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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
100 Pearl Street
Hartford, CT 06103-4506
(Address of principal executive offices) (Zip code)
Jennifer S. Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
100 Pearl Street
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 367-5877
Date of fiscal year end: December 31
Date of reporting period: June 30, 2015
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
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VIRTUS VARIABLE INSURANCE TRUST
SEMIANNUAL REPORT
Virtus Capital Growth Series*
Virtus Equity Trend Series**
Virtus Growth & Income Series
Virtus International Series
Virtus Multi-Sector Fixed Income Series
Virtus Real Estate Securities Series
Virtus Small-Cap Growth Series
Virtus Small-Cap Value Series
Virtus Strategic Allocation Series
* Prospectus supplement applicable to the Series appears at the back of this Semiannual Report. | June 30, 2015 | |||||
** Prospectus supplement applicable to the Series, discussing various changes including the change of the Series’ name, appears at the back of this Semiannual Report. | ||||||
The Semiannual Report describes one or more Series available for underlying investment through your variable contract. For information about your variable contract, including information about insurance-related expenses, see the prospectus for your variable contract. |
| Not FDIC Insured No Bank Guarantee May Lose Value |
|
Table of Contents
1 | ||||
2 | ||||
3 | ||||
5 | ||||
Series | Schedule of Investments | |||
6 | ||||
Virtus Equity Trend Series (FKA Virtus Premium AlphaSector® Series) (“Equity Trend Series”) | 7 | |||
9 | ||||
10 | ||||
Virtus Multi-Sector Fixed Income Series (“Multi-Sector Fixed Income Series”) | 12 | |||
Virtus Real Estate Securities Series (“Real Estate Securities Series”) | 20 | |||
21 | ||||
22 | ||||
Virtus Strategic Allocation Series (“Strategic Allocation Series”) | 23 | |||
30 | ||||
33 | ||||
36 | ||||
39 | ||||
42 | ||||
49 |
Proxy Voting Procedures and Voting Record (Form N-PX)
The adviser and subadvisers vote proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Series voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-367-5877. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
Form N-Q Information
The Trust files a complete schedule of portfolio holdings for each Series with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
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Dear Virtus Variable Insurance Trust Investors:
I am pleased to present this semi-annual report that reviews the performance of your Series for the six months ended June 30, 2015.
During this period, U.S. equity markets were challenged by falling oil prices, the Greek debt crisis in late June, and a slowdown in U.S. growth in the first part of the year, which prompted the Federal Reserve to postpone raising interest rates. Broad U.S. equity indices registered flat-to-modest gains for the six months ended June 30, 2015. The large-cap S&P 500® Index and Dow Jones Industrial AverageSM returned 1.23% and 0.03%, respectively, while the technology-heavy NASDAQ Composite Index® was up 5.90%. By comparison, international equities generally outperformed, with a particularly strong rally in the first four months of 2015, before worries about Greece dampened enthusiasm at the end of June.
Against this backdrop, U.S. Treasuries remained an attractive “safe haven” among global investors. The bellwether 10-year U.S. Treasury yield ended at 2.35% on June 30, 2015, not far from the 2.17% it yielded on December 31, 2014. In light of the Fed’s stated intentions to raise interest rates this year, fixed income assets experienced slight losses in anticipation. The Barclays U.S. Aggregate Bond Index, which concentrates on Treasuries and other investment-grade debt securities, declined 0.10% for the six months ended June 30, 2015, while higher-yielding securities outperformed, with the Barclays U.S. Corporate High Yield Bond Index up 2.53% for the same period.
The strength of the global economy is likely to remain a concern for the markets in the months ahead. Interventions by the Fed and other global central banks will be watched with great interest. Following the weak start to the year, the U.S. economy showed signs of bouncing back in the second quarter – including strong jobs, housing, and consumer spending data – and gives investors reason for optimism. Future market direction will be determined largely by the ability of corporations to continue to produce robust earnings.
Market uncertainty serves as a constant reminder of the importance of portfolio diversification, including exposure to both traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may provide a cushion against inevitable market fluctuations. Your financial advisor can help you ensure that your variable investment portfolio is adequately diversified across asset classes and investment strategies.
As always, thank you for entrusting Virtus with your assets. Should you have questions or require assistance, our customer service team is here to help at 1-866-270-7788. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward President, Virtus Variable Insurance Trust
July 2015 |
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above.
1
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American Depositary Receipt (ADR)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Barclays U.S. Aggregate Bond Index
The Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Barclays U.S. Corporate High Yield Bond Index
The Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Dow Jones Industrial AverageSM
A price weighted average of 30 blue chip stocks. The index is calculated on total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Exchange-Traded Fund (ETF)
An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The Central Bank of the United States, responsible for controlling the money supply, interest rates and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches and all national and state banks that are part of the system.
