| 6-Month | 6-Month | 6-Month | ||||||||||
| Buffered | Buffered | Buffered | ||||||||||
| S&P 500 | S&P 500 | S&P 500 | ||||||||||
| with Trigger | with Trigger | with Trigger | ||||||||||
| Outcome | Outcome | Outcome | ||||||||||
| Fund - Jan/ | Fund - Feb/ | Fund - Mar/ | ||||||||||
| Jul | Aug | Sep | ||||||||||
| Period | Period | |||||||||||
| January 10, | February | Period March | ||||||||||
| 2023(a) | 10, 2023(a) | 10, 2023(a) | ||||||||||
| to June | to June 30, | to June 30, | ||||||||||
| 30, 2023 | 2023 | 2023 | ||||||||||
| (Unaudited) | (Unaudited) | (Unaudited) | ||||||||||
| Operations: | ||||||||||||
| Net Investment Income/(Loss) | $ | 6,448 | $ | 5,387 | $ | 4,254 | ||||||
| Net change in unrealized appreciation/(depreciation) | 45,982 | 38,809 | 54,242 | |||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 52,430 | 44,196 | 58,496 | |||||||||
| Capital Share Transactions:(b) | ||||||||||||
| Proceeds from Shares sold | 1,000,011 | 1,000,010 | 1,000,010 | |||||||||
| Cost of Shares redeemed | (1 | ) | — | — | ||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 1,000,010 | 1,000,010 | 1,000,010 | |||||||||
| Total Increase/(Decrease) in Net Assets | 1,052,440 | 1,044,206 | 1,058,506 | |||||||||
| Net Assets: | ||||||||||||
| Beginning of the period | — | — | — | |||||||||
| End of the period | $ | 1,052,440 | $ | 1,044,206 | $ | 1,058,506 | ||||||
| Change in Shares Outstanding:(b) | ||||||||||||
| Shares sold | 100,001 | 100,001 | 100,001 | |||||||||
| Shares redeemed | — | — | — | |||||||||
| Net Increase/(Decrease) | 100,001 | 100,001 | 100,001 | |||||||||
| (a) | Commencement of Operations |
| (b) | Class 3 |
The accompanying notes are an integral part of these financial statements.
164
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Month Buffered | Milliman 6-Month Buffered | |||||||||||||||
| S&P 500 with Trigger | S&P 500 with Trigger | |||||||||||||||
| Outcome Fund – Apr/Oct | Outcome Fund – May/Nov | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | October 10, | Six Months | November | |||||||||||||
| Ended June | 2022(a) to | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment Income/(Loss) | $ | 6,641 | $ | 3,169 | $ | 8,816 | $ | 3,384 | ||||||||
| Net realized gain/(loss) | 78,034 | — | 99,793 | — | ||||||||||||
| Net change in unrealized appreciation/(depreciation) | (13,327 | ) | 49,337 | 47,362 | (5,631 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 71,348 | 52,506 | 155,971 | (2,247 | ) | |||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (34,194 | ) | — | (3,384 | ) | ||||||||||
| Tax return of capital to shareholders | — | — | — | (182 | ) | |||||||||||
| Total distributions to shareholders | — | (34,194 | ) | — | (3,566 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from Shares sold | — | 1,000,016 | — | 1,481,406 | ||||||||||||
| ReInvestments | — | 34,194 | — | 3,566 | ||||||||||||
| Cost of Shares redeemed | (6 | ) | — | (3,122 | ) | (607 | ) | |||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (6 | ) | 1,034,210 | (3,122 | ) | 1,484,365 | ||||||||||
| Total Increase/(Decrease) in Net Assets | 71,342 | 1,052,522 | 152,849 | 1,478,552 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 1,052,522 | — | 1,478,552 | — | ||||||||||||
| End of the period | $ | 1,123,864 | $ | 1,052,522 | $ | 1,631,401 | $ | 1,478,552 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 147,289 | ||||||||||||
| Shares reinvested | — | 3,366 | — | 357 | ||||||||||||
| Shares redeemed | (1 | ) | — | (294 | ) | (60 | ) | |||||||||
| Net Increase/(Decrease) | (1 | ) | 103,367 | (294 | ) | 147,586 | ||||||||||
| (a) | Commencement of Operations |
| (b) | Class 3 |
The accompanying notes are an integral part of these financial statements.
165
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Month Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 with Trigger | S&P 500 with Spread | |||||||||||||||
| Outcome Fund – Jun/Dec | Outcome Fund – Jan | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | December | Six Months | January 10, | |||||||||||||
| Ended June | 12, 2022(a) | Ended June | 2022(a) to | |||||||||||||
| 30, 2023 | to December | 30, 2023 | December 31, | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,363 | $ | 1,218 | $ | 5,544 | $ | (1,375 | ) | |||||||
| Net realized gain/(loss) | 68,026 | — | (132,691 | ) | — | |||||||||||
| Net change in unrealized appreciation/(depreciation) | 25,687 | (14,408 | ) | 232,695 | (157,433 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 100,076 | (13,190 | ) | 105,548 | (158,808 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (993 | ) | — | — | |||||||||||
| Total distributions to shareholders | — | (993 | ) | — | — | |||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,000,151 | ||||||||||||
| Reinvestments | — | 993 | — | — | ||||||||||||
| Cost of shares redeemed | — | — | — | (140 | ) | |||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,001,003 | — | 1,000,011 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 100,076 | 986,820 | 105,548 | 841,203 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 986,820 | — | 841,203 | — | ||||||||||||
| End of the period | $ | 1,086,896 | $ | 986,820 | $ | 946,751 | $ | 841,203 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,015 | ||||||||||||
| Shares reinvested | — | 101 | — | — | ||||||||||||
| Shares redeemed | — | — | — | (14 | ) | |||||||||||
| Net Increase/(Decrease) | — | 100,102 | — | 100,001 | ||||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
166
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 with Spread | S&P 500 with Spread | |||||||||||||||
| Outcome Fund – Feb | Outcome Fund – Mar | |||||||||||||||
| Period | ||||||||||||||||
| Six Months | February 10, | Six Months | Period March | |||||||||||||
| Ended June | 2022(a) to | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,926 | $ | (571 | ) | $ | 5,811 | $ | 194 | |||||||
| Net realized gain/(loss) | (74,053 | ) | — | (80,591 | ) | — | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 178,389 | (127,179 | ) | 224,549 | (117,531 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 110,262 | (127,750 | ) | 149,769 | (117,337 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,014 | — | 1,000,022 | ||||||||||||
| Cost of shares redeemed | — | (4 | ) | — | (11 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,000,010 | — | 1,000,011 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 110,262 | 872,260 | 149,769 | 882,674 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 872,260 | — | 882,674 | — | ||||||||||||
| End of the period | $ | 982,522 | $ | 872,260 | $ | 1,032,443 | $ | 882,674 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,002 | ||||||||||||
| Shares redeemed | — | — | — | (1 | ) | |||||||||||
| Net Increase/(Decrease) | — | 100,001 | — | 100,001 | ||||||||||||
| (a) | Commencement of Operations |
| (b) | Class 3 |
The accompanying notes are an integral part of these financial statements.
167
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 with Spread | S&P 500 with Spread | |||||||||||||||
| Outcome Fund – Apr | Outcome Fund – May | |||||||||||||||
| Six Months | Period April | Six Months | Period May | |||||||||||||
| Ended June | 11, 2022(a) | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,811 | $ | 1,090 | $ | 6,288 | $ | 1,659 | ||||||||
| Net realized gain/(loss) | (84,812 | ) | — | (53,869 | ) | — | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 187,444 | (129,209 | ) | 122,433 | (65,757 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 108,443 | (128,119 | ) | 74,852 | (64,098 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (749 | ) | — | (1,306 | ) | ||||||||||
| Total distributions to shareholders | — | (749 | ) | — | (1,306 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,030,010 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 749 | — | 1,306 | ||||||||||||
| Cost of shares redeemed | (13,904 | ) | (238 | ) | — | — | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (13,904 | ) | 1,030,521 | — | 1,001,316 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 94,539 | 901,653 | 74,852 | 935,912 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 901,653 | — | 935,912 | — | ||||||||||||
| End of the period | $ | 996,192 | $ | 901,653 | $ | 1,010,764 | $ | 935,912 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 103,071 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 86 | — | 139 | ||||||||||||
| Shares redeemed | (1,510 | ) | (27 | ) | — | — | ||||||||||
| Net Increase/(Decrease) | (1,510 | ) | 103,130 | — | 100,140 | |||||||||||
| (a) Commencement of Operations | ||||||||||||||||
| (b) Class 3 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
168
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 with Spread | S&P 500 with Spread | |||||||||||||||
| Outcome Fund – Jun | Outcome Fund – Jul | |||||||||||||||
| Six Months | Period June | Six Months | Period July | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 11, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,432 | $ | 2,098 | $ | 6,561 | $ | 2,129 | ||||||||
| Net realized gain/(loss) | 15,893 | — | — | — | ||||||||||||
| Net change in unrealized appreciation/(depreciation) | 66,004 | (43,999 | ) | 93,853 | (31,912 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 88,329 | (41,901 | ) | 100,414 | (29,783 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,737 | ) | — | (8,265 | ) | ||||||||||
| Total distributions to shareholders | — | (1,737 | ) | — | (8,265 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,006,374 | ||||||||||||
| Reinvestments | — | 1,737 | — | 8,265 | ||||||||||||
| Cost of shares redeemed | — | — | (266 | ) | (34 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions.. | — | 1,001,747 | (266 | ) | 1,014,605 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 88,329 | 958,109 | 100,148 | 976,557 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 958,109 | — | 976,557 | — | ||||||||||||
| End of the period | $ | 1,046,438 | $ | 958,109 | $ | 1,076,705 | $ | 976,557 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,610 | ||||||||||||
| Shares reinvested | — | 180 | — | 856 | ||||||||||||
| Shares redeemed | — | — | (26 | ) | (4 | ) | ||||||||||
| Net Increase/(Decrease) | — | 100,181 | (26 | ) | 101,462 | |||||||||||
| (a) Commencement of Operations | ||||||||||||||||
| (b) Class 3 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
169
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 with Spread | S&P 500 with Spread | |||||||||||||||
| Outcome Fund – Aug | Outcome Fund – Sep | |||||||||||||||
| Period | ||||||||||||||||
| Six Months | Period August | Six Months | September | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 12, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,521 | $ | 2,195 | $ | 6,725 | $ | 2,236 | ||||||||
| Net change in unrealized appreciation/(depreciation) | 58,765 | (99,473 | ) | 93,555 | (67,680 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 65,286 | (97,278 | ) | 100,280 | (65,444 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,860 | ) | — | (1,885 | ) | ||||||||||
| Total distributions to shareholders | — | (1,860 | ) | — | (1,885 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,006,012 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 1,860 | — | 1,885 | ||||||||||||
| Cost of shares redeemed | (35 | ) | (27 | ) | — | — | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (35 | ) | 1,007,845 | — | 1,001,895 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 65,251 | 908,707 | 100,280 | 934,566 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 908,707 | — | 934,566 | — | ||||||||||||
| End of the period | $ | 973,958 | $ | 908,707 | $ | 1,034,846 | $ | 934,566 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,601 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 206 | — | 201 | ||||||||||||
| Shares redeemed | (4 | ) | (3 | ) | — | — | ||||||||||
| Net Increase/(Decrease) | (4 | ) | 100,804 | — | 100,202 | |||||||||||
| (a) Commencement of Operations | ||||||||||||||||
| (b) Class 3 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
170
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 with Spread | S&P 500 with Spread | |||||||||||||||
| Outcome Fund – Oct | Outcome Fund – Nov | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | October 10, | Six Months | November | |||||||||||||
| Ended June | 2022(a) to | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,637 | $ | 2,903 | $ | 5,839 | $ | 1,957 | ||||||||
| Net change in unrealized appreciation/(depreciation) | 128,026 | 59,574 | 104,663 | (19,938 | ) | |||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 133,663 | 62,477 | 110,502 | (17,981 | ) | |||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (65,492 | ) | — | (1,841 | ) | ||||||||||
| Total distributions to shareholders | — | (65,492 | ) | — | (1,841 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 65,492 | — | 1,841 | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,065,502 | — | 1,001,851 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 133,663 | 1,062,487 | 110,502 | 982,029 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 1,062,487 | — | 982,029 | — | ||||||||||||
| End of the period | $ | 1,196,150 | $ | 1,062,487 | $ | 1,092,531 | $ | 982,029 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 6,589 | — | 188 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 106,590 | — | 100,189 | ||||||||||||
| (a) Commencement of Operations | ||||||||||||||||
| (b) Class 3 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
171
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Floored S&P | |||||||||||||||
| S&P 500 with Spread | 500 with Par Up Outcome | |||||||||||||||
| Outcome Fund – Dec | Fund – Jan | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | December | Six Months | January 10, | |||||||||||||
| Ended June | 12, 2022(a) | Ended June | 2022(a) to | |||||||||||||
| 30, 2023 | to December | 30, 2023 | December 31, | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,121 | $ | 1,067 | $ | 5,332 | $ | (1,304 | ) | |||||||
| Net realized gain/(loss) | — | — | (172,696 | ) | — | |||||||||||
| Net change in unrealized appreciation/(depreciation) | 105,838 | (32,831 | ) | 229,260 | (179,988 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 111,959 | (31,764 | ) | 61,896 | (181,292 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (918 | ) | — | — | |||||||||||
| Total distributions to shareholders | — | (918 | ) | — | — | |||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 918 | — | — | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,000,928 | — | 1,000,010 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 111,959 | 968,246 | 61,896 | 818,718 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 968,246 | — | 818,718 | — | ||||||||||||
| End of the period | $ | 1,080,205 | $ | 968,246 | $ | 880,614 | $ | 818,718 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 95 | — | — | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 100,096 | — | 100,001 | ||||||||||||
| (a) Commencement of Operations | ||||||||||||||||
| (b) Class 3 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
172
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Floored S&P | Milliman 1-Year Floored S&P | |||||||||||||||
| 500 with Par Up Outcome | 500 with Par Up Outcome | |||||||||||||||
| Fund – Feb | Fund – Mar | |||||||||||||||
| Period | ||||||||||||||||
| Six Months | February 10, | Six Months | Period March | |||||||||||||
| Ended June | 2022(a) to | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,230 | $ | (578 | ) | $ | 5,097 | $ | 224 | |||||||
| Net realized gain/(loss) | (165,497 | ) | — | (173,380 | ) | — | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 197,052 | (168,935 | ) | 225,456 | (149,408 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 36,785 | (169,513 | ) | 57,173 | (149,184 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,012 | — | 1,000,010 | ||||||||||||
| Cost of shares redeemed | (2 | ) | — | — | — | |||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (2 | ) | 1,000,012 | — | 1,000,010 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 36,783 | 830,499 | 57,173 | 850,826 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 830,499 | — | 850,826 | — | ||||||||||||
| End of the period | $ | 867,282 | $ | 830,499 | $ | 907,999 | $ | 850,826 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 100,001 | — | 100,001 | ||||||||||||
| (a) Commencement of Operations | ||||||||||||||||
| (b) Class 3 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
173
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Floored S&P | Milliman 1-Year Floored S&P | |||||||||||||||
| 500 with Par Up Outcome | 500 with Par Up Outcome | |||||||||||||||
| Fund – Apr | Fund – May | |||||||||||||||
| Six Months | Period April | Six Months | Period May | |||||||||||||
| Ended June | 11, 2022(a) | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,613 | $ | 1,383 | $ | 6,188 | $ | 1,715 | ||||||||
| Net realized gain/(loss) | (161,812 | ) | — | (47,310 | ) | — | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 189,937 | (159,029 | ) | 119,688 | (82,919 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 33,738 | (157,646 | ) | 78,566 | (81,204 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,037 | ) | — | (1,378 | ) | ||||||||||
| Total distributions to shareholders | — | (1,037 | ) | — | (1,378 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,062,469 | — | 1,000,011 | ||||||||||||
| Reinvestments | — | 1,037 | — | 1,378 | ||||||||||||
| Cost of shares redeemed | (498 | ) | (775 | ) | — | — | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (498 | ) | 1,062,731 | — | 1,001,389 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 33,240 | 904,048 | 78,566 | 918,807 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 904,048 | — | 918,807 | — | ||||||||||||
| End of the period | $ | 937,288 | $ | 904,048 | $ | 997,373 | $ | 918,807 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 106,247 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 121 | — | 149 | ||||||||||||
| Shares redeemed | (59 | ) | (86 | ) | — | — | ||||||||||
| Net Increase/(Decrease) | (59 | ) | 106,282 | — | 100,150 | |||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
174
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Floored S&P | Milliman 1-Year Floored S&P | |||||||||||||||
| 500 with Par Up Outcome | 500 with Par Up Outcome | |||||||||||||||
| Fund – Jun | Fund – Jul | |||||||||||||||
| Six Months | Period June | Six Months | Period July | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 11, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,562 | $ | 2,228 | $ | 6,544 | $ | 2,255 | ||||||||
| Net realized gain/(loss) | (4,498 | ) | — | — | — | |||||||||||
| Net change in unrealized appreciation/(depreciation) | 82,284 | (57,950 | ) | 74,136 | (50,089 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 84,348 | (55,722 | ) | 80,680 | (47,834 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,869 | ) | — | (1,897 | ) | ||||||||||
| Total distributions to shareholders | — | (1,869 | ) | — | (1,897 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 1,869 | — | 1,897 | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,001,879 | — | 1,001,907 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 84,348 | 944,288 | 80,680 | 952,176 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 944,288 | — | 952,176 | — | ||||||||||||
| End of the period | $ | 1,028,636 | $ | 944,288 | $ | 1,032,856 | $ | 952,176 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 196 | — | 198 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 100,197 | — | 100,199 | ||||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
175
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Floored S&P | Milliman 1-Year Floored S&P | |||||||||||||||
| 500 with Par Up Outcome | 500 with Par Up Outcome | |||||||||||||||
| Fund – Aug | Fund – Sep | |||||||||||||||
| Period | ||||||||||||||||
| Six Months | Period August | Six Months | September | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 12, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,348 | $ | 2,273 | $ | 6,785 | $ | 2,351 | ||||||||
| Net change in unrealized appreciation/(depreciation) | 51,257 | (95,129 | ) | 80,472 | (60,680 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 57,605 | (92,856 | ) | 87,257 | (58,329 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,938 | ) | — | (1,994 | ) | ||||||||||
| Total distributions to shareholders | — | (1,938 | ) | — | (1,994 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,011 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 1,938 | — | 1,994 | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,001,949 | — | 1,002,004 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 57,605 | 907,155 | 87,257 | 941,681 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 907,155 | — | 941,681 | — | ||||||||||||
| End of the period | $ | 964,760 | $ | 907,155 | $ | 1,028,938 | $ | 941,681 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 213 | — | 211 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 100,214 | — | 100,212 | ||||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
176
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Floored S&P | Milliman 1-Year Floored S&P | |||||||||||||||
| 500 with Par Up Outcome | 500 with Par Up Outcome | |||||||||||||||
| Fund – Oct | Fund – Nov | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | October 10, | Six Months | November | |||||||||||||
| Ended June | 2022(a) to | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,859 | $ | 2,971 | $ | 5,780 | $ | 1,950 | ||||||||
| Net realized gain/(loss) | — | — | — | (238 | ) | |||||||||||
| Net change in unrealized appreciation/(depreciation) | 93,293 | 32,385 | 86,260 | (11,009 | ) | |||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 99,152 | 35,356 | 92,040 | (9,297 | ) | |||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (38,112 | ) | — | (1,836 | ) | ||||||||||
| Total distributions to shareholders | — | (38,112 | ) | — | (1,836 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 38,112 | — | 1,836 | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,038,122 | — | 1,001,846 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 99,152 | 1,035,366 | 92,040 | 990,713 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 1,035,366 | — | 990,713 | — | ||||||||||||
| End of the period | $ | 1,134,518 | $ | 1,035,366 | $ | 1,082,753 | $ | 990,713 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 3,827 | — | 186 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 103,828 | — | 100,187 | ||||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
177
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | ||||||||||||||||
| Milliman 1-Year Floored S&P | S&P 500 & Nasdaq with | |||||||||||||||
| 500 with Par Up Outcome | Stacker Cap Outcome Fund | |||||||||||||||
| Fund – Dec | - Jan | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | December | Six Months | January 10, | |||||||||||||
| Ended June | 12, 2022(a) | Ended June | 2022(a) to | |||||||||||||
| 30, 2023 | to December | 30, 2023 | December 31, | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 7,600 | $ | 1,464 | $ | 5,561 | $ | (1,339 | ) | |||||||
| Net realized gain/(loss) | — | — | (121,008 | ) | — | |||||||||||
| Net change in unrealized appreciation/(depreciation) | 104,380 | (24,571 | ) | 211,305 | (156,012 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 111,980 | (23,107 | ) | 95,858 | (157,351 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,144 | ) | — | — | |||||||||||
| Total distributions to shareholders | — | (1,144 | ) | — | — | |||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,250,080 | — | 1,000,159 | ||||||||||||
| Reinvestments | — | 1,144 | — | — | ||||||||||||
| Cost of shares redeemed | (1,577 | ) | (152 | ) | — | (147 | ) | |||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (1,577 | ) | 1,251,072 | — | 1,000,012 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 110,403 | 1,226,821 | 95,858 | 842,661 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 1,226,821 | — | 842,661 | — | ||||||||||||
| End of the period | $ | 1,337,224 | $ | 1,226,821 | $ | 938,519 | $ | 842,661 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 125,008 | — | 100,016 | ||||||||||||
| Shares reinvested | — | 116 | — | — | ||||||||||||
| Shares redeemed | (155 | ) | (15 | ) | — | (15 | ) | |||||||||
| Net Increase/(Decrease) | (155 | ) | 125,109 | — | 100,001 | |||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
178
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 & Nasdaq with | S&P 500 & Nasdaq with | |||||||||||||||
| Stacker Cap Outcome Fund | Stacker Cap Outcome Fund | |||||||||||||||
| - Feb | - Mar | |||||||||||||||
| Period | ||||||||||||||||
| Six Months | February 10, | Six Months | Period March | |||||||||||||
| Ended June | 2022(a) to | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,905 | $ | (544 | ) | $ | 5,906 | $ | 274 | |||||||
| Net realized gain/(loss) | (82,176 | ) | — | (79,658 | ) | — | ||||||||||
| Net change in unrealized appreciation/(depreciation) | 196,389 | (127,771 | ) | 176,146 | (117,301 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 120,118 | (128,315 | ) | 102,394 | (117,027 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | 26,750 | 1,000,015 | — | 1,000,010 | ||||||||||||
| Cost of Shares redeemed | (120 | ) | (4 | ) | — | — | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 26,630 | 1,000,011 | — | 1,000,010 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 146,748 | 871,696 | 102,394 | 882,983 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 871,696 | — | 882,983 | — | ||||||||||||
| End of the period | $ | 1,018,444 | $ | 871,696 | $ | 985,377 | $ | 882,983 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | 2,917 | 100,002 | — | 100,001 | ||||||||||||
| Shares redeemed | (13 | ) | (1 | ) | — | — | ||||||||||
| Net Increase/(Decrease) | 2,904 | 100,001 | — | 100,001 | ||||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
179
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 & Nasdaq with | S&P 500 & Nasdaq with | |||||||||||||||
| Stacker Cap Outcome Fund | Stacker Cap Outcome Fund | |||||||||||||||
| - Apr | - May | |||||||||||||||
| Six Months | Period April | Six Months | Period May | |||||||||||||
| Ended June | 11, 2022(a) | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,006 | $ | 1,214 | $ | 6,411 | $ | 1,715 | ||||||||
| Net realized gain/(loss) | (85,616 | ) | — | 48,837 | — | |||||||||||
| Net change in unrealized appreciation/(depreciation) | 167,573 | (132,853 | ) | 81,172 | (53,065 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 87,963 | (131,639 | ) | 136,420 | (51,350 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (871 | ) | — | (1,371 | ) | ||||||||||
| Total distributions to shareholders | — | (871 | ) | — | (1,371 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,035,010 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 871 | — | 1,371 | ||||||||||||
| Cost of shares redeemed | (202 | ) | (279 | ) | — | — | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (202 | ) | 1,035,602 | — | 1,001,381 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 87,761 | 903,092 | 136,420 | 948,660 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 903,092 | — | 948,660 | — | ||||||||||||
| End of the period | $ | 990,853 | $ | 903,092 | $ | 1,085,080 | $ | 948,660 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 103,574 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 100 | — | 143 | ||||||||||||
| Shares redeemed | (22 | ) | (31 | ) | — | — | ||||||||||
| Net Increase/(Decrease) | (22 | ) | 103,643 | — | 100,144 | |||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
180
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 & Nasdaq with | S&P 500 & Nasdaq with | |||||||||||||||
| Stacker Cap Outcome Fund | Stacker Cap Outcome Fund | |||||||||||||||
| - Jun | - Jul | |||||||||||||||
| Six Months | Period June | Six Months | Period July | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 11, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,208 | $ | 2,151 | $ | 6,382 | $ | 2,203 | ||||||||
| Net realized gain/(loss) | 100,955 | — | — | — | ||||||||||||
| Net change in unrealized appreciation/(depreciation) | 42,024 | (28,847 | ) | 128,001 | (28,738 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 149,187 | (26,696 | ) | 134,383 | (26,535 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,790 | ) | — | (1,841 | ) | ||||||||||
| Total distributions to shareholders | — | (1,790 | ) | — | (1,841 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,003,182 | ||||||||||||
| Reinvestments | — | 1,790 | — | 1,841 | ||||||||||||
| Cost of shares redeemed | — | — | (136 | ) | (16 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,001,800 | (136 | ) | 1,005,007 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 149,187 | 973,314 | 134,247 | 976,631 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 973,314 | — | 976,631 | — | ||||||||||||
| End of the period | $ | 1,122,501 | $ | 973,314 | $ | 1,110,878 | $ | 976,631 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,310 | ||||||||||||
| Shares reinvested | — | 182 | — | 188 | ||||||||||||
| Shares redeemed | — | — | (13 | ) | (2 | ) | ||||||||||
| Net Increase/(Decrease) | — | 100,183 | (13 | ) | 100,496 | |||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
181
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 & Nasdaq with | S&P 500 & Nasdaq with | |||||||||||||||
| Stacker Cap Outcome Fund | Stacker Cap Outcome Fund | |||||||||||||||
| - Aug | - Sep | |||||||||||||||
| Period | ||||||||||||||||
| Six Months | Period August | Six Months | September | |||||||||||||
| Ended June | 10, 2022(a) | Ended June | 12, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 6,520 | $ | 2,231 | $ | 6,524 | $ | 2,286 | ||||||||
| Net change in unrealized appreciation/(depreciation) | 145,765 | (100,845 | ) | 160,010 | (61,003 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 152,285 | (98,614 | ) | 166,534 | (58,717 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (1,892 | ) | — | (1,924 | ) | ||||||||||
| Total distributions to shareholders | — | (1,892 | ) | — | (1,924 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,002,411 | — | 1,000,013 | ||||||||||||
| Reinvestments | — | 1,892 | — | 1,924 | ||||||||||||
| Cost of Shares redeemed | (14 | ) | (11 | ) | (3 | ) | — | |||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (14 | ) | 1,004,292 | (3 | ) | 1,001,937 | ||||||||||
| Total Increase/(Decrease) in Net Assets | 152,271 | 903,786 | 166,531 | 941,296 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 903,786 | — | 941,296 | — | ||||||||||||
| End of the period | $ | 1,056,057 | $ | 903,786 | $ | 1,107,827 | $ | 941,296 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,241 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 209 | — | 204 | ||||||||||||
| Shares redeemed | (1 | ) | (1 | ) | — | — | ||||||||||
| Net Increase/(Decrease) | (1 | ) | 100,449 | — | 100,205 | |||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
182
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | Milliman 1-Year Buffered | |||||||||||||||
| S&P 500 & Nasdaq with | S&P 500 & Nasdaq with | |||||||||||||||
| Stacker Cap Outcome Fund | Stacker Cap Outcome Fund | |||||||||||||||
| - Oct | - Nov | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | October 10, | Six Months | November | |||||||||||||
| Ended June | 2022(a) to | Ended June | 10, 2022(a) | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,661 | $ | 2,970 | $ | 5,669 | $ | 1,964 | ||||||||
| Net change in unrealized appreciation/(depreciation) | 113,402 | 48,001 | 136,550 | (13,714 | ) | |||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 119,063 | 50,971 | 142,219 | (11,750 | ) | |||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (2,852 | ) | — | (1,850 | ) | ||||||||||
| Total distributions to shareholders | — | (2,852 | ) | — | (1,850 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 2,852 | — | 1,850 | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,002,862 | — | 1,001,860 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 119,063 | 1,050,981 | 142,219 | 988,260 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 1,050,981 | — | 988,260 | — | ||||||||||||
| End of the period | $ | 1,170,044 | $ | 1,050,981 | $ | 1,130,479 | $ | 988,260 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 273 | — | 187 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 100,274 | — | 100,188 | ||||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
183
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 1-Year Buffered | ||||||||||||||||
| S&P 500 & Nasdaq with | Milliman 6-Year Buffered | |||||||||||||||
| Stacker Cap Outcome Fund | S&P 500 with Par Up | |||||||||||||||
| - Dec | Outcome Fund – Jan (I) | |||||||||||||||
| Period | Period | |||||||||||||||
| Six Months | December | Six Months | January 10, | |||||||||||||
| Ended June | 12, 2022(a) | Ended June | 2022(a) to | |||||||||||||
| 30, 2023 | to December | 30, 2023 | December 31, | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 5,953 | $ | 1,066 | $ | 8,810 | $ | 12,884 | ||||||||
| Net change in unrealized appreciation/(depreciation) | 136,706 | (28,235 | ) | 95,805 | (191,380 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 142,659 | (27,169 | ) | 104,615 | (178,496 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (925 | ) | — | (12,822 | ) | ||||||||||
| Total distributions to shareholders | — | (925 | ) | — | (12,822 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,000,010 | — | 1,000,010 | ||||||||||||
| Reinvestments | — | 925 | — | 12,822 | ||||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | — | 1,000,935 | — | 1,012,832 | ||||||||||||
| Total Increase/(Decrease) in Net Assets | 142,659 | 972,841 | 104,615 | 821,514 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 972,841 | — | 821,514 | — | ||||||||||||
| End of the period | $ | 1,115,500 | $ | 972,841 | $ | 926,129 | $ | 821,514 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,001 | — | 100,001 | ||||||||||||
| Shares reinvested | — | 95 | — | 1,595 | ||||||||||||
| Shares redeemed | — | — | — | — | ||||||||||||
| Net Increase/(Decrease) | — | 100,096 | — | 101,596 | ||||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
184
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman 6-Year Buffered | Milliman 6-Year Buffered | |||||||||||||||
| S&P 500 with Par Up | S&P 500 with Par Up | |||||||||||||||
| Outcome Fund – Apr (I) | Outcome Fund – Jul (I) | |||||||||||||||
| Six Months | Period April | Six Months | Period July | |||||||||||||
| Ended June | 11, 2022(a) | Ended June | 11, 2022(a) | |||||||||||||
| 30, 2023 | to December | 30, 2023 | to December | |||||||||||||
| (Unaudited) | 31, 2022 | (Unaudited) | 31, 2022 | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 17,112 | $ | 20,778 | $ | 23,683 | $ | 19,269 | ||||||||
| Net realized gain/(loss) | — | (76,076 | ) | — | 138 | |||||||||||
| Net change in unrealized appreciation/(depreciation) | 201,943 | (151,981 | ) | 353,492 | (96,000 | ) | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 219,055 | (207,279 | ) | 377,175 | (76,593 | ) | ||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (20,611 | ) | — | (44,588 | ) | ||||||||||
| Total distributions to shareholders | — | (20,611 | ) | — | (44,588 | ) | ||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 2,674,530 | — | 2,800,000 | ||||||||||||
| Reinvestments | — | 20,611 | — | 44,588 | ||||||||||||
| Cost of Shares redeemed | (4,841 | ) | (870,498 | ) | (11,472 | ) | (69,296 | ) | ||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (4,841 | ) | 1,824,643 | (11,472 | ) | 2,775,292 | ||||||||||
| Total Increase/(Decrease) in Net Assets | 214,214 | 1,596,753 | 365,703 | 2,654,111 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 1,596,753 | — | 2,654,111 | — | ||||||||||||
| End of the period | $ | 1,810,967 | $ | 1,596,753 | $ | 3,019,814 | $ | 2,654,111 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 281,814 | — | 273,662 | ||||||||||||
| Shares reinvested | — | 2,366 | — | 4,597 | ||||||||||||
| Shares redeemed | (523 | ) | (101,973 | ) | (1,110 | ) | (6,857 | ) | ||||||||
| Net Increase/(Decrease) | (523 | ) | 182,207 | (1,110 | ) | 271,402 | ||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
185
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman | Milliman | |||||||||||||||
| 6-Year | 6-Year | |||||||||||||||
| Buffered S&P | Buffered S&P | |||||||||||||||
| Milliman 6-Year Buffered | 500 with Par | 500 with Par | ||||||||||||||
| S&P 500 with Par Up | Up Outcome | Up Outcome | ||||||||||||||
| Outcome Fund — Oct (I) | Fund - Jan (II) | Fund - Apr (II) | ||||||||||||||
| Period | ||||||||||||||||
| Period | January 10, | Period April | ||||||||||||||
| Six Months | October 10, | 2023(a) | 10, 2023(a) | |||||||||||||
| Ended June | 2022(a) to | to June | to June 30, | |||||||||||||
| 30, 2023 | December 31, | 30, 2023 | 2023 | |||||||||||||
| (Unaudited) | 2022 | (Unaudited) | (Unaudited) | |||||||||||||
| Operations: | ||||||||||||||||
| Net Investment income/(loss) | $ | 9,662 | $ | 4,855 | $ | 9,922 | $ | 4,748 | ||||||||
| Net change in unrealized appreciation/(depreciation) | 123,638 | 1,918 | 56,034 | 57,270 | ||||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 133,300 | 6,773 | 65,956 | 62,018 | ||||||||||||
| Distributions to Shareholders: | ||||||||||||||||
| Distributions to shareholders | — | (10,816 | ) | — | — | |||||||||||
| Total distributions to shareholders | — | (10,816 | ) | — | — | |||||||||||
| Capital Share Transactions:(b) | ||||||||||||||||
| Proceeds from shares sold | — | 1,001,121 | 1,000,010 | 1,000,010 | ||||||||||||
| Reinvestments | — | 10,816 | — | — | ||||||||||||
| Cost of Shares redeemed | (7 | ) | (3 | ) | — | — | ||||||||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (7 | ) | 1,011,934 | 1,000,010 | 1,000,010 | |||||||||||
| Total Increase/(Decrease) in Net Assets | 133,293 | 1,007,891 | 1,065,966 | 1,062,028 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Beginning of the period | 1,007,891 | — | — | — | ||||||||||||
| End of the period | $ | 1,141,184 | $ | 1,007,891 | $ | 1,065,966 | $ | 1,062,028 | ||||||||
| Change in Shares Outstanding:(b) | ||||||||||||||||
| Shares sold | — | 100,112 | 100,001 | 100,001 | ||||||||||||
| Shares reinvested | — | 1,094 | — | — | ||||||||||||
| Shares redeemed | (1 | ) | (1 | ) | — | — | ||||||||||
| Net Increase/(Decrease) | (1 | ) | 101,205 | 100,001 | 100,001 | |||||||||||
(a) Commencement of Operations
(b) Class 3
The accompanying notes are an integral part of these financial statements.
