Milliman Variable Insurance Trust NPORT-P Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb (Sep 2023 report)

Milliman

1-Year

Floored

S&P

500

with

Par

Up

Outcome

Fund

-

Feb

Schedule

of

Investments

September

30,

2023

(Unaudited)

1

Shares

Value

EXCHANGE

TRADED

FUNDS

-

31.30%

iShares

0-3

Month

Treasury

Bond

ETF

(a)

......................................................................

358

$

36,040

iShares

iBoxx

$

Investment

Grade

Corporate

Bond

ETF

(a)

................................................

367

37,441

SPDR

Portfolio

Intermediate

Term

Corporate

Bond

ETF

(a)

................................................

2,453

77,147

Vanguard

Intermediate-Term

Corporate

Bond

ETF

(a)

.......................................................

1,000

75,980

Vanguard

Short-Term

Treasury

ETF

(a)

...........................................................................

620

35,712

TOTAL

EXCHANGE

TRADED

FUNDS

(Cost

$274,857)

........................................................

262,320

Principal

Amount

U.S.

TREASURY

NOTE

-

24.33%

United

States

Treasury

Note,

0.125%,

2/15/2024

(a)

......................................................

$

207,900

203,876

TOTAL

U.S.

TREASURY

NOTE

(Cost

$204,267)

.................................................................

203,876

Contracts

Notional

Amount

PURCHASED

OPTIONS

-

108.43%

(b)(c)

CALL

OPTIONS

-

107.63%

S&P

500

Mini

Index,

Expires

2/12/2024,

Strike

Price

$409.05

........................................

14

$

600,334

48,806

S&P

500

Mini

Index,

Expires

2/12/2024,

Strike

Price

$0.41

............................................

20

857,620

853,123

901,929

PUT

OPTIONS

-

0.80%

S&P

500

Mini

Index,

Expires

2/12/2024,

Strike

Price

$368.14

.........................................

20

857,620

6,474

S&P

500

Mini

Index,

Expires

2/12/2024,

Strike

Price

$164.03

........................................

20

857,620

217

6,691

TOTAL

PURCHASED

OPTIONS

(Cost

$898,049)

...............................................................

908,620

Total

Investments

(Cost

$1,377,173)

-

164.06%

...........................................................

1,374,816

Liabilities

in

Excess

of

Other

Assets

-

(64.06)%

.............................................................

(536,802)

TOTAL

NET

ASSETS

-  100.00%

....................................................................................

$

838,014

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

$466,196.

(b)

Exchange-Traded.

(c)

Purchased

option

contracts

are

held

in

connection

with

corresponding

written

option

contracts.

SCHEDULE

OF

OPTIONS

WRITTEN

September

30,

2023

(Unaudited)

  Description

(a)

Expiration

Strike

Price

Contracts

Notional

Amount

Value

Call

Options

S&P

500

Mini

Index

.....................................

2/12/2024

$

164.03

20

$

(857,620)

$

(532,997)

Put

Options

S&P

500

Mini

Index

.....................................

2/12/2024

409.05

20

(857,620)

(16,654)

TOTAL

OPTIONS

WRITTEN

(Premiums

Received

$547,470)

$

(549,651)

Milliman

1-Year

Floored

S&P

500

with

Par

Up

Outcome

Fund

-

Feb

Schedule

of

Investments

(Concluded)

September

30,

2023

(Unaudited)

2

Fair

Valuation

Measurement:

The

Financial

Accounting

Standards

Board

established

a

framework

for

measuring

fair

value

in

accordance

with

U.S.

generally

accepted

accounting

principles.

Under

ASC

Topic

820,

Fair

Value

Measurement

(“ASC

820”),

various

inputs

are

used

in

determining

the

value

of

the

Fund’s

investments.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

The

three

Levels

of

inputs

of

the

fair

value

hierarchy

are

defined

as

follows:

The

availability

of

observable

inputs

can

vary

from

security

to

security

and

is

affected

by

a

wide

variety

of

factors,

including,

for

example,

the

type

of

security,

whether

the

security

is

new

and

not

yet

established

in

the

marketplace,

the

liquidity

of

markets,

and

other

characteristics

particular

to

the

security.

To

the

extent

that

valuation

is

based

on

models

or

inputs

that

are

less

observable

or

unobservable

in

the

market,

the

determination

of

fair

value

requires

more

judgement.

Accordingly,

the

degree

of

judgement

exercised

in

determining

fair

value

is

greatest

for

instruments

categorized

in

Level

3.

The

inputs

used

to

measure

fair

value

may

fall

into

different

levels

of

the

fair

value

hierarchy.

In

such

cases,

for

disclosure

purposes,

the

level

in

the

fair

value

hierarchy

within

which

the

fair

value

measurement

falls

in

its

entirety,

is

determined

based

on

the

lowest

level

input

that

is

significant

to

the

fair

value

measurement

in

its

entirety.

The

following

table

summarizes

valuation

of

the

Fund’s

investments

under

the

fair

value

hierarchy

levels

as

of

September

30,

2023:

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.

Level

1

Level

2

Level

3

Total

Assets

Exchange

Traded

Funds

$

262,320

$

–

$

–

$

262,320

U.S.

Treasury

Note

–

203,876

–

203,876

Purchased

Options

–

908,620

–

908,620

Total

Assets

$

262,320

$

1,112,496

$

–

$

1,374,816

Liabilities

Options

Written

$

–

$

549,651

$

–

$

549,651

Total

Liabilities

$

–

$

549,651

$

–

$

549,651