NASDAQ Composite Index®
A market-capitalization weighted index of the more than 3,000 common equities listed on the Nasdaq stock exchange. Unlike other market indexes, the NASDAQ composite is not limited to companies that have U.S. headquarters. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Payment-in-Kind Security (PIK)
A bond which pays interest in the form of additional bonds, or preferred stock which pays dividends in the form of additional preferred stock.
Real Estate Investment Trust (REIT)
A publicly traded company that owns, develops and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers, and other commercial properties.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Sponsored ADR (American Depositary Receipt)
An ADR which is issued with the cooperation of the company whose stock will underlie the ADR. Sponsored ADRs generally carry the same rights normally given to stockholders, such as voting rights. ADRs must be sponsored to be able to trade on a major U.S. exchange such as the New York Stock Exchange (“NYSE”).
The indexes are unmanaged and not available for direct investment; therefore, their performance does not reflect the expenses associated with active management of an actual portfolio.
2
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VIRTUS VARIABLE INSURANCE TRUST
Disclosure of Series Expenses (Unaudited)
For the six-month period of January 1, 2015 to June 30, 2015
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of a Series (each a “Series”) of Virtus Variable Insurance Trust (the “Trust”), you incur ongoing costs including investment advisory fees and other expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Series and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The following Expense Table illustrates a Series’ costs in two ways.
Actual Expenses
The first section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The expense estimate does not include the fees or expenses associated with the separate insurance accounts, and if such charges were included, your costs would have been higher.
Hypothetical Example for Comparison Purposes
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on a Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Series’ 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 your Series and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect additional fees and expenses associated with the annuity or life insurance policy through which you invest. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if the annuity or life insurance policy costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Expense Table | ||||||||||||||||
Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Capital Growth Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,072.40 | 1.03 | % | $ | 5.29 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.62 | 1.03 | 5.17 | ||||||||||||
Equity Trend Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 943.40 | 1.70 | % | $ | 8.19 | ||||||||
Class I | 1,000.00 | 945.10 | 1.45 | 6.99 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,016.26 | 1.70 | 8.53 | ||||||||||||
Class I | 1,000.00 | 1,017.51 | 1.45 | 7.28 | ||||||||||||
Growth & Income Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 994.10 | 0.98 | % | $ | 4.85 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.87 | 0.98 | 4.92 | ||||||||||||
International Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 999.00 | 1.18 | % | $ | 5.85 | ||||||||
Class I | 1,000.00 | 1,000.90 | 0.93 | 4.61 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.87 | 1.18 | 5.92 | ||||||||||||
Class I | 1,000.00 | 1,020.13 | 0.93 | 4.67 | ||||||||||||
Multi-Sector Fixed Income Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,021.30 | 0.94 | % | $ | 4.71 | ||||||||
Class I | 1,000.00 | 1,022.60 | 0.69 | 3.46 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,020.08 | 0.94 | 4.72 | ||||||||||||
Class I | 1,000.00 | 1,021.33 | 0.69 | 3.46 | ||||||||||||
Real Estate Securities Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 946.40 | 1.16 | % | $ | 5.60 | ||||||||
Class I | 1,000.00 | 947.70 | 0.91 | 4.39 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.97 | 1.16 | 5.82 | ||||||||||||
Class I | 1,000.00 | 1,020.23 | 0.91 | 4.57 | ||||||||||||
Small-Cap Growth Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,060.40 | 1.19 | % | $ | 6.08 | ||||||||
Class I | 1,000.00 | 1,061.60 | 0.94 | 4.80 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.82 | 1.19 | 5.97 | ||||||||||||
Class I | 1,000.00 | 1,020.08 | 0.94 | 4.72 |
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VIRTUS VARIABLE INSURANCE TRUST
Disclosure of Series Expenses (Unaudited) (Continued)
For the six-month period of January 1, 2015 to June 30, 2015
Expense Table | ||||||||||||||||
Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Small-Cap Value Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,009.80 | 1.20 | % | $ | 5.98 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.77 | 1.20 | 6.02 | ||||||||||||
Strategic Allocation Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 998.90 | 0.98 | % | $ | 4.86 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.87 | 0.98 | 4.92 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. Exceptions noted below. |
A Series may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. |
You can find more information about a Series’ expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, including contractual charges associated with the separate account, refer to the Series prospectus and the contract prospectus. |
4
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VIRTUS VARIABLE INSURANCE TRUST
Portfolio Holdings Summary Weightings
June 30, 2015 (Unaudited)
For each Series, the following tables present portfolio holdings within certain sectors and as a percentage of total investments attributable to each sector.