186
Milliman Variable Insurance Trust
Financial Highlights
| Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations: | Distributions: | Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income/ (loss) (b) | Net realized and unrealized gain/(loss) | Total From Investment Operations | From net investment income | From realized gains | Total Distributions | Net Asset Value, End of Period | Total return (c) | Net assets, end of period (000) | Expenses, gross (d) | Expenses, net (d)(e) | Net investment income/ (loss) | Portfolio turnover rate (f) | ||||||||||||||||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 7.84 | 0.05 | 0.79 | 0.84 | — | — | — | $ | 8.68 | 10.71 | % | $ | 1,027 | 5.97 | % | 0.97 | % | 1.31 | % | 50 | % | |||||||||||||||||||||||
| For the period 1/10/22 (g) - 12/31/22 | $ | 10.00 | (0.01 | ) | (2.15 | ) | (2.16 | ) | — | — | — | $ | 7.84 | (21.60 | )% | $ | 930 | 12.96 | % | 0.97 | % | (0.09 | )% | 15 | % | ||||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.20 | 0.06 | 0.56 | 0.62 | — | — | — | $ | 8.82 | 7.56 | % | $ | 1,520 | 4.98 | % | 0.97 | % | 1.37 | % | 55 | % | |||||||||||||||||||||||
| For the period 2/10/22 (g) - 12/31/22 | $ | 10.00 | 0.00 | (h) | (1.80 | ) | (1.80 | ) | — | — | — | $ | 8.20 | (18.00 | )% | $ | 1,416 | 8.78 | % | 0.97 | % | 0.03 | % | 7 | % | ||||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.64 | 0.06 | 1.04 | 1.10 | — | — | — | $ | 9.74 | 12.73 | % | $ | 1,104 | 6.01 | % | 0.97 | % | 1.34 | % | 56 | % | |||||||||||||||||||||||
| For the period 3/10/22 (g) - 12/31/22 | $ | 10.00 | 0.00 | (h) | (1.36 | ) | (1.36 | ) | (0.00 | )(h) | — | (0.00 | ) | $ | 8.64 | (13.59 | )% | $ | 981 | 7.76 | % | 0.97 | % | 0.06 | % | 7 | % | ||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.79 | 0.05 | 0.79 | 0.84 | — | — | — | $ | 9.63 | 9.56 | % | $ | 1,216 | 5.68 | % | 0.97 | % | 1.20 | % | 41 | % | |||||||||||||||||||||||
| For the period 4/11/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (1.21 | ) | (1.19 | ) | (0.02 | ) | — | (0.02 | ) | $ | 8.79 | (11.91 | )% | $ | 1,111 | 7.08 | % | 0.97 | % | 0.31 | % | 67 | % | |||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.08 | 0.05 | 0.78 | 0.83 | — | — | — | $ | 9.91 | 9.14 | % | $ | 1,695 | 4.47 | % | 0.97 | % | 1.17 | % | 42 | % | |||||||||||||||||||||||
| For the period 5/10/22 (g) - 12/31/22 | $ | 10.00 | 0.03 | (0.93 | ) | (0.90 | ) | (0.02 | ) | — | (0.02 | )(i) | $ | 9.08 | (8.95 | )% | $ | 1,558 | 6.79 | % | 0.97 | % | 0.51 | % | 58 | % | |||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.52 | 0.06 | 0.99 | 1.05 | — | — | — | $ | 10.57 | 11.03 | % | $ | 1,196 | 5.90 | % | 0.97 | % | 1.28 | % | 42 | % | |||||||||||||||||||||||
| For the period 6/10/22 (g) - 12/31/22 | $ | 10.00 | 0.03 | (0.47 | ) | (0.44 | ) | (0.02 | ) | (0.02 | ) | (0.04 | )(i) | $ | 9.52 | (4.29 | )% | $ | 1,078 | 7.74 | % | 0.97 | % | 0.46 | % | 68 | % | ||||||||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | $7.70 | 0.05 | 0.85 | 0.90 | — | — | — | $ | 8.60 | 11.69 | % | $ | 860 | 7.13 | % | 0.97 | % | 1.27 | % | 50 | % | |||||||||||||||||||||||
| For the period 1/10/22 (g) - 12/31/22 | $ | 10.00 | (0.02 | ) | (2.28 | ) | (2.30 | ) | — | — | — | $ | 7.70 | (23.00 | )% | $ | 770 | 14.17 | % | 0.97 | % | (0.25 | )% | 17 | % | ||||||||||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 7.75 | 0.06 | 0.62 | 0.68 | — | — | — | $ | 8.43 | 8.77 | % | $ | 1,271 | 5.42 | % | 0.97 | % | 1.46 | % | 56 | % | |||||||||||||||||||||||
| For the period 2/10/22 (g) - 12/31/22 | $ | 10.00 | 0.01 | (2.26 | ) | (2.25 | ) | (0.00 | )(h) | — | (0.00 | ) | $ | 7.75 | (22.46 | )% | $ | 1,176 | 11.74 | % | 0.97 | % | 0.12 | % | 0 | % | |||||||||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.36 | 0.06 | 0.83 | 0.89 | — | — | — | $ | 9.25 | 10.65 | % | $ | 925 | 7.01 | % | 0.97 | % | 1.30 | % | 57 | % | |||||||||||||||||||||||
| For the period 3/10/22 (g) - 12/31/22 | $ | 10.00 | (0.00 | )(h) | (1.64 | ) | (1.64 | ) | — | — | — | $ | 8.36 | (16.40 | )% | $ | 836 | 8.73 | % | 0.97 | % | (0.04 | )% | 8 | % | ||||||||||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.67 | 0.06 | 0.79 | 0.85 | — | — | — | $ | 9.52 | 9.80 | % | $ | 954 | 6.96 | % | 0.97 | % | 1.24 | % | 41 | % | |||||||||||||||||||||||
| For the period 4/11/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (1.33 | ) | (1.31 | ) | (0.02 | ) | — | (0.02 | ) | $ | 8.67 | (13.14 | )% | $ | 868 | 8.52 | % | 0.97 | % | 0.26 | % | 68 | % | |||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
187
Milliman Variable Insurance Trust
Financial Highlights
| Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations: | Distributions: | Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income/ (loss) (b) | Net realized and unrealized gain/(loss) | Total From Investment Operations | From net investment income | From realized gains | Total Distributions | Net Asset Value, End of Period | Total return (c) | Net assets, end of period (000) | Expenses, gross (d) | Expenses, net (d)(e) | Net investment income/ (loss) | Portfolio turnover rate (f) | ||||||||||||||||||||||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.00 | 0.06 | 0.79 | 0.85 | — | — | — | $ | 9.85 | 9.44 | % | $ | 987 | 6.85 | % | 0.97 | % | 1.33 | % | 42 | % | |||||||||||||||||||||||
| For the period 5/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (1.00 | ) | (0.98 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.00 | (9.80 | )% | $ | 902 | 8.30 | % | 0.97 | % | 0.34 | % | 67 | % | |||||||||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.52 | 0.07 | 0.97 | 1.04 | — | — | — | $ | 10.56 | 10.92 | % | $ | 1,059 | 6.68 | % | 0.97 | % | 1.38 | % | 42 | % | |||||||||||||||||||||||
| For the period 6/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.48 | ) | (0.46 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.52 | (4.53 | )% | $ | 954 | 8.37 | % | 0.97 | % | 0.45 | % | 69 | % | |||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/10/23 (g) - 6/30/23 (Unaudited) | $ | 10.00 | 0.06 | 0.46 | 0.52 | — | — | — | $ | 10.52 | 5.20 | % | $ | 1,052 | 7.52 | % | 0.97 | % | 1.35 | % | 0 | % | |||||||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 2/10/23 (g) - 6/30/23 (Unaudited) | $ | 10.00 | 0.05 | 0.39 | 0.44 | — | — | — | $ | 10.44 | 4.40 | % | $ | 1,044 | 7.97 | % | 0.97 | % | 1.42 | % | 0 | % | |||||||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 3/10/23 (g) - 6/30/23 (Unaudited) | $ | 10.00 | 0.04 | 0.54 | 0.58 | — | — | — | $ | 10.58 | 5.80 | % | $ | 1,059 | 7.96 | % | 0.97 | % | 1.37 | % | 0 | % | |||||||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 10.18 | 0.06 | 0.63 | 0.69 | — | — | — | $ | 10.87 | 6.78 | % | $ | 1,124 | 7.06 | % | 0.97 | % | 1.23 | % | 41 | % | |||||||||||||||||||||||
| For the period 10/10/22 (g) - 12/31/22 | $ | 10.00 | 0.03 | 0.49 | 0.52 | (0.03 | ) | (0.31 | ) | (0.34 | ) | $ | 10.18 | 5.23 | % | $ | 1,053 | 11.13 | % | 0.97 | % | 1.38 | % | 0 | % | ||||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 10.02 | 0.06 | 1.00 | 1.06 | — | — | — | $ | 11.08 | 10.58 | % | $ | 1,631 | 5.50 | % | 0.97 | % | 1.14 | % | 42 | % | |||||||||||||||||||||||
| For the period 11/10/22 (g) - 12/31/22 | $ | 10.00 | 0.03 | 0.01 | (j) | 0.04 | (0.02 | ) | — | (0.02 | )(i) | $ | 10.02 | 0.44 | % | $ | 1,479 | 10.30 | % | 0.97 | % | 1.82 | % | 0 | % | ||||||||||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.86 | 0.06 | 0.94 | 1.00 | — | — | — | $ | 10.86 | 10.14 | % | $ | 1,087 | 7.85 | % | 0.97 | % | 1.23 | % | 42 | % | |||||||||||||||||||||||
| For the period 12/12/22 (g) - 12/31/22 | $ | 10.00 | 0.01 | (0.14 | ) | (0.13 | ) | (0.01 | ) | — | (0.01 | ) | $ | 9.86 | (1.30 | )% | $ | 987 | 25.36 | % | 0.97 | % | 2.49 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.41 | 0.06 | 1.00 | 1.06 | — | — | — | $ | 9.47 | 12.60 | % | $ | 947 | 6.63 | % | 0.97 | % | 1.26 | % | 58 | % | |||||||||||||||||||||||
| For the period 1/10/22 (g) - 12/31/22 | $ | 10.00 | (0.01 | ) | (1.58 | ) | (1.59 | ) | — | — | — | $ | 8.41 | (15.90 | )% | $ | 841 | 13.72 | % | 0.97 | % | (0.16 | )% | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.72 | 0.06 | 1.05 | 1.11 | — | — | — | $ | 9.83 | 12.73 | % | $ | 983 | 6.77 | % | 0.97 | % | 1.30 | % | 35 | % | |||||||||||||||||||||||
| For the period 2/10/22 (g) - 12/31/22 | $ | 10.00 | (0.01 | ) | (1.27 | ) | (1.28 | ) | — | — | — | $ | 8.72 | (12.80 | )% | $ | 872 | 13.23 | % | 0.97 | % | (0.07 | )% | 0 | % | ||||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
188
Milliman Variable Insurance Trust
Financial Highlights
| Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations: | Distributions: | Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income/ (loss) (b) | Net realized and unrealized gain/(loss) | Total From Investment Operations | From net investment income | From realized gains | Total Distributions | Net Asset Value, End of Period | Total return (c) | Net assets, end of period (000) | Expenses, gross (d) | Expenses, net (d)(e) | Net investment income/ (loss) | Portfolio turnover rate (f) | ||||||||||||||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.83 | 0.06 | 1.43 | 1.49 | – | – | – | $ | 10.32 | 16.87 | % | $ | 1,032 | 6.48 | % | 0.97 | % | 1.23 | % | 37 | % | |||||||||||||||||||||||
| For the period 3/10/22 (g) - 12/31/22 | $ | 10.00 | 0.00 | (h) | (1.17 | ) | (1.17 | ) | – | – | – | $ | 8.83 | (11.70 | )% | $ | 883 | 8.47 | % | 0.97 | % | 0.03 | % | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.74 | 0.06 | 1.00 | 1.06 | – | – | – | $ | 9.80 | 12.13 | % | $ | 996 | 6.69 | % | 0.97 | % | 1.24 | % | 45 | % | |||||||||||||||||||||||
| For the period 4/11/22 (g) - 12/31/22 | $ | 10.00 | 0.01 | (1.26 | ) | (1.25 | ) | (0.01 | ) | – | (0.01 | ) | $ | 8.74 | (12.53 | )% | $ | 902 | 8.27 | % | 0.97 | % | 0.16 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.35 | 0.06 | 0.68 | 0.74 | – | – | – | $ | 10.09 | 7.91 | % | $ | 1,011 | 6.65 | % | 0.97 | % | 1.31 | % | 35 | % | |||||||||||||||||||||||
| For the period 5/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.66 | ) | (0.64 | ) | (0.01 | ) | – | (0.01 | ) | $ | 9.35 | (6.37 | )% | $ | 936 | 8.08 | % | 0.97 | % | 0.27 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.56 | 0.06 | 0.83 | 0.89 | – | – | – | $ | 10.45 | 9.31 | % | $ | 1,046 | 6.58 | % | 0.97 | % | 1.29 | % | 36 | % | |||||||||||||||||||||||
| For the period 6/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.44 | ) | (0.42 | ) | (0.02 | ) | – | (0.02 | ) | $ | 9.56 | (4.23 | )% | $ | 958 | 8.17 | % | 0.97 | % | 0.38 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.62 | 0.06 | 0.93 | 0.99 | – | – | – | $ | 10.61 | 10.29 | % | $ | 1,077 | 6.56 | % | 0.97 | % | 1.30 | % | 0 | % | |||||||||||||||||||||||
| For the period 7/11/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.32 | ) | (0.30 | ) | (0.02 | ) | (0.06 | ) | (0.08 | ) | $ | 9.62 | (2.98 | )% | $ | 977 | 8.46 | % | 0.97 | % | 0.45 | % | 0 | % | ||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.01 | 0.06 | 0.59 | 0.65 | – | – | – | $ | 9.66 | 7.21 | % | $ | 974 | 7.16 | % | 0.97 | % | 1.39 | % | 0 | % | |||||||||||||||||||||||
| For the period 8/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.99 | ) | (0.97 | ) | (0.02 | ) | – | (0.02 | ) | $ | 9.01 | (9.72 | )% | $ | 909 | 9.59 | % | 0.97 | % | 0.61 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.33 | 0.07 | 0.93 | 1.00 | – | – | – | $ | 10.33 | 10.72 | % | $ | 1,035 | 6.83 | % | 0.97 | % | 1.38 | % | 0 | % | |||||||||||||||||||||||
| For the period 9/12/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.67 | ) | (0.65 | ) | (0.02 | ) | – | (0.02 | ) | $ | 9.33 | (6.51 | )% | $ | 935 | 10.22 | % | 0.97 | % | 0.80 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.97 | 0.05 | 1.20 | 1.25 | – | – | – | $ | 11.22 | 12.54 | % | $ | 1,196 | 5.94 | % | 0.97 | % | 1.02 | % | 0 | % | |||||||||||||||||||||||
| For the period 10/10/22 (g) - 12/31/22 | $ | 10.00 | 0.03 | 0.60 | 0.63 | (0.03 | ) | (0.63 | ) | (0.66 | ) | $ | 9.97 | 6.27 | % | $ | 1,062 | 10.69 | % | 0.97 | % | 1.22 | % | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.80 | 0.06 | 1.04 | 1.10 | – | – | – | $ | 10.90 | 11.22 | % | $ | 1,093 | 6.44 | % | 0.97 | % | 1.14 | % | 0 | % | |||||||||||||||||||||||
| For the period 11/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.20 | ) | (0.18 | ) | (0.02 | ) | – | (0.02 | ) | $ | 9.80 | (1.82 | )% | $ | 982 | 14.13 | % | 0.97 | % | 1.42 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.67 | 0.06 | 1.06 | 1.12 | – | – | – | $ | 10.79 | 11.58 | % | $ | 1,080 | 6.86 | % | 0.97 | % | 1.22 | % | 0 | % | |||||||||||||||||||||||
| For the period 12/12/22 (g) - 12/31/22 | $ | 10.00 | 0.01 | (0.33 | ) | (0.32 | ) | (0.01 | ) | – | (0.01 | ) | $ | 9.67 | (3.21 | )% | $ | 968 | 29.72 | % | 0.97 | % | 2.22 | % | 0 | % | |||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
189
Milliman Variable Insurance Trust
Financial Highlights
| Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations: | Distributions: | Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income/ (loss) (b) | Net realized and unrealized gain/(loss) | Total From Investment Operations | From net investment income | From realized gains | Total Distributions | Net Asset Value, End of Period | Total return (c) | Net assets, end of period (000) | Expenses, gross (d) | Expenses, net (d)(e) | Net investment income/ (loss) | Portfolio turnover rate (f) | ||||||||||||||||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.19 | 0.05 | 0.57 | 0.62 | — | — | — | $ | 8.81 | 7.57 | % | $ | 881 | 7.01 | % | 0.97 | % | 1.28 | % | 61 | % | |||||||||||||||||||||||
| For the period 1/10/22 (g) - 12/31/22 | $ | 10.00 | (0.01 | ) | (1.80 | ) | (1.81 | ) | — | — | — | $ | 8.19 | (18.10 | )% | $ | 819 | 13.76 | % | 0.97 | % | (0.15 | )% | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.30 | 0.05 | 0.32 | 0.37 | — | — | — | $ | 8.67 | 4.46 | % | $ | 867 | 7.43 | % | 0.97 | % | 1.27 | % | 39 | % | |||||||||||||||||||||||
| For the period 2/10/22 (g) - 12/31/22 | $ | 10.00 | (0.01 | ) | (1.69 | ) | (1.70 | ) | — | — | — | $ | 8.30 | (17.00 | )% | $ | 830 | 13.25 | % | 0.97 | % | (0.07 | )% | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.51 | 0.05 | 0.52 | 0.57 | — | — | — | $ | 9.08 | 6.70 | % | $ | 908 | 7.03 | % | 0.97 | % | 1.18 | % | 41 | % | |||||||||||||||||||||||
| For the period 3/10/22 (g) - 12/31/22 | $ | 10.00 | 0.00 | (h) | (1.49 | ) | (1.49 | ) | — | — | — | $ | 8.51 | (14.90 | )% | $ | 851 | 8.52 | % | 0.97 | % | 0.03 | % | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.51 | 0.05 | 0.26 | 0.31 | — | — | — | $ | 8.82 | 3.64 | % | $ | 937 | 6.94 | % | 0.97 | % | 1.25 | % | 48 | % | |||||||||||||||||||||||
| For the period 4/11/22 (g) - 12/31/22 | $ | 10.00 | 0.01 | (1.49 | ) | (1.48 | ) | (0.01 | ) | — | (0.01 | ) | $ | 8.51 | (14.80 | )% | $ | 904 | 8.11 | % | 0.97 | % | 0.20 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.17 | 0.06 | 0.73 | 0.79 | — | — | — | $ | 9.96 | 8.62 | % | $ | 997 | 6.74 | % | 0.97 | % | 1.30 | % | 35 | % | |||||||||||||||||||||||
| For the period 5/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.84 | ) | (0.82 | ) | (0.01 | ) | — | (0.01 | ) | $ | 9.17 | (8.16 | )% | $ | 919 | 8.20 | % | 0.97 | % | 0.28 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.42 | 0.07 | 0.78 | 0.85 | — | — | — | $ | 10.27 | 9.02 | % | $ | 1,029 | 6.69 | % | 0.97 | % | 1.34 | % | 37 | % | |||||||||||||||||||||||
| For the period 6/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.58 | ) | (0.56 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.42 | (5.62 | )% | $ | 944 | 8.29 | % | 0.97 | % | 0.41 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.50 | 0.07 | 0.74 | 0.81 | — | — | — | $ | 10.31 | 8.53 | % | $ | 1,033 | 6.79 | % | 0.97 | % | 1.33 | % | 0 | % | |||||||||||||||||||||||
| For the period 7/11/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.50 | ) | (0.48 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.50 | (4.81 | )% | $ | 952 | 8.67 | % | 0.97 | % | 0.49 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.05 | 0.06 | 0.52 | 0.58 | — | — | — | $ | 9.63 | 6.41 | % | $ | 965 | 7.28 | % | 0.97 | % | 1.37 | % | 0 | % | |||||||||||||||||||||||
| For the period 8/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.95 | ) | (0.93 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.05 | (9.31 | )% | $ | 907 | 9.59 | % | 0.97 | % | 0.63 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.40 | 0.07 | 0.80 | 0.87 | — | — | — | $ | 10.27 | 9.26 | % | $ | 1,029 | 6.85 | % | 0.97 | % | 1.39 | % | 0 | % | |||||||||||||||||||||||
| For the period 9/12/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.60 | ) | (0.58 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.40 | (5.80 | )% | $ | 942 | 10.13 | % | 0.97 | % | 0.83 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.97 | 0.06 | 0.90 | 0.96 | — | — | — | $ | 10.93 | 9.63 | % | $ | 1,135 | 6.13 | % | 0.97 | % | 1.10 | % | 0 | % | |||||||||||||||||||||||
| For the period 10/10/22 (g) - 12/31/22 | $ | 10.00 | 0.03 | 0.32 | 0.35 | (0.03 | ) | (0.35 | ) | (0.38 | ) | $ | 9.97 | 3.52 | % | $ | 1,035 | 10.98 | % | 0.97 | % | 1.29 | % | 0 | % | ||||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
190
Milliman Variable Insurance Trust
Financial Highlights
| Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations: | Distributions: | Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income/ (loss) (b) | Net realized and unrealized gain/(loss) | Total From Investment Operations | From net investment income | From realized gains | Total Distributions | Net Asset Value, End of Period | Total return (c) | Net assets, end of period (000) | Expenses, gross (d) | Expenses, net (d)(e) | Net investment income/ (loss) | Portfolio turnover rate (f) | ||||||||||||||||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.89 | 0.06 | 0.86 | 0.92 | — | — | — | $ | 10.81 | 9.30 | % | $ | 1,083 | 6.49 | % | 0.97 | % | 1.13 | % | 0 | % | |||||||||||||||||||||||
| For the period 11/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.11 | ) | (0.09 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.89 | (0.92 | )% | $ | 991 | 14.08 | % | 0.97 | % | 1.41 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.81 | 0.06 | 0.83 | 0.89 | — | — | — | $ | 10.70 | 9.07 | % | $ | 1,337 | 5.83 | % | 0.97 | % | 1.21 | % | 0 | % | |||||||||||||||||||||||
| For the period 12/12/22 (g) - 12/31/22 | $ | 10.00 | 0.01 | (0.19 | ) | (0.18 | ) | (0.01 | ) | — | (0.01 | ) | $ | 9.81 | (1.81 | )% | $ | 1,227 | 23.71 | % | 0.97 | % | 2.40 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.43 | 0.06 | 0.90 | 0.96 | — | — | — | $ | 9.39 | 11.39 | % | $ | 939 | 6.74 | % | 0.97 | % | 1.26 | % | 57 | % | |||||||||||||||||||||||
| For the period 1/10/22 (g) - 12/31/22 | $ | 10.00 | (0.01 | ) | (1.56 | ) | (1.57 | ) | — | — | — | $ | 8.43 | (15.70 | )% | $ | 843 | 13.86 | % | 0.97 | % | (0.16 | )% | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.72 | 0.06 | 1.12 | 1.18 | — | — | — | $ | 9.90 | 13.53 | % | $ | 1,018 | 6.75 | % | 0.97 | % | 1.25 | % | 47 | % | |||||||||||||||||||||||
| For the period 2/10/22 (g) - 12/31/22 | $ | 10.00 | (0.01 | ) | (1.27 | ) | (1.28 | ) | — | — | — | $ | 8.72 | (12.80 | )% | $ | 872 | 13.38 | % | 0.97 | % | (0.07 | )% | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.83 | 0.06 | 0.96 | 1.02 | — | — | — | $ | 9.85 | 11.55 | % | $ | 985 | 6.73 | % | 0.97 | % | 1.27 | % | 38 | % | |||||||||||||||||||||||
| For the period 3/10/22 (g) - 12/31/22 | $ | 10.00 | 0.00 | (h) | (1.17 | ) | (1.17 | ) | — | — | — | $ | 8.83 | (11.70 | )% | $ | 883 | 8.59 | % | 0.97 | % | 0.04 | % | 0 | % | ||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.71 | 0.06 | 0.79 | 0.85 | — | — | — | $ | 9.56 | 9.76 | % | $ | 991 | 6.77 | % | 0.97 | % | 1.28 | % | 44 | % | |||||||||||||||||||||||
| For the period 4/11/22 (g) - 12/31/22 | $ | 10.00 | 0.01 | (1.29 | ) | (1.28 | ) | (0.01 | ) | — | (0.01 | ) | $ | 8.71 | (12.82 | )% | $ | 903 | 8.42 | % | 0.97 | % | 0.18 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.47 | 0.06 | 1.31 | 1.37 | — | — | — | $ | 10.84 | 14.47 | % | $ | 1,085 | 6.45 | % | 0.97 | % | 1.26 | % | 49 | % | |||||||||||||||||||||||
| For the period 5/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.54 | ) | (0.52 | ) | (0.01 | ) | — | (0.01 | ) | $ | 9.47 | (5.16 | )% | $ | 949 | 8.21 | % | 0.97 | % | 0.27 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.72 | 0.06 | 1.42 | 1.48 | — | — | — | $ | 11.20 | 15.23 | % | $ | 1,123 | 6.37 | % | 0.97 | % | 1.17 | % | 32 | % | |||||||||||||||||||||||
| For the period 6/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.28 | ) | (0.26 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.72 | (2.62 | )% | $ | 973 | 8.31 | % | 0.97 | % | 0.39 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.72 | 0.06 | 1.28 | 1.34 | — | — | — | $ | 11.06 | 13.79 | % | $ | 1,111 | 6.51 | % | 0.98 | % | 1.21 | % | 0 | % | |||||||||||||||||||||||
| For the period 7/11/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.28 | ) | (0.26 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.72 | (2.62 | )% | $ | 977 | 8.73 | % | 0.97 | % | 0.47 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.00 | 0.06 | 1.45 | 1.51 | — | — | — | $ | 10.51 | 16.78 | % | $ | 1,056 | 7.10 | % | 0.97 | % | 1.35 | % | 0 | % | |||||||||||||||||||||||
| For the period 8/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (1.00 | ) | (0.98 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.00 | (9.81 | )% | $ | 904 | 9.80 | % | 0.97 | % | 0.62 | % | 0 | % | |||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
191
Milliman Variable Insurance Trust
Financial Highlights
| Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations: | Distributions: | Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income/ (loss) (b) | Net realized and unrealized gain/(loss) | Total From Investment Operations | From net investment income | From realized gains | Total Distributions | Net Asset Value, End of Period | Total return (c) | Net assets, end of period (000) | Expenses, gross (d) | Expenses, net (d)(e) | Net investment income/ (loss) | Portfolio turnover rate (f) | ||||||||||||||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.39 | 0.07 | 1.60 | 1.67 | — | — | — | $ | 11.06 | 17.78 | % | $ | 1,108 | 6.69 | % | 0.97 | % | 1.28 | % | 0 | % | |||||||||||||||||||||||
| For the period 9/12/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.61 | ) | (0.59 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.39 | (5.91 | )% | $ | 941 | 10.36 | % | 0.97 | % | 0.81 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 10.48 | 0.06 | 1.13 | 1.19 | — | — | — | $ | 11.67 | 11.35 | % | $ | 1,170 | 6.02 | % | 0.97 | % | 1.02 | % | 0 | % | |||||||||||||||||||||||
| For the period 10/10/22 (g) - 12/31/22 | $ | 10.00 | 0.03 | 0.48 | 0.51 | (0.03 | ) | — | (0.03 | ) | $ | 10.48 | 5.09 | % | $ | 1,051 | 11.10 | % | 0.97 | % | 1.28 | % | 0 | % | |||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.86 | 0.06 | 1.36 | 1.42 | — | — | — | $ | 11.28 | 14.40 | % | $ | 1,130 | 6.41 | % | 0.97 | % | 1.07 | % | 0 | % | |||||||||||||||||||||||
| For the period 11/10/22 (g) - 12/31/22 | $ | 10.00 | 0.02 | (0.14 | ) | (0.12 | ) | (0.02 | ) | — | (0.02 | ) | $ | 9.86 | (1.22 | )% | $ | 988 | 14.34 | % | 0.97 | % | 1.43 | % | 0 | % | |||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.72 | 0.06 | 1.36 | 1.42 | — | — | — | $ | 11.14 | 14.61 | % | $ | 1,116 | 6.79 | % | 0.97 | % | 1.14 | % | 0 | % | |||||||||||||||||||||||
| For the period 12/12/22 (g) - 12/31/22 | $ | 10.00 | 0.01 | (0.28 | ) | (0.27 | ) | (0.01 | ) | — | (0.01 | ) | $ | 9.72 | (2.71 | )% | $ | 973 | 29.94 | % | 0.97 | % | 2.21 | % | 0 | % | |||||||||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I) | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.09 | 0.09 | 0.94 | 1.03 | — | — | — | $ | 9.12 | 12.73 | % | $ | 926 | 6.26 | % | 0.92 | % | 2.05 | % | 0 | % | |||||||||||||||||||||||
| For the period 1/10/22 (g) - 12/31/22 | $ | 10.00 | 0.13 | (1.91 | ) | (1.78 | ) | (0.13 | ) | — | (0.13 | ) | $ | 8.09 | (17.81 | )% | $ | 822 | 13.45 | % | 0.92 | % | 1.53 | % | 10 | % | |||||||||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I) | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.76 | 0.09 | 1.12 | 1.21 | — | — | — | $ | 9.97 | 13.81 | % | $ | 1,811 | 4.32 | % | 0.93 | % | 2.05 | % | 0 | % | |||||||||||||||||||||||
| For the period 4/11/22 (g) - 12/31/22 | $ | 10.00 | 0.12 | (1.25 | ) | (1.13 | ) | (0.11 | ) | — | (0.11 | ) | $ | 8.76 | (11.25 | )% | $ | 1,597 | 5.37 | % | 0.93 | % | 1.81 | % | 38 | % | |||||||||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I) | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.78 | 0.09 | 1.30 | 1.39 | — | — | — | $ | 11.17 | 14.21 | % | $ | 3,020 | 3.71 | % | 0.94 | % | 1.70 | % | 0 | % | |||||||||||||||||||||||
| For the period 7/11/22 (g) - 12/31/22 | $ | 10.00 | 0.08 | (0.13 | ) | (0.05 | ) | (0.07 | ) | (0.10 | ) | (0.17 | ) | $ | 9.78 | (0.52 | )% | $ | 2,654 | 4.67 | % | 0.94 | % | 1.73 | % | 9 | % | ||||||||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I) | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.96 | 0.10 | 1.22 | 1.32 | — | — | — | $ | 11.28 | 13.25 | % | $ | 1,141 | 6.21 | % | 0.94 | % | 1.83 | % | 0 | % | |||||||||||||||||||||||
| For the period 10/10/22 (g) - 12/31/22 | $ | 10.00 | 0.05 | 0.02 | 0.07 | (0.05 | ) | (0.06 | ) | (0.11 | ) | $ | 9.96 | 0.69 | % | $ | 1,008 | 10.90 | % | 0.94 | % | 2.16 | % | 8 | % | ||||||||||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II) | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 1/10/23 (g) - 6/30/23 (Unaudited) | $ | 10.00 | 0.10 | 0.56 | 0.66 | — | — | — | $ | 10.66 | 6.60 | % | $ | 1,066 | 7.54 | % | 0.93 | % | 2.14 | % | 6 | % | |||||||||||||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II) | |||||||||||||||||||||||||||||||||||||||||||||
| For the period 4/10/23 (g) - 6/30/23 (Unaudited) | $ | 10.00 | 0.05 | 0.57 | 0.62 | — | — | — | $ | 10.62 | 6.20 | % | $ | 1,062 | 7.42 | % | 0.93 | % | 2.15 | % | 7 | % | |||||||||||||||||||||||
(a) Annualized for periods less than one year.
The accompanying notes are an integral part of these financial statements.
192
Milliman Variable Insurance Trust
Financial Highlights
| (b) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
| (c) | Total return is based on the change in net asset value of a share during the period, assumes reinvestment of dividends and distributions at net asset value and is not annualized for periods less than one year. Total return reflects waivers/reimbursements by the manager. Performance would have been lower had the waivers/reimbursements not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which the Funds serve as an underlying investment vehicle. If total return had taken these into account, performance would have been lower. |
| (d) | Expense ratios do not include expenses of underlying funds in which the Funds invest. |
| (e) | Net expenses reflect fee waivers and expense reimbursements by the Advisor. |
| (f) | Not annualized for periods less than one year. |
| (g) | Commencement of operations. |
| (h) | Amount represents less than $0.005 per share. |
| (i) | A portion of total distributions amounting to less than $0.005 per share is return of capital. |
| (j) | Net realized and unrealized gain (loss) in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period and may not reconcile with the aggregate gain (loss) on the Statement of Operations due to share transactions for the period. |
The accompanying notes are an integral part of these financial statements.
193
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
1. ORGANIZATION
Milliman Variable Insurance Trust (the “Trust”) was organized under the laws of the state of Delaware as a Delaware statutory trust on November 2, 2020, and is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2023, the Trust consisted of 66 operational series, 60 of which are presented herein (each, a “Fund” and collectively, the “Funds”). The remaining series are presented in separate reports. Each of the Funds is classified as non-diversified under the 1940 Act. Each Fund offers shares only to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. All shares of the Funds have equal rights and privileges. As of June 30, 2023, only Class 3 shares were offered, which have no front-end sales load, deferred sales charge, or redemption fee.
Each Fund utilizes options contracts, including FLexible EXchange® Options (“FLEX Options”), designed to produce certain pre-determined outcomes (“Outcomes”), over a six-month, one-year or six-year period (each, an “Outcome Period). The initial Outcome Period for each Fund began upon commencement of its operations. On the last business day of any stated Outcome Period, all of a Fund’s existing options contracts will expire and Milliman Financial Risk Management LLC (“Milliman”), the Funds’ investment adviser, will transact in a new set of options contracts on the same business day, which will commence a new Outcome Period.
The Funds and their respective commencement dates are as follows:
| Commencement of | ||
| Name | Operations | |
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul | January 10, 2022 | |
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug | February 10, 2022 | |
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep | March 10, 2022 | |
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct | April 11, 2022 | |
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov | May 10, 2022 | |
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec | June 10, 2022 | |
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul | January 10, 2022 | |
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug | February 10, 2022 | |
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep | March 10, 2022 | |
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct | April 11, 2022 | |
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov | May 10, 2022 | |
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jun/Dec | June 10, 2022 | |
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jan/Jul | January 10, 2023 | |
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Feb/Aug | February 10, 2023 | |
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Mar/Sep | March 10, 2023 | |
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct | October 10, 2022 | |
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov | November 10, 2022 | |
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec | December 12, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan | January 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb | February 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar | March 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr | April 11, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May | May 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun | June 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul | July 11, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug | August 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep | September 12, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct | October 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov | November 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec | December 12, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan | January 10, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb | February 10, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar | March 10, 2022 | |
194
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
| Commencement of | ||
| Name | Operations | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr | April 11, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May | May 10, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun | June 10, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul | July 11, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug | August 10, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep | September 12, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct | October 10, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov | November 10, 2022 | |
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec | December 12, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jan | January 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Feb | February 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Mar | March 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Apr | April 11, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – May | May 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jun | June 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jul | July 11, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Aug | August 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Sep | September 12, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Oct | October 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Nov | November 10, 2022 | |
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Dec | December 12, 2022 | |
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I) | January 10, 2022 | |
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I) | April 11, 2022 | |
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I) | July 11, 2022 | |
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I) | October 10, 2022 | |
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (II) | January 10, 2023 | |
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (II) | April 10, 2023 | |
Each Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-month period.
Each Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while limiting losses to 50% of the losses associated with S&P 500 Index performance and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-month period.
Each Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and also producing a fixed rate of return if the value of the S&P 500 Index is unchanged or increases, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-month period.
Each Milliman 1- Year Buffered S&P 500 with Spread Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains that exceed a declared spread, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a one-year period.
Each Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while limiting losses associated with S&P 500 Index performance to 10% and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a one-year period.
195
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Each Milliman 1 -Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains up to a declared cap, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a one-year period. The Fund also seeks to provide upside exposure to the Nasdaq-100® Index up to a declared cap, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over the same period.
Each Milliman 6- Year Buffered S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 20% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-year period.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Computation of Net Asset Value
The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. ET) on each business day the NYSE is open for regular trading. If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time. If the NYSE closes early on a valuation day, a Fund shall determine NAV as of that time.
Valuation
The Board of Trustees of the Trust (the “Board”) has adopted Pricing and Valuation Procedures (“Valuation Procedures”) to be used for valuing all securities and other assets held by the Funds, including those for which market quotations are not readily available or are deemed not be reliable. The Board has designated Milliman as the valuation designee, which has established a pricing committee comprised of representatives of Milliman (the “Pricing Committee”) to provide input to Milliman in making fair value determinations in accordance with the Valuation Procedures.
Exchange-traded options, including FLEX Options, are valued at a market-based price provided by the exchange on which the options contract is traded at the official close of that exchange’s trading date. If the exchange on which the options contract is traded is unable to provide a market price, exchange -traded options prices will be provided by a model-pricing provider. Over- the-counter options, including certain binary options, are valued at the mean of the most recent bid and asked price, if available, or otherwise at their closing bid price. Otherwise, the value of an options contract will be determined by the Pricing Committee in accordance with the Valuation Procedures.
Equity securities, including shares of exchange-traded Funds (“ETFs”), listed on any national or foreign exchange (excluding the Nasdaq National Market (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) will be valued at the last sale price on the exchange on which they are principally traded, or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities.
Fixed income securities will generally be valued using a third-party pricing service vendor (a “Pricing Service”). Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination.
196
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Open-end investment companies, with the exception of ETFs, are valued at their respective NAVs.
The Funds’ accounting agent may obtain all market quotations used in valuing securities from Pricing Service. If no quotation can be obtained from a Pricing Service, then the Funds’ accounting agent will contact the Pricing Committee. The Pricing Committee will then attempt to obtain one or more broker quotes for the security or other asset daily and will value the security or other asset accordingly. If no quotation is available from either a Pricing Service, or one or more brokers, or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security or other asset held by a Fund for which reliable market quotations are not readily available will be determined by Milliman in a manner that most appropriately reflects fair market value of the security or other asset on the valuation date.
The Trust follows the authoritative guidance (GAAP) for fair value measurements, which established a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance established three tiers of inputs that may be used to measure fair value as follows:
| Level 1 - | Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
| Level 2 - | Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, 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 for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The inputs used to value the Funds’ investments at June 30, 2023, are summarized at the end of each Fund’s Schedule of Investments. The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Cash and cash equivalents
Cash and cash equivalents include amounts held in interest-bearing demand deposit accounts with the Funds’ custodian.
Offering Costs
Offering costs directly attributable to a series of the Trust are charged to that series, such as certain registration fees, while expenses which are attributable to more than one series are allocated among the respective series on a pro rata basis.
Offering costs are recorded as a deferred asset and amortized on a straight-line basis for a period of twelve months upon commencement of operations of each Fund. Offering costs include legal fees pertaining to the preparation, review and filing of each Fund’s initial registration statement with the SEC, and printing, mailing or other distribution charges related to each Fund’s prospectus and statement of additional information. Offering costs are subject to the Funds’ Expense Limitation Agreement (See Note 5).
Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on a trade date basis for financial reporting purposes. Realized gains and losses from investment transactions are recorded on an identified cost basis. Dividend income, if any, is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recognized on an accrual basis using the effective yield method.
Expenses are accrued daily. Expenses of the Trust, which are directly identifiable to a specific series, are applied to that series. Expenses which are not identifiable to a specific series are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.
197
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
In addition to the advisory fees and other expenses of the Funds, the Funds indirectly bear the investment management fees and other expenses of investment companies (underlying funds) in which they invest. The amount of these fees and expenses incurred indirectly by the Funds (“acquired fund fees and expenses”) will vary based upon the expense and fee levels of the underlying funds and the number of shares that are owned of the underlying funds at different times.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to pay out dividends from their net investment income, if any, annually. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from GAAP. Distributions that exceed earnings and profits for tax purposes are reported as a return of capital.
3. DERIVATIVES
Disclosures about derivative instruments are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
Each Fund seeks to achieve its investment objective and Outcomes by transacting in options contracts, including FLEX Options, to create layers within its portfolio. There is no guarantee that a Fund will be successful in its attempt to achieve its investment objective and/or Outcomes. FLEX Options are options contracts that trade on an exchange, but provide an investor with the ability to customize key contract terms like strike price, style and expiration date, while achieving price discovery (i.e., determining market prices) in competitive, transparent auctions markets and avoiding the counterparty exposure of over-the-counter options positions. Like traditional exchange-traded options, FLEX Options are guaranteed for settlement by the Options Clearing Corporation (“OCC”), a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts. While the Funds will primarily transact in FLEX Options, each Fund may utilize OTC options if no FLEX Options are available or appropriate for use in that Fund. OTC options are traded and privately negotiated in the OTC market and are subject to counterparty risk of the writer of the options contract. Many counterparties to OTC options are financial institutions, such as banks and broker-dealers, and their creditworthiness (and ability to pay or perform) may be negatively impacted by factors affecting financial institutions generally. The reference assets for each Fund’s options position will be a reference index or an ETF, including an ETF that seeks to track the performance of a reference index.
During the period ended June 30, 2023, certain Funds with six-month and one-year Outcome Periods transacted in options contracts on ETFs that provide exposure to fixed income securities to create a put spread (i.e., writing and purchasing options contracts on the same underlying asset) (the “Put Spread Strategy”). The Put Spread Strategy was used to seek to enhance the Fund's upside S&P 500 Index and/or secondary Reference Index options' exposure.
The Funds will purchase and sell call and put options. In general, put options give the holder (i.e., the buyer) the right to sell an asset (or deliver the cash value of the index, in case of an index put option) and the seller (i.e., the writer) of the put has the obligation to buy the asset (or receive cash value of the index, in case of an index put option) at a certain defined price. Call options give the holder (i.e., the buyer) the right to buy an asset (or receive cash value of the index, in case of an index call option) and the seller (i.e., the writer) the obligation to sell the asset (or deliver cash value of the index, in case of an index call option) at a certain defined price.
When a Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call or, if cash-settled, a gain or loss is realized. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, or the transfer of the relative cash amount if cash-settled, and the proceeds are decreased by the premium originally paid. Purchased options are non-income producing securities.
198
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option written by the Fund is exercised, the premium received is added to the proceeds from the sale of the underlying security, or the transfer of the relevant cash amount if cash-settled, in determining whether the Fund has a realized a gain or loss. If a put option written by the Fund is exercised, the premium received reduces the cost basis of the securities purchased by the Fund if physical delivery is required, or the corresponding cash amount if cash-settled. The Fund, as a writer of an option, bears the market risk of an unfavorable change in the price of the asset underlying the written option. Risk of loss on written options may exceed amounts recognized on the Statements of Assets and Liabilities.
As of June 30, 2023, as collateral for its written options, the Funds pledged assets consisting of cash, cash equivalents, or liquid securities. Cash pledged is included as “Deposits at broker for written options” in the Statements of Assets and Liabilities. Securities pledged for written options are identified in each Fund’s Schedule of Investments.
In order to better define its contractual rights and to secure rights to help the Funds mitigate their counterparty risk, the Funds may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign currency exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of an ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
As of June 30, 2023, all of the FLEX Option contracts held by the Funds are fully funded and cash settled, therefore balance sheet offsetting under FASB ASC 210, Balance Sheet - Offsetting does not apply.
The Funds bear the risk that the OCC will be unable or unwilling to perform its obligations under the FLEX Options contracts. In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Funds could suffer significant losses. Additionally, FLEX Options may be less liquid than certain other securities such as standardized options. In less liquid markets for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices. The Funds may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The value of the underlying FLEX Options will be affected by, among others, changes in the value of the exchange, changes in interest rates, changes in the actual and implied volatility of the underlying asset and the remaining time to until the FLEX Options expire. The value of the FLEX Options does not increase or decrease at the same rate as the level of the underlying asset (although they generally move in the same direction). However, as a FLEX Option approaches its expiration date, its value typically increasingly moves with the value of the underlying asset.
The location and fair value amounts of derivatives on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in each Fund’s Schedule of Investments. The notional amounts of derivative instruments outstanding relative to each Fund’s net assets as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.
199
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
4. FEDERAL TAXES INFORMATION
No provision for federal income taxes has been made, as it is each Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986, as amended, and to distribute to shareholders each year, all of its taxable income and realized gains.
Each Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the tax returns are filed. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. The Funds do not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Funds did not incur any interest or penalties for the period ended June 30, 2023.
The amount and character of tax-basis distributions and composition of distributable earnings are finalized at fiscal year-end. Accordingly, tax-basis balances have not been determined as of the date of this report.
At June 30, 2023, the estimated cost of investments, including derivatives, and unrealized appreciation/depreciation for federal income tax purposes for each Fund were as follows:
| Gross | Gross | Net Unrealized | ||||||||||||
| Cost of | Unrealized | Unrealized | Appreciation/ | |||||||||||
| Investments | Appreciation | Depreciation | (Depreciation) | |||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul | $ | 940,495 | $ | 174,917 | $ | (105,392 | ) | $ | 69,525 | |||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug | 1,436,056 | 160,238 | (94,988 | ) | 65,250 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep | 982,916 | 218,269 | (123,374 | ) | 94,895 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct | 1,145,539 | 126,148 | (72,804 | ) | 53,344 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov | 1,598,417 | 176,642 | (99,566 | ) | 77,076 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec | 1,170,475 | 61,279 | (35,067) | 26,212 | ||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul | 782,289 | 147,289 | (86,214 | ) | 61,075 | |||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug | 1,180,311 | 129,211 | (73,970 | ) | 55,241 | |||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep | 813,492 | 176,755 | (98,071 | ) | 78,684 | |||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct | 898,768 | 100,384 | (56,625 | ) | 43,759 | |||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov | 917,144 | 100,710 | (56,337 | ) | 44,373 | |||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec | 983,070 | 50,962 | (27,950 | ) | 23,012 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul | 994,327 | 510,462 | (464,480 | ) | 45,982 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug | 988,013 | 292,483 | (253,674 | ) | 38,809 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep | 980,414 | 896,434 | (842,192 | ) | 54,242 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct | 1,067,085 | 325,422 | (289,411 | ) | 36,011 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov | 1,586,750 | 535,762 | (494,030 | ) | 41,732 | |||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec | 1,055,976 | 167,232 | (155,952) | 11,280 | ||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan | 842,453 | 166,233 | (90,972) | 75,261 | ||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb | 910,135 | 111,402 | (60,192 | ) | 51,210 | |||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar | 900,569 | 216,290 | (109,271 | ) | 107,019 | |||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr | 936,148 | 121,012 | (62,777 | ) | 58,235 | |||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May | 943,820 | 115,116 | (58,439 | ) | 56,677 | |||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun | 1,003,759 | 42,008 | (20,002 | ) | 22,006 | |||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul | 729,458 | 164,580 | (102,638) | 61,942 | ||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug | 734,344 | 33,762 | (74,470 | ) | (40,708 | ) | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep | 723,642 | 28,682 | (2,805 | ) | 25,877 | |||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct | 985,657 | 358,724 | (171,123 | ) | 187,601 | |||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov | 990,686 | 163,752 | (79,029) | 84,723 | ||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec | 993,713 | 144,695 | (71,688 | ) | 73,007 | |||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan | 804,073 | 118,111 | (68,839 | ) | 49,272 | |||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb | 827,272 | 70,019 | (41,903 | ) | 28,116 | |||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar | 823,553 | 160,093 | (84,044 | ) | 76,049 | |||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr | 899,355 | 78,456 | (47,548 | ) | 30,908 | |||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May | 948,801 | 84,151 | (47,383) | 36,768 | ||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun | 992,179 | 46,826 | (22,493 | ) | 24,333 | |||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul | 730,763 | 95,816 | (71,768 | ) | 24,048 | |||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug | 730,135 | 2,603 | (46,474 | ) | (43,871 | ) | ||||||||
200
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
| Gross | Gross | Net Unrealized | ||||||||||||||
| Cost of | Unrealized | Unrealized | Appreciation/ | |||||||||||||
| Investments | Appreciation | Depreciation | (Depreciation) | |||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep | $ | 721,534 | $ | 36,809 | $ | (17,017 | ) | $ | 19,792 | |||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct | 984,570 | 267,320 | (141,643 | ) | 125,677 | |||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov | 990,316 | 137,979 | (62,728 | ) | 75,251 | |||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec | 1,236,002 | 150,248 | (70,439 | ) | 79,809 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan | 853,324 | 383,993 | (328,700 | ) | 55,293 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb | 938,299 | 328,952 | (260,334 | ) | 68,618 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar | 901,435 | 399,111 | (340,267 | ) | 58,844 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr | 946,145 | 223,670 | (188,951 | ) | 34,719 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May | 1,032,503 | 222,705 | (194,598 | ) | 28,107 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun | 1,092,617 | 61,997 | (48,820 | ) | 13,177 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul | 725,783 | 328,186 | (228,922 | ) | 99,264 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug | 733,593 | 61,566 | (16,646 | ) | 44,920 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep | 724,140 | 101,813 | (2,806 | ) | 99,007 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct | 984,508 | 617,583 | (456,180 | ) | 161,403 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov | 990,194 | 367,164 | (244,327 | ) | 122,837 | |||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec | 993,951 | 339,512 | (231,040 | ) | 108,472 | |||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I) | 1,003,894 | 26,455 | (122,032 | ) | (95,577 | ) | ||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I) | 1,724,217 | 107,089 | (57,126 | ) | 49,963 | |||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I) | 2,707,533 | 303,624 | (46,132 | ) | 257,492 | |||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I) | 986,519 | 125,557 | — | 125,557 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II) | 989,003 | 74,996 | (18,962 | ) | 56,034 | |||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II) | 985,312 | 74,144 | (16,874 | ) | 57,270 | |||||||||||
For the period ended December 31, 2022, the tax character of distributions by the applicable Funds was as follows:
| Distributions paid from: | ||||||||||||||||
| Net Long- | ||||||||||||||||
| Net | Term | Total | ||||||||||||||
| Ordinary | Capital | Net Return | Distributions | |||||||||||||
| Income | Gains | of Capital | Paid | |||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep | $ | 95 | $ | — | $ | — | $ | 95 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct | 2,432 | — | — | 2,432 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov | 4,022 | — | 319 | 4,341 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec | 3,806 | 1,526 | 453 | 5,785 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug | 663 | — | — | 663 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct | 1,570 | — | — | 1,570 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov | 1,980 | — | — | 1,980 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec | 2,385 | — | 358 | 2,743 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct | 15,517 | 18,677 | — | 34,194 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov | 3,384 | — | 182 | 3,566 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec | 993 | — | — | 993 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr | 749 | — | — | 749 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May | 1,306 | — | — | 1,306 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun | 1,737 | — | — | 1,737 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul | 4,367 | 3,898 | — | 8,265 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug | 1,860 | — | — | 1,860 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep | 1,885 | — | — | 1,885 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct | 27,861 | 37,631 | — | 65,492 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov | 1,841 | — | — | 1,841 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec | 918 | — | — | 918 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr | 1,037 | — | — | 1,037 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May | 1,378 | — | — | 1,378 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun | 1,869 | — | — | 1,869 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul | 1,897 | — | — | 1,897 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug | 1,938 | — | — | 1,938 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep | 1,994 | — | — | 1,994 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct | 16,952 | 21,160 | — | 38,112 | ||||||||||||
201
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
| Distributions paid from: | ||||||||||||||||
| Net Long- | ||||||||||||||||
| Net | Term | Total | ||||||||||||||
| Ordinary | Capital | Net Return | Distributions | |||||||||||||
| Income | Gains | of Capital | Paid | |||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov | $ | 1,836 | $ | — | $ | — | $ | 1,836 | ||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec | 1,144 | — | — | 1,144 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr | 871 | — | — | 871 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May | 1,371 | — | — | 1,371 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun | 1,790 | — | — | 1,790 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul | 1,841 | — | — | 1,841 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug | 1,892 | — | — | 1,892 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep | 1,924 | — | — | 1,924 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct | 2,852 | — | — | 2,852 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov | 1,850 | — | — | 1,850 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec | 925 | — | — | 925 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I) | 12,822 | — | — | 12,822 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I) | 20,611 | — | — | 20,611 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I) | 29,330 | 15,258 | — | 44,588 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I) | 7,172 | 3,644 | — | 10,816 | ||||||||||||
5. ADVISORY FEES AND OTHER AGREEMENTS
The Trust has an Investment Advisory Agreement with Milliman to furnish investment advisory services to the Funds. Pursuant to the Investment Advisory Agreement, Milliman is entitled to receive, on a monthly basis, an annual advisory fee equal to 0.49% of each Fund's average daily net assets.
Milliman has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit each Fund’s total annual Fund operating expenses (which include any offering and organizational expenses, but exclude taxes, interest, brokerage fees and commissions, Rule 12b-1 fees, acquired fund fees and expenses, short-sale dividend expenses, and extraordinary or non-routine expenses not incurred in the ordinary course of each Fund’s business) to 0.74% of each Fund's average daily net assets (the “Expense Limitation Agreement”) until at least April 29, 2024. During its term, the Expense Limitation Agreement cannot be terminated or amended to increase the applicable limit without approval of the Board. Milliman may recoup from each Fund any advisory fees waived or expenses reimbursed pursuant to the applicable Expense Limitation Agreement for a period of three years from the date on which such waiver or reimbursement occurred; provided, however, that such recoupment shall not be made if it would cause the Fund’s total annual Fund operating expenses to exceed the lesser of (a) the expense limitation in effect at the time of the reimbursement, or (b) the expense limitation in effect at the time of recoupment, if any. No amounts were recouped during the period ended June 30, 2023. As of June 30, 2023, the amounts eligible for recoupment and the year of expiration are as follows:
| Recovery Expiring in: | ||||||||||||||||
| 2024 | 2025 | 2026 | Total | |||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul | $ | — | $ | 108,417 | $ | 24,157 | $ | 132,574 | ||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug | — | 101,038 | 28,919 | 129,957 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep | — | 56,262 | 25,954 | 82,216 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct | — | 50,213 | 27,001 | 77,214 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov | — | 45,493 | 27,955 | 73,448 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec | — | 40,793 | 27,460 | 68,253 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul | — | 109,230 | 24,769 | 133,999 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug | — | 99,593 | 26,831 | 126,424 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep | — | 56,173 | 26,249 | 82,422 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct | — | 48,749 | 26,881 | 75,630 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov | — | 44,544 | 27,270 | 71,814 | ||||||||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec | — | 39,554 | 28,148 | 67,702 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul | — | — | 31,072 | 31,072 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug | — | — | 26,493 | 26,493 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep | — | — | 21,595 | 21,595 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct | — | 23,378 | 32,861 | 56,239 | ||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov | — | 17,299 | 34,999 | 52,298 | ||||||||||||
202
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
| Recovery Expiring in: | ||||||||||||||||
| 2024 | 2025 | 2026 | Total | |||||||||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec | $ | — | $ | 11,904 | $ | 35,522 | $ | 47,426 | ||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan | — | 107,952 | 24,817 | 132,769 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb | — | 96,560 | 26,407 | 122,967 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar | — | 55,673 | 25,893 | 81,566 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr | — | 48,598 | 26,701 | 75,299 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May | — | 44,120 | 27,181 | 71,301 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun | — | 39,123 | 27,821 | 66,944 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul | — | 35,416 | 28,249 | 63,665 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug | — | 30,913 | 28,901 | 59,814 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep | — | 25,775 | 28,417 | 54,192 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct | — | 22,984 | 27,393 | 50,377 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov | — | 18,096 | 27,766 | 45,862 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec | — | 13,816 | 29,562 | 43,378 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan | — | 108,349 | 24,983 | 133,332 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb | — | 96,862 | 26,531 | 123,393 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar | — | 55,878 | 26,005 | 81,883 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr | — | 49,250 | 26,785 | 76,035 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May | — | 44,365 | 27,263 | 71,628 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun | — | 39,316 | 27,946 | 67,262 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul | — | 35,558 | 28,554 | 64,112 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug | — | 31,067 | 29,105 | 60,172 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep | — | 25,894 | 28,546 | 54,440 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct | — | 23,068 | 27,500 | 50,568 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov | — | 18,159 | 28,022 | 46,181 | ||||||||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec | — | 13,852 | 30,466 | 44,318 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan | — | 109,311 | 25,501 | 134,812 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb | — | 98,075 | 27,110 | 125,185 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar | — | 56,965 | 26,702 | 83,667 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr | — | 50,149 | 27,168 | 77,317 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May | — | 45,195 | 27,747 | 72,942 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun | — | 40,075 | 28,389 | 68,464 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul | — | 36,248 | 29,044 | 65,292 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug | — | 31,577 | 29,551 | 61,128 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep | — | 26,316 | 29,010 | 55,326 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct | — | 23,377 | 27,912 | 51,289 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov | — | 18,360 | 28,627 | 46,987 | ||||||||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec | — | 13,969 | 30,176 | 44,145 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I) | — | 105,018 | 22,640 | 127,658 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I) | — | 50,214 | 27,805 | 78,019 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I) | 27,309 | 41,102 | 37,659 | 106,070 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I) | — | 22,233 | 27,586 | 49,819 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II) | — | — | 30,347 | 30,347 | ||||||||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II) | — | — | 14,224 | 14,224 | ||||||||||||
In addition to the Expense Limitation Agreement, Milliman has contractually agreed to waive its advisory fees in an amount equal to each Fund’s acquired fund fees and expenses until at least April 29, 2024. Amounts waived under this agreement are separately shown on each Fund’s Statement of Operations and may not be recouped by Milliman. This contract cannot be terminated or modified for a Fund without the consent of the Board.
U.S. Bancorp Fund Services, LLC d/b/a U.S. Bank Global Fund Services, a subsidiary of U.S. Bancorp, serves as each Fund’s fund accountant, administrator, and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp, serves as the Funds’ custodian pursuant to a custody agreement. Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ distributor pursuant to a distribution agreement.
203
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
The Trust has adopted a Distribution Plan under Rule 12b-1 (“Rule 12b -1 Plan”) of the 1940 Act with respect to each Fund’s Class 3 shares. The Rule 12b-1 Plan permits each Fund to pay the Distributor, as the Funds’ principal underwriter, for expenses associated with the distribution of Class 3 shares of the Funds. Under the Rule 12b-1 Plan, the Distributor is paid an annual fee of 0.25% of the average daily net assets of Class 3 shares. All Rule 12b-1 Plan payments received by the Distributor shall be used solely for distribution-related expenses and shall not be retained as profit by the Distributor. Accordingly, no compensation is payable by the Funds to the Distributor for such distribution services. However, Milliman has entered into an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the distribution agreement. The payments made by Milliman to the Distributor do not represent an additional expense to the Funds or their shareholders.
Certain employees of Foreside Fund Officer Services, LLC, an affiliate of the Distributor, serve as Treasurer and Principal Financial Officer and Chief Compliance Officer and Anti-Money Laundering Officer to the Trust.
Certain Trustees and Officers of the Trust are also Officers or employees of Milliman, and during their terms of office, receive no compensation from the Funds.
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term obligations and U.S. Government Securities, for the period ended June 30, 2023, by the applicable Funds were as follows:
| Purchases | Sales | |||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul | $ | 230,994 | $ | 260,559 | ||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug | 353,557 | 417,236 | ||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep | 244,806 | 271,420 | ||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct | 21,879 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov | 5,942 | 109 | ||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec | 25,031 | — | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul | 191,657 | 215,283 | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug | 296,321 | 357,001 | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep | 206,901 | 238,667 | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct | 16,829 | — | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov | 5,240 | — | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jun/Dec | 22,127 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jan/Jul | 331,952 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Feb/Aug | 331,833 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Mar/Sep | 331,314 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct | 20,190 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov | 32,548 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec | 27,511 | — | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan | 202,401 | 265,419 | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb | 217,804 | 261,461 | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar | 216,349 | 258,666 | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr | 227,188 | 270,574 | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May | 226,341 | 259,075 | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun | 242,875 | 250,590 | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan | 193,514 | 268,649 | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb | 197,953 | 268,715 | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar | 197,702 | 265,427 | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr | 216,018 | 283,792 | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May | 228,355 | 258,423 | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun | 238,710 | 252,045 | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jan | 202.797 | 265,261 | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Feb | 227.879 | 261,461 | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Mar | 216.633 | 258,608 | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Apr | 228.231 | 269,462 | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – May | 248.686 | 250,692 | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jun | 264,520 | 242,741 | ||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (II) | 858,641 | 63,382 | ||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (II) | 867,414 | 74,238 | ||||||
204
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Purchases and sales of investments of U.S. Government Securities, for the period ended June 30, 2023, by the applicable Funds were as follows:
| Purchases | Sales | |||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul | $ | 231,196 | $ | — | ||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug | 353,793 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep | 245,069 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct | 286,429 | 264,305 | ||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov | 396,787 | 390,732 | ||||||
| Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec | 288,645 | 275,622 | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul | 191,931 | — | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug | 296,496 | — | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep | 207,132 | — | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct | 224,120 | 207,106 | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov | 230,837 | 225,853 | ||||||
| Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jun/Dec | 247,519 | 235,830 | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jan/Jul | 244,217 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Feb/Aug | 243,870 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Mar/Sep | 243,735 | — | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct | 269,749 | 248,300 | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov | 392,384 | 366,703 | ||||||
| Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec | 262,656 | 247,241 | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan | 203,108 | — | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb | 218,129 | — | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar | 216,950 | — | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr | 227,571 | 3,450 | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May | 226,817 | — | ||||||
| Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun | 242,759 | — | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan | 194,033 | — | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb | 198,204 | — | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar | 198,267 | — | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr | 216,355 | — | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May | 228,731 | — | ||||||
| Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun | 238,570 | — | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jan | 203,395 | — | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Feb | 218,304 | — | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Mar | 217,236 | — | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Apr | 228,625 | — | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – May | 249,212 | — | ||||||
| Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jun | 264,464 | — | ||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (II) | 192,301 | — | ||||||
| Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (II) | 191,900 | — | ||||||
7. BENEFICIAL OWNERSHIP
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of that Fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, American General Life Insurance Company directly owned greater than 25% of the outstanding shares of each Fund.
8. RISKS
The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Assets may decline in value due to factors affecting financial markets generally or particular asset classes or industries represented in the markets. The value of a FLEX Option or other asset may also decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or due to factors that affect a particular issuer, country, region, market, industry, sector or asset class.
The principal risks of investing in the Funds are described more fully in the Funds’ prospectus.
205
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
9. GUARANTEES AND INDEMNIFICATIONS
In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred.
10. SUBSEQUENT EVENTS
Management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that no additional items require recognition or disclosure.
206
Milliman Variable Insurance Trust
Additional Information (Unaudited)
June 30, 2023
1. INFORMATION ABOUT PROSPECTUS
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–855–700–7959 or visiting www.millimanfunds.com.
2. PROXY VOTING POLICIES AND PROCEDURE
The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–855–700–7959 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.
3. INFORMATION ABOUT PORTFOLIO SECURITIES
Each Fund’s complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Part F of Form N-PORT. The Trust’s Part F of Form N-PORT is available without charge, upon request, by calling 1-855-700-7959, or on the SEC’s website at www.sec.gov. The Trust’s Part F of Form N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
207
Statement Regarding the Funds’ Liquidity Risk Management Program (Unaudited)
June 30, 2023
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires each registered open-end management investment company to adopt and implement a liquidity risk management program that is reasonably designed to assess and manage its liquidity risk. Milliman Variable Insurance Trust (the “Trust”) has adopted a liquidity risk management program (the “Program”), on behalf of each of its series (each, a “Fund,” and collectively, the “Funds”), which is designed to meet the requirements of the Liquidity Rule. The Board of Trustees of the Trust (the “Board”) has appointed Milliman Financial Risk Management LLC, investment adviser to the Funds (the “Program Administrator”), to serve as the administrator for the Program.
As required by the Liquidity Rule, the Program includes policies and procedures providing for an assessment, no less frequently than annually, of each Fund’s liquidity risk. The Liquidity Rule and the Program also requires that each of a Fund’s portfolio investments (including a Fund’s derivatives holdings) be classified as a highly liquid investment, moderately liquid investment, less liquid investment, or illiquid investment. In accordance with the Liquidity Rule and the Program, any Fund that does not primarily hold assets that are highly liquid investments must determine a highly liquid investment minimum (“HLIM”), which is the minimum percentage of net assets that such Fund must invest in highly liquid investments. In addition, under the Liquidity Rule and the Program, no Fund may acquire any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments (including derivatives holdings) that are assets.
Pursuant to the Liquidity Rule and the Program, the Program Administrator is required to provide an annual report to the Board on the adequacy of the Program and the effectiveness of its implementation, including, if applicable, the operation of the HLIM, and any material changes to the Program (the “Annual Report”). At a meeting of the Board held on May 9, 2023 (the “Meeting”), the Program Administrator presented the Annual Report to the Board, which covered the period ending March 31, 2023 (the “Reporting Period”). The Program Administrator reported that during the Reporting Period, the Program operated effectively in all material respects and that the existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with the Liquidity Rule. The Program Administrator also reported that there were no material changes to the Program during the Reporting Period, and none were being proposed to the Board at the Meeting. Further, the Annual Report stated that the Program Administrator was comfortable with the liquidity levels for all Funds and believed that the securities (including derivatives holdings) in which the Program Administrator trades on behalf of the Funds, as investment adviser to the Funds, can be classified as highly liquid.
208
Milliman Variable Insurance Trust
Board Considerations Regarding Approval of Investment Management Agreements
June 30, 2023 (Unaudited)
At a meeting held on August 9, 2022 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of the Milliman Variable Insurance Trust (the “Trust”), including the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Trust (the “Independent Trustees”), voting separately, reviewed and unanimously approved the Investment Advisory Agreement (the “Investment Advisory Agreement”) between Milliman Financial Risk Management LLC (the “Adviser”) and the Trust, on behalf of the series of the Trust identified on Appendix A (each, a “Fund,” and collectively, the “Funds”).
During the Meeting, the Independent Trustees had met in executive session with counsel and had discussed the proposed Investment Advisory Agreement and the requirements under the 1940 Act that apply to the Board’s consideration and approval of that agreement. In considering the Investment Advisory Agreement, the Board, including the Independent Trustees, reviewed the Board materials and other information from counsel and from the Adviser, including: (i) a copy of the form of Investment Advisory Agreement; (ii) information describing the nature, quality and extent of the services proposed to be provided by the Adviser to the Funds; (iii) information concerning the financial condition, business, operations, and compliance programs of the Adviser, as well as the portfolio management team of the Adviser proposed to manage each Fund’s portfolio; (iv) information describing each Fund’s proposed investment advisory fee and operating expenses; (v) a copy of the current Form ADV for the Adviser; and (vi) a memorandum from Trust counsel regarding the responsibilities of the Trustees in considering investment advisory arrangements under the 1940 Act. The Board also considered presentations made by, and discussions held with, representatives of the Adviser. The Board also received information comparing the proposed advisory fees and expenses of each Fund to other investment companies being offered to insurance company separate accounts that also utilize similar investment strategies, although management stated that they did not view these other investment companies as being an appropriate peer comparison because those other investment companies utilize simpler strategies with larger options components.