Capital Growth Series | ||||
Information Technology | 37 | % | ||
Consumer Discretionary | 23 | |||
Health Care | 17 | |||
Consumer Staples | 11 | |||
Industrials | 6 | |||
Energy | 2 | |||
Materials | 2 | |||
Other (includes short-term investments) | 2 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Trend Series | ||||
Consumer Discretionary | 30 | % | ||
Industrials | 14 | |||
Information Technology | 13 | |||
Health Care | 11 | |||
Financials | 9 | |||
Materials | 8 | |||
Consumer Staples | 7 | |||
Other (includes short-term investments) | 8 | |||
|
| |||
Total | 100 | % | ||
|
|
Growth & Income Series | ||||
Information Technology | 18 | % | ||
Financials | 17 | |||
Consumer Discretionary | 16 | |||
Health Care | 16 | |||
Industrials | 13 | |||
Energy | 8 | |||
Materials | 5 | |||
Other (includes short-term investments) | 7 | |||
|
| |||
Total | 100 | % | ||
|
|
International Series | ||||
Financials | 20 | % | ||
Industrials | 18 | |||
Consumer Staples | 16 | |||
Materials | 11 | |||
Health Care | 10 | |||
Information Technology | 10 | |||
Telecommunication Services | 7 | |||
Other (includes short-term investments) | 8 | |||
|
| |||
Total | 100 | % | ||
|
|
Multi-Sector Fixed Income Series | ||||||||
Corporate Bonds and Notes | 55 | % | ||||||
Financials | 20 | % | ||||||
Energy | 8 | |||||||
Consumer Discretionary | 6 | |||||||
Industrials | 5 | |||||||
Total of all others | 16 | |||||||
Mortgage-Backed Securities | 14 | |||||||
Loan Agreements | 10 | |||||||
Asset-Backed Securities | 6 | |||||||
Foreign Government Securities | 5 | |||||||
Preferred Stock | 4 | |||||||
Other (includes short-term investments) | 6 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
Real Estate Securities Series | ||||
Apartments | 21 | % | ||
Office | 15 | |||
Regional Malls | 13 | |||
Lodging/Resorts | 13 | |||
Shopping Centers | 10 | |||
Self Storage | 10 | |||
Industrials | 8 | |||
Other (includes short-term investments) | 10 | |||
|
| |||
Total | 100 | % | ||
|
|
Small-Cap Growth Series | ||||
Information Technology | 35 | % | ||
Industrials | 14 | |||
Health Care | 13 | |||
Consumer Discretionary | 10 | |||
Consumer Staples | 10 | |||
Financials | 9 | |||
Materials | 3 | |||
Other (includes short-term investments) | 6 | |||
|
| |||
Total | 100 | % | ||
|
|
Small-Cap Value Series | ||||
Information Technology | 28 | % | ||
Financials | 20 | |||
Industrials | 20 | |||
Consumer Discretionary | 12 | |||
Consumer Staples | 8 | |||
Utilities | 4 | |||
Health Care | 3 | |||
Other (includes short-term investments) | 5 | |||
|
| |||
Total | 100 | % | ||
|
|
Strategic Allocation Series | ||||||||
Common Stock | 59 | % | ||||||
Information Technology | 10 | % | ||||||
Financials | 10 | |||||||
Consumer Discretionary | 10 | |||||||
Health Care | 9 | |||||||
Industrials | 8 | |||||||
Total of all other common stock sectors | 12 | |||||||
Corporate Bonds and Notes | 20 | |||||||
Financials | 10 | % | ||||||
Energy | 2 | |||||||
Total of all other corporate bond sectors | 8 | |||||||
Mortgage-Backed Securities | 13 | |||||||
Asset-Backed Securities | 2 | |||||||
Municipal Bonds | 2 | |||||||
Loan Agreements | 1 | |||||||
Foreign Government Securities | 1 | |||||||
Other (includes short-term investments) | 2 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
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Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.5% | ||||||||
Consumer Discretionary—23.2% | ||||||||
Amazon.com, Inc.(2) | 8,180 | $ | 3,551 | |||||
Home Depot, Inc. | 50,960 | 5,663 | ||||||
Las Vegas Sands Corp. | 83,220 | 4,375 | ||||||
Netflix, Inc.(2) | 4,360 | 2,864 | ||||||