During its review of this information, the Board focused on and analyzed the factors that the Board deemed relevant, including: (i) the nature, extent and quality of the services expected to be provided to each Fund by the Adviser; (ii) the Adviser’s personnel and operations; (iii) the Funds’ proposed expense levels; (iv) any “fall- out” benefits to the Adviser (i.e., the ancillary benefits that would be realized by the Adviser from its relationship with the Trust); (v) the effect of asset growth on a Fund’s expenses; and (vi) possible conflicts of interest.
The Board, including the Independent Trustees, considered the following in respect of the Funds:
(a) The nature, extent and quality of services proposed to be provided to the Funds by the Adviser, including personnel and operations of the Adviser. The Board reviewed the services that the Adviser proposed to provide to the Funds. The Board noted the responsibilities that the Adviser would have as each Fund’s investment adviser, including: the responsibility for the management and investment of the Fund’s portfolio; executing portfolio security and other asset trades; monitoring compliance with the Fund’s investment objective, policies and limitations; the responsibility for quarterly reporting to the Board; the oversight of general portfolio compliance with relevant law; and the implementation of Board directives as they relate to the Funds.
The Board reviewed the Adviser’s experience in managing other portfolios, including other series of the Trust. Based on its consideration and review of the foregoing information, the Board determined that the Funds were likely to benefit from the nature, quality and extent of the services proposed to be provided by the Adviser.
(b) Comparison of services expected to be provided and fees to be paid, and the cost of the services to be provided and profits to be realized by the Adviser from its relationship with the Funds; “fall -out” benefits. The Board compared both the services proposed to be provided to the Funds by the Adviser, and the related fees to those of other investment advisers with respect to similar funds. In particular, the Board considered each Fund’s proposed advisory fee and projected expense ratio to other investment companies that the Adviser considered to be similar to the Funds, even if not necessarily in the same peer group due to the unique strategies proposed to be implemented by the Adviser in managing the Funds. The Board noted that the Adviser proposed to enter into
209
Milliman Variable Insurance Trust
Board Considerations Regarding Approval of Investment Management Agreements
June 30, 2023 (Unaudited)
Expense Limitation Agreements whereby the Adviser would waive its advisory fees and/or reimburses expenses to keep each Fund’s expenses from exceeding certain levels. The Board also considered the additional fee waiver agreement, pursuant to which the Adviser would waive its advisory fee in an amount equal to the acquired fund fees and expenses incurred by each Fund. The Board noted that because of the Expense Limitation Agreements and fee waiver agreement, the Adviser would likely supplement a portion of each Fund’s operating expenses for a period of time and considered the resulting benefits that would accrue to the Funds. After considering each Fund’s proposed fees, and in light of the nature, quality and extent of services proposed to be provided by the Adviser, and the costs expected to be incurred by the Adviser in providing those services, the Board concluded that the level of fees proposed to be paid to the Adviser with respect to the Funds was fair and reasonable. Because the Funds were not yet operational, the Board did not consider the Adviser’s projected profitability.
The Board considered that the Adviser may experience certain “fall-out” benefits based on the potential success of the Funds and/or the Trust, but that such benefits are not presently quantifiable. The Board noted that the Trust’s service providers are not affiliated with the Adviser, so that such services do not give rise to “fall-out” benefits for the Adviser.
(c) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels would reflect such economies of scale. The Board discussed potential economies of scale. Because the Funds had not commenced operations, and the eventual amount of Fund assets was uncertain, the Adviser was not able to provide the Board with specific information concerning the extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale, if any. The Board recognized the uncertainty in launching new investment products and estimating future asset levels.
(d) Investment performance of the Funds and of the Adviser. Because the Funds were newly formed and had not commenced operations, the Board did not consider the investment performance of the Funds. The Board considered the performance of the Adviser and its portfolio managers in managing the existing series of the Trust. The Board specifically took into consideration information provided by the Adviser relating to other investment companies that the Adviser manages, and the performance of those funds.
Conclusion. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board concluded that the proposed advisory fees and projected total expense ratios for the Funds were reasonable in relation to the services proposed to be provided by the Adviser to the Funds, as well as the costs to be incurred and benefits to be gained by the Adviser in providing such services. The Board also found the proposed advisory fees to be reasonable in comparison to the fees charged by advisers to other similar funds, as well as other series of the Trust. After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the Investment Advisory Agreement on behalf of each Fund.
210
Milliman Variable Insurance Trust
Board Considerations Regarding Approval of Investment Management Agreements
June 30, 2023 (Unaudited)
Appendix A
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep
211
INVESTMENT ADVISER
Milliman Financial Risk Management LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza
Portland, ME 04101
CUSTODIAN
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
LEGAL COUNSEL
Stradley Ronon Stevens & Young LLP
191 North Wacker Drive, Suite 1601
Chicago, IL 60606
and
2005 Market Street, Suite 2600
Philadelphia, PA 19103
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
Milliman Variable Insurance Trust
Structured Outcome Funds
Semi-Annual Report
June 30, 2023
The following series of Milliman Variable Insurance Trust are presented in this semi-annual report:
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)
TABLE OF CONTENTS
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
Each Fund sells its shares to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. The tables below do not include any fees or sales charges imposed by your variable product.
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service (“12b-1”) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023.
Actual Expenses
The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Actual Expenses Paid During the Period (a) | |||||||||||||
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb# | $ | 1,000.00 | $ | 1,108.90 | 0.97 | % | $ | 5.07 | ||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)# | 1,000.00 | 1,119.70 | 0.93 | % | 4.89 | |||||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)# | 1,000.00 | 1,130.60 | 0.94 | % | 4.97 | |||||||||||
| # | Class 3 shares |
| * | Expense ratio does not reflect the indirect expenses of underlying funds in which the Funds invest. |
| (a) | Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (181) divided by the number of days in the fiscal year (365) to reflect the period from January 1, 2023 to June 30, 2023. |
Hypothetical Example for Comparison Purposes
The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. The Funds do not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table below is useful in comparing the ongoing costs only and will not help you determine the relative total costs of owning different funds. The Funds' expenses shown in the tables reflect fee waivers and reimbursements in effect.
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Hypothetical Expenses Paid During the Period (a) | |||||||||||||
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb# | $ | 1,000.00 | $ | 1,019.98 | 0.97 | % | $ | 4.86 | ||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)# | 1,000.00 | 1,020.18 | 0.93 | % | 4.66 | |||||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)# | 1,000.00 | 1,020.13 | 0.94 | % | 4.71 | |||||||||||
1
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
| # | Class 3 shares |
| * | Expense ratio does not reflect the indirect expenses of underlying funds in which the Funds invest. |
| (a) | Expenses are equal to the Funds’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). |
2
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 30.41% | ||||||||
| iShares 0-3 Month Treasury Bond ETF (a) | 403 | $ | 40,554 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 412 | 44,553 | ||||||
| SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 2,759 | 88,591 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF (a) | 1,125 | 88,909 | ||||||
| Vanguard Short-Term Treasury ETF (a) | 697 | 40,238 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $309,071) | 302,845 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| U.S. TREASURY NOTE - 22.72% | ||||||||
| United States Treasury Note, 0.125%, 2/15/2024 (a) | $ | 233,800 | 226,318 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $226,980) | 226,318 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | |||||||||||
| PURCHASED OPTIONS - 116.76% (b)(c) | ||||||||||||
| CALL OPTIONS - 116.70% | ||||||||||||
| iShares MSCI EAFE ETF, Expires 2/12/2024, Strike Price $70.67 | 127 | $ | 920,750 | 70,756 | ||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $409.03 | 22 | 979,088 | 120,204 | |||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $0.39 | 22 | 979,088 | 971,562 | |||||||||
| 1,162,522 | ||||||||||||
| PUT OPTIONS - 0.06% | ||||||||||||
| S&P 500® Mini Index, Expires 2/12/2024, Strike Price $164.01 | 22 | 979,088 | 574 | |||||||||
| TOTAL PURCHASED OPTIONS (Cost $994,808) | 1,163,096 | |||||||||||
| Total Investments (Cost $1,530,859) - 169.89% | 1,692,259 | |||||||||||
| Liabilities in Excess of Other Assets - (69.89)% | (696,220 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 996,039 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $529,163. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Notional | ||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | |||||||||||||
| Call Options | ||||||||||||||||||
| iShares MSCI EAFE ETF | 2/12/2024 | $ | 75.69 | 127 | $ | (920,750 | ) | $ | (30,890 | ) | ||||||||
| S&P 500® Mini Index | 2/12/2024 | 438.13 | 22 | (979,088 | ) | (69,749 | ) | |||||||||||
| S&P 500® Mini Index | 2/12/2024 | 164.01 | 22 | (979,088 | ) | (624,338 | ) | |||||||||||
| (724,977 | ) | |||||||||||||||||
| Put Options | ||||||||||||||||||
| S&P 500® Mini Index | 2/12/2024 | 368.12 | 22 | (979,088 | ) | (8,662 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $616,237) | $ | (733,639 | ) | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
3
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 302,845 | $ | — | $ | — | $ | 302,845 | ||||||||
| U.S. Treasury Note | — | 226,318 | — | 226,318 | ||||||||||||
| Purchased Options | — | 1,163,096 | — | 1,163,096 | ||||||||||||
| Total Assets | $ | 302,845 | $ | 1,389,414 | $ | — | $ | 1,692,259 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 733,639 | $ | — | $ | 733,639 | ||||||||
| Total Liabilities | $ | — | $ | 733,639 | $ | — | $ | 733,639 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 1,163,096 | $ | — | $ | 1,163,096 | |||||||
| Liabilities - Written options | Options written, at value | $ | 733,639 | $ | — | $ | 733,639 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | (265,305 | ) | $ | 211,745 | $ | (53,560 | ) | |||||
| Written options | Written Options | $ | 247,271 | $ | (273,734 | ) | $ | (26,463 | ) | |||||
| $ | (18,034 | ) | $ | (61,989 | ) | $ | (80,023 | ) | ||||||
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 440,826 | $ | (263,371 | ) | $ | 177,455 | ||||||
| Written options | Written Options | (325,545 | ) | 320,591 | (4,954 | ) | ||||||||
| $ | 115,281 | $ | 57,220 | $ | 172,501 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 30.41 | % | ||
| U.S. Treasury Note | 22.72 | |||
| Purchased Options | 116.76 | |||
| Total Investments | 169.89 | |||
| Written Options | (73.65 | ) | ||
| Assets in Excess of Other Liabilities | 3.76 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
4
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund - Apr (I)
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 59.39% | ||||||||
| Invesco BulletShares 2028 Corporate Bond ETF (a) | 3,783 | $ | 74,695 | |||||
| Invesco BulletShares 2029 Corporate Bond ETF (a) | 12,148 | 218,000 | ||||||
| iShares iBonds Dec 2028 Term Corporate ETF (a) | 3,043 | 74,554 | ||||||
| iShares iBonds Dec 2029 Term Corporate ETF (a) | 9,715 | 218,101 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $616,654) | 585,350 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 19.88% | ||||||||
| United States Treasury Note, 1.250%, 4/30/2028 (a) | $ | 224,400 | 195,969 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $208,336) | 195,969 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 25.41% (b)(c) | ||||||||||||
| CALL OPTIONS - 25.41% | ||||||||||||
| S&P 500® Mini Index, Expires 4/10/2028, Strike Price $441.30 | 25 | $ | 1,112,600 | 250,492 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $258,855) | 250,492 | |||||||||||
| Total Investments (Cost $1,083,845) - 104.68% | 1,031,811 | |||||||||||
| Liabilities in Excess of Other Assets - (4.68)% | (46,060 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 985,751 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $781,319. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 4/10/2028 | $ | 441.30 | 11 | $ | (489,544 | ) | $ | (52,019 | ) | ||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $68,775) | $ | (52,019 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
5
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund - Apr (I)
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 585,350 | $ | — | $ | — | $ | 585,350 | ||||||||
| U.S. Treasury Note | — | 195,969 | — | 195,969 | ||||||||||||
| Purchased Options | — | 250,492 | — | 250,492 | ||||||||||||
| Total Assets | $ | 585,350 | $ | 446,461 | $ | — | $ | 1,031,811 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 52,019 | $ | — | $ | 52,019 | ||||||||
| Total Liabilities | $ | — | $ | 52,019 | $ | — | $ | 52,019 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 250,492 | $ | — | $ | 250,492 | |||||||
| Liabilities - Written options | Options written, at value | $ | 52,019 | $ | — | $ | 52,019 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 66,057 | $ | — | $ | 66,057 | |||||||
| Written options | Written Options | 25,703 | — | 25,703 | ||||||||||
| $ | 91,760 | $ | — | $ | 91,760 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 59.39 | % | ||
| U.S. Treasury Note | 19.88 | |||
| Purchased Options | 25.41 | |||
| Total Investments | 104.68 | |||
| Written Options | (5.28 | ) | ||
| Assets in Excess of Other Liabilities | 0.60 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
6
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund - Jul (I)
Schedule of Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE TRADED FUNDS - 50.35% | ||||||||
| Invesco BulletShares 2028 Corporate Bond ETF (a) | 4,350 | $ | 85,891 | |||||
| Invesco BulletShares 2029 Corporate Bond ETF (a) | 14,051 | 252,149 | ||||||
| iShares iBonds Dec 2028 Term Corporate ETF (a) | 3,489 | 85,480 | ||||||
| iShares iBonds Dec 2029 Term Corporate ETF (a) | 11,160 | 250,542 | ||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $686,271) | 674,062 | |||||||
| Principal Amount | ||||||||
| U.S. TREASURY NOTE - 17.26% | ||||||||
| United States Treasury Note, 1.000%, 7/31/2028 (a) | $ | 269,600 | 231,182 | |||||
| TOTAL U.S. TREASURY NOTE (Cost $242,662) | 231,182 | |||||||
| Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 34.04% (b)(c) | ||||||||||||
| CALL OPTIONS - 34.04% | ||||||||||||
| S&P 500® Mini Index, Expires 7/10/2028, Strike Price $385.46 | 34 | $ | 1,513,136 | 455,835 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $338,198) | 455,835 | |||||||||||
| Total Investments (Cost $1,267,131) - 101.65% | 1,361,079 | |||||||||||
| Liabilities in Excess of Other Assets - (1.65)% | (22,032 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 1,339,047 | ||||||||||
Percentages are stated as a percent of net assets.
| (a) | All or a portion of each of these securities is segregated as collateral for written options. The aggregate value of the securities segregated as collateral for written options is $905,244. |
| (b) | Exchange-Traded. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Put Options | ||||||||||||||||||||
| S&P 500® Mini Index | 7/10/2028 | $ | 385.46 | 16 | $ | (712,064 | ) | $ | (52,879 | ) | ||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $78,708) | $ | (52,879 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
7
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund - Jul (I)
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Exchange Traded Funds | $ | 674,062 | $ | — | $ | — | $ | 674,062 | ||||||||
| U.S. Treasury Note | — | 231,182 | — | 231,182 | ||||||||||||
| Purchased Options | — | 455,835 | — | 455,835 | ||||||||||||
| Total Assets | $ | 674,062 | $ | 687,017 | $ | — | $ | 1,361,079 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 52,879 | $ | — | $ | 52,879 | ||||||||
| Total Liabilities | $ | — | $ | 52,879 | $ | — | $ | 52,879 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Assets - Purchased options | Investments, at value | $ | 455,835 | $ | — | $ | 455,835 | |||||||
| Liabilities - Written options | Options written, at value | $ | 52,879 | $ | — | $ | 52,879 | |||||||
The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||
| Location | Equity Risk | Interest Rate Risk | Total | |||||||||||
| Purchased options | Investments | $ | 108,766 | $ | — | $ | 108,766 | |||||||
| Written options | Written Options | 28,991 | — | 28,991 | ||||||||||
| $ | 137,757 | $ | — | $ | 137,757 | |||||||||
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Exchange Traded Funds | 50.35 | % | ||
| U.S. Treasury Note | 17.26 | |||
| Purchased Options | 34.04 | |||
| Total Investments | 101.65 | |||
| Written Options | (3.95 | ) | ||
| Assets in Excess of Other Liabilities | 2.30 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
8
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb | Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | ||||||||||
| Assets: | ||||||||||||
| Investments, at value (a) | $ | 1,692,259 | $ | 1,031,811 | $ | 1,361,079 | ||||||
| Cash and cash equivalents | 44,010 | 10,909 | 35,494 | |||||||||
| Dividends and interest receivable | 309 | 554 | 1,282 | |||||||||
| Due from Advisor | 3,559 | 3,359 | 417 | |||||||||
| Deposits at broker for written options | 500 | 500 | 500 | |||||||||
| Deferred offering costs | — | — | 721 | |||||||||
| Total Assets | 1,740,637 | 1,047,133 | 1,399,493 | |||||||||
| Liabilities: | ||||||||||||
| Options written, at value (b) | 733,639 | 52,019 | 52,879 | |||||||||
| Payable for fund shares redeemed | 1 | 288 | 8 | |||||||||
| Distribution fees payable | 606 | 597 | 795 | |||||||||
| Other liabilities | 10,352 | 8,478 | 6,764 | |||||||||
| Total Liabilities | 744,598 | 61,382 | 60,446 | |||||||||
| Net Assets | $ | 996,039 | $ | 985,751 | $ | 1,339,047 | ||||||
| Net Assets Consist of: | ||||||||||||
| Paid-in capital | $ | 1,029,323 | $ | 1,011,550 | $ | 1,240,888 | ||||||
| Total distributable earnings/(accumulated deficit) | (33,284 | ) | (25,799 | ) | 98,159 | |||||||
| Net Assets | $ | 996,039 | $ | 985,751 | $ | 1,339,047 | ||||||
| Class 3 | ||||||||||||
| Net assets | $ | 996,039 | $ | 985,751 | $ | 1,339,047 | ||||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 103,033 | 101,342 | 123,732 | |||||||||
| Net asset value, offering price and redemption price per share | $ | 9.67 | $ | 9.73 | $ | 10.82 | ||||||
| (a) Cost of investments | $ | 1,530,859 | $ | 1,083,845 | $ | 1,267,131 | ||||||
| (b) Premiums received | 616,237 | 68,775 | 78,708 | |||||||||
The accompanying notes are an integral part of these financial statements.
9
Milliman Variable Insurance Trust
June 30, 2023
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb | Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | ||||||||||
| Six Months Ended June 30, 2023 (Unaudited) | Six Months Ended June 30, 2023 (Unaudited) | Six Months Ended June 30, 2023 (Unaudited) | ||||||||||
| Investment Income: | ||||||||||||
| Dividends | $ | 4,679 | $ | 10,567 | $ | 12,122 | ||||||
| Interest | 6,285 | 3,509 | 4,694 | |||||||||
| Total Investment Income | 10,964 | 14,076 | 16,816 | |||||||||
| Expenses: | ||||||||||||
| Investment advisory fees | 2,310 | 2,289 | 3,035 | |||||||||
| Accounting and administration fees | 11,810 | 11,226 | 9,638 | |||||||||
| Custody fees | 894 | 453 | 128 | |||||||||
| Transfer agent fees | 3,197 | 3,189 | 2,744 | |||||||||
| Distribution service fees | 1,179 | 1,168 | 1,548 | |||||||||
| Professional fees and expenses | 5,518 | 5,631 | 6,205 | |||||||||
| Trustees fees and expenses | 237 | 152 | 210 | |||||||||
| Pricing fees | 2,292 | 1,424 | 1,421 | |||||||||
| Licensing fees | 1,763 | 259 | 310 | |||||||||
| Offering costs | 720 | 1,952 | 8,969 | |||||||||
| Other expenses | 300 | 706 | 1,708 | |||||||||
| Total Expenses | 30,220 | 28,449 | 35,916 | |||||||||
| Waivers/expense reimbursement by Advisor | (25,552 | ) | (23,824 | ) | (29,785 | ) | ||||||
| Acquired fund fees and expenses waiver | (84 | ) | (294 | ) | (337 | ) | ||||||
| Net Expenses | 4,584 | 4,331 | 5,794 | |||||||||
| Net Investment Income/(Loss) | 6,380 | 9,745 | 11,022 | |||||||||
| Realized and Unrealized Gain/(Loss): | ||||||||||||
| Net realized gain/(loss) on: | ||||||||||||
| Investments | (57,199 | ) | (360 | ) | — | |||||||
| Options written | (26,463 | ) | — | — | ||||||||
| Net realized gain/(loss) | (83,662 | ) | (360 | ) | — | |||||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
| Investments | 180,272 | 71,694 | 114,671 | |||||||||
| Options written | (4,954 | ) | 25,703 | 28,991 | ||||||||
| Net change in unrealized appreciation/(depreciation) | 175,318 | 97,397 | 143,662 | |||||||||
| Net realized and unrealized gain/(loss) | 91,656 | 97,037 | 143,662 | |||||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 98,036 | $ | 106,782 | $ | 154,684 | ||||||
The accompanying notes are an integral part of these financial statements.
10
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
June 30, 2023
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb | ||||||||
| Six Months Ended June 30, 2023 (Unaudited) | Period February 10, 2022(a) to December 31, 2022 | |||||||
| Operations: | ||||||||
| Net Investment income/(loss) | $ | 6,380 | $ | (223 | ) | |||
| Net realized gain/(loss) | (83,662 | ) | — | |||||
| Net change in unrealized appreciation/(depreciation) | 175,318 | (131,320 | ) | |||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 98,036 | (131,543 | ) | |||||
| Capital Share Transactions:(b) | ||||||||
| Proceeds from shares sold | — | 1,030,010 | ||||||
| Cost of shares redeemed | (175 | ) | (289 | ) | ||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (175 | ) | 1,029,721 | |||||
| Total Increase/(Decrease) in Net Assets | 97,861 | 898,178 | ||||||
| Net Assets: | ||||||||
| Beginning of the period | 898,178 | — | ||||||
| End of the period | $ | 996,039 | $ | 898,178 | ||||
| Change in Shares Outstanding:(b) | ||||||||
| Shares sold | — | 103,084 | ||||||
| Shares redeemed | (19 | ) | (32 | ) | ||||
| Net Increase/(Decrease) | (19 | ) | 103,052 | |||||
| (a) Commencement of Operations | ||||||||
| (b) Class 3 | ||||||||
The accompanying notes are an integral part of these financial statements.
11
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
June 30, 2023
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | ||||||||
| Six Months Ended June 30, 2023 (Unaudited) | Period April 11, 2022(a) to December 31, 2022 | |||||||
| Operations: | ||||||||
| Net Investment income/(loss) | $ | 9,745 | $ | 11,941 | ||||
| Net realized gain/(loss) | (360 | ) | — | |||||
| Net change in unrealized appreciation/(depreciation) | 97,397 | (132,675 | ) | |||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 106,782 | (120,734 | ) | |||||
| Distributions to Shareholders: | ||||||||
| Distributions to shareholders | — | (11,847 | ) | |||||
| Total distributions to shareholders | — | (11,847 | ) | |||||
| Capital Share Transactions:(b) | ||||||||
| Proceeds from shares sold | — | 1,020,014 | ||||||
| Reinvestments | — | 11,847 | ||||||
| Cost of shares redeemed | (20,148 | ) | (163 | ) | ||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (20,148 | ) | 1,031,698 | |||||
| Total Increase/(Decrease) in Net Assets | 86,634 | 899,117 | ||||||
| Net Assets: | ||||||||
| Beginning of the period | 899,117 | — | ||||||
| End of the period | $ | 985,751 | $ | 899,117 | ||||
| Change in Shares Outstanding:(b) | ||||||||
| Shares sold | — | 102,061 | ||||||
| Shares reinvested | — | 1,368 | ||||||
| Shares redeemed | (2,069 | ) | (18 | ) | ||||
| Net Increase/(Decrease) | (2,069 | ) | 103,411 | |||||
| (a) Commencement of Operations | ||||||||
| (b) Class 3 | ||||||||
The accompanying notes are an integral part of these financial statements.
12
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
June 30, 2023
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | ||||||||
| Six Months Ended June 30, 2023 (Unaudited) | Period July 11, 2022(a) to December 31, 2022 | |||||||
| Operations: | ||||||||
| Net Investment income/(loss) | $ | 11,022 | $ | 9,302 | ||||
| Net realized gain/(loss) | — | 5 | ||||||
| Net change in unrealized appreciation/(depreciation) | 143,662 | (23,885 | ) | |||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 154,684 | (14,578 | ) | |||||
| Distributions to Shareholders: | ||||||||
| Distributions to shareholders | — | (41,947 | ) | |||||
| Total distributions to shareholders | — | (41,947 | ) | |||||
| Capital Share Transactions:(b) | ||||||||
| Proceeds from shares sold | — | 1,250,000 | ||||||
| Reinvestments | — | 41,947 | ||||||
| Cost of shares redeemed | (1,264 | ) | (49,795 | ) | ||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (1,264 | ) | 1,242,152 | |||||
| Total Increase/(Decrease) in Net Assets | 153,420 | 1,185,627 | ||||||
| Net Assets: | ||||||||
| Beginning of the period | 1,185,627 | — | ||||||
| End of the period | $ | 1,339,047 | $ | 1,185,627 | ||||
| Change in Shares Outstanding:(b) | ||||||||
| Shares sold | — | 124,531 | ||||||
| Shares reinvested | — | 4,406 | ||||||
| Shares redeemed | (125 | ) | (5,080 | ) | ||||
| Net Increase/(Decrease) | (125 | ) | 123,857 | |||||
| (a) Commencement of Operations | ||||||||
| (b) Class 3 | ||||||||
The accompanying notes are an integral part of these financial statements.
13
Milliman Variable Insurance Trust
| Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||
| Investment Operations: | Distributions: | Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income/ (loss) (b) | Net realized and unrealized gain/(loss) | Total From Investment Operations | From net investment income | From realized gains | Total Distributions | Net Asset Value, End of Period | Total return (c) | Net assets, end of period (000) | Expenses, gross (d) | Expenses, net (d)(e) | Net investment income/ (loss) | Portfolio turnover rate (f) | ||||||||||||||||||||||||||||||
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb | |||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.72 | 0.06 | 0.89 | 0.95 | — | — | — | $ | 9.67 | 10.89 | % | $ | 996 | 6.40 | % | 0.97 | % | 1.35 | % | 49 | % | |||||||||||||||||||||
| For the period 2/10/22 (g) - 12/31/22 | $ | 10.00 | (0.00 | )(h) | (1.28 | ) | (1.28 | ) | — | — | — | $ | 8.72 | (12.80 | )% | $ | 898 | 8.72 | % | 0.97 | % | (0.03 | )% | 0 | % | ||||||||||||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | |||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 8.69 | 0.09 | 0.95 | 1.04 | — | — | — | $ | 9.73 | 11.97 | % | $ | 986 | 6.09 | % | 0.93 | % | 2.09 | % | 0 | % | |||||||||||||||||||||
| For the period 4/11/22 (g) - 12/31/22 | $ | 10.00 | 0.12 | (1.31 | ) | (1.19 | ) | (0.12 | ) | — | (0.12 | ) | $ | 8.69 | (11.94 | )% | $ | 899 | 8.12 | % | 0.93 | % | 1.80 | % | 8 | % | |||||||||||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | |||||||||||||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 9.57 | 0.09 | 1.16 | 1.25 | — | — | — | $ | 10.82 | 13.06 | % | $ | 1,339 | 5.80 | % | 0.94 | % | 1.78 | % | 0 | % | |||||||||||||||||||||
| For the period 7/11/22 (g) - 12/31/22 | $ | 10.00 | 0.08 | (0.16 | ) | (0.08 | ) | (0.08 | ) | (0.27 | ) | (0.35 | ) | $ | 9.57 | (0.77 | )% | $ | 1,186 | 7.99 | % | 0.93 | % | 1.73 | % | 7 | % | ||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
| (c) | Total return is based on the change in net asset value of a share during the period, assumes reinvestment of dividends and distributions at net asset value and is not annualized for periods less than one year. Total return reflects waivers/reimbursements by the manager. Performance would have been lower had the waivers/reimbursements not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which the Funds serve as an underlying investment vehicle. If total return had taken these into account, performance would have been lower. |
| (d) | Expense ratios do not include expenses of underlying funds in which the Funds invest. |
| (e) | Net expenses reflect fee waivers and expense reimbursements by the Advisor. |
| (f) | Not annualized for periods less than one year. |
| (g) | Commencement of operations. |
| (h) | Amount represents less than $0.005 per share. |
The accompanying notes are an integral part of these financial statements.
14
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
| 1. | ORGANIZATION |
Milliman Variable Insurance Trust (the “Trust”) was organized under the laws of the state of Delaware as a Delaware statutory trust on November 2, 2020, and is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2023, the Trust consisted of 66 operational series, 3 of which are presented herein (each, a “Fund” and collectively, the “Funds”). The remaining series are presented in separate reports. Each of the Funds is classified as non-diversified under the 1940 Act. Each Fund offers shares only to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. All shares of the Funds have equal rights and privileges. As of June 30, 2023, only Class 3 shares were offered, which have no front-end sales load, deferred sales charge, or redemption fee.
Each Fund utilizes options contracts, including FLexible EXchange® Options (“FLEX Options”), designed to produce certain pre-determined outcomes (“Outcomes”), over a one-year or six-year period (an “Outcome Period”). The initial Outcome Period for each Fund began upon commencement of its operations. On the last business day of any stated Outcome Period, all of a Fund’s existing options contracts will expire and Milliman Financial Risk Management LLC (“Milliman”), the Funds’ investment adviser, will transact in a new set of options contracts on the same business day, which will commence a new Outcome Period.
The Funds and their respective commencement dates are as follows:
| Commencement of | ||
| Name | Operations | |
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb | February 10, 2022 | |
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | April 11, 2022 | |
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | July 11, 2022 |
The Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains up to a declared cap, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a one-year period. The Fund also seeks to provide upside exposure to the MSCI EAFE Index up to a declared cap, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over the same period.
Each Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while limiting losses to 50% of the losses associated with S&P 500 Index performance and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-year period.
At a meeting held on March 29, 2023, the Board of Trustees of the Trust (the “Board”) approved a Plan of Liquidation for the Funds, which provided for the complete liquidation of the Funds and the redemption of the Funds’ outstanding shares. Effective upon the open of business on May 31, 2023, the Funds were closed to new investments, including from new insurance company separate accounts or other qualified investors and additional purchases from existing insurance company separate accounts or other qualified investors. The liquidations were completed on August 1, 2023.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies.
15
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Computation of Net Asset Value
The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. ET) on each business day the NYSE is open for regular trading. If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time. If the NYSE closes early on a valuation day, a Fund shall determine NAV as of that time.
Valuation
The Board has adopted Pricing and Valuation Procedures (“Valuation Procedures”) to be used for valuing all securities and other assets held by the Funds, including those for which market quotations are not readily available or are deemed not be reliable. The Board has designated Milliman as the valuation designee, which has established a pricing committee comprised of representatives of Milliman (the “Pricing Committee”) to provide input to Milliman in making fair value determinations in accordance with the Valuation Procedures.
Exchange-traded options, including FLEX Options, are valued at a market-based price provided by the exchange on which the options contract is traded at the official close of that exchange’s trading date. If the exchange on which the options contract is traded is unable to provide a market price, exchange-traded options prices will be provided by a model-pricing provider. Over-the-counter options, including certain binary options, are valued at the mean of the most recent bid and asked price, if available, or otherwise at their closing bid price. Otherwise, the value of an options contract will be determined by the Pricing Committee in accordance with the Valuation Procedures.
Equity securities, including shares of exchange-traded Funds (“ETFs”), listed on any national or foreign exchange (excluding the Nasdaq National Market (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) will be valued at the last sale price on the exchange on which they are principally traded, or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities.
Fixed income securities will generally be valued using a third-party pricing service vendor (a “Pricing Service”). Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination.
Open-end investment companies, with the exception of ETFs, are valued at their respective NAVs.
The Funds’ accounting agent may obtain all market quotations used in valuing securities from Pricing Service. If no quotation can be obtained from a Pricing Service, then the Funds’ accounting agent will contact the Pricing Committee. The Pricing Committee will then attempt to obtain one or more broker quotes for the security or other asset daily and will value the security or other asset accordingly. If no quotation is available from either a Pricing Service, or one or more brokers, or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security or other asset held by a Fund for which reliable market quotations are not readily available will be determined by Milliman in a manner that most appropriately reflects fair market value of the security or other asset on the valuation date.
The Trust follows the authoritative guidance (GAAP) for fair value measurements, which established a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of
16
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance established three tiers of inputs that may be used to measure fair value as follows:
| Level 1 - | Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
| Level 2 - | Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, 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 for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The inputs used to value the Funds’ investments at June 30, 2023, are summarized at the end of each Fund’s Schedule of Investments. The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Cash and cash equivalents
Cash and cash equivalents include amounts held in interest-bearing demand deposit accounts with the Funds’ custodian.
Offering Costs
Offering costs directly attributable to a series of the Trust are charged to that series, such as certain registration fees, while expenses which are attributable to more than one series are allocated among the respective series on a pro rata basis.
Offering costs are recorded as a deferred asset and amortized on a straight-line basis for a period of twelve months upon commencement of operations of each Fund. Offering costs include legal fees pertaining to the preparation, review and filing of each Fund’s initial registration statement with the SEC, and printing, mailing or other distribution charges related to each Fund’s prospectus and statement of additional information. Offering costs are subject to the Funds’ Expense Limitation Agreement (See Note 5).
Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on a trade date basis for financial reporting purposes. Realized gains and losses from investment transactions are recorded on an identified cost basis. Dividend income, if any, is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recognized on an accrual basis using the effective yield method.
Expenses are accrued daily. Expenses of the Trust, which are directly identifiable to a specific series, are applied to that series. Expenses which are not identifiable to a specific series are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.
In addition to the advisory fees and other expenses of the Funds, the Funds indirectly bear the investment management fees and other expenses of investment companies (underlying funds) in which they invest. The amount of these fees and expenses incurred indirectly by the Funds (“acquired fund fees and expenses”) will vary based upon the expense and fee levels of the underlying funds and the number of shares that are owned of the underlying funds at different times.
17
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to pay out dividends from their net investment income, if any, annually. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from GAAP. Distributions that exceed earnings and profits for tax purposes are reported as a return of capital.
| 3. | DERIVATIVES |
Disclosures about derivative instruments are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
Each Fund seeks to achieve its investment objective and Outcomes by transacting in options contracts, including FLEX Options, to create layers within its portfolio. There is no guarantee that a Fund will be successful in its attempt to achieve its investment objective and/or Outcomes. FLEX Options are options contracts that trade on an exchange, but provide an investor with the ability to customize key contract terms like strike price, style and expiration date, while achieving price discovery (i.e., determining market prices) in competitive, transparent auctions markets and avoiding the counterparty exposure of over-the-counter options positions. Like traditional exchange-traded options, FLEX Options are guaranteed for settlement by the Options Clearing Corporation (“OCC”), a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts. While the Funds will primarily transact in FLEX Options, each Fund may utilize OTC options if no FLEX Options are available or appropriate for use in that Fund. OTC options are traded and privately negotiated in the OTC market and are subject to counterparty risk of the writer of the options contract. Many counterparties to OTC options are financial institutions, such as banks and broker-dealers, and their creditworthiness (and ability to pay or perform) may be negatively impacted by factors affecting financial institutions generally. The reference assets for each Fund’s options position will be a reference index or an ETF, including an ETF that seeks to track the performance of a reference index.
During the period ended June 30, 2023, the Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb transacted in options contracts on ETFs that provide exposure to fixed income securities to create a put spread (i.e., writing and purchasing options contracts on the same underlying asset) (the “Put Spread Strategy”). The Put Spread Strategy was used to seek to enhance the Fund’s upside S&P 500 Index and/or secondary Reference Index options’ exposure.
The Funds will purchase and sell call and put options. In general, put options give the holder (i.e., the buyer) the right to sell an asset (or deliver the cash value of the index, in case of an index put option) and the seller (i.e., the writer) of the put has the obligation to buy the asset (or receive cash value of the index, in case of an index put option) at a certain defined price. Call options give the holder (i.e., the buyer) the right to buy an asset (or receive cash value of the index, in case of an index call option) and the seller (i.e., the writer) the obligation to sell the asset (or deliver cash value of the index, in case of an index call option) at a certain defined price.
When a Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call or, if cash-settled, a gain or loss is realized. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, or the transfer of the relative cash amount if cash-settled, and the proceeds are decreased by the premium originally paid. Purchased options are non-income producing securities.
When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability
18
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option written by the Fund is exercised, the premium received is added to the proceeds from the sale of the underlying security, or the transfer of the relevant cash amount if cash-settled, in determining whether the Fund has a realized a gain or loss. If a put option written by the Fund is exercised, the premium received reduces the cost basis of the securities purchased by the Fund if physical delivery is required, or the corresponding cash amount if cash-settled. The Fund, as a writer of an option, bears the market risk of an unfavorable change in the price of the asset underlying the written option. Risk of loss on written options may exceed amounts recognized on the Statements of Assets and Liabilities.
As of June 30, 2023, as collateral for its written options, the Funds pledged assets consisting of cash, cash equivalents, or liquid securities. Cash pledged is included as “Deposits at broken for written options” in the Statements of Assets and Liabilities. Securities pledged for written options are identified in each Fund’s Schedule of Investments.
In order to better define its contractual rights and to secure rights to help the Funds mitigate their counterparty risk, the Funds may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign currency exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of an ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
As of June 30, 2023, all of the FLEX Option contracts held by the Funds are fully funded and cash settled, therefore balance sheet offsetting under FASB ASC 210, Balance Sheet - Offsetting does not apply.
The Funds bear the risk that the OCC will be unable or unwilling to perform its obligations under the FLEX Options contracts. In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Funds could suffer significant losses. Additionally, FLEX Options may be less liquid than certain other securities such as standardized options. In less liquid markets for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices. The Funds may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The value of the underlying FLEX Options will be affected by, among others, changes in the value of the exchange, changes in interest rates, changes in the actual and implied volatility of the underlying asset and the remaining time to until the FLEX Options expire. The value of the FLEX Options does not increase or decrease at the same rate as the level of the underlying asset (although they generally move in the same direction). However, as a FLEX Option approaches its expiration date, its value typically increasingly moves with the value of the underlying asset.
The location and fair value amounts of derivatives on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in each Fund’s Schedule of Investments. The notional amounts of derivative instruments outstanding relative to each Fund’s net assets as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative
19
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
instruments during the period, as disclosed in the Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.
| 4. | FEDERAL TAXES INFORMATION |
No provision for federal income taxes has been made, as it is each Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986, as amended, and to distribute to shareholders each year, all of its taxable income and realized gains.
Each Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the tax returns are filed. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. The Funds do not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Funds did not incur any interest or penalties for the period ended June 30, 2023.
The amount and character of tax-basis distributions and composition of distributable earnings are finalized at fiscal year-end. Accordingly, tax-basis balances have not been determined as of the date of this report.
At June 30, 2023, the estimated cost of investments, including derivatives, and unrealized appreciation/depreciation for federal income tax purposes for each Fund were as follows:
| Gross | Gross | Net Unrealized | ||||||||||||||
| Cost of | Unrealized | Unrealized | Appreciation/ | |||||||||||||
| Investments | Appreciation | Depreciation | (Depreciation) | |||||||||||||
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb | $ | 914,622 | $ | 168,289 | $ | (124,291 | ) | $ | 43,998 | |||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | 1,015,070 | 16,756 | (52,034 | ) | (35,278 | ) | ||||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | 1,188,423 | 143,465 | (23,688 | ) | 119,777 | |||||||||||
For the period ended December 31, 2022, the tax character of distributions by the applicable Funds was as follows:
| Distributions paid from: | ||||||||||||||||
| Net Long- | ||||||||||||||||
| Net | Term | Total | ||||||||||||||
| Ordinary | Capital | Net Return | Distributions | |||||||||||||
| Income | Gains | of Capital | Paid | |||||||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | $ | 11,847 | — | — | $ | 11,847 | ||||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | 22,292 | 19,655 | — | 41,947 | ||||||||||||
| 5. | ADVISORY FEES AND OTHER AGREEMENTS |
The Trust has an Investment Advisory Agreement with Milliman to furnish investment advisory services to the Funds. Pursuant to the Investment Advisory Agreement, Milliman is entitled to receive, on a monthly basis, an annual advisory fee equal to 0.49% of each Fund’s average daily net assets.
Milliman has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit each Fund’s total annual Fund operating expenses (which include any offering and organizational expenses, but exclude taxes, interest, brokerage fees and commissions, Rule 12b-1 fees, acquired fund fees and expenses, short-sale dividend expenses, and extraordinary or non-routine expenses not incurred in the ordinary course of each Fund’s business) to 0.74% of each Fund’s average daily net assets (the “Expense Limitation Agreement”) until at least April 29, 2024. During its term, the Expense Limitation Agreement cannot be terminated or amended to increase the applicable limit without approval of the Board. Milliman may recoup from each Fund any advisory fees waived or expenses reimbursed pursuant to the applicable Expense Limitation Agreement for a period of three years from the date on which such waiver or reimbursement occurred; provided, however, that such recoupment shall not be made if it would cause the Fund’s total annual Fund operating expenses to exceed the lesser of (a) the expense limitation in effect at the time of the reimbursement, or (b) the expense limitation in effect at the time of recoupment, if any. No amounts were recouped
20
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
during the period ended June 30, 2023. As of June 30, 2023, the amounts eligible for recoupment and the year of expiration are as follows:
| Recovery Expiring in: | ||||||||||||||||
| 2024 | 2025 | 2026 | Total | |||||||||||||
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb | $ | — | $ | 62,527 | $ | 25,552 | $ | 88,079 | ||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | — | 47,287 | 23,824 | 71,111 | ||||||||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | 27,309 | 37,740 | 29,785 | 94,834 | ||||||||||||
In addition to the Expense Limitation Agreement, Milliman has contractually agreed to waive its advisory fees in an amount equal to each Fund’s acquired fund fees and expenses until at least April 29, 2024. Amounts waived under this agreement are separately shown on each Fund’s Statement of Operations and may not be recouped by Milliman. This contract cannot be terminated or modified for a Fund without the consent of the Board.
U.S. Bancorp Fund Services, LLC d/b/a U.S. Bank Global Fund Services, a subsidiary of U.S. Bancorp, serves as each Fund’s fund accountant, administrator, and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp, serves as the Funds’ custodian pursuant to a custody agreement. Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ distributor pursuant to a distribution agreement.
The Trust has adopted a Distribution Plan under Rule 12b-1 (“Rule 12b-1 Plan”) of the 1940 Act with respect to each Fund’s Class 3 shares. The Rule 12b-1 Plan permits each Fund to pay the Distributor, as the Funds’ principal underwriter, for expenses associated with the distribution of Class 3 shares of the Funds. Under the Rule 12b-1 Plan, the Distributor is paid an annual fee of 0.25% of the average daily net assets of Class 3 shares. All Rule 12b-1 Plan payments received by the Distributor shall be used solely for distribution-related expenses and shall not be retained as profit by the Distributor. Accordingly, no compensation is payable by the Funds to the Distributor for such distribution services. However, Milliman has entered into an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the distribution agreement. The payments made by Milliman to the Distributor do not represent an additional expense to the Funds or their shareholders.
Certain employees of Foreside Fund Officer Services, LLC, an affiliate of the Distributor, serve as Treasurer and Principal Financial Officer and Chief Compliance Officer and Anti-Money Laundering Officer to the Trust.
Certain Trustees and Officers of the Trust are also Officers or employees of Milliman, and during their terms of office, receive no compensation from the Funds.
| 6. | INVESTMENT TRANSACTIONS |
Purchases and sales of investments, excluding short-term obligations and U.S. Government Securities, for the period ended June 30, 2023, by the applicable Fund were as follows:
| Purchases | Sales | |||||||
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb | $ | 222,583 | $ | 272,522 | ||||
Purchases and sales of investments of U.S. Government Securities, for the period ended June 30, 2023, by the applicable Fund were as follows:
| Purchases | Sales | |||||||
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb | $ | 222,896 | $ | — | ||||
21
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
| 7. | BENEFICIAL OWNERSHIP |
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of that Fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, American General Life Insurance Company directly owned greater than 25% of the outstanding shares of each Fund.
| 8. | RISKS |
The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Assets may decline in value due to factors affecting financial markets generally or particular asset classes or industries represented in the markets. The value of a FLEX Option or other asset may also decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or due to factors that affect a particular issuer, country, region, market, industry, sector or asset class.
The principal risks of investing in the Funds are described more fully in the Funds’ prospectus.
| 9. | GUARANTEES AND INDEMNIFICATIONS |
In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred.
| 10. | SUBSEQUENT EVENTS |
On July 26, 2023, each Fund paid income distributions in the amount as shown in the table:
| Amount | Per Share Amount | |||||||
| Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb | $ | 8,996 | $ | 0.08731436 | ||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) | 11,913 | 0.11755288 | ||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | 13,441 | 0.10864517 | ||||||
On July 26, 2023, the following Fund paid short-term capital gain distributions in the amount as shown in the table:
| Amount | Per Share Amount | |||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | $ | 61,551 | $ | 0.49752 | ||||
On July 26, 2023, the following Fund paid long-term capital gain distributions in the amount as shown in the table:
| Amount | Per Share Amount | |||||||
| Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I) | $ | 74,637 | $ | 0.60330 | ||||
As disclosed in Note 1, the Funds were liquidated on August 1, 2023.
Management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issues and has determined that no additional items require recognition or disclosure.
22
Milliman Variable Insurance Trust
Additional Information (Unaudited)
June 30, 2023
1. INFORMATION ABOUT PROSPECTUS
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–855–700–7959 or visiting www.millimanfunds.com.
2. PROXY VOTING POLICIES AND PROCEDURE
The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–855–700–7959 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.
3. INFORMATION ABOUT PORTFOLIO SECURITIES
Each Fund’s complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Part F of Form N-PORT. The Trust’s Part F of Form N-PORT is available without charge, upon request, by calling 1-855-700-7959, or on the SEC’s website at www.sec.gov. The Trust’s Part F of Form N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
23
Statement Regarding the Funds’ Liquidity Risk Management Program (Unaudited)
June 30, 2023
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires each registered open-end management investment company to adopt and implement a liquidity risk management program that is reasonably designed to assess and manage its liquidity risk. Milliman Variable Insurance Trust (the “Trust”) has adopted a liquidity risk management program (the “Program”), on behalf of each of its series (each, a “Fund,” and collectively, the “Funds”), which is designed to meet the requirements of the Liquidity Rule. The Board of Trustees of the Trust (the “Board”) has appointed Milliman Financial Risk Management LLC, investment adviser to the Funds (the “Program Administrator”), to serve as the administrator for the Program.
As required by the Liquidity Rule, the Program includes policies and procedures providing for an assessment, no less frequently than annually, of each Fund’s liquidity risk. The Liquidity Rule and the Program also requires that each of a Fund’s portfolio investments (including a Fund’s derivatives holdings) be classified as a highly liquid investment, moderately liquid investment, less liquid investment, or illiquid investment. In accordance with the Liquidity Rule and the Program, any Fund that does not primarily hold assets that are highly liquid investments must determine a highly liquid investment minimum (“HLIM”), which is the minimum percentage of net assets that such Fund must invest in highly liquid investments. In addition, under the Liquidity Rule and the Program, no Fund may acquire any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments (including derivatives holdings) that are assets.
Pursuant to the Liquidity Rule and the Program, the Program Administrator is required to provide an annual report to the Board on the adequacy of the Program and the effectiveness of its implementation, including, if applicable, the operation of the HLIM, and any material changes to the Program (the “Annual Report”). At a meeting of the Board held on May 9, 2023 (the “Meeting”), the Program Administrator presented the Annual Report to the Board, which covered the period ending March 31, 2023 (the “Reporting Period”). The Program Administrator reported that during the Reporting Period, the Program operated effectively in all material respects and that the existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with the Liquidity Rule. The Program Administrator also reported that there were no material changes to the Program during the Reporting Period, and none were being proposed to the Board at the Meeting. Further, the Annual Report stated that the Program Administrator was comfortable with the liquidity levels for all Funds and believed that the securities (including derivatives holdings) in which the Program Administrator trades on behalf of the Funds, as investment adviser to the Funds, can be classified as highly liquid.
24
INVESTMENT ADVISER
Milliman Financial Risk Management LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza
Portland, ME 04101
CUSTODIAN
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
LEGAL COUNSEL
Stradley Ronon Stevens & Young LLP
191 North Wacker Drive, Suite 1601
Chicago, IL 60606
and
2005 Market Street, Suite 2600
Philadelphia, PA 19103
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
Milliman Variable Insurance Trust
Milliman Money Market Fund
Semi-Annual Report
June 30, 2023
TABLE OF CONTENTS
Attachment
Goldman Sachs Variable Insurance Trust – Goldman Sachs Government Money Market Fund Semi-Annual Report June 30, 2023
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
The Milliman Money Market Fund (the “Fund”) sells its shares to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. The table below does not include any fees or sales charges imposed by your variable product.
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service (“12b-1”) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023.
Actual Expenses
This section of the following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $ 8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
This section of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. The Fund does not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table below is useful in comparing the ongoing costs only and will not help you determine the relative total costs of owning different funds. The Fund’s expenses shown in the table reflect fee waivers and reimbursements in effect.
| Beginning Account Value | Ending Account Value | Annualized Expense Ratio* | Expenses Paid During the Period(a) | |||||||||||||
| Milliman Money Market Fund# | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,024.90 | 0.43 | % | $ | 2.16 | ||||||||
| Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,022.66 | 0.43 | % | $ | 2.16 | ||||||||
| # | Class 3 shares |
| * | Expense ratio reflects the aggregate expenses of the Fund and the Master Fund in which the Fund invests. |
| (a) | Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). |
1
Milliman Money Market Fund
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| INVESTMENT COMPANIES - 99.41% | ||||||||
| Goldman Sachs Variable Insurance Trust - Goldman Sachs Government Money Market Fund, | ||||||||
| Institutional Shares, 5.02% (a)(b) | 207,080 | $ | 207,080 | |||||
| TOTAL INVESTMENT COMPANIES (Cost $207,080) | 207,080 | |||||||
| Total Investments (Cost $207,080) - 99.41% | 207,080 | |||||||
| Assets in Excess of Other Liabilities - 0.59% | 1,235 | |||||||
| TOTAL NET ASSETS - 100.00% | $ | 208,315 | ||||||
Percentages are stated as a percent of net assets.
| (a) | 7-day net yield |
| (b) | The Milliman Money Market Fund (the "Fund") pursues its investment objective by investing all of its investable assets in Institutional Shares of the Goldman Sachs Government Money Market Fund (the "Portfolio"), a series of the Goldman Sachs Variable Insurance Trust (see Note 1 in Notes to Financial Statements). |
The accompanying notes are an integral part of these financial statements.
2
Milliman Variable Insurance Trust
Statement of Assets and Liabilities
June 30, 2023 (Unaudited)
| Milliman Money Market Fund | ||||
| Assets: | ||||
| Investment in Portfolio (cost $207,080) | $ | 207,080 | ||
| Cash and cash equivalents | 14,209 | |||
| Dividends and interest receivable | 951 | |||
| Due from Advisor | 6,697 | |||
| Total Assets | 228,937 | |||
| Liabilities: | ||||
| Payable for fund shares redeemed | 1 | |||
| Distributions payable | 31 | |||
| Distribution fees payable | 128 | |||
| Payable to Trustees | 148 | |||
| Other liabilities | 20,314 | |||
| Total Liabilities | 20,622 | |||
| Net Assets | $ | 208,315 | ||
| Net Assets Consist of: | ||||
| Paid-in capital | $ | 208,316 | ||
| Total distributable earnings/(accumulated deficit) | (1 | ) | ||
| Net Assets | $ | 208,315 | ||
| Class 3 | ||||
| Net assets | $ | 208,315 | ||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 208,316 | |||
| Net asset value, offering price and redemption price per share | $ | 1.00 | ||
The accompanying notes are an integral part of these financial statements.
3
Milliman Variable Insurance Trust
| Milliman Money Market Fund | ||||
| Six Months Ended June 30, 2023 (Unaudited) | ||||
| Investment Income: | ||||
| Interest | $ | 5,310 | ||
| Total Investment Income | 5,310 | |||
| Expenses: | ||||
| Investment advisory fees | 31 | |||
| Accounting and administration fees | 26,540 | |||
| Custody fees | 799 | |||
| Transfer agent fees | 2,932 | |||
| Distribution service fees | 254 | |||
| Professional fees and expenses | 8,956 | |||
| Trustees fees and expenses | 389 | |||
| Offering costs | 261 | |||
| Other expenses | 240 | |||
| Total Expenses | 40,402 | |||
| Waivers/expense reimbursement by Advisor | (40,148 | ) | ||
| Net Expenses | 254 | |||
| Net Investment Income | 5,056 | |||
| Net Increase in Net Assets From Operations | $ | 5,056 | ||
The accompanying notes are an integral part of these financial statements.
4
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
| Milliman Money Market Fund | ||||||||
| Six Months Ended June 30, 2023 (Unaudited) | Period January 10, 2022(a) to December 31, 2022 | |||||||
| Operations: | ||||||||
| Net Investment income | $ | 5,056 | $ | 3,943 | ||||
| Net Increase in Net Assets Resulting from Operations | 5,056 | 3,943 | ||||||
| Distributions to Shareholders:(b) | ||||||||
| Distributions to shareholders | (5,059 | ) | (3,941 | ) | ||||
| Capital Share Transactions:(b) | ||||||||
| Proceeds from shares sold | — | 1,903,069 | ||||||
| Reinvestments | 5,071 | 3,891 | ||||||
| Cost of shares redeemed | (72 | ) | (1,703,643 | ) | ||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 4,999 | 203,317 | ||||||
| Total Increase/(Decrease) in Net Assets | 4,996 | 203,319 | ||||||
| Net Assets: | ||||||||
| Beginning of the period | 203,319 | — | ||||||
| End of the period | $ | 208,315 | $ | 203,319 | ||||
| Change in Shares Outstanding:(b) | ||||||||
| Shares sold | — | 1,903,069 | ||||||
| Shares reinvested | 5,071 | 3,891 | ||||||
| Shares redeemed | (72 | ) | (1,703,643 | ) | ||||
| Net Increase /(Decrease) | 4,999 | 203,317 | ||||||
| (a) | Commencement of Operations |
| (b) | Class 3 |
The accompanying notes are an integral part of these financial statements.
5
Milliman Variable Insurance Trust
| Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||
| Ratio to Average Net Assets of: (a) | ||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income | Distributions from Net Investment Income | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses, gross (c) | Expenses, net (c)(d) | Net investment income | ||||||||||||||||||||||||
| Milliman Money Market Fund | ||||||||||||||||||||||||||||||||
| For the period 1/1/23 - 6/30/23 (Unaudited) | $ | 1.00 | 0.02 | (0.02 | ) | $ | 1.00 | 2.49 | % | $ | 208 | 39.69 | % | 0.25 | % | 4.97 | % | |||||||||||||||
| For the period 1/10/22 (e) - 12/31/22 | $ | 1.00 | 0.02 | (0.02 | ) | $ | 1.00 | 1.64 | % | $ | 203 | 47.12 | % | 0.21 | % | 1.93 | % | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Total return is based on the change in net asset value of a share during the period, assumes reinvestment of dividends and distributions at net asset value and is not annualized for periods less than one year. Total return reflects waivers/reimbursements by the Advisor. Performance would have been lower had the waivers/ reimbursements not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which the Fund serves as an underlying investment vehicle. If total return had taken these into account, performance would have been lower. |
| (c) | Ratios of expenses to average net assets do not include expenses of the Portfolio in which the Fund invests. Including these expenses, the expense ratios before waivers/ reimbursements and net of waivers/reimbursements would be approximately 39.89% and 0.43%, and 47.32% and 0.38%, for the periods ended June 30, 2023 and December 31, 2022, respectively. |
| (d) | Net expenses reflect fee waivers and expense reimbursements by the Advisor. |
| (e) | Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
6
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
1. Organization
Milliman Variable Insurance Trust (the “Trust”) was organized under the laws of the state of Delaware as a Delaware statutory trust on November 2, 2020, and is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2023, the Trust consisted of 66 operational series. This report pertains to the Milliman Money Market Fund (the “Fund”). The remaining series are presented in separate reports. The Fund is classified as diversified under the 1940 Act. The Fund offers shares only to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. All shares of the Fund have equal rights and privileges. As of June 30, 2023, only Class 3 shares were offered, which have no front-end sales load, deferred sales charge, or redemption fee. The Fund commenced operations on January 10, 2022.
The Fund seeks to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments.
The Fund pursues its investment objective by investing all of its investable assets in Institutional Shares of the Goldman Sachs Government Money Market Fund (the “Portfolio”), a series of the Goldman Sachs Variable Insurance Trust, which is a Delaware statutory trust registered under the 1940 Act as an open-end management investment company. This structure is sometimes called a “master/feeder” structure. The Portfolio has the same investment objective and substantially similar investment policies as the Fund and, therefore, is subject generally to the same risks as the Fund. The Portfolio seeks to achieve its investment objective by investing only in “government securities,” as such term is defined or interpreted under the 1940 Act, and repurchase agreements collateralized by such securities. “Government securities” generally are securities issued or guaranteed by the United States or certain U.S. government agencies or instrumentalities. The percentage of the Portfolio owned by the Fund as of June 30, 2023 was 0.01%. The financial statements of the Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies. For accounting and financial reporting purposes, the Fund is treated as a fund-of-funds.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Computation of Net Asset Value
The Fund determines its NAV per share as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (generally 4:00 p.m., Eastern time) on each business day the Exchange is open for regular trading. If the Exchange closes early on a valuation day, the Fund shall determine NAV as of that time. The NAV per share of the Fund is calculated by dividing the value of the Fund’s total assets, less its liabilities (including accrued expenses), by the number of shares outstanding. Because the Fund currently invests all of its investable assets in the Portfolio, its assets consist primarily of an interest in the Portfolio. The value of this interest will depend on the value of the assets of the Portfolio and its liabilities and expenses. In accordance with Rule 2a-7 under the 1940 Act, each of the Fund and the Portfolio seeks to maintain a stable price of $1.00 per share by using the amortized cost method to value portfolio securities and rounding the share value to the nearest cent.
Valuation
Shares of the Portfolio held by the Fund are valued at NAV as reported by the Portfolio.
7
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
The Trust follows the authoritative guidance (GAAP) for fair value measurements, which established a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance established three tiers of inputs that may be used to measure fair value as follows:
| Level 1- | Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. |
| Level 2- | Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, 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 for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
As of June 30, 2023, the value of the Fund’s investment in the Portfolio was determined based on Level 1 inputs. The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Cash and cash equivalents
Cash and cash equivalents include amounts held in an interest-bearing demand deposit account with the Fund’s custodian.
Offering Costs
Offering costs directly attributable to a series of the Trust are charged to that series, such as certain registration fees, while expenses which are attributable to more than one series are allocated among the respective series on a pro rata basis.
Offering costs are recorded as a deferred asset and are amortized on a straight-line basis for a period of twelve months upon commencement of operations of the Fund. Offering costs include legal fees pertaining to the preparation, review and filing of the Fund’s prospectus and statement of additional information. Offering costs are subject to the Fund’s Expense Limitation Agreement (See Note 4).
Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on a trade date basis for financial reporting purposes. Realized gains and losses from investment transactions are recorded on an identified cost basis. Dividend income is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recognized on an accrual basis using the effective yield method.
Expenses are accrued daily. Expenses of the Trust, which are directly identifiable to a specific series, are applied to that series. Expenses which are not identifiable to a specific series are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.
In addition to the advisory fees and other expenses reflected on the Statement of Operations, the Fund indirectly bears the investment management fees and other expenses of the Portfolio in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. All or substantially all of the Fund’s net investment income will be declared as a dividend daily. Dividends will normally be declared daily as of 4:00 p.m., Eastern time, as a dividend and distributed monthly. Distributions will be reinvested as of the last calendar day of each month. Cash distributions normally will be paid on or about the first business day of each month. Net short-term capital gains, if any, will be distributed in accordance with federal income tax requirements and may be reflected in the Fund’s daily distributions. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Fund.
8
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
3. Federal Taxes Information
There is no provision for federal income taxes, as it is the Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986, as amended, and to distribute to shareholders each year all of its taxable income and realized gains.
The Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the tax returns are filed. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. The Fund does not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Fund did not incur any interest or penalties for the period ended June 30, 2023.
The amount and character of tax-basis distributions and composition of distributable earnings are finalized at fiscal year-end. Accordingly, tax-basis balances have not been determined as of the date of this report.
As of June 30, 2023, the estimated cost of investments for federal tax purposes was $207,080 and there was no unrealized appreciation or depreciation.
For the period ended December 31, 2022, the tax character of distributions by the Fund was as follows:
| Net Ordinary Income | Total Distributions Paid | |||||
| $ | 3,941 | $ | 3,941 | |||
4. Advisory Fees and Other Agreements
The Trust has an Investment Advisory Agreement with Milliman Financial Risk Management LLC (“Milliman”) to furnish investment advisory services to the Fund. Pursuant to the Investment Advisory Agreement, Milliman is entitled to receive, on a monthly basis, an annual advisory fee equal to 0.03% of the Fund's average daily net assets. However, Milliman has contractually agreed to waive its management fee until at least April 29, 2024. This contract cannot be terminated or modified without the consent of the Board of Trustees of the Trust (the “Board”).
Milliman has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit the Fund’s total annual Fund operating expenses (which include net expenses of the Portfolio and offering and organizational expenses of the Fund, but exclude taxes, interest, brokerage fees and commissions, acquired fund fees and expenses, and extraordinary or non-routine expenses not incurred in the ordinary course of the Fund’s business) to 0.43% of the Fund's average daily net assets (the “Expense Limitation Agreement”) until at least April 29, 2024. During its term, the Expense Limitation Agreement cannot be terminated or amended to increase the applicable limit without approval of the Board.
Milliman has also agreed to voluntarily waive fees and/or reimburse expenses of the Fund to avoid a negative yield. Such yield waivers and reimbursements are voluntary and could be modified or terminated at any time at the discretion of Milliman without notice.
Milliman may not recoup any advisory fees waived or expenses reimbursed pursuant to the above agreements.
U.S. Bancorp Fund Services, LLC d/b/a U.S. Bank Global Fund Services, a subsidiary of U.S. Bancorp, serves as the Fund’s fund accountant, administrator, and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp, serves as the Fund’s custodian pursuant to a custody agreement. Foreside Fund Services, LLC (the “Distributor”) serves as the Fund’s distributor pursuant to a distribution agreement.
The Trust has adopted a Distribution Plan under Rule 12b-1 (“Rule 12b-1 Plan”) of the 1940 Act with respect to the Fund’s Class 3 shares. The Rule 12b-1 Plan permits the Fund to pay the Distributor, as the Fund’s principal underwriter, for expenses associated with the distribution of Class 3 shares of the Fund. Under the Rule 12b-1 Plan, the Distributor is paid an annual fee of 0.25% of the average daily net assets of Class 3 shares. All Rule 12b-1 Plan payments received by the Distributor shall be used solely for distribution-related expenses and shall not be retained as profit by the Distributor.
9
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Accordingly, no compensation is payable by the Fund to the Distributor for such distribution services. However, Milliman has entered into an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the distribution agreement. The payments made by Milliman to the Distributor do not represent an additional expense to the Fund or its shareholders.
Certain employees of Foreside Fund Officer Services, LLC, an affiliate of the Distributor, serve as Treasurer and Principal Financial Officer and Chief Compliance Officer and Anti-Money Laundering Officer to the Trust.
Certain Trustees and Officers of the Trust are also Officers or employees of Milliman, and during their terms of office, receive no compensation from the Fund.
5. Beneficial Ownership
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of the Fund creates a presumption of control of the Fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, American International Group (AIG) and Milliman each directly owned greater than 25% of the outstanding shares of the Fund.
6. Risks
The Portfolio, and therefore the Fund, could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Assets may decline in value due to factors affecting financial markets generally or particular asset classes or industries represented in the markets. The value of a security or other asset may also decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or due to factors that affect a particular issuer, country, region, market, industry, sector or asset class.
The principal risks of investing in the Fund and the Portfolio are described more fully in the Fund’s prospectus.
7. Guarantees and Indemnifications
In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.
8. Subsequent Events
Management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that no additional items require recognition or disclosure.
10
Milliman Variable Insurance Trust
Additional Information (Unaudited)
June 30, 2023
1. INFORMATION ABOUT PROSPECTUS
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–855–700–7959 or visiting www. millimanfunds.com.
2. PROXY VOTING POLICIES AND PROCEDURE
The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–855–700–7959 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’s website at www.sec.gov.
3. INFORMATION ABOUT PORTFOLIO SECURITIES
The Fund’s Form N-MFP, which had information about the Fund and its holdings, is available without charge: (i) upon request, by calling 1-855-700-7959; (ii) on the SEC’s website at www.sec.gov; and (iii) on the Fund’s website at www. millimanfunds.com.
11
INVESTMENT ADVISER
Milliman Financial Risk Management LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza
Portland, ME 04101
CUSTODIAN
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
LEGAL COUNSEL
Stradley Ronon Stevens & Young LLP
191 North Wacker Drive, Suite 1601
Chicago, IL 60606
and
2005 Market Street, Suite 2600
Philadelphia, PA 19103
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
Goldman Sachs Government Money Market Fund
| TABLE OF CONTENTS | |
| Market Review | 1 |
| Fund Basics | 3 |
| Schedule of Investments | 5 |
| Financial Statements | 8 |
| Financial Highlights | 11 |
| Notes to Financial Statements | 13 |
| Other Information | 23 |
| You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of the bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
Goldman Sachs VIT Government Money Market Fund
The following are highlights both of key factors affecting the money markets and of any key changes made to the Goldman Sachs VIT Government Money Market Fund (the “Fund”) during the six months ended June 30, 2023 (the “Reporting Period”). A fuller review will appear in the Fund’s annual shareholder report covering the 12 months ended December 31, 2023.
Market and Economic Review
| ● | U.S. Federal Reserve (“Fed”) policy had the greatest influence on the money markets during the Reporting Period. |
| ● | When the Reporting Period began in January 2023, money market yields rallied on prospects of the Fed nearing an end to its interest rate hiking cycle given evidence of reduced U.S. inflation levels and improved economic growth prospects. |
| ● | Two-year U.S. Treasury yields fell by approximately 20 basis points in January. (Remember, there is usually an inverse relationship between bond prices and yield movements, so that bond prices rise when yields decrease and vice versa. A basis point is 1/100th of a percentage point.) |
| ● | Money market volatility moderated amid a “Goldilocks” backdrop of easing inflation and rather steady economic growth and in anticipation of a slower pace of monetary policy tightening. |
| ● | In February 2023, this “Goldilocks” scenario was interrupted by strength in economic growth and labor market data, which, in turn, generated higher yield volatility as markets anticipated a bumpier path to lowered inflation and a higher-for-longer interest rate environment. |
| ● | The Fed stepped down its pace of interest rate increases from the 50 basis points it had hiked in December 2022 to 25 basis points, with Fed Chair Powell suggesting further rate hikes would be determined meeting by meeting. |
| ● | Still, money market yields sold off as concerns around the persistence of inflation led many market participants to anticipate further rate tightening by the Fed. |
| ● | Two-year U.S. Treasury yields rose to a high of 4.8% to end the month. |
| ● | In early March 2023, amid strong U.S. economic data, the Fed initially suggested it might tighten monetary policy more than it had previously anticipated, which caused two-year U.S. Treasury yields to breach 5% for the first time since 2007. |
| ● | However, yield momentum reversed sharply as the month progressed as investors sought “safe haven” securities amid banking stress in the U.S. and internationally. Short-term U.S. Treasury yields fell by more than 100 basis points from their cycle peak earlier in the month. |
| ● | At its late-March meeting, Fed policymakers grappled with a challenging trade-off given the firm macroeconomic backdrop, such as resilient labor markets, and yet still-elevated inflation—all set against rising financial stability concerns. Ultimately, the Fed implemented another 25 basis point interest rate hike, projected a weak economic outlook for the rest of 2023, and struck a more cautious tone on the forward path for the targeted federal funds (“fed funds”) rate. |
| ● | Although money market yields remained broadly unchanged during April 2023, sticky inflation data, ongoing banking sector stress, a looming U.S. debt ceiling deadline, signs of moderating economic growth and lingering investor concerns around credit tightening drove volatile swings within the money markets. |
| ● | In early May 2023, the Fed raised the fed funds rate by 25 basis points to a range between 5.00% and 5.25%. |
| ● | Policymakers signaled a willingness to pause future interest rate hikes given that inflation had begun to moderate and because tighter credit conditions driven by banking sector stress were “likely to weigh on economic activity, hiring and inflation.” |
| ● | Money market yields sold off in May on concerns surrounding resolution of the U.S. debt ceiling and amid banking sector stress. U.S./China tensions, speculation about Fed policy, corporate earnings and a growing focus on the rise of artificial intelligence (“AI”) also drove market volatility. |
1
MARKET REVIEW
| ● | In early June 2023, resolution of U.S. debt ceiling negotiations led to risk relief and market optimism, with investor focus returning to the outlook of the economy and Fed monetary policy amid a persistently resilient U.S. labor market. |
| ● | At its June meeting, the Fed left the target range for the fed funds rate unchanged, but Fed officials suggested they were inclined to implement another interest rate hike in July 2023 if economic activity and inflation did not cool as much as they “need to see.” |
| ● | Fed Chair Powell noted the resilience in U.S. housing data and stated that a strong majority of Fed officials expected “two or more hikes” from that point — a sharpening of his language relative to “somewhat further” in his Congressional testimony given that same month. |
| ● | The money market yield curve inverted during the Reporting Period, as the Fed raised short-term interest rates, meaning shorter-maturity yields were higher than longer-maturity yields. The three-month node of the U.S. Treasury yield curve rose 90 basis points during the Reporting Period; the six-month node rose 70 basis points; and the one-year node rose 68 basis points. Two-year U.S. Treasury yields increased 47 basis points during the Reporting Period to close June 2023 at 4.87%. |
| ● | In this environment, the yields of money market funds increased. |
Fund Changes and Highlights
No material changes were made to the Fund during the Reporting Period.