NIKE, Inc. Class B | 88,650 | 9,576 | ||||||
Priceline Group, Inc. (The)(2) | 4,015 | 4,623 | ||||||
Ross Stores, Inc. | 89,620 | 4,356 | ||||||
Starbucks Corp. | 148,340 | 7,953 | ||||||
Time Warner, Inc. | 33,660 | 2,942 | ||||||
TripAdvisor, Inc.(2) | 54,460 | 4,746 | ||||||
|
| |||||||
50,649 | ||||||||
|
| |||||||
Consumer Staples—11.5% | ||||||||
Colgate-Palmolive Co. | 59,900 | 3,918 | ||||||
Costco Wholesale Corp. | 29,577 | 3,995 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 30,570 | 2,649 | ||||||
Mead Johnson Nutrition Co. | 39,210 | 3,538 | ||||||
Monster Beverage Corp.(2) | 49,971 | 6,697 | ||||||
Philip Morris International, Inc. | 52,530 | 4,211 | ||||||
|
| |||||||
25,008 | ||||||||
|
| |||||||
Energy—2.2% | ||||||||
Core Laboratories N.V. | 12,000 | 1,369 | ||||||
Schlumberger Ltd. | 38,720 | 3,337 | ||||||
|
| |||||||
4,706 | ||||||||
|
| |||||||
Financials—1.3% | ||||||||
Charles Schwab Corp. (The) | 89,100 | 2,909 | ||||||
|
| |||||||
Health Care—17.0% | ||||||||
Amgen, Inc. | 11,230 | 1,724 | ||||||
BioMarin Pharmaceutical, Inc.(2) | 25,250 | 3,453 | ||||||
Bristol-Myers Squibb Co. | 65,460 | 4,356 | ||||||
Celgene Corp.(2) | 38,270 | 4,429 | ||||||
Cerner Corp.(2) | 54,674 | 3,776 | ||||||
Gilead Sciences, Inc. | 65,490 | 7,668 | ||||||
Medidata Solutions, Inc.(2) | 61,030 | 3,315 | ||||||
Perrigo Co. plc | 23,020 | 4,255 | ||||||
Zoetis, Inc. | 86,540 | 4,173 | ||||||
|
| |||||||
37,149 | ||||||||
|
| |||||||
Industrials—5.8% | ||||||||
Canadian Pacific Railway Ltd. | 8,150 | 1,306 | ||||||
Danaher Corp. | 48,020 | 4,110 | ||||||
Roper Industries, Inc. | 27,870 | 4,806 | ||||||
Towers Watson & Co. Class A | 18,680 | 2,350 | ||||||
|
| |||||||
12,572 | ||||||||
|
| |||||||
Information Technology—36.7% | ||||||||
Accenture plc Class A | 33,290 | 3,222 | ||||||
Amphenol Corp. Class A | 104,270 | 6,045 | ||||||
ANSYS, Inc.(2) | 53,910 | 4,919 | ||||||
Apple, Inc. | 145,220 | 18,214 | ||||||
Applied Materials, Inc. | 245,430 | 4,717 | ||||||
Baidu, Inc. Sponsored ADR(2) | 20,600 | 4,101 | ||||||
CoStar Group, Inc.(2) | 19,283 | 3,881 | ||||||
Facebook, Inc. Class A(2) | 174,860 | 14,997 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Fleetmatics Group plc(2) | 71,480 | $ | 3,347 | |||||
Tableau Software, Inc. Class A(2) | 40,500 | 4,670 | ||||||
Twitter, Inc.(2) | 40,510 | 1,467 | ||||||
Visa, Inc. Class A | 103,540 | 6,953 | ||||||
Workday, Inc. Class A(2) | 44,550 | 3,403 | ||||||
|
| |||||||
79,936 | ||||||||
|
| |||||||
Materials—1.8% | ||||||||
Ecolab, Inc. | 35,210 | 3,981 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $134,503) | 216,910 | |||||||
TOTAL LONG TERM INVESTMENTS—99.5% | ||||||||
(Identified Cost $134,503) | 216,910 | |||||||
SHORT-TERM INVESTMENTS—0.8% | ||||||||
Money Market Mutual Fund—0.8% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (seven-day effective yield 0.140%) | 1,700,047 | 1,700 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $1,700) | 1,700 | |||||||
TOTAL INVESTMENTS—100.3% | ||||||||
(Identified Cost $136,203) | 218,610 | (1) | ||||||
Other assets and liabilities, net—(0.3)% |
| (580 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 218,030 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
Country Weightings† | ||||
United States | 97 | % | ||
China | 2 | |||
Canada | 1 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2015 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 216,910 | $ | 216,910 | ||||
Short-Term Investments | 1,700 | 1,700 | ||||||
|
|
|
| |||||
Total Investments | $ | 218,610 | $ | 218,610 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2015.