2
Government Money Market Fund
as of June 30, 2023
| PERFORMANCE REVIEW 1 |
| January 1, 2023 – June 30, 2023 | Fund Total Return (based on NAV)2 | SEC 7-Day Current Yield3 | iMoneyNet Institutional Average4 |
| Institutional Shares | 2.33% | 5.00% | 4.45% |
| Service Shares | 2.21 | 4.75 | 4.45 |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment returns will fluctuate. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| 1 | The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The performance shown above reflects any waivers or reimbursements that were in effect for all or a portion of the periods shown. When waivers or reimbursements are in place, the Fund’s operating expenses are reduced and the Fund’s yield and total returns to the shareholder are increased. |
| 2 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s total return reflects the reinvestment of dividends and other distributions. |
| 3 | The SEC 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of the Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects the Fund’s current earnings than do the Fund Total Return figures. |
| 4 | Source: iMoneyNet, Inc. June 2023. The iMoneyNet Institutional Average represents total return. Government & Agencies Institutional — Category includes the most broadly based of the government institutional funds. These funds may generally invest in U.S. treasuries, U.S. agencies, repurchase agreements, or government-backed floating rate notes. |
| YIELD SUMMARY AS OF JUNE 30, 2023 |
| Funds | 7-Day Dist. Yield5 | SEC 7-Day Effective Yield6 | 30-Day Average Yield7 | Weighted Avg. Maturity (days)8 | Weighted Avg. Life (days)9 |
| Institutional Shares | 5.01% | 5.12% | 5.00% | 30 | 78 |
| Service Shares | 4.76 | 4.86 | 4.75 | 30 | 78 |
The Yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.
Yields reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end performance.
| 5 | The 7-Day Distribution Yield is an annualized measure of the Fund’s dividends per share, divided by the price per share. This yield includes capital gain/loss distribution, if any. This is not an SEC Yield. |
| 6 | The SEC 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year. |
| 7 | The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. This is not an SEC Yield. |
| 8 | The Fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7. |
| 9 | The Fund’s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
3
FUND BASICS
| FUND COMPOSITION† |
Security Type
(Percentage of Net Assets)
| † | The Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above chart may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
June 30, 2023 (Unaudited)
| Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||||
| U.S. Government Agency Obligations – 15.5% | ||||||||||||||||
| Federal Farm Credit Banks Funding Corp. (3 Mo. U.S. T-Bill MMY + 0.04%) | ||||||||||||||||
| $ | 1,500,000 | 5.284 | %(a) | 10/23/23 | $ | 1,499,981 | ||||||||||
| 3,000,000 | 5.289 | (a) | 10/30/23 | 2,999,970 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (FEDL01 + 0.08%) | ||||||||||||||||
| 1,300,000 | 5.152 | (a) | 09/13/24 | 1,298,850 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (FEDL01 + 0.14%) | ||||||||||||||||
| 700,000 | 5.210 | (a) | 09/17/24 | 699,992 | ||||||||||||
| 200,000 | 5.212 | (a) | 11/14/24 | 199,947 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (Prime Rate – 3.00%) | ||||||||||||||||
| 1,818,000 | 5.251 | (a) | 03/22/24 | 1,817,740 | ||||||||||||
| 1,200,000 | 5.250 | (a) | 01/24/25 | 1,199,911 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (Prime Rate – 3.01%) | ||||||||||||||||
| 1,585,000 | 5.245 | (a) | 02/10/25 | 1,584,926 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.06%) | ||||||||||||||||
| 500,000 | 5.127 | (a) | 04/29/24 | 499,629 | ||||||||||||
| 500,000 | 5.129 | (a) | 07/22/24 | 499,477 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.11%) | ||||||||||||||||
| 3,838,000 | 5.165 | (a) | 06/07/24 | 3,837,831 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.14%) | ||||||||||||||||
| 1,781,000 | 5.203 | (a) | 11/26/24 | 1,780,280 | ||||||||||||
| 1,978,000 | 5.202 | (a) | 11/26/24 | 1,977,200 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.15%) | ||||||||||||||||
| 1,173,000 | 5.210 | (a) | 01/03/25 | 1,173,000 | ||||||||||||
| 807,000 | 5.210 | (a) | 02/14/25 | 807,000 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.16%) | ||||||||||||||||
| 2,100,000 | 5.215 | (a) | 04/05/24 | 2,099,969 | ||||||||||||
| 476,000 | 5.220 | (a) | 01/30/25 | 476,000 | ||||||||||||
| 2,482,000 | 5.215 | (a) | 02/10/25 | 2,482,000 | ||||||||||||
| 768,000 | 5.220 | (a) | 04/10/25 | 768,000 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.17%) | ||||||||||||||||
| 4,300,000 | 5.225 | (a) | 06/27/24 | 4,299,833 | ||||||||||||
| 1,909,000 | 5.230 | (a) | 01/23/25 | 1,909,000 | ||||||||||||
| 3,442,000 | 5.225 | (a) | 02/06/25 | 3,442,000 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.18%) | ||||||||||||||||
| 4,300,000 | 5.240 | (a) | 10/16/24 | 4,300,000 | ||||||||||||
| 2,100,000 | 5.240 | (a) | 12/19/24 | 2,100,255 | ||||||||||||
| 2,350,000 | 5.238 | (a) | 12/19/24 | 2,350,285 | ||||||||||||
| 2,500,000 | 5.240 | (a) | 01/03/25 | 2,500,000 | ||||||||||||
| 5,337,000 | 5.240 | (a) | 01/17/25 | 5,337,000 | ||||||||||||
| 4,794,000 | 5.240 | (a) | 03/07/25 | 4,794,000 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.19%) | ||||||||||||||||
| 2,400,000 | 5.250 | (a) | 11/25/24 | 2,400,000 | ||||||||||||
| 5,300,000 | 5.250 | (a) | 12/27/24 | 5,300,000 | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.20%) | ||||||||||||||||
| 1,804,000 | 5.255 | (a) | 06/02/25 | 1,804,000 | ||||||||||||
| Federal Farm Credit Discount Notes | ||||||||||||||||
| 400,000 | 4.947 | 01/12/24 | 389,925 | |||||||||||||
| Federal Home Loan Bank Discount Notes | ||||||||||||||||
| 5,100,000 | 4.881 | 07/26/23 | 5,083,354 | |||||||||||||
| 2,273,000 | 5.403 | 09/15/23 | 2,247,808 | |||||||||||||
| 6,167,000 | 5.184 | 09/19/23 | 6,098,334 | |||||||||||||
| 9,452,000 | 5.195 | 09/19/23 | 9,346,757 | |||||||||||||
| 1,663,000 | 5.394 | 09/19/23 | 1,644,483 | |||||||||||||
| 12,331,000 | 5.186 | 09/22/23 | 12,189,420 | |||||||||||||
| 1,490,000 | 4.945 | % | 01/12/24 | 1,452,471 | ||||||||||||
| 3,857,000 | 5.059 | 02/06/24 | 3,744,918 | |||||||||||||
| 65,000 | 5.060 | 02/06/24 | 63,111 | |||||||||||||
| 4,212,000 | 5.070 | 02/06/24 | 4,089,602 | |||||||||||||
| 4,000,000 | 5.092 | 02/08/24 | 3,882,093 | |||||||||||||
| 2,035,000 | 5.093 | 02/09/24 | 1,974,745 | |||||||||||||
| Federal Home Loan Banks | ||||||||||||||||
| 5,230,000 | 4.667 | 11/14/23 | 5,229,866 | |||||||||||||
| 2,400,000 | 4.692 | 11/15/23 | 2,399,721 | |||||||||||||
| 2,400,000 | 4.697 | 11/17/23 | 2,399,764 | |||||||||||||
| 1,800,000 | 4.742 | 11/24/23 | 1,799,711 | |||||||||||||
| 2,100,000 | 4.690 | 11/29/23 | 2,099,912 | |||||||||||||
| 18,400,000 | 5.340 | 04/23/24 | 18,400,000 | |||||||||||||
| 20,990,000 | 5.330 | 04/26/24 | 20,990,000 | |||||||||||||
| 19,510,000 | 5.340 | 04/26/24 | 19,510,000 | |||||||||||||
| 13,150,000 | 5.370 | 05/21/24 | 13,150,000 | |||||||||||||
| 6,905,000 | 5.300 | 05/22/24 | 6,905,000 | |||||||||||||
| 15,210,000 | 5.360 | 06/11/24 | 15,210,000 | |||||||||||||
| 9,505,000 | 5.375 | 06/11/24 | 9,505,000 | |||||||||||||
| 6,595,000 | 5.490 | 07/15/24 | 6,595,000 | |||||||||||||
| 6,620,000 | 5.520 | 07/15/24 | 6,620,000 | |||||||||||||
| 10,305,000 | 5.500 | 07/19/24 | 10,305,000 | |||||||||||||
| 9,800,000 | 5.620 | (b) | 07/30/24 | 9,800,000 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.06%) | ||||||||||||||||
| 200,000 | 5.128 | (a) | 07/01/24 | 199,801 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.08%) | ||||||||||||||||
| 11,500,000 | 5.140 | (a) | 07/20/23 | 11,500,000 | ||||||||||||
| 400,000 | 5.140 | (a) | 03/01/24 | 399,813 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.09%) | ||||||||||||||||
| 25,800,000 | 5.150 | (a) | 08/24/23 | 25,800,000 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.11%) | ||||||||||||||||
| 11,760,000 | 5.165 | (a) | 07/21/23 | 11,760,000 | ||||||||||||
| 11,760,000 | 5.170 | (a) | 08/18/23 | 11,760,000 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.12%) | ||||||||||||||||
| 19,715,000 | 5.180 | (a) | 09/20/23 | 19,715,000 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.15%) | ||||||||||||||||
| 3,600,000 | 5.210 | (a) | 02/23/24 | 3,600,000 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.16%) | ||||||||||||||||
| 4,000,000 | 5.220 | (a) | 02/03/25 | 4,000,000 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.17%) | ||||||||||||||||
| 4,010,000 | 5.225 | (a) | 01/17/25 | 4,010,000 | ||||||||||||
| Federal Home Loan Banks (SOFR + 0.19%) | ||||||||||||||||
| 14,400,000 | 5.250 | (a) | 11/22/24 | 14,400,000 | ||||||||||||
| Federal Home Loan Mortgage Corp. | ||||||||||||||||
| 7,387,000 | 5.400 | 06/11/24 | 7,387,000 | |||||||||||||
| 7,387,000 | 5.380 | 06/12/24 | 7,387,000 | |||||||||||||
| Federal National Mortgage Association | ||||||||||||||||
| 9,632,000 | 5.505 | 07/26/24 | 9,632,000 | |||||||||||||
| 9,894,000 | 5.600 | (b) | 07/31/24 | 9,894,000 | ||||||||||||
| U.S. International Development Finance Corp. (3 Mo. U.S. T-Bill + 0.00%) | ||||||||||||||||
| 650,000 | 5.380 | (a) | 07/07/23 | 650,000 | ||||||||||||
| 2,025,000 | 5.380 | (a) | 07/07/23 | 2,025,000 | ||||||||||||
| 3,209,593 | 5.380 | (a) | 07/07/23 | 3,209,592 | ||||||||||||
| TOTAL U . S . GOVERNMENT AGENCY OBLIGATIONS | $ | 418,693,277 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
| U.S. Treasury Obligations – 13.9% | ||||||||||||||
| United States Treasury Bills | ||||||||||||||
| $ | 3,849,100 | 5.353 | % | 07/13/23 | $ | 3,842,364 | ||||||||
| 23,699,800 | 5.255 | 07/20/23 | 23,635,383 | |||||||||||
| 87,444,300 | 5.363 | 09/07/23 | 86,582,017 | |||||||||||
| 9,246,100 | 5.290 | 09/14/23 | 9,146,897 | |||||||||||
| 1,176,100 | 5.468 | 12/07/23 | 1,148,829 | |||||||||||
| 6,700,000 | 4.827 | 04/18/24 | 6,453,820 | |||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill MMY + 0.03%) | ||||||||||||||
| 80,554,600 | 5.277 | (a) | 07/31/23 | 80,558,740 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill MMY + 0.04%) | ||||||||||||||
| 7,650,500 | 5.282 | (a) | 10/31/23 | 7,650,804 | ||||||||||
| 45,457,100 | 5.284 | (a) | 10/31/23 | 45,458,910 | ||||||||||
| 4,639,400 | 5.285 | (a) | 07/31/24 | 4,640,054 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill MMY + 0.17%) | ||||||||||||||
| 27,003,000 | 5.415 | (a) | 04/30/25 | 27,010,107 | ||||||||||
| 26,357,700 | 5.418 | (a) | 04/30/25 | 26,364,637 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill MMY + 0.20%) | ||||||||||||||
| 52,807,800 | 5.445 | (a) | 01/31/25 | 52,809,450 | ||||||||||
| TOTAL U . S . TREASURY OBLIGATIONS | $ | 375,302,012 | ||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | $ | 793,995,289 | ||||||||||||
| Repurchase Agreements(c) – 71.2% | ||||||||||||||
| BNP Paribas | ||||||||||||||
| $ | 2,500,000 | 5.050 | % | 07/03/23 | $ | 2,500,000 | ||||||||
| Maturity Value: $2,501,052 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 2.750% to 6.000%, due 02/15/26 to 05/15/44, U.S. Treasury Floating Rate Notes, 5.174% to 5.418%, due 04/30/24 to 04/30/25, U.S. Treasury Inflation-Indexed Bonds, 2.375% to 3.625%, due 01/15/27 to 04/15/28, a U.S. Treasury Inflation-Indexed Note, 0.125%, due 07/15/24, U.S. Treasury Interest-Only Stripped Securities, 0.000%, due 05/15/25 to 11/15/47, U.S. Treasury Notes, 0.375% to 4.000%, due 03/31/24 to 02/15/31 and U.S. Treasury Principal-Only Stripped Securities, 0.000%, due 11/15/42 to 05/15/51. The aggregate market value of the collateral, including accrued interest, was $2,550,044. | ||||||||||||||
| Joint Account III | ||||||||||||||
| 1,917,300,000 | 5.060 | 07/03/23 | 1,917,300,000 | |||||||||||
| Maturity Value: $1,918,108,462 | ||||||||||||||
| TOTAL REPURCHASE AGREEMENTS | $ | 1,919,800,000 | ||||||||||||
| TOTAL INVESTMENTS – 100.6% | $ | 2,713,795,289 | ||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.6)% | (16,532,611 | ) | ||||||||||||
| NET ASSETS – 100.0% | $ | 2,697,262,678 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| (a) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on June 30, 2023. |
| (b) | All or a portion represents a forward commitment. Forward settling repurchase agreements will be collateralized at settlement. |
| (c) | Unless noted, all repurchase agreements were entered into on June 30, 2023. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
Investment Abbreviations:
| FEDL01 | —US Federal Funds Effective Rate |
| MMY | —Money Market Yield |
| Prime | —Federal Reserve Bank Prime Loan Rate US |
| SOFR | —Secured Overnight Financing Rate |
| T-Bill | —Treasury Bill |
| 6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT III — At June 30, 2023, the Fund had undivided interests in the Joint Repurchase Agreement Account III, with a maturity date of July 3, 2023, as follows:
| Principal Amount | Maturity Value | Collateral Value |
| $1,917,300,000 | $1,918,108,462 | $1,973,405,069 |
REPURCHASE AGREEMENTS — At June 30, 2023, the Principal Amounts of the Fund’s interest in the Joint Repurchase Agreement Account III were as follows:
| Counterparty | Interest Rate | Principal Amount | ||||||
| ABN Amro Bank N.V. | 5.060 | % | $ | 377,173,771 | ||||
| Bank of America, N.A. | 5.060 | 314,311,475 | ||||||
| Bank of Montreal | 5.060 | 125,724,590 | ||||||
| BofA Securities, Inc. | 5.060 | 314,311,475 | ||||||
| Credit Agricole Corporate and Investment Bank | 5.060 | 282,880,328 | ||||||
| Wells Fargo Securities, LLC | 5.060 | 502,898,361 | ||||||
| TOTAL | $ | 1,917,300,000 | ||||||
At June 30, 2023, the Joint Repurchase Agreement Account III was fully collateralized by $47,146,721 and the following:
| Issuer | Interest Rates | Maturity Dates | ||
| Federal Home Loan Mortgage Corp. | 3.000 to 6.500% | 08/01/46 to 02/01/53 | ||
| Federal National Mortgage Association | 1.500 to 7.000 | 01/01/24 to 02/01/57 | ||
| Government National Mortgage Association | 2.000 to 6.000 | 11/20/45 to 06/20/53 |
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement of Assets and Liabilities
June 30, 2023 (Unaudited)
| Assets: | ||||
| Investments based on amortized cost | $ | 793,995,289 | ||
| Repurchase agreements based on amortized cost | 1,919,800,000 | |||
| Cash | 16,177 | |||
| Receivables: | ||||
| Interest | 5,003,251 | |||
| Fund shares sold | 913,195 | |||
| Investments sold | 278,868 | |||
| Reimbursement from investment advisor | 22,417 | |||
| Other assets | 152,153 | |||
| Total assets | 2,720,181,350 | |||
| Liabilities: | ||||
| Payables: | ||||
| Investments purchased | 21,706,453 | |||
| Fund shares redeemed | 560,827 | |||
| Management fees | 338,307 | |||
| Distribution and Service fees and Transfer Agency fees | 208,876 | |||
| Accrued expenses | 104,209 | |||
| Total liabilities | 22,918,672 | |||
| Net Assets: | ||||
| Paid-in capital | 2,697,202,793 | |||
| Total distributable earnings (loss) | 59,885 | |||
| NET ASSETS | $ | 2,697,262,678 | ||
| Net asset value, offering and redemption price per share | $ | 1.00 | ||
| Net Assets: | ||||
| Institutional Shares | $ | 1,888,826,455 | ||
| Service Shares | 808,436,223 | |||
| Total Net Assets | $ | 2,697,262,678 | ||
| Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||
| Institutional Shares | 1,888,784,512 | |||
| Service Shares | 808,418,262 | |||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement of Operations
For the Six Months Ended June 30, 2023 (Unaudited)
| Investment income: | ||||
| Interest income | $ | 51,762,495 | ||
| Expenses: | ||||
| Management fees | 1,701,925 | |||
| Distribution and Service fees — Service Shares | 896,442 | |||
| Transfer Agency fees(a) | 212,721 | |||
| Printing and mailing fees | 77,758 | |||
| Professional fees | 56,387 | |||
| Custody, accounting and administrative services | 34,682 | |||
| Trustee fees | 13,725 | |||
| Other | 7,892 | |||
| Total expenses | 3,001,532 | |||
| Less — expense reductions | (147,897 | ) | ||
| Net expenses | 2,853,635 | |||
| NET INVESTMENT INCOME | $ | 48,908,860 | ||
| Net realized gain from investment transactions | 93,817 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 49,002,677 | ||
(a) Institutional and Service Shares incurred Transfer Agency fees of $141,011 and $71,710, respectively.
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 (Unaudited) | For the Fiscal Year Ended December 31, 2022 | |||||||
| From operations: | ||||||||
| Net investment income | $ | 48,908,860 | $ | 27,763,477 | ||||
| Net realized gain (loss) from investment transactions | 93,817 | (219,781 | ) | |||||
| Net increase in net assets resulting from operations | 49,002,677 | 27,543,696 | ||||||
| Distributions to shareholders: | ||||||||
| From distributable earnings: | ||||||||
| Institutional Shares | (33,048,518 | ) | (18,642,223 | ) | ||||
| Service Shares | (15,884,420 | ) | (8,911,722 | ) | ||||
| Total distributions to shareholders | (48,932,938 | ) | (27,553,945 | ) | ||||
| From share transactions (at $1.00 per share): | ||||||||
| Proceeds from sales of shares | 1,596,108,738 | 2,307,084,458 | ||||||
| Reinvestment of distributions | 48,690,001 | 27,550,932 | ||||||
| Cost of shares redeemed | (1,460,366,093 | ) | (846,623,441 | ) | ||||
| Net increase in net assets resulting from share transactions | 184,432,646 | 1,488,011,949 | ||||||
| TOTAL INCREASE | 184,502,385 | 1,488,001,700 | ||||||
| Net assets: | ||||||||
| Beginning of period | 2,512,760,293 | 1,024,758,593 | ||||||
| End of period | $ | 2,697,262,678 | $ | 2,512,760,293 | ||||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Government Money Market Fund | ||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||
| Six Months Ended | ||||||||||||||||||||||||
| June 30, 2023 | Year Ended December 31, | |||||||||||||||||||||||
| (Unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||
| Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Net investment income(a) | 0.023 | 0.016 | — | (b) | 0.004 | 0.021 | 0.017 | |||||||||||||||||
| Distributions to shareholders from net investment income(c) | (0.023 | ) | (0.016 | ) | — | (b) | (0.004 | ) | (0.021 | ) | (0.017 | ) | ||||||||||||
| Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 2.33 | % | 1.58 | % | 0.01 | % | 0.43 | % | 2.11 | % | 1.74 | % | ||||||||||||
| Net assets, end of period (in 000’s) | $ | 1,888,826 | $ | 1,834,293 | $ | 523,751 | $ | 582,216 | $ | 363,783 | $ | 411,447 | ||||||||||||
| Ratio of net expenses to average net assets | 0.18 | %(e) | 0.17 | % | 0.09 | % | 0.18 | % | 0.18 | % | 0.18 | % | ||||||||||||
| Ratio of total expenses to average net assets | 0.20 | %(e) | 0.20 | % | 0.21 | % | 0.20 | % | 0.21 | % | 0.23 | % | ||||||||||||
| Ratio of net investment income to average net assets | 4.68 | %(e) | 1.92 | % | — | %(f) | 0.35 | % | 2.06 | % | 1.73 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005%. |
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Government Money Market Fund | ||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||
| Six Months Ended | ||||||||||||||||||||||||
| June 30, 2023 | Year Ended December 31, | |||||||||||||||||||||||
| (Unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||
| Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Net investment income(a) | 0.022 | 0.014 | — | (b) | 0.003 | 0.018 | 0.015 | |||||||||||||||||
| Distributions to shareholders from net investment income(c) | (0.022 | ) | (0.014 | ) | — | (b) | (0.003 | ) | (0.018 | ) | (0.015 | ) | ||||||||||||
| Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 2.21 | % | 1.37 | % | 0.01 | % | 0.27 | % | 1.86 | % | 1.48 | % | ||||||||||||
| Net assets, end of period (in 000’s) | $ | 808,436 | $ | 678,468 | $ | 501,008 | $ | 579,416 | $ | 350,112 | $ | 368,652 | ||||||||||||
| Ratio of net expenses to average net assets | 0.43 | %(e) | 0.38 | % | 0.09 | % | 0.33 | % | 0.43 | % | 0.43 | % | ||||||||||||
| Ratio of total expenses to average net assets | 0.45 | %(e) | 0.45 | % | 0.46 | % | 0.45 | % | 0.46 | % | 0.48 | % | ||||||||||||
| Ratio of net investment income to average net assets | 4.43 | %(e) | 1.48 | % | — | %(f) | 0.19 | % | 1.81 | % | 1.48 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005%. |
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
June 30, 2023 (Unaudited)
| 1. | ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Government Money Market Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The investment valuation policy of the Fund is to use the amortized-cost method permitted by Rule 2a-7 under the Act for valuing portfolio securities. The amortized-cost method of valuation involves valuing a security at its cost and thereafter applying a constant accretion or amortization to maturity of any discount or premium. Normally, a security’s amortized cost will approximate its market value. Under procedures and tolerances approved by the Board of Trustees (“Trustees”), GSAM evaluates daily the difference between the Fund’s net asset value (“NAV”) per share using the amortized costs of its portfolio securities and the Fund’s NAV per share using market-based values of its portfolio securities. The market-based value of a portfolio security is determined, where readily available, on the basis of market quotations provided by pricing services or securities dealers, or, where accurate market quotations are not readily available, on the basis of the security’s fair value as determined in accordance with the Valuation Procedures. The pricing services may use valuation models or matrix pricing, which may consider (among other things): (i) yield or price with respect to debt securities that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value.
B. Investment Income and Investments — Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable and tax-exempt income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Fund and may include short-term capital gains. Long-term capital gain distributions, if any, are declared and paid annually. The Fund may defer or accelerate the timing of the distribution of short-term capital gains (or any portion thereof).
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements (continued)
June 30, 2023 (Unaudited)
| 2. | SIGNIFICANT ACCOUNTING POLICIES (continued ) |
As of the Fund’s most recent fiscal year end, December 31, 2022, the Fund’s capital loss carryforwards and certain timing differences, on a tax-basis were as follows:
| Capital loss carryforward: Perpetual Short-Term | $ | (210,225 | ) | |
| Timing differences (Distributions Payable and Post-October Capital Loss Deferral) | (10,517 | ) |
The amortized cost for the Fund stated in the accompanying Statement of Assets and Liabilities also represents aggregate cost for U.S. federal income tax purposes.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
E. Forward Commitments — A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Fund will generally purchase securities on a forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of forward commitments prior to settlement which may result in a realized gain or loss.
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements.
An MRA governs transactions between the Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default, and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.
If the seller defaults, the Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that the Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Fund, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Fund maintains pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Fund is not subject to any expenses in relation to these investments.
| 3. | INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
| 3. | INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Trustees have approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. With respect to the Fund’s investments that do not have readily available market quotations, the Trustees have designated the Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation (including both the amortized cost and market-based methods of valuation) of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies related to the market-based method of valuation, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
As of June 30, 2023, all investments, including repurchase agreements, are classified as Level 2 of the fair value hierarchy. Please refer to the Schedule of Investments for further detail.
| 4. | AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
B. Distribution and Service (12b-1) Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is accrued daily and paid monthly at an annual rate of 0.02% of the Fund’s average daily net assets of Institutional Shares and Service Shares.
D. Other Expense Agreements — GSAM has agreed to limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent that such expenses exceed, on an annual basis, 0.004% of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition,
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements (continued)
June 30, 2023 (Unaudited)
| 4. | AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This Other Expense limitation will remain in place through at least April 28, 2024, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above. For the six months ended June 30, 2023, these expense reductions, including any fee waiver and Other Expense reimbursements, were as follows:
| Other Expense Reimbursements | Total Expense Reductions | |
| $147,897 | $147,897 |
E. Contractual and Net Fund Expenses — The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser or transfer agent may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The following table outlines such fees (net of waivers) and Other Expenses (net of reimbursements and custodian and transfer agency fee credit reductions) in order to determine the Fund’s net annualized expenses for the fiscal year. The Fund is not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers and/or expense reimbursements, if any.
| Institutional Shares | Service Shares | |||||||||||||||
| Fee/Expense Type | Contractual rate, if any | Ratio of net expenses to average net assets for the six months ended June 30, 2023 | Contractual rate, if any | Ratio of net expenses to average net assets for the six months ended June 30, 2023 | ||||||||||||
| Management Fee | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | ||||||||
| Distribution and Service Fees | N/A | N/A | 0.25 | 0.25 | ||||||||||||
| Transfer Agency Fees | 0.02 | 0.02 | 0.02 | 0.02 | ||||||||||||
| Other Expenses | — | 0.02 | — | 0.02 | ||||||||||||
| Total Annual Fund Operating Expenses | 0.20 | 0.45 | ||||||||||||||
| Expense Reimbursements | (0.02 | ) | (0.02 | ) | ||||||||||||
| Net Expenses | 0.18 | % | 0.43 | % | ||||||||||||
N/A - Fees not applicable to respective share class.
F. Other Transactions with Affiliates — The Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common Trustees.
For the six months ended June 30, 2023, the purchase and sale transactions and related net realized gain (loss) for the Fund with affiliated funds in compliance with Rule 17a-7 under the Act were as follows:
| Purchases | Sales | Net Realized Gain (Loss) |
| $— | $699,821 | $(179) |
G. Line of Credit Facility — As of June 30, 2023, the Fund participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
| 4. | AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2023, the Fund did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.
| 5. | OTHER RISKS |
The Fund’s risks include, but are not limited to, the following:
Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily, monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. Such market rates are generally the Secured Overnight Financing Rate, the Prime Rate of a designated U.S. bank, the Federal Funds Rate, or another base lending rate used by commercial lenders. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.
Interest Rate Risk — When interest rates increase, the Fund’s yield will tend to be lower than prevailing market rates, and the market value of its investments will generally decline. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. Changing interest rates may have unpredictable effects on the markets, may result in heightened market volatility and may detract from the Fund’s performance. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Funds with longer average portfolio durations will generally be more sensitive to changes in interest rates than funds with a shorter average portfolio duration. Fluctuations in interest rates may also affect the liquidity of the Fund’s investments. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of the Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements (continued)
June 30, 2023 (Unaudited)
| 5. | OTHER RISKS (continued) |
changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
| 6. | INDEMNIFICATION |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 7. | SUBSEQUENT EVENTS |
Subsequent events after the Statement of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
| 8. | SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| For the Six Months Ended June 30, 2023 (Unaudited) | For the Fiscal Year Ended December 31, 2022 | |||||||
| Institutional Shares* | ||||||||
| Shares sold | 1,357,445,298 | 1,919,889,511 | ||||||
| Reinvestment of distributions | 32,804,474 | 18,639,420 | ||||||
| Shares redeemed | (1,335,765,124 | ) | (627,979,771 | ) | ||||
| 54,484,648 | 1,310,549,160 | |||||||
| Service Shares* | ||||||||
| Shares sold | 238,663,440 | 387,194,947 | ||||||
| Reinvestment of distributions | 15,885,527 | 8,911,512 | ||||||
| Shares redeemed | (124,600,969 | ) | (218,643,670 | ) | ||||
| 129,947,998 | 177,462,789 | |||||||
| NET INCREASE IN SHARES | 184,432,646 | 1,488,011,949 | ||||||
* Valued at $1.00 per share.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Government Money Market Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2024 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 13-14, 2023 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”); and information on general investment outlooks in the markets in which the Fund invests; |
| (c) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| (d) | fee and expense information for the Fund, including: |
| (i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| (ii) | the Fund’s expense trends over time; and |
| (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| (f) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
| (h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
| (i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, distribution and other services; |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (k) | information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; |
| (l) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (m) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings compiled by the Outside Data Provider as of December 31, 2022. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees considered the performance of the Fund in light of its investment policies and strategies. The Trustees considered that, since March 2022, the Federal Reserve had implemented a series of interest rate increases in response to inflationary pressures
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
impacting the broader economy, and the Fund’s yield has improved compared to other recent periods as a result. They noted that the Investment Adviser had subsequently been able to reduce the amount of fees waived and/or reimbursed relative to such amounts waived and/or reimbursed during recent challenging yield environments, including the near-zero interest rate environment following the market disruptions related to the COVID-19 pandemic and related actions by the Federal Reserve. The Trustees acknowledged, however, that the interest rate environment remained uncertain in light of broader economic conditions. The Trustees considered that, during the relevant period, the Investment Adviser had voluntarily waived fees for the Fund in order to maintain a competitive yield. The Trustees also considered that the Fund had maintained a stable net asset value per share. In addition, the Trustees observed that the U.S. Securities and Exchange Commission (“SEC”) was likely to adopt certain reforms to the regulatory framework governing money market funds and that compliance with those reforms could require a significant investment of resources by the Investment Adviser. In light of these considerations, the Trustees believed that the Fund was providing investment performance within a competitive range for investors.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They noted that the Investment Adviser and Goldman Sachs had waived fees and/or reimbursed expenses for the Fund for a portion of the year in order to maintain a competitive yield. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2022 and 2021, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund.
The Trustees noted that the Fund does not have management fee breakpoints. They considered the asset levels in the Fund; the Fund’s recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
services provided by the Investment Adviser and its affiliates and their realized profits; information comparing the contractual fee rates charged by the Investment Adviser with fee rates charged to other money market funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. They considered a report prepared by the Outside Data Provider, which surveyed money market funds’ management fee arrangements and use of breakpoints. The Trustees also considered the competitive nature of the money market fund business and the competitiveness of the fees charged to the Fund by the Investment Adviser.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (c) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (d) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (e) Goldman Sachs’ retention of certain fees as Fund Distributor; (f) Goldman Sachs’ ability to engage in principal transactions with the Fund under exemptive orders from the SEC permitting such trades; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; and (h) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (e) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (f) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (g) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2024.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
| * | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year (or, since inception, if shorter); and then dividing that result by the number of days in the period. The annualized net expense ratios for the period were 0.18% and 0.43% for Institutional Shares and Service Shares, respectively. |
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses. |
23
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| TRUSTEES Gregory G. Weaver, Chair Dwight L. Bush Kathryn A. Cassidy John G. Chou Joaquin Delgado Eileen H. Dowling James A. McNamara Paul C. Wirth | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York, New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transactions or matters addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Fund holdings and allocations shown are as of June 30, 2023 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Funds are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a Fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Funds.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Government Money Market Fund.
© 2023 Goldman Sachs. All rights reserved.
VITMMSAR-23 330595-OTU-08/2023
| ||
Milliman Variable Insurance Trust
Milliman Hedged Equity Funds
Semi-Annual Report
June 30, 2023
The following series of Milliman Variable Insurance Trust are presented in this semi-annual report:
Milliman – Capital Group Hedged U.S. Growth Fund
Milliman – Capital Group Hedged U.S. Income and Growth Fund
TABLE OF CONTENTS
Milliman Variable Insurance Trust
Expense Example For the Period Ended
June 30, 2023 (Unaudited)
Each Fund sells its shares to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. The tables below do not include any fees or sales charges imposed by your variable product.
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service (“12b-1”) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023.
Actual Expenses
The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Actual Expenses Paid During the Period (a) | |||||||||||||
| Milliman - Capital Group Hedged U.S. Growth Fund# | $ | 1,000.00 | $ | 1,040.00 | 1.09 | % | $ | 4.26 | ||||||||
| Milliman - Capital Group Hedged U.S. Income and Growth Fund# | 1,000.00 | 1,009.00 | 1.09 | % | 4.20 | |||||||||||
| # | Class 3 shares |
| (a) | Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (140) divided by the number of days in the fiscal year (365) to reflect the period from February 10, 2023 (commencement of operations) to June 30, 2023. |
Hypothetical Example for Comparison Purposes
The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. The Funds do not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table below is useful in comparing the ongoing costs only and will not help you determine the relative total costs of owning different funds. The Funds’ expenses shown in the tables reflect fee waivers and reimbursements in effect.
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Hypothetical Expenses Paid During the Period (a) | |||||||||||||
| Milliman - Capital Group Hedged U.S. Growth Fund# | $ | 1,000.00 | $ | 1,019.39 | 1.09 | % | $ | 5.46 | ||||||||
| Milliman - Capital Group Hedged U.S. Income and Growth Fund# | 1,000.00 | 1,019.39 | 1.09 | % | 5.46 | |||||||||||
| # | Class 3 shares |
| (a) | Expenses are equal to the Funds’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). |
1
Milliman - Capital Group Hedged U.S. Growth Fund
June 30, 2023 (Unaudited)
Shares | Value | |||||||
| COMMON STOCKS - 102.43% | ||||||||
| Communication Services - 11.63% | ||||||||
| Alphabet, Inc. - Class C (a) | 1,023 | $ | 123,752 | |||||
| Charter Communications, Inc. - Class A (a) | 47 | 17,266 | ||||||
| Meta Platforms, Inc. - Class A (a) | 243 | 69,736 | ||||||
| Netflix, Inc. (a) | 316 | 139,196 | ||||||
| Take-Two Interactive Software, Inc. (a) | 132 | 19,425 | ||||||
| 369,375 | ||||||||
| Consumer Discretionary - 18.46% | ||||||||
| Airbnb, Inc. - Class A (a) | 327 | 41,908 | ||||||
| Amazon.com, Inc. (a) | 905 | 117,976 | ||||||
| Burlington Stores, Inc. (a) | 211 | 33,209 | ||||||
| Caesars Entertainment, Inc. (a) | 507 | 25,842 | ||||||
| CarMax, Inc. (a) | 221 | 18,498 | ||||||
| Darden Restaurants, Inc. | 188 | 31,411 | ||||||
| DoorDash, Inc. - Class A (a) | 276 | 21,092 | ||||||
| DR Horton, Inc. | 271 | 32,978 | ||||||
| Hilton Worldwide Holdings, Inc. | 499 | 72,629 | ||||||
| Marriott International, Inc. - Class A | 172 | 31,595 | ||||||
| NIKE, Inc. - Class B | 189 | 20,860 | ||||||
| Starbucks Corp. | 341 | 33,779 | ||||||
| Tesla, Inc. (a) | 123 | 32,198 | ||||||
| TopBuild Corp. (a) | 142 | 37,775 | ||||||
| Williams-Sonoma, Inc. | 147 | 18,396 | ||||||
| YETI Holdings, Inc. (a) | 416 | 16,157 | ||||||
| 586,303 | ||||||||
| Consumer Staples - 3.69% | ||||||||
| Costco Wholesale Corp. | 47 | 25,304 | ||||||
| Dollar Tree, Inc. (a) | 187 | 26,835 | ||||||
| Philip Morris International, Inc. | 667 | 65,112 | ||||||
| 117,251 | ||||||||
| Financials - 3.57% | ||||||||
| First Republic Bank/CA | 303 | 167 | ||||||
| LPL Financial Holdings, Inc. | 96 | 20,873 | ||||||
| MSCI, Inc. | 92 | 43,175 | ||||||
| S&P Global, Inc. | 89 | 35,679 | ||||||
| Toast, Inc. - Class A (a) | 595 | 13,429 | ||||||
| 113,323 | ||||||||
| Health Care - 23.38% | ||||||||
| Abbott Laboratories | 1,001 | 109,129 | ||||||
| agilon health, Inc. (a) | 569 | 9,866 | ||||||
| Alnylam Pharmaceuticals, Inc. (a) | 85 | 16,145 | ||||||
| BioMarin Pharmaceutical, Inc. (a) | 392 | 33,979 | ||||||
| Dexcom, Inc. (a) | 189 | 24,288 | ||||||
| Edwards Lifesciences Corp. (a) | 272 | 25,658 | ||||||
| Humana, Inc. | 46 | 20,568 | ||||||
| Insulet Corp. (a) | 136 | 39,214 | ||||||
| IQVIA Holdings, Inc. (a) | 136 | 30,569 | ||||||
| Penumbra, Inc. (a) | 83 | 28,557 | ||||||
| Revvity, Inc. | 374 | 44,427 | ||||||
| Seagen, Inc. (a) | 186 | 35,798 | ||||||
| Stryker Corp. | 241 | 73,527 | ||||||
| Thermo Fisher Scientific, Inc. | 142 | 74,089 | ||||||
| UnitedHealth Group, Inc. | 275 | 132,175 | ||||||
| Zoetis, Inc. - Class A | 258 | 44,430 | ||||||
| 742,419 | ||||||||
The accompanying notes are an integral part of these financial statements.
2
Milliman - Capital Group Hedged U.S. Growth Fund
Schedule of Investments (Continued)
June 30, 2023 (Unaudited)
Shares | Value | |||||||
| Industrials - 13.34% | ||||||||
| AMETEK, Inc. | 170 | $ | 27,520 | |||||
| Carrier Global Corp. | 698 | 34,698 | ||||||
| Ceridian HCM Holding, Inc. (a) | 572 | 38,307 | ||||||
| Copart, Inc. (a) | 665 | 60,655 | ||||||
| Old Dominion Freight Line, Inc. | 181 | 66,925 | ||||||
| Raytheon Technologies Corp. | 917 | 89,828 | ||||||
| TransDigm Group, Inc. | 86 | 76,899 | ||||||
| Woodward, Inc. | 241 | 28,657 | ||||||
| 423,489 | ||||||||
| Information Technology - 25.89% (b) | ||||||||
| Apple, Inc. | 269 | 52,178 | ||||||
| Applied Materials, Inc. | 275 | 39,749 | ||||||
| Autodesk, Inc. (a) | 134 | 27,418 | ||||||
| Broadcom, Inc. | 180 | 156,137 | ||||||
| EPAM Systems, Inc. (a) | 115 | 25,846 | ||||||
| First Solar, Inc. (a) | 104 | 19,769 | ||||||
| Micron Technology, Inc. | 889 | 56,105 | ||||||
| Microsoft Corp. | 758 | 258,129 | ||||||
| NVIDIA Corp. | 87 | 36,803 | ||||||
| Palo Alto Networks, Inc. (a) | 43 | 10,987 | ||||||
| Salesforce, Inc. (a) | 269 | 56,829 | ||||||
| ServiceNow, Inc. (a) | 94 | 52,825 | ||||||
| Snowflake, Inc. - Class A (a) | 166 | 29,213 | ||||||
| 821,988 | ||||||||
| Materials - 1.41% | ||||||||
| Albemarle Corp. | 44 | 9,816 | ||||||
| Linde PLC | 92 | 35,059 | ||||||
| 44,875 | ||||||||
| Real Estate - 1.06% | ||||||||
| Equinix, Inc. | 43 | 33,709 | ||||||
| TOTAL COMMON STOCKS (Cost $2,981,442) | 3,252,732 | |||||||
Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 0.16% (c) | ||||||||||||
| OVER-THE-COUNTER PUT OPTIONS - 0.16% | ||||||||||||
| Milliman - Capital Group Growth Basket, Counterparty: Bank of America, Expires 8/10/2023, Strike Price $9,500.00 (d) | 300 | $ | 3,255,610 | 5,313 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $61,748) | 5,313 | |||||||||||
| Total Investments (Cost $3,043,190) - 102.59% | 3,258,045 | |||||||||||
| Liabilities in Excess of Other Assets - (2.59)% | (82,457 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 3,175,588 | ||||||||||
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
| (a) | Non-income producing security. |
| (b) | Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment. |
| (c) | Purchased option contracts are held in connection with corresponding written option contracts. |
The accompanying notes are an integral part of these financial statements.
3
Milliman - Capital Group Hedged U.S. Growth Fund
Schedule of Investments (Continued)
June 30, 2023 (Unaudited)
| (d) | Comprised of a proprietary basket of securities. The underlying components of the basket as of June 30, 2023 are shown below: |
| Security Name | Number of Shares | Notional Amount | % of Total Notional Amount | |||||||||
| Microsoft Corp. | 759 | $ | 258,521 | 7.94 | % | |||||||
| Broadcom, Inc. | 180 | 156,516 | 4.82 | % | ||||||||
| Netflix, Inc. | 316 | 139,399 | 4.28 | % | ||||||||
| UnitedHealth Group, Inc. | 275 | 132,317 | 4.07 | % | ||||||||
| Alphabet, Inc. - Class C | 1,024 | 123,846 | 3.80 | % | ||||||||
| Amazon.com, Inc. | 906 | 118,132 | 3.63 | % | ||||||||
| Abbott Laboratories | 1,002 | 109,231 | 3.36 | % | ||||||||
| Raytheon Technologies Corp. | 918 | 89,879 | 2.76 | % | ||||||||
| TransDigm Group, Inc. | 86 | 76,521 | 2.35 | % | ||||||||
| Thermo Fisher Scientific, Inc. | 143 | 74,396 | 2.29 | % | ||||||||
| Stryker Corp. | 241 | 73,460 | 2.26 | % | ||||||||
| Hilton Worldwide Holdings, Inc. | 500 | 72,734 | 2.23 | % | ||||||||
| Meta Platforms, Inc. - Class A | 243 | 69,774 | 2.14 | % | ||||||||
| Old Dominion Freight Line, Inc. | 181 | 66,820 | 2.05 | % | ||||||||
| Philip Morris International, Inc. | 667 | 65,130 | 2.00 | % | ||||||||
| Copart, Inc. | 666 | 60,725 | 1.86 | % | ||||||||
| Salesforce, Inc. | 269 | 56,859 | 1.75 | % | ||||||||
| Micron Technology, Inc. | 890 | 56,149 | 1.72 | % | ||||||||
| ServiceNow, Inc. | 94 | 52,605 | 1.62 | % | ||||||||
| Apple, Inc. | 269 | 52,242 | 1.60 | % | ||||||||
| Zoetis, Inc. - Class A | 258 | 44,444 | 1.37 | % | ||||||||
| Revvity, Inc. | 374 | 44,439 | 1.36 | % | ||||||||
| MSCI, Inc. | 92 | 43,309 | 1.33 | % | ||||||||
| Airbnb, Inc. - Class A | 328 | 41,985 | 1.29 | % | ||||||||
| Applied Materials, Inc. | 275 | 39,779 | 1.22 | % | ||||||||
| Insulet Corp. | 136 | 39,339 | 1.21 | % | ||||||||
| Ceridian HCM Holding, Inc. | 572 | 38,320 | 1.18 | % | ||||||||
| TopBuild Corp. | 142 | 37,681 | 1.16 | % | ||||||||
| NVIDIA Corp. | 87 | 36,697 | 1.13 | % | ||||||||
| S&P Global, Inc. | 90 | 35,903 | 1.10 | % | ||||||||
| Seagen, Inc. | 186 | 35,865 | 1.10 | % | ||||||||
| Linde PLC | 92 | 34,939 | 1.08 | % | ||||||||
| Carrier Global Corp. | 699 | 34,748 | 1.07 | % | ||||||||
| Starbucks Corp. | 342 | 33,853 | 1.04 | % | ||||||||
| BioMarin Pharmaceutical, Inc. | 392 | 33,988 | 1.04 | % | ||||||||
| Equinix, Inc. | 43 | 33,969 | 1.04 | % | ||||||||
| Burlington Stores, Inc. | 211 | 33,235 | 1.02 | % | ||||||||
| DR Horton, Inc. | 271 | 32,979 | 1.01 | % | ||||||||
| Tesla, Inc. | 123 | 32,228 | 0.99 | % | ||||||||
| Marriott International, Inc. - Class A | 172 | 31,653 | 0.97 | % | ||||||||
| Darden Restaurants, Inc. | 188 | 31,487 | 0.97 | % | ||||||||
| IQVIA Holdings, Inc. | 137 | 30,706 | 0.94 | % | ||||||||
| Snowflake, Inc. - Class A | 166 | 29,271 | 0.90 | % | ||||||||
| Penumbra, Inc. | 83 | 28,512 | 0.88 | % | ||||||||
| Woodward, Inc. | 241 | 28,681 | 0.88 | % | ||||||||
| AMETEK, Inc. | 171 | 27,617 | 0.85 | % | ||||||||
| Autodesk, Inc. | 134 | 27,404 | 0.84 | % | ||||||||
| Dollar Tree, Inc. | 187 | 26,888 | 0.83 | % | ||||||||
| Edwards Lifesciences Corp. | 272 | 25,688 | 0.79 | % | ||||||||
| EPAM Systems, Inc. | 115 | 25,776 | 0.79 | % | ||||||||
| Top 50 Holdings | 2,926,639 | 89.90 | % | |||||||||
| Other Securities | 328,971 | 10.10 | % | |||||||||
| Total Underlying Positions | $ | 3,255,610 | 100.00 | % | ||||||||
The accompanying notes are an integral part of these financial statements.
4
Milliman - Capital Group Hedged U.S. Growth Fund
Schedule of Investments (Continued)
June 30, 2023 (Unaudited)
| SCHEDULE OF OPTIONS WRITTEN | ||||||||||||||||||||
| June 30, 2023 (Unaudited) | ||||||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | |||||||||||||||
| Over-the-Counter Call Options | ||||||||||||||||||||
| Milliman - Capital Group Growth Basket, Counterparty: Bank of America (a) | 8/10/2023 | $ | 10,490.00 | 300 | $ | (3,255,610 | ) | $ | (156,327 | ) | ||||||||||
| Over-the-Counter Put Options | ||||||||||||||||||||
| Milliman - Capital Group Growth Basket, Counterparty: Bank of America (a) | 8/10/2023 | 8,000.00 | 300 | (3,255,610 | ) | (1,044 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $62,707) | $ | (157,371 | ) | |||||||||||||||||
| (a) | Comprised of a proprietary basket of securities. The underlying components of the basket as of June 30, 2023 are shown in the Schedule of Investments. |
The accompanying notes are an integral part of these financial statements.
5
Milliman - Capital Group Hedged U.S. Growth Fund
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | $ | 3,252,732 | $ | — | $ | — | 3,252,732 | |||||||||
| Purchased Options | — | 5,313 | — | 5,313 | ||||||||||||
| Total Assets | $ | 3,252,732 | $ | 5,313 | $ | — | $ | 3,258,045 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 157,371 | $ | — | $ | 157,371 | ||||||||
| Total Liabilities | $ | — | $ | 157,371 | $ | — | $ | 157,371 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
Portfolio Holdings Summary
| Asset Type | % of Net Assets | |||
| Common Stocks | 102.43 | % | ||
| Communication Services | 11.63 | |||
| Consumer Discretionary | 18.46 | |||
| Consumer Staples | 3.69 | |||
| Financials | 3.57 | |||
| Health Care | 23.38 | |||
| Industrials | 13.34 | |||
| Information Technology | 25.89 | (a) | ||
| Materials | 1.41 | |||
| Real Estate | 1.06 | |||
| Purchased Options | 0.16 | |||
| Total Investments | 102.59 | |||
| Written Options | (4.95 | ) | ||
| Assets in Excess of Other Liabilities | 2.36 | |||
| Net Assets | 100.00 | % | ||
(a) Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investments.
The accompanying notes are an integral part of these financial statements.
6
Milliman - Capital Group Hedged U.S. Income and Growth Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Shares | Value | |||||||
| COMMON STOCKS - 103.04% | ||||||||
| Communication Services - 7.25% | ||||||||
| Alphabet, Inc. - Class A (a) | 610 | $ | 73,017 | |||||
| Comcast Corp. - Class A | 2,706 | 112,434 | ||||||
| Meta Platforms, Inc. - Class A (a) | 119 | 34,151 | ||||||
| 219,602 | ||||||||
| Consumer Discretionary - 9.43% | ||||||||
| Darden Restaurants, Inc. | 327 | 54,634 | ||||||
| General Motors Co. | 951 | 36,671 | ||||||
| Home Depot, Inc. | 240 | 74,553 | ||||||
| Lennar Corp. - Class A | 309 | 38,721 | ||||||
| Wynn Resorts Ltd. | 291 | 30,733 | ||||||
| Yum! Brands, Inc. | 363 | 50,294 | ||||||
| 285,606 | ||||||||
| Consumer Staples - 5.28% | ||||||||
| Archer-Daniels-Midland Co. | 725 | 54,781 | ||||||
| Philip Morris International, Inc. | 814 | 79,462 | ||||||
| Target Corp. | 194 | 25,589 | ||||||
| 159,832 | ||||||||
| Energy - 6.54% | ||||||||
| Baker Hughes Co. | 951 | 30,061 | ||||||
| Chevron Corp. | 324 | 50,981 | ||||||
| ConocoPhillips | 393 | 40,719 | ||||||
| EOG Resources, Inc. | 287 | 32,844 | ||||||
| Pioneer Natural Resources Co. | 209 | 43,301 | ||||||
| 197,906 | ||||||||
| Financials - 14.35% | ||||||||
| BlackRock, Inc. | 83 | 57,365 | ||||||
| Capital One Financial Corp. | 298 | 32,592 | ||||||
| CME Group, Inc. | 309 | 57,255 | ||||||
| Discover Financial Services | 292 | 34,120 | ||||||
| Intercontinental Exchange, Inc. | 231 | 26,121 | ||||||
| JPMorgan Chase & Co. | 609 | 88,573 | ||||||
| Marsh & McLennan Cos., Inc. | 594 | 111,720 | ||||||
| PNC Financial Services Group, Inc. | 212 | 26,701 | ||||||
| 434,447 | ||||||||
| Health Care - 20.24% | ||||||||
| Abbott Laboratories | 308 | 33,578 | ||||||
| AbbVie, Inc. | 285 | 38,398 | ||||||
| Danaher Corp. | 125 | 30,000 | ||||||
| Elevance Health, Inc. | 80 | 35,543 | ||||||
| Eli Lilly & Co. | 180 | 84,417 | ||||||
| Gilead Sciences, Inc. | 653 | 50,327 | ||||||
| Humana, Inc. | 79 | 35,323 | ||||||
| Johnson & Johnson | 427 | 70,677 | ||||||
| Pfizer, Inc. | 1,838 | 67,418 | ||||||
| The Cigna Group | 112 | 31,427 | ||||||
| UnitedHealth Group, Inc. | 282 | 135,541 | ||||||
| 612,649 | ||||||||
| Industrials - 11.25% | ||||||||
| Boeing Co. (a) | 161 | 33,997 | ||||||
| Caterpillar, Inc. | 165 | 40,598 | ||||||
| CSX Corp. | 1,386 | 47,263 | ||||||
| Honeywell International, Inc. | 158 | 32,785 | ||||||
| L3Harris Technologies, Inc. | 157 | 30,736 | ||||||
| Lockheed Martin Corp. | 120 | 55,246 | ||||||
| Norfolk Southern Corp. | 117 | 26,531 | ||||||
The accompanying notes are an integral part of these financial statements.
7
Milliman - Capital Group Hedged U.S. Income and Growth Fund
Schedule of Investments (Continued)
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Northrop Grumman Corp | 161 | $ | 73,383 | |||||
| 340,539 | ||||||||
| Information Technology - 21.80% | ||||||||
| Apple, Inc. | 428 | 83,019 | ||||||
| Broadcom, Inc. | 355 | 307,938 | ||||||
| Intel Corp. | 1,042 | 34,844 | ||||||
| Microsoft Corp. | 688 | 234,292 | ||||||
| 660,093 | ||||||||
| Materials - 2.60% | ||||||||
| Linde PLC | 119 | 45,349 | ||||||
| LyondellBasell Industries NV - Class A | 362 | 33,242 | ||||||
| 78,591 | ||||||||
| Real Estate - 2.14% | ||||||||
| Digital Realty Trust, Inc. | 226 | 25,735 | ||||||
| Extra Space Storage, Inc. | 263 | 39,147 | ||||||
| 64,882 | ||||||||
| Utilities - 2.16% | ||||||||
| Constellation Energy Corp. | 336 | 30,761 | ||||||
| Sempra Energy | 237 | 34,505 | ||||||
| 65,266 | ||||||||
| TOTAL COMMON STOCKS (Cost $2,962,727) | 3,119,413 | |||||||
Contracts | Notional Amount | |||||||||||
| PURCHASED OPTIONS - 0.25% (b) | ||||||||||||
| OVER-THE-COUNTER PUT OPTIONS - 0.25% | ||||||||||||
| Milliman - Capital Group Income and Growth Basket, Counterparty: Bank of America, Expires 8/10/2023, Strike Price $9,500.00 (c) | 292 | $ | 3,121,328 | 7,615 | ||||||||
| TOTAL PURCHASED OPTIONS (Cost $49,056) | 7,615 | |||||||||||
| Total Investments (Cost $3,011,783) - 103.29% | 3,127,028 | |||||||||||
| Liabilities in Excess of Other Assets - (3.29)% | (99,638 | ) | ||||||||||
| TOTAL NET ASSETS - 100.00% | $ | 3,027,390 | ||||||||||
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
| (a) | Non-income producing security. |
| (b) | Purchased option contracts are held in connection with corresponding written option contracts. |
The accompanying notes are an integral part of these financial statements.
8
Milliman - Capital Group Hedged U.S. Income and Growth Fund
Schedule of Investments (Continued)
June 30, 2023 (Unaudited)
| (c) | Comprised of a proprietary basket of securities. The underlying components of the basket as of June 30, 2023 are shown below: |
| Security Name | Number of Shares | Notional Amount | % of Total Notional Amount | |||||||||
| Broadcom, Inc. | 355 | $ | 307,548 | 9.86 | % | |||||||
| Microsoft Corp. | 689 | 234,529 | 7.52 | % | ||||||||
| UnitedHealth Group, Inc. | 282 | 135,717 | 4.35 | % | ||||||||
| Comcast Corp. | 2,707 | 112,496 | 3.60 | % | ||||||||
| Marsh & McLennan Cos., Inc. | 594 | 111,790 | 3.59 | % | ||||||||
| L3Harris Technologies, Inc. | 608 | 88,458 | 2.83 | % | ||||||||
| EOG Resources, Inc. | 181 | 84,855 | 2.72 | % | ||||||||
| Apple, Inc. | 428 | 82,941 | 2.65 | % | ||||||||
| Philip Morris International, Inc. | 814 | 79,480 | 2.55 | % | ||||||||
| Honeywell International, Inc. | 240 | 74,576 | 2.38 | % | ||||||||
| Alphabet, Inc. | 614 | 73,480 | 2.35 | % | ||||||||
| Northrop Grumman Corp. | 161 | 73,312 | 2.35 | % | ||||||||
| JPMorgan Chase & Co. | 428 | 70,880 | 2.27 | % | ||||||||
| Pfizer, Inc. | 1,843 | 67,584 | 2.16 | % | ||||||||
| BlackRock, inc. | 83 | 57,472 | 1.84 | % | ||||||||
| CME Group, Inc. | 309 | 57,171 | 1.83 | % | ||||||||
| Lockheed Martin Corp. | 120 | 55,121 | 1.77 | % | ||||||||
| Darden Restaurants, Inc. | 328 | 54,855 | 1.76 | % | ||||||||
| Archer-Daniels-Midland Co. | 727 | 54,925 | 1.76 | % | ||||||||
| Chevron Corp. | 324 | 51,058 | 1.64 | % | ||||||||
| Home Depot, Inc. | 654 | 50,424 | 1.61 | % | ||||||||
| Yum! Brands, Inc. | 362 | 50,217 | 1.61 | % | ||||||||
| CSX Corp. | 1,383 | 47,149 | 1.51 | % | ||||||||
| Linde PLC | 119 | 45,163 | 1.45 | % | ||||||||
| Pioneer Natural Resources Co. | 210 | 43,446 | 1.39 | % | ||||||||
| ConocoPhillips | 394 | 40,821 | 1.31 | % | ||||||||
| Caterpillar, Inc. | 164 | 40,310 | 1.29 | % | ||||||||
| General Motors Co. | 263 | 39,197 | 1.26 | % | ||||||||
| Eli Lilly & Co. | 310 | 38,809 | 1.24 | % | ||||||||
| AbbVie, Inc. | 286 | 38,568 | 1.24 | % | ||||||||
| Gilead Sciences, Inc. | 951 | 36,653 | 1.17 | % | ||||||||
| Intel Corp. | 79 | 35,441 | 1.14 | % | ||||||||
| Elevance Health, Inc. | 80 | 35,366 | 1.13 | % | ||||||||
| Intercontinental Exchange, Inc. | 1,036 | 34,645 | 1.11 | % | ||||||||
| Sempra Energy | 237 | 34,491 | 1.10 | % | ||||||||
| Meta Platforms, Inc. | 120 | 34,351 | 1.10 | % | ||||||||
| Boeing Co. | 161 | 33,957 | 1.09 | % | ||||||||
| Discover Financial Services | 292 | 34,150 | 1.09 | % | ||||||||
| Abbott Laboratories | 308 | 33,556 | 1.08 | % | ||||||||
| LyondellBasell Industries NV | 363 | 33,324 | 1.07 | % | ||||||||
| Extra Space Storage, Inc. | 289 | 33,088 | 1.06 | % | ||||||||
| Humana, Inc. | 158 | 32,787 | 1.05 | % | ||||||||
| Capital One Finanial Corp. | 298 | 32,582 | 1.04 | % | ||||||||
| The Cigna Group | 113 | 31,638 | 1.01 | % | ||||||||
| Constellation Energy Corp. | 337 | 30,860 | 0.99 | % | ||||||||
| Lennar Corp. | 157 | 30,663 | 0.98 | % | ||||||||
| Wynn Resorts Ltd. | 291 | 30,685 | 0.98 | % | ||||||||
| Baker Hughes Co. | 954 | 30,170 | 0.97 | % | ||||||||
| Danaher Corp. | 125 | 29,933 | 0.96 | % | ||||||||
| PNC Financial Services Group, Inc. | 213 | 26,842 | 0.86 | % | ||||||||
| Top 50 Holdings | 3,017,534 | 96.67 | % | |||||||||
| Other Securities | 103,794 | 3.33 | % | |||||||||
| Total Underlying Positions | $ | 3,121,328 | 100.00 | % | ||||||||
The accompanying notes are an integral part of these financial statements.
9
Milliman - Capital Group Hedged U.S. Income and Growth Fund
Schedule of Investments (Continued)
June 30, 2023 (Unaudited)
SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
| Notional | ||||||||||||||||||||
| Description | Expiration | Strike Price | Contracts | Amount | Value | |||||||||||||||
| Over-the-Counter Call Options | ||||||||||||||||||||
| Milliman - Capital Group Income and Growth Basket, Counterparty: Bank of America (a) | 8/10/2023 | $ | 10,400.00 | 292 | $ | (3,121,328 | ) | $ | (131,076 | ) | ||||||||||
| Over-the-Counter Put Options | ||||||||||||||||||||
| Milliman - Capital Group Income and Growth Basket, Counterparty: Bank of America (a) | 8/10/2023 | 8,000.00 | 292 | (3,121,328 | ) | (1,334 | ) | |||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums Received $49,056) | $ | (132,410 | ) | |||||||||||||||||
| (a) | Comprised of a proprietary basket of securities. The underlying components of the basket as of June 30, 2023 are shown in the Schedule of Investments. |
The accompanying notes are an integral part of these financial statements.
10
Milliman - Capital Group Hedged U.S. Income and Growth Fund
Schedule of Investments (Concluded)
June 30, 2023 (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | $ | 3,119,413 | $ | — | $ | — | 3,119,413 | |||||||||
| Purchased Options | — | 7,615 | — | 7,615 | ||||||||||||
| Total Assets | $ | 3,119,413 | $ | 7,615 | $ | — | $ | 3,127,028 | ||||||||
| Liabilities | ||||||||||||||||
| Options Written | $ | — | $ | 132,410 | $ | — | $ | 132,410 | ||||||||
| Total Liabilities | $ | — | $ | 132,410 | $ | — | $ | 132,410 | ||||||||
The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).
Portfolio Holdings Summary
| % of Net | ||||
| Asset Type | Assets | |||
| Common Stocks | 103.04 | % | ||
| Communication Services | 7.25 | |||
| Consumer Discretionary | 9.43 | |||
| Consumer Staples | 5.28 | |||
| Energy | 6.54 | |||
| Financials | 14.35 | |||
| Health Care | 20.24 | |||
| Industrials | 11.25 | |||
| Information Technology | 21.80 | |||
| Materials | 2.60 | |||
| Real Estate | 2.14 | |||
| Utilities | 2.16 | |||
| Purchased Options | 0.25 | |||
| Total Investments | 103.29 | |||
| Written Options | (4.37 | ) | ||
| Assets in Excess of Other Liabilities | 1.08 | |||
| Net Assets | 100.00 | % | ||
The accompanying notes are an integral part of these financial statements.
11
Milliman Variable Insurance Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
Milliman - Capital Group Hedged U.S. Growth Fund | Milliman - Capital Group Hedged U.S. Income and Growth Fund | ||||||||
| Assets: | |||||||||
| Investments, at value (a) | $ | 3,258,045 | $ | 3,127,028 | |||||
| Cash and cash equivalents | 33,354 | 12,152 | |||||||
| Dividends and interest receivable | 1,445 | 1,418 | |||||||
| Receivable for fund shares sold | 20,107 | — | |||||||
| Due from Advisor | 12,373 | 12,349 | |||||||
| Deferred offering costs | 24,203 | 24,193 | |||||||
| Total Assets | 3,349,527 | 3,177,140 | |||||||
| Liabilities: | |||||||||
| Options written, at value (b) | 157,371 | 132,410 | |||||||
| Distribution fees payable | 1,899 | 1,852 | |||||||
| Payable to Trustees | 132 | 130 | |||||||
| Other liabilities | 14,537 | 15,358 | |||||||
| Total Liabilities | 173,939 | 149,750 | |||||||
| Net Assets | $ | 3,175,588 | $ | 3,027,390 | |||||
| Net Assets Consist of: | |||||||||
| Paid-in capital | $ | 3,053,591 | $ | 3,000,010 | |||||
| Total distributable earnings/(accumulated deficit) | 121,997 | 27,380 | |||||||
| Net Assets | $ | 3,175,588 | $ | 3,027,390 | |||||
| Class 3 | |||||||||
| Net assets | $ | 3,175,588 | $ | 3,027,390 | |||||
| Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share) | 305,202 | 300,001 | |||||||
| Net asset value, offering price and redemption price per share | $ | 10.40 | $ | 10.09 | |||||
| (a) | Cost of investments | $ | 3,043,190 | $ | 3,011,783 | ||||
| (b) | Premiums received | 62,707 | 49,056 | ||||||
The accompanying notes are an integral part of these financial statements.
12
Milliman Variable Insurance Trust
Milliman - Capital Group Hedged U.S. Growth Fund | Milliman - Capital Group Hedged U.S. Income and Growth Fund | |||||||
Period February 10, 2023(a) to June 30, 2023 (Unaudited) | Period February 10, 2023(a) to June 30, 2023 (Unaudited) | |||||||
| Investment Income: | ||||||||
| Dividends | $ | 10,596 | $ | 29,607 | ||||
| Interest | 845 | 807 | ||||||
| Total Investment Income | 11,441 | 30,414 | ||||||
| Expenses: | ||||||||
| Investment advisory fees | 8,731 | 8,551 | ||||||
| Accounting and administration fees | 22,105 | 21,867 | ||||||
| Custody fees | 1,901 | 1,663 | ||||||
| Transfer agent fees | 2,309 | 2,310 | ||||||
| Distribution service fees | 2,835 | 2,776 | ||||||
| Professional fees and expenses | 6,762 | 6,761 | ||||||
| Trustees fees and expenses | 362 | 362 | ||||||
| Organizational costs | 3,573 | 3,573 | ||||||
| Offering costs | 15,961 | 15,961 | ||||||
| Other expenses | 514 | 514 | ||||||
| Total Expenses | 65,053 | 64,338 | ||||||
| Waivers/expense reimbursement by Advisor | (52,693 | ) | (52,233 | ) | ||||
| Net Expenses | 12,360 | 12,105 | ||||||
| Net Investment Income/(Loss) | (919 | ) | 18,309 | |||||
| Realized and Unrealized Gain/(Loss): | ||||||||
| Net realized gain/(loss) on: | ||||||||
| Investments | (68,121 | ) | (64,448 | ) | ||||
| Options written | 70,846 | 41,628 | ||||||
| Net realized gain/(loss) | 2,725 | (22,820 | ) | |||||
| Net change in unrealized appreciation/(depreciation) on: | ||||||||
| Investments | 214,855 | 115,245 | ||||||
| Options written | (94,664 | ) | (83,354 | ) | ||||
| Net change in unrealized appreciation/(depreciation) | 120,191 | 31,891 | ||||||
| Net realized and unrealized gain/(loss) | 122,916 | 9,071 | ||||||
| Net Increase/(Decrease) in Net Assets From Operations | $ | 121,997 | $ | 27,380 | ||||
| (a) | Commencement of operations |
The accompanying notes are an integral part of these financial statements.