See Notes to Financial Statements
6
Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—95.6% | ||||||||
Consumer Discretionary—28.7% | ||||||||
Amazon.com, Inc.(2) | 300 | $ | 130 | |||||
AutoNation, Inc.(2) | 270 | 17 | ||||||
AutoZone, Inc.(2) | 110 | 73 | ||||||
Best Buy Co., Inc. | 4,730 | 154 | ||||||
BorgWarner, Inc. | 750 | 43 | ||||||
Cablevision Systems Corp. Class A | 170 | 4 | ||||||
CarMax, Inc.(2) | 760 | 50 | ||||||
Carnival Corp. | 1,260 | 62 | ||||||
CBS Corp. Class B | 2,210 | 123 | ||||||
Comcast Corp. Class A | 2,240 | 135 | ||||||
Delphi Automotive plc | 920 | 78 | ||||||
DIRECTV(2) | 460 | 43 | ||||||
Discovery Communications, Inc. Class A(2) | 670 | 22 | ||||||
Discovery Communications, Inc. Class C(2) | 1,200 | 37 | ||||||
Expedia, Inc. | 80 | 9 | ||||||
GameStop Corp. Class A | 1,490 | 64 | ||||||
Gap, Inc. (The) | 580 | 22 | ||||||
Garmin Ltd. | 1,980 | 87 | ||||||
Genuine Parts Co. | 2,470 | 221 | ||||||
Goodyear Tire & Rubber Co. (The) | 7,280 | 220 | ||||||
H&R Block, Inc. | 7,260 | 215 | ||||||
Harman International Industries, Inc. | 1,110 | 132 | ||||||
Hasbro, Inc. | 1,370 | 102 | ||||||
Home Depot, Inc. | 1,350 | 150 | ||||||
Interpublic Group of Cos., Inc. (The) | 3,540 | 68 | ||||||
Johnson Controls, Inc. | 2,030 | 101 | ||||||
L Brands, Inc. | 540 | 46 | ||||||
Leggett & Platt, Inc. | 1,640 | 80 | ||||||
Lowe’s Cos., Inc. | 1,070 | 72 | ||||||
Marriott International, Inc. Class A | 660 | 49 | ||||||
Mattel, Inc. | 4,460 | 115 | ||||||
Mohawk Industries, Inc.(2) | 740 | 141 | ||||||
Netflix, Inc.(2) | 40 | 26 | ||||||
News Corp. Class A(2) | 7,410 | 108 | ||||||
NIKE, Inc. Class B | 2,060 | 223 | ||||||
O’Reilly Automotive, Inc.(2) | 340 | 77 | ||||||
Omnicom Group, Inc. | 2,140 | 149 | ||||||
Priceline Group, Inc. (The)(2) | 40 | 46 | ||||||
Ross Stores, Inc. | 930 | 45 | ||||||
Royal Caribbean Cruises Ltd. | 460 | 36 | ||||||
Scripps Networks Interactive, Inc. Class A | 480 | 31 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 540 | 44 | ||||||
Time Warner, Inc. | 550 | 48 | ||||||
Time Warner Cable, Inc. | 230 | 41 | ||||||
TJX Cos., Inc. | 1,480 | 98 | ||||||
TripAdvisor, Inc.(2) | 80 | 7 | ||||||
Twenty-First Century Fox, Inc. Class A | 1,280 | 42 | ||||||
Urban Outfitters, Inc.(2) | 250 | 9 | ||||||
Viacom, Inc. Class B | 250 | 16 | ||||||
Walgreens Boots Alliance, Inc. | 1,030 | 87 | ||||||
Walt Disney Co. (The) | 1,030 | 118 | ||||||
Whirlpool Corp. | 1,250 | 216 | ||||||
Wyndham Worldwide Corp. | 380 | 31 | ||||||
|
| |||||||
4,363 | ||||||||
|
|
SHARES | VALUE | |||||||
Consumer Staples—6.6% | ||||||||
Archer-Daniels-Midland Co. | 4,380 | $ | 211 | |||||
Brown-Forman Corp. Class B | 940 | 94 | ||||||
Constellation Brands, Inc. Class A | 1,100 | 128 | ||||||
CVS Health Corp. | 1,280 | 134 | ||||||
Kroger Co. (The) | 2,120 | 154 | ||||||
Molson Coors Brewing Co. Class B | 3,150 | 220 | ||||||
Whole Foods Market, Inc. | 1,690 | 67 | ||||||
|
| |||||||
1,008 | ||||||||
|
| |||||||
Energy—2.9% | ||||||||
Kinder Morgan, Inc. | 2,830 | 109 | ||||||
Marathon Petroleum Corp. | 1,070 | 56 | ||||||
ONEOK, Inc. | 360 | 14 | ||||||
Phillips 66 | 1,090 | 88 | ||||||
Spectra Energy Corp. | 1,150 | 37 | ||||||
Tesoro Corp. | 260 | 22 | ||||||
Valero Energy Corp. | 990 | 62 | ||||||
Williams Cos., Inc. (The) | 1,000 | 57 | ||||||
|
| |||||||
445 | ||||||||
|
| |||||||
Financials—8.9% | ||||||||
American Express Co. | 1,320 | 102 | ||||||
AON plc | 1,040 | 104 | ||||||
Capital One Financial Corp. | 780 | 69 | ||||||
CBRE Group, Inc. Class A(2) | 6,030 | 223 | ||||||
Charles Schwab Corp. (The) | 1,370 | 45 | ||||||
CME Group, Inc. | 650 | 60 | ||||||
Discover Financial Services | 680 | 39 | ||||||
E*Trade Financial Corp.(2) | 360 | 11 | ||||||
Goldman Sachs Group, Inc. (The) | 470 | 98 | ||||||
HCP, Inc. | 1,640 | 60 | ||||||
Health Care REIT, Inc. | 1,240 | 81 | ||||||
Intercontinental Exchange, Inc. | 240 | 54 | ||||||
Marsh & McLennan Cos., Inc. | 2,060 | 117 | ||||||
McGraw-Hill Cos., Inc. (The) | 570 | 57 | ||||||
Moody’s Corp. | 350 | 38 | ||||||
Morgan Stanley | 1,830 | 71 | ||||||
NASDAQ OMX Group, Inc. (The) | 240 | 12 | ||||||
Navient Corp. | 630 | 11 | ||||||
Realty Income Corp. | 500 | 22 | ||||||
Ventas, Inc. | 1,190 | 74 | ||||||
|
| |||||||
1,348 | ||||||||
|
| |||||||
Health Care—10.2% | ||||||||
AbbVie, Inc. | 300 | 20 | ||||||
Aetna, Inc. | 270 | 34 | ||||||
Agilent Technologies, Inc. | 970 | 37 | ||||||
Alexion Pharmaceuticals, Inc.(2) | 70 | 13 | ||||||
Allergan plc(2) | 70 | 21 | ||||||
AmerisourceBergen Corp. | 400 | 43 | ||||||
Amgen, Inc. | 310 | 48 | ||||||
Anthem, Inc. | 230 | 38 | ||||||
Biogen, Inc.(2) | 90 | 36 | ||||||
Bristol-Myers Squibb Co. | 320 | 21 | ||||||
Cardinal Health, Inc. | 610 | 51 | ||||||
Celgene Corp.(2) | 310 | 36 | ||||||
Cerner Corp.(2) | 3,250 | 225 | ||||||
CIGNA Corp. | 180 | 29 | ||||||
Eli Lilly & Co. | 160 | 13 | ||||||
Endo International plc(2) | 40 | 3 | ||||||
Gilead Sciences, Inc. | 540 | 63 | ||||||
HCA Holdings, Inc.(2) | 1,470 | 133 |
SHARES | VALUE | |||||||
Health Care—continued | ||||||||
Hospira, Inc.(2) | 40 | $ | 4 | |||||
Humana, Inc. | 120 | 23 | ||||||
Johnson & Johnson | 550 | 54 | ||||||
Mallinckrodt plc(2) | 20 | 2 | ||||||
McKesson Corp. | 430 | 97 | ||||||
Merck & Co., Inc. | 550 | 31 | ||||||
Mylan NV | 90 | 6 | ||||||
Patterson Cos., Inc. | 150 | 7 | ||||||
PerkinElmer, Inc. | 290 | 15 | ||||||
Perrigo Co. plc | 30 | 6 | ||||||
Pfizer, Inc. | 1,160 | 39 | ||||||
Regeneron Pharmaceuticals, Inc.(2) | 30 | 15 | ||||||
Schein (Henry), Inc.(2) | 150 | 21 | ||||||
Tenet Healthcare Corp.(2) | 470 | 27 | ||||||
Thermo Fisher Scientific, Inc. | 1,070 | 139 | ||||||
UnitedHealth Group, Inc. | 810 | 99 | ||||||
Universal Health Services, Inc. Class B | 440 | 63 | ||||||
Vertex Pharmaceuticals, Inc.(2) | 100 | 12 | ||||||
Waters Corp.(2) | 230 | 30 | ||||||
Zoetis, Inc. | 100 | 5 | ||||||
|
| |||||||
1,559 | ||||||||
|
| |||||||
Industrials—13.4% | ||||||||
Allegion plc | 1,450 | 87 | ||||||
American Airlines Group, Inc. | 1,890 | 75 | ||||||
Avery Dennison Corp. | 830 | 51 | ||||||
Boeing Co. (The) | 310 | 43 | ||||||
Cintas Corp. | 2,630 | 222 | ||||||
CSX Corp. | 1,410 | 46 | ||||||
Delta Air Lines, Inc. | 2,040 | 84 | ||||||
Dover Corp. | 260 | 18 | ||||||
Dun & Bradstreet Corp. | 250 | 31 | ||||||
Equifax, Inc. | 810 | 79 | ||||||
Flowserve Corp. | 220 | 12 | ||||||
General Dynamics Corp. | 140 | 20 | ||||||
Honeywell International, Inc. | 360 | 37 | ||||||
Illinois Tool Works, Inc. | 560 | 51 | ||||||
Ingersoll-Rand plc | 420 | 28 | ||||||
Kansas City Southern | 160 | 15 | ||||||
L-3 Communications Holdings, Inc. | 40 | 5 | ||||||
Lockheed Martin Corp. | 120 | 22 | ||||||
Masco Corp. | 5,050 | 135 | ||||||
Nielsen Holdings NV | 2,470 | 111 | ||||||
Norfolk Southern Corp. | 450 | 39 | ||||||
Northrop Grumman Corp. | 90 | 14 | ||||||
Pall Corp. | 160 | 20 | ||||||
Parker Hannifin Corp. | 230 | 27 | ||||||
Pentair plc | 290 | 20 | ||||||
Precision Castparts Corp. | 70 | 14 | ||||||
Raytheon Co. | 160 | 15 | ||||||
Robert Half International, Inc. | 4,000 | 222 | ||||||
Rockwell Collins, Inc. | 60 | 6 | ||||||
Ryder System, Inc. | 2,520 | 220 | ||||||
Snap-On, Inc. | 90 | 14 | ||||||
Southwest Airlines Co. | 1,720 | 57 | ||||||
Stanley Black & Decker, Inc. | 240 | 25 | ||||||
Textron, Inc. | 140 | 6 | ||||||
Union Pacific Corp. | 1,260 | 120 | ||||||
United Technologies Corp. | 390 | 43 | ||||||
Xylem, Inc. | 290 | 11 | ||||||
|
| |||||||
2,045 | ||||||||
|
|
Refer to Footnote Legend on page 8.
See Notes to Financial Statements
7
Table of Contents
VIRTUS EQUITY TREND SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
Information Technology—12.5% | ||||||||
Adobe Systems, Inc.(2) | 760 | $ | 62 | |||||
Akamai Technologies, Inc.(2) | 70 | 5 | ||||||
Alliance Data Systems Corp.(2) | 40 | 12 | ||||||
Amphenol Corp. Class A | 1,530 | 89 | ||||||
Apple, Inc. | 1,430 | 179 | ||||||
Applied Materials, Inc. | 6,050 | 116 | ||||||
Autodesk, Inc.(2) | 430 | 22 | ||||||
Automatic Data Processing, Inc. | 300 | 24 | ||||||
Citrix Systems, Inc.(2) | 250 | 18 | ||||||
Computer Sciences Corp. | 90 | 6 | ||||||
Corning, Inc. | 6,690 | 132 | ||||||
eBay, Inc.(2) | 400 | 24 | ||||||
Electronic Arts, Inc.(2) | 3,350 | 223 | ||||||
EMC Corp. | 510 | 13 | ||||||
Equinix, Inc. | 20 | 5 | ||||||
Facebook, Inc. Class A(2) | 700 | 60 | ||||||
Fidelity National Information Services, Inc. | 180 | 11 | ||||||
Fiserv, Inc.(2) | 140 | 12 | ||||||
Gannett, Inc.(2) | 1,645 | 23 | ||||||
Google, Inc. Class A(2) | 100 | 54 | ||||||
Google, Inc. Class C(2) | 110 | 57 | ||||||
Hewlett-Packard Co. | 460 | 14 | ||||||
Intuit, Inc. | 470 | 47 | ||||||
KLA-Tencor Corp. | 800 | 45 | ||||||
Lam Research Corp. | 730 | 59 | ||||||
MasterCard, Inc. Class A | 580 | 54 | ||||||
NetApp, Inc. | 90 | 3 | ||||||
Paychex, Inc. | 200 | 9 | ||||||
Salesforce.com, Inc.(2) | 1,030 | 72 | ||||||
SanDisk Corp. | 60 | 3 | ||||||
Seagate Technology plc | 90 | 4 | ||||||
TE Connectivity Ltd. | 3,350 | 215 | ||||||
Tegna, Inc.(2) | 3,290 | 106 | ||||||
Total System Services, Inc. | 110 | 5 | ||||||
VeriSign, Inc.(2) | 40 | 2 | ||||||
Visa, Inc. Class A | 1,190 | 80 | ||||||
Western Digital Corp. | 60 | 5 | ||||||
Western Union Co. (The) | 320 | 7 | ||||||
Xerox Corp. | 630 | 7 | ||||||
Yahoo!, Inc.(2) | 340 | 13 | ||||||
|
| |||||||
1,897 | ||||||||
|
| |||||||
Materials—8.2% | ||||||||
Dow Chemical Co. (The) | 1,740 | 89 | ||||||
Du Pont (E.I.) de Nemours & Co. | 1,490 | 95 | ||||||
Eastman Chemical Co. | 230 | 19 | ||||||
Ecolab, Inc. | 540 | 61 | ||||||
FMC Corp. | 230 | 12 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 11,330 | 211 | ||||||
International Flavors & Fragrances, Inc. | 160 | 17 | ||||||
International Paper Co. | 4,430 | 211 | ||||||
Martin Marietta Materials, Inc. | 680 | 96 | ||||||
MeadWestvaco Corp. | 1,580 | 75 | ||||||
PPG Industries, Inc. | 540 | 62 | ||||||
Sealed Air Corp. | 1,810 | 93 | ||||||
Sherwin-Williams Co. (The) | 170 | 47 | ||||||
Sigma-Aldrich Corp. | 240 | 33 | ||||||
Vulcan Materials Co. | 1,440 | 121 | ||||||
|
| |||||||
1,242 | ||||||||
|
|
SHARES | VALUE | |||||||
Retail REITs—1.3% | ||||||||
General Growth Properties, Inc. | 1,330 | $ | 34 | |||||
Kimco Realty Corp. | 890 | 20 | ||||||
Macerich Co. (The) | 310 | 23 | ||||||
Simon Property Group, Inc. | 680 | 118 | ||||||
|
| |||||||
195 | ||||||||
|
| |||||||
Telecommunication Services—1.5% | ||||||||
Level 3 Communications, Inc.(2) | 4,200 | 221 | ||||||
|
| |||||||
221 | ||||||||
|
| |||||||
Utilities—1.4% | ||||||||
AGL Resources, Inc. | 4,610 | 215 | ||||||
|
| |||||||
215 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $14,986) | 14,538 | |||||||
TOTAL LONG TERM INVESTMENTS—95.6% | ||||||||
(Identified Cost $14,986) | 14,538 | |||||||
SHORT-TERM INVESTMENTS—1.0% | ||||||||
Money Market Mutual Funds—1.0% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (seven-day effective yield 0.140%) | 48,894 | 49 | ||||||
JPMorgan Prime Money Market Fund (seven-day effective yield 0.090%) | 48,894 | 49 | ||||||
JPMorgan U.S. Government Money Market Fund (seven-day effective yield 0.04%) | 50,376 | 50 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $148) | 148 | |||||||
TOTAL INVESTMENTS—96.6% | ||||||||
(Identified Cost $15,134) | 14,686 | (1) | ||||||
Other assets and liabilities, net—3.4% |
| 523 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 15,209 | ||||||
|
|
Abbreviation:
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 14,538 | $ | 14,538 | ||||
Short-Term Investments | 148 | 148 | ||||||
|
|
|
| |||||
Total Investments | $ | 14,686 | $ | 14,686 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2015.
See Notes to Financial Statements
8
Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.3% | ||||||||
Consumer Discretionary—16.3% | ||||||||
Bayerische Motoren Werke ADR | 69,000 | $ | 2,534 | |||||
Ford Motor Co. | 176,000 | 2,642 | ||||||
GameStop Corp. Class A | 31,000 | 1,332 | ||||||
Lear Corp. | 22,000 | 2,470 | ||||||
Mohawk Industries, Inc.(2) | 13,000 | 2,481 | ||||||
Regal Entertainment Group Class A | 121,000 | 2,530 | ||||||
Royal Caribbean Cruises Ltd. | 29,000 | 2,282 | ||||||
Viacom, Inc. Class B | 36,000 | 2,327 | ||||||
Whirlpool Corp. | 14,000 | 2,423 | ||||||
|
| |||||||
21,021 | ||||||||
|
| |||||||
Consumer Staples—5.0% | ||||||||
Archer-Daniels-Midland Co. | 54,000 | 2,604 | ||||||
Clorox Co. (The) | 12,000 | 1,248 | ||||||
PepsiCo, Inc. | 28,000 | 2,614 | ||||||
|
| |||||||
6,466 | ||||||||
|
| |||||||
Energy—7.6% | ||||||||
Continental Resources, Inc.(2) | 51,000 | 2,162 | ||||||
Hess Corp. | 36,000 | 2,408 | ||||||
Schlumberger Ltd. | 31,000 | 2,672 | ||||||
Valero Energy Corp. | 41,000 | 2,566 | ||||||
|
| |||||||
9,808 | ||||||||
|
| |||||||
Financials—16.7% | ||||||||
BB&T Corp. | 63,000 | 2,540 | ||||||
BlackRock, Inc. | 7,600 | 2,629 | ||||||
Blackstone Group LP (The) | 65,000 | 2,657 | ||||||
Goldman Sachs Group, Inc. (The) | 13,100 | 2,735 | ||||||
JPMorgan Chase & Co. | 40,000 | 2,710 | ||||||
Lincoln National Corp. | 46,000 | 2,724 | ||||||
Progressive Corp. (The) | 87,000 | 2,421 | ||||||
Prudential Financial, Inc. | 29,000 | 2,538 | ||||