13
Milliman Variable Insurance Trust
Statements of Changes in Net Assets
Milliman - Capital Group Hedged U.S. Growth Fund | Milliman - Capital Group Hedged U.S. Income and Growth Fund | |||||||
Period February 10, 2023(a) to June 30, 2023 (Unaudited) | Period February 10, 2023(a) to June 30, 2023 (Unaudited) | |||||||
| Operations: | ||||||||
| Net Investment income/(loss) | $ | (919 | ) | $ | 18,309 | |||
| Net realized gain/(loss) | 2,725 | (22,820 | ) | |||||
| Net change in unrealized appreciation/(depreciation) | 120,191 | 31,891 | ||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 121,997 | 27,380 | ||||||
| Capital Share Transactions:(b) | ||||||||
| Proceeds from shares sold | 3,053,617 | 3,000,010 | ||||||
| Cost of shares redeemed | (26 | ) | — | |||||
| Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 3,053,591 | 3,000,010 | ||||||
| Total Increase/(Decrease) in Net Assets | 3,175,588 | 3,027,390 | ||||||
| Net Assets: | ||||||||
| Beginning of the period | — | — | ||||||
| End of the period | $ | 3,175,588 | $ | 3,027,390 | ||||
| Change in Shares Outstanding:(b) | ||||||||
| Shares sold | 305,205 | 300,001 | ||||||
| Shares redeemed | (3 | ) | — | |||||
| Net Increase/(Decrease) | 305,202 | 300,001 | ||||||
| (a) | Commencement of Operations |
| (b) | Class 3 |
The accompanying notes are an integral part of these financial statements.
14
Milliman Variable Insurance Trust
Per Share Operating Performance (for a share outstanding throughout each period) | Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||
| Investment Operations: | Distributions: | Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net investment income/ loss (b) | Net realized and unrealized gain/(loss) | Total From Investment Operations | From net investment income | Total Distributions | Net Asset Value, End of Period | Total return (c) | Net assets, end of Period (000) | Expenses, gross (d) | Expenses, net (d) | Net investment income/ (loss) | Portfolio turnover rate (e) | |||||||||||||||||||||||||||
| Milliman - Capital Group Hedged U.S. Growth Fund | |||||||||||||||||||||||||||||||||||||||
| For the period 2/10/23 (f) - 6/30/23 (Unaudited). | $ | 10.00 | (0.00 | )(g) | 0.40 | 0.40 | — | — | $ | 10.40 | 4.00 | % | $ | 3,176 | 5.74 | % | 1.09 | % | (0.08 | )% | 10 | % | |||||||||||||||||
| Milliman - Capital Group Hedged U.S. Income and Growth Fund | |||||||||||||||||||||||||||||||||||||||
| For the period 2/10/23 (f) - 6/30/23 (Unaudited). | $ | 10.00 | 0.06 | 0.03 | 0.09 | — | — | $ | 10.09 | 0.90 | % | $ | 3,027 | 5.79 | % | 1.09 | % | 1.65 | % | 7 | % | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
| (c) | Total return is based on the change in net asset value of a share during the period, assumes reinvestment of dividends and distributions at net asset value and is not annualized for periods less than one year. Total return reflects waivers/reimbursements by the manager. Performance would have been lower had the waivers/reimbursements not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which the Funds serve as an underlying investment vehicle. If total return had taken these into account, performance would have been lower. |
| (d) | Net expenses reflect fee waivers and expense reimbursements by the Advisor. |
| (e) | Not annualized for periods less than one year. |
| (f) | Commencement of operations. |
| (g) | Amount represents less than $0.005 per share. |
The accompanying notes are an integral part of these financial statements.
15
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
1. ORGANIZATION
Milliman Variable Insurance Trust (the “Trust”) was organized under the laws of the state of Delaware as a Delaware statutory trust on November 2, 2020, and is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2023, the Trust consisted of 66 operational series, two of which are presented herein (each, a “Fund” and together, the “Funds”). The remaining series are presented in separate reports. Each of the Funds is classified as non-diversified under the 1940 Act. Each Fund offers shares only to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. All shares of the Funds have equal rights and privileges. As of June 30, 2023, only Class 3 shares were offered, which have no front-end sales load, deferred sales charge, or redemption fee.
The Funds and their respective commencement dates are as follows:
| Name | Commencement of Operations | |
| Milliman - Capital Group Hedged U.S. Growth Fund | February 10, 2023 | |
| Milliman - Capital Group Hedged U.S. Income and Growth Fund | February 10, 2023 |
The Milliman - Capital Group Hedged U.S. Growth Fund’s investment objective is to provide long-term growth of capital, while also seeking to provide a hedge against downside equity exposure.
The Milliman - Capital Group Hedged U.S. Income and Growth Fund’s investment objective is to produce income and provide long-term growth of capital, while also seeking to provide a hedge against downside equity exposure.
Each Fund seeks to achieve its investment objective by primarily investing its assets in a combination of common stocks (to provide long equity exposure) and derivatives (to create a hedge against the Fund’s downside equity exposure).
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Computation of Net Asset Value
The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. ET) on each business day the NYSE is open for regular trading. If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time. If the NYSE closes early on a valuation day, a Fund shall determine NAV as of that time.
Valuation
The Board of Trustees of the Trust (the “Board”) has adopted Pricing and Valuation Procedures (“Valuation Procedures”) to be used for valuing all securities and other assets held by the Funds, including those for which market quotations are not readily available or are deemed not be reliable. The Board has designated Milliman Financial Risk Management LLC (“Milliman”) as the valuation designee, which has established a pricing committee comprised of representatives of Milliman (the “Pricing Committee”) to provide input to Milliman in making fair value determinations in accordance with
16
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
the Valuation Procedures.
Equity securities, including shares of exchange-traded Funds (“ETFs”), listed on any national or foreign exchange (excluding the Nasdaq National Market (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) will be valued at the last sale price on the exchange on which they are principally traded, or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities.
Exchange-traded options, including FLexible EXchange® Options (“FLEX Options”), are valued at a market-based price provided by the exchange on which the options contract is traded at the official close of that exchange’s trading date. If the exchange on which the options contract is traded is unable to provide a market price, exchange-traded options prices will be provided by a model-pricing provider. Over-the-counter options (“OTC Options”), including certain binary options, are valued at the mean of the most recent bid and asked price, if available, or otherwise at their closing bid price. Otherwise, the value of an options contract will be determined by the Pricing Committee in accordance with the Valuation Procedures.
Fixed income securities will generally be valued using a third-party pricing service vendor (a “Pricing Service”). Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination.
Open-end investment companies, with the exception of ETFs, are valued at their respective NAVs.
The Funds’ accounting agent may obtain all market quotations used in valuing securities from a Pricing Service. If no quotation can be obtained from a Pricing Service, then the Funds’ accounting agent will contact the Pricing Committee. The Pricing Committee will then attempt to obtain one or more broker quotes for the security or other asset daily and will value the security or other asset accordingly. If no quotation is available from either a Pricing Service, or one or more brokers, or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security or other asset held by a Fund for which reliable market quotations are not readily available will be determined by Milliman in a manner that most appropriately reflects fair market value of the security or other asset on the valuation date.
The Trust follows the authoritative guidance (GAAP) for fair value measurements, which established a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance established three tiers of inputs that may be used to measure fair value as follows:
| Level 1 - | Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
| Level 2 - | Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, 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 for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The inputs used to value the Funds’ investments at June 30, 2023, are summarized at the end of each Fund’s Schedule of
17
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Investments. The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Cash and cash equivalents
Cash and cash equivalents include amounts held in interest-bearing demand deposit accounts with the Funds’ custodian.
Organizational and Offering Costs
Organizational and offering costs directly attributable to a series of the Trust are charged to that series, such as certain registration fees, while expenses which are attributable to more than one series are allocated among the respective series on a pro rata basis.
Organizational costs are expensed as incurred and include costs of forming the Funds and servicing agreements. Offering costs are recorded as a deferred asset and will be amortized on a straight-line basis for a period of twelve months upon commencement of operations of each Fund. Offering costs include legal fees pertaining to the preparation, review and filing of each Fund’s initial registration statement with the SEC, and printing, mailing or other distribution charges related to each Fund’s prospectus and statement of additional information. Organizational costs and offering costs are subject to the Funds’ Expense Limitation Agreement (See Note 5).
Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on a trade date basis for financial reporting purposes. Realized gains and losses from investment transactions are recorded on an identified cost basis. Dividend income, if any, is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recognized on an accrual basis using the effective yield method.
Expenses are accrued daily. Expenses of the Trust, which are directly identifiable to a specific series, are applied to that series. Expenses which are not identifiable to a specific series are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to pay out dividends from their net investment income, if any, annually. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from GAAP. Distributions that exceed earnings and profits for tax purposes are reported as a return of capital.
3. DERIVATIVES
Disclosures about derivative instruments are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
In seeking to create a hedge against a Fund’s downside equity exposure, Milliman primarily intends to purchase and sell either OTC options and/or FLEX Options on common stocks and/or indices or ETFs representing those common stocks. OTC options are traded and privately negotiated in the OTC market and are subject to counterparty risk of the writer of the options contract. Many counterparties to OTC options are financial institutions, such as banks and broker-dealers, and their creditworthiness (and ability to pay or perform) may be negatively impacted by factors affecting financial institutions generally. FLEX Options are options contracts that trade on an exchange but provide an investor with the ability to customize key contract terms like strike price, style and expiration date, while achieving price discovery (i.e., determining market prices) in competitive, transparent auctions markets and avoiding the counterparty exposure of OTC options positions. Like traditional exchange-traded options, FLEX Options are guaranteed for settlement by the OCC, a market clearinghouse
18
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
that guarantees performance by counterparties to certain derivatives contracts. Milliman is not restricted in its use of OTC or exchange-traded options and may use either type to achieve the Funds’ principal investment strategies.
The Funds will purchase and sell call and put options. In general, put options give the holder (i.e., the buyer) the right to sell an asset (or deliver the cash value of the underlying asset) and the seller (i.e., the writer) of the put has the obligation to buy the asset (or receive cash value of the underlying asset) at a certain defined price. Call options give the holder (i.e., the buyer) the right to buy an asset (or receive cash value of the underlying asset) and the seller (i.e., the writer) the obligation to sell the asset (or deliver cash value of the underlying asset) at a certain defined price.
When a Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call or, if cash-settled, a gain or loss is realized. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, or the transfer of the relative cash amount if cash-settled, and the proceeds are decreased by the premium originally paid. Purchased options are non-income producing securities.
When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option written by the Fund is exercised, the premium received is added to the proceeds from the sale of the underlying security, or the transfer of the relevant cash amount if cash-settled, in determining whether the Fund has a realized a gain or loss. If a put option written by the Fund is exercised, the premium received reduces the cost basis of the securities purchased by the Fund if physical delivery is required, or the corresponding cash amount if cash-settled. The Fund, as a writer of an option, bears the market risk of an unfavorable change in the price of the asset underlying the written option. Risk of loss on written options may exceed amounts recognized on the Statements of Assets and Liabilities.
The following tables summarize derivatives held by the Fund and their impact on the Funds’ results of operations.
The location and value of derivative instruments on the Statements of Assets and Liabilities as of June 30, 2023, was as follows:
Location | Equity Risk | Total | ||||||||
| Milliman – Capital Group Hedged U.S. Growth Fund | ||||||||||
| Assets - Purchased options | Investments, at value | $ | 5,313 | $ | 5,313 | |||||
| Liabilities - Written options | Options written, at value | $ | 157,371 | $ | 157,371 | |||||
| Milliman – Capital Group Hedged U.S. Income and Growth Fund | ||||||||||
| Assets - Purchased options | Investments, at value | $ | 7,615 | $ | 7,615 | |||||
| Liabilities - Written options | Options written, at value | $ | 132,410 | $ | 132,410 | |||||
The location and effect of derivative instruments on the Statements of Operations for the period ended June 30, 2023, was as follows:
19
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||
Location | Equity Risk | Total | ||||||||
| Milliman – Capital Group Hedged U.S. Growth Fund | ||||||||||
| Purchased options | Investments | $ | (70,846 | ) | $ | (70,846 | ) | |||
| Written options | Written Options | 70,846 | 70,846 | |||||||
| $ | — | $ | — | |||||||
| Milliman – Capital Group Hedged U.S. Income and Growth Fund | ||||||||||
| Purchased options | Investments | $ | (41,628 | ) | $ | (41,628 | ) | |||
| Written options | Written Options | 41,628 | 41,628 | |||||||
| $ | — | $ | — | |||||||
Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||
Location | Equity Risk | Total | ||||||||
| Milliman – Capital Group Hedged U.S. Growth Fund | ||||||||||
| Purchased options | Investments | $ | (56,435 | ) | $ | (56,435 | ) | |||
| Written options | Written Options | (94,664 | ) | (94,664 | ) | |||||
| $ | (151,099 | ) | $ | (151,099 | ) | |||||
| Milliman – Capital Group Hedged U.S. Income and Growth Fund | ||||||||||
| Purchased options | Investments | $ | (41,441 | ) | $ | (41,441 | ) | |||
| Written options | Written Options | (83,354 | ) | (83,354 | ) | |||||
| $ | (124,795 | ) | $ | (124,795 | ) | |||||
The notional amounts of derivative instruments outstanding relative to each Fund’s net assets as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.
Because OTC options are not guaranteed for settlement by a clearing broker, they are generally considered to have greater counterparty risk than exchange-traded options, such as FLEX Options, which are issued and guaranteed for settlement by the Options Clearing Corporation (“OCC”) and their clearing houses (“clearing members”) rather than a bank or a broker. To the extent the Fund uses FLEX Options, although clearing members guarantee performance of their clients’ obligations to the clearing house, there is a risk that the assets of the Fund might not be fully protected in the event of the clearing member’s bankruptcy, as the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for the relevant account class. The use of certain derivatives involves leverage, which can cause the Fund’s portfolio to be more volatile than if the portfolio had not been leveraged. Leverage can significantly magnify the effect of price movements of the reference asset, disproportionately increasing the Fund’s losses and reducing the Fund’s opportunities for gains when the reference asset changes in unexpected ways. In some instances, such leverage could result in losses that exceed the original amount invested.
In order to better define its contractual rights and to secure rights to help the Funds mitigate their counterparty risk, the Funds may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign currency exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of an ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy
20
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
At June 30, 2023, derivative assets and liabilities subject to offsetting provisions were as follows:
Milliman - Capital Group Hedged U.S. Growth Fund
Counterparty | Gross Value of Derivative Assets | Derivatives Offset(1) | Non-Cash Received(1) | Cash Collateral Received(1) | Net Exposure of Derivative Assets(2) | |||||||||||||||
| Bank of America | $ | 5,313 | $ | (5,313 | ) | $ | — | $ | — | $ | — | |||||||||
Counterparty | Gross Value of Derivative Liabilities | Derivatives Available for Offset(1) | Non-Cash Collateral Received(1) | Cash Collateral Received(1) | Net Exposure of Derivative Liabilities(2) | |||||||||||||||
| Bank of America | $ | 157,371 | $ | (5,313 | ) | $ | — | $ | — | $ | 152,058 | |||||||||
Milliman - Capital Group Hedged U.S. Income and Growth Fund
Counterparty | Gross Value of Derivative Assets | Derivatives Offset(1) | Non-Cash Received(1) | Cash Collateral Received(1) | Net Exposure of Derivative Assets(2) | |||||||||||||||
| Bank of America | $ | 7,615 | $ | (7,615 | ) | $ | — | $ | — | $ | — | |||||||||
Counterparty | Gross Value of Derivative Liabilities | Derivatives Available for Offset(1) | Non-Cash Collateral Received(1) | Cash Collateral Received(1) | Net Exposure of Derivative Liabilities(2) | |||||||||||||||
| Bank of America | $ | 132,410 | $ | (7,615 | ) | $ | — | $ | — | $ | 124,795 | |||||||||
| (1) | Excess of collateral is not shown for financial reporting purposes. |
| (2) | Net exposure represents the receivable due from or payable due to the counterparty in the event of default. |
4. FEDERAL TAXES INFORMATION
No provision for federal income taxes has been made, as it is each Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986, as amended, and to distribute to shareholders each year, all of its taxable income and realized gains.
Each Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the tax returns are filed. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. The Funds do not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Funds did not incur any interest or penalties for the period ended June 30, 2023.
The amount and character of tax-basis distributions and composition of distributable earnings are finalized at fiscal year-end. Accordingly, tax-basis balances have not been determined as of the date of this report.
At June 30, 2023, the estimated cost of investments, including derivatives, and unrealized appreciation/depreciation for federal income tax purposes for each Fund were as follows:
21
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
| Milliman - Capital Group Hedged U.S. Growth Fund | $ | 2,980,483 | $ | 271,290 | $ | (151,099 | ) | $ | 120,191 | |||||||
| Milliman - Capital Group Hedged U.S. Income and Growth Fund | 2,962,727 | 156,686 | (124,795 | ) | 31,891 | |||||||||||
5. ADVISORY FEES AND OTHER AGREEMENTS
The Trust has an Investment Advisory Agreement with Milliman to furnish investment advisory services to the Funds. Pursuant to the Investment Advisory Agreement, Milliman is entitled to receive, on a monthly basis, an annual advisory fee equal to 0.77% of each Fund’s average daily net assets.
Capital International, Inc. (the “Sub-Adviser”) serves as investment sub-adviser to each Fund. Under the Investment Sub-Advisory Agreement (the “Sub-Advisory Agreement”) with Milliman, the Sub-Adviser provides to Milliman a list of securities that comprise a Fund’s Investable Universe. That list is comprised of a portfolio of securities representing the Sub-Adviser’s recommendations to Milliman as to the common stocks and/or cash or cash equivalents on which Milliman could purchase for a Fund. The Sub-Adviser does not have responsibility for the day-to-day management of the Funds’ portfolios nor review and oversight of the Funds’ investment strategies. Rather, Milliman will make determinations on which common stocks to purchase and derivatives to transact based upon industry weightings, market capitalizations, and other financial characteristics of the common stocks contained in the Investable Universe. Milliman will also make determinations on which common stocks to purchase and derivatives to transact based on Milliman’s evaluation of the market liquidity of those common stocks and derivatives. Pursuant to the terms of the Sub-Advisory Agreement, the Sub-Adviser may remove stocks from, and/or add stocks to, the list, which may result in Milliman selling stocks that have been removed or purchasing stocks that have been added to the list, as well as resetting some of the derivatives positions. For services provided under the Sub-Advisory Agreement, Milliman pays the Sub-Adviser a fee out of the advisory fee Milliman receives from each Fund.
Milliman has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit each Fund’s total annual Fund operating expenses (which include any offering and organizational expenses, but exclude taxes, interest, brokerage fees and commissions, Rule 12b-1 fees, acquired fund fees and expenses, short-sale dividend expenses, and extraordinary or non-routine expenses not incurred in the ordinary course of each Fund’s business) to 0.84% of each Fund’s average daily net assets (the “Expense Limitation Agreement”) until at least April 29, 2024. During its term, the Expense Limitation Agreement cannot be terminated or amended to increase the applicable limit without approval of the Board. Milliman may recoup from each Fund any advisory fees waived or expenses reimbursed pursuant to the applicable Expense Limitation Agreement for a period of three years from the date on which such waiver or reimbursement occurred; provided, however, that such recoupment shall not be made if it would cause the Fund’s total annual Fund operating expenses to exceed the lesser of (a) the expense limitation in effect at the time of the reimbursement, or (b) the expense limitation in effect at the time of recoupment, if any. No amounts were recouped during the period ended June 30, 2023. As of June 30, 2023, the amounts eligible for recoupment and the year of expiration are as follows:
| Recovery Expiring in: | ||||||||
| 2026 | Total | |||||||
| Milliman - Capital Group Hedged U.S. Growth Fund | $ | 52,693 | $ | 52,693 | ||||
| Milliman - Capital Group Hedged U.S. Income and Growth Fund | 52,233 | 52,233 | ||||||
U.S. Bancorp Fund Services, LLC d/b/a U.S. Bank Global Fund Services, a subsidiary of U.S. Bancorp, serves as each Fund’s fund accountant, administrator, and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp, serves as the Funds’ custodian pursuant to a custody agreement. Foreside Fund Services, LLC (the “Distributor”) serves as the
22
Milliman Variable Insurance Trust
Notes to Financial Statements (Unaudited)
June 30, 2023
Funds’ distributor pursuant to a distribution agreement.
The Trust has adopted a Distribution Plan under Rule 12b-1 (“Rule 12b-1 Plan”) of the 1940 Act with respect to each Fund’s Class 3 shares. The Rule 12b-1 Plan permits each Fund to pay the Distributor, as the Funds’ principal underwriter, for expenses associated with the distribution of Class 3 shares of the Funds. Under the Rule 12b-1 Plan, the Distributor is paid an annual fee of 0.25% of the average daily net assets of Class 3 shares. All Rule 12b-1 Plan payments received by the Distributor shall be used solely for distribution-related expenses and shall not be retained as profit by the Distributor.
Accordingly, no compensation is payable by the Funds to the Distributor for such distribution services. However, Milliman has entered into an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the distribution agreement. The payments made by Milliman to the Distributor do not represent an additional expense to the Funds or their shareholders.
Certain employees of Foreside Fund Officer Services, LLC, an affiliate of the Distributor, serve as Treasurer and Principal Financial Officer and Chief Compliance Officer and Anti-Money Laundering Officer to the Trust.
Certain Trustees and Officers of the Trust are also Officers or employees of Milliman, and during their terms of office, receive no compensation from the Funds.
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term obligations and U.S. Government Securities, for the period ended June 30, 2023, were as follows:
| Purchases | Sales | |||||||
| Milliman - Capital Group Hedged U.S. Growth Fund | $ | 3,274,764 | $ | 296,047 | ||||
| Milliman - Capital Group Hedged U.S. Income and Growth Fund | 3,197,607 | 212,060 | ||||||
7. BENEFICIAL OWNERSHIP
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of that Fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, American General Life Insurance Company directly owned greater than 25% of the outstanding shares of each Fund.
8. RISKS
The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Assets may decline in value due to factors affecting financial markets generally or particular asset classes or industries represented in the markets. The value of options or other assets may also decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or due to factors that affect a particular issuer, country, region, market, industry, sector or asset class.
The principal risks of investing in the Funds are described more fully in the Funds’ prospectus.
9. GUARANTEES AND INDEMNIFICATIONS
In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred.
10. SUBSEQUENT EVENTS
Management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that no additional items require recognition or disclosure.
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Milliman Variable Insurance Trust
Additional Information (Unaudited)
June 30, 2023
1. INFORMATION ABOUT PROSPECTUS
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–855–700–7959 or visiting www.millimanfunds.com.
2. PROXY VOTING POLICIES AND PROCEDURE
The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–855–700–7959 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.
3. INFORMATION ABOUT PORTFOLIO SECURITIES
Each Fund’s complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Part F of Form N-PORT. The Trust’s Part F of Form N-PORT is available without charge, upon request, by calling 1-855-700-7959, or on the SEC’s website at www.sec.gov. The Trust’s Part F of Form N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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Statement Regarding the Funds’ Liquidity Risk Management Program (Unaudited)
June 30, 2023
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires each registered open-end management investment company to adopt and implement a liquidity risk management program that is reasonably designed to assess and manage its liquidity risk. Milliman Variable Insurance Trust (the “Trust”) has adopted a liquidity risk management program (the “Program”), on behalf of each of its series (each, a “Fund,” and collectively, the “Funds”), which is designed to meet the requirements of the Liquidity Rule. The Board of Trustees of the Trust (the “Board”) has appointed Milliman Financial Risk Management LLC, investment adviser to the Funds (the “Program Administrator”), to serve as the administrator for the Program.
As required by the Liquidity Rule, the Program includes policies and procedures providing for an assessment, no less frequently than annually, of each Fund’s liquidity risk. The Liquidity Rule and the Program also requires that each of a Fund’s portfolio investments (including a Fund’s derivatives holdings) be classified as a highly liquid investment, moderately liquid investment, less liquid investment, or illiquid investment. In accordance with the Liquidity Rule and the Program, any Fund that does not primarily hold assets that are highly liquid investments must determine a highly liquid investment minimum (“HLIM”), which is the minimum percentage of net assets that such Fund must invest in highly liquid investments. In addition, under the Liquidity Rule and the Program, no Fund may acquire any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments (including derivatives holdings) that are assets.
Pursuant to the Liquidity Rule and the Program, the Program Administrator is required to provide an annual report to the Board on the adequacy of the Program and the effectiveness of its implementation, including, if applicable, the operation of the HLIM, and any material changes to the Program (the “Annual Report”). At a meeting of the Board held on May 9, 2023 (the “Meeting”), the Program Administrator presented the Annual Report to the Board, which covered the period ending March 31, 2023 (the “Reporting Period”). The Program Administrator reported that during the Reporting Period, the Program operated effectively in all material respects and that the existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with the Liquidity Rule. The Program Administrator also reported that there were no material changes to the Program during the Reporting Period, and none were being proposed to the Board at the Meeting. Further, the Annual Report stated that the Program Administrator was comfortable with the liquidity levels for all Funds and believed that the securities (including derivatives holdings) in which the Program Administrator trades on behalf of the Funds, as investment adviser to the Funds, can be classified as highly liquid.
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Milliman Variable Insurance Trust
Board Considerations Regarding Approval of Investment Management Agreements
June 30, 2023 (Unaudited)
At meetings held on August 9, 2022 (the “August 2022 Meeting”) and November 8, 2022 (the “November 2022 Meeting,” and together with the August 2022 Meeting, the “Meetings”), the Board of Trustees (the “Board” or the “Trustees”) of the Milliman Variable Insurance Trust (the “Trust”), including the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Trust (the “Independent Trustees”), voting separately, reviewed and unanimously approved (i) the Investment Advisory Agreement (the “Investment Advisory Agreement”) between Milliman Financial Risk Management LLC (the “Adviser”) and the Trust, on behalf of the series of the Trust identified on Appendix A (each, a “Fund,” and collectively, the “Funds”); and (ii) the Sub-Advisory Agreement between the Adviser and Capital International, Inc. (the “Sub-Adviser”) with respect to the Funds.
During the Meetings, the Independent Trustees had met in executive session with counsel and had discussed the proposed Investment Advisory Agreement and Sub-Advisory Agreement and the requirements under the 1940 Act that apply to the Board’s consideration and approval of those agreements. In considering the Investment Advisory Agreement and Sub-Advisory Agreement, the Board, including the Independent Trustees, reviewed the Board materials and other information from counsel and from the Adviser and Sub-Adviser, including: (i) copies of the forms of Investment Advisory Agreement and Sub-Advisory Agreement; (ii) information describing the nature, quality and extent of the services proposed to be provided by the Adviser and Sub-Adviser to the Funds; (iii) information concerning the financial condition, business, operations, and compliance programs of the Adviser and Sub- Adviser, as well as the portfolio management team of the Adviser proposed to manage each Fund’s portfolio; (iv) information describing each Fund’s proposed investment advisory fee and operating expenses; (v) information describing each Fund’s proposed sub-advisory fee; (vi) copies of the current Forms ADV for the Adviser and Sub-Adviser; and (vii) a memorandum from Trust counsel regarding the responsibilities of the Trustees in considering investment advisory arrangements under the 1940 Act. The Board also considered presentations made by, and discussions held with, representatives of both the Adviser and Sub-Adviser. The Board also received information comparing the proposed advisory fees and expenses of each Fund to other investment companies being offered to insurance company separate accounts that also utilize similar investment strategies, although management stated that they did not view these other investment companies as being an appropriate peer comparison because those other investment companies utilize simpler strategies with larger options components.
During its review of this information, the Board focused on and analyzed the factors that the Board deemed relevant, including: (i) the nature, extent and quality of the services expected to be provided to each Fund by the Adviser and Sub-Adviser; (ii) the Adviser’s and Sub-Adviser’s personnel and operations; (iii) the Funds’ proposed expense levels; (iv) any “fall-out” benefits to the Adviser and Sub-Adviser (i.e., the ancillary benefits that would be realized by the Adviser or Sub-Adviser from their relationships with the Trust); (v) the effect of asset growth on a Fund’s expenses; and (vi) possible conflicts of interest.
The Board, including the Independent Trustees, considered the following in respect of the Funds:
(a) The nature, extent and quality of services proposed to be provided to the Funds by the Adviser and Sub-Adviser, including personnel and operations of the Adviser and Sub-Adviser. The Board reviewed the services that the Adviser and Sub-Adviser proposed to provide to the Funds. The Board noted the responsibilities that the Adviser would have as each Fund’s investment adviser, including: the responsibility for the management and investment of the Fund’s portfolio; executing portfolio security and other asset trades; monitoring compliance with the Fund’s investment objective, policies and limitations; the responsibility for quarterly reporting to the Board; the oversight of general portfolio compliance with relevant law; and the implementation of Board directives as they relate to the Funds. The Board then noted the responsibilities that the Sub-Adviser would have as each Fund’s non-discretionary sub-adviser, which would require the Sub-Adviser to design, monitor and provide one or more model portfolios (as updated from time to time) that would meet certain parameters, as agreed upon between the Adviser and Sub-Adviser.
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Milliman Variable Insurance Trust
Board Considerations Regarding Approval of Investment Management Agreements
June 30, 2023 (Unaudited)
The Board reviewed the Adviser’s and Sub-Adviser’s experience in managing other portfolios, including, with respect to the Adviser, other series of the Trust. Based on its consideration and review of the foregoing information, the Board determined that the Funds were likely to benefit from the nature, quality and extent of the services proposed to be provided by the Adviser and Sub-Adviser.
(b) Comparison of services expected to be provided and fees to be paid, and the cost of the services to be provided and profits to be realized by the Adviser and Sub-Adviser from their relationships with the Funds; “fall-out” benefits. The Board compared both the services proposed to be provided to the Funds by the Adviser and Sub-Adviser, and the related fees to those of other investment advisers with respect to similar funds. In particular, the Board considered each Fund’s proposed advisory fee and projected expense ratio to other investment companies that the Adviser considered to be similar to the Funds, even if not necessarily in the same peer group due to the unique strategies proposed to be implemented by the Adviser in managing the Funds. The Board noted that the Adviser proposed to enter into Expense Limitation Agreements whereby the Adviser would waive its advisory fees and/or reimburses expenses to keep each Fund’s expenses from exceeding certain levels. The Board noted that because of the Expense Limitation Agreements, the Adviser would likely supplement a portion of each Fund’s operating expenses for a period of time and considered the resulting benefits that would accrue to the Funds. After considering each Fund’s proposed fees, and in light of the nature, quality and extent of services proposed to be provided by the Adviser and Sub-Adviser, and the costs expected to be incurred by the Adviser and Sub-Adviser in providing those services, the Board concluded that the level of fees proposed to be paid to the Adviser and Sub-Adviser with respect to the Funds was fair and reasonable. Because the Funds were not yet operational, the Board did not consider the Adviser’s projected profitability. In addition, because the proposed fee to be paid to the Sub-Adviser would be paid by the Adviser out of its investment advisory fee, and not directly by the Funds, the Board did not consider the Sub-Adviser’s profitability separately.
The Board considered that the Adviser and Sub-Adviser may experience certain “fall-out” benefits based on the potential success of the Funds and/or the Trust, but that such benefits are not presently quantifiable. The Board noted that the Trust’s service providers are not affiliated with the Adviser or Sub-Adviser, so that such services do not give rise to “fall-out” benefits for the Adviser or Sub-Adviser.
(c) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels would reflect such economies of scale. The Board discussed potential economies of scale. Because the Funds had not commenced operations, and the eventual amount of Fund assets was uncertain, neither the Adviser nor Sub-Adviser was able to provide the Board with specific information concerning the extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale, if any. The Board recognized the uncertainty in launching new investment products and estimating future asset levels.
(d) Investment performance of the Funds and of the Adviser and Sub-Adviser. Because the Funds were newly formed and had not commenced operations, the Board did not consider the investment performance of the Funds. The Board considered the performance of the Adviser and its portfolio managers in managing the existing series of the Trust. With respect to the Sub-Adviser, the Board took into consideration the Sub-Adviser’s experience as an investment adviser and its prior relationship with the Adviser. The Board specifically took into consideration information provided by the Adviser relating to other investment companies that both the Sub-Adviser and Adviser manage, and the performance of those funds.
Conclusion. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board concluded that the proposed advisory fees and projected total expense ratios for the Funds were reasonable in relation to the services proposed to be provided by the Adviser and Sub-Adviser to the Funds, as well as the costs to be incurred and benefits to be gained by the Adviser and Sub-Adviser in providing such services. The Board also found the proposed advisory fees to be reasonable in comparison to the fees charged by advisers to other similar funds, as well as other series of the Trust. After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the Investment Advisory Agreement and Sub-Advisory Agreement on behalf of each Fund.
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Milliman Variable Insurance Trust
Board Considerations Regarding Approval of Investment Management Agreements
June 30, 2023 (Unaudited)
Appendix A
Milliman – Capital Group Hedged U.S. Growth Fund
Milliman – Capital Group Hedged U.S. Income and Growth Fund
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INVESTMENT ADVISER
Milliman Financial Risk Management LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza
Portland, ME 04101
CUSTODIAN
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
LEGAL COUNSEL
Stradley Ronon Stevens & Young LLP
191 North Wacker Drive, Suite 1601
Chicago, IL 60606
and
2005 Market Street, Suite 2600
Philadelphia, PA 19103
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
| (b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
| (a) | The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)(17 CFR 270.30a-3(c)) as of a date within 90 days of the filing of this report. Based on their evaluation of these controls and procedures as required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms and that the controls are designed to ensure that information required to be disclosed by an investment company in the reports that it files on Form N-CSR is accumulated and communicated to them to allow timely decisions regarding required disclosure. |
| (b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 13. Exhibits.
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the Registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable for semi-annual reports. |
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Investment Company Act of 1940 sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the Registrant’s independent public accountant. There was no change in the Registrant’s independent public accountant for the period covered by this report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Milliman Variable Insurance Trust
By (Signature and Title) /s/ Adam Schenck
Adam Schenck, President
Date August 31, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) /s/ Adam Schenck
Adam Schenck, President
Date August 31, 2023
By (Signature and Title) /s/ Arthur W. Jasion
Arthur W. Jasion, Treasurer and Principal Financial Officer
Date September 1, 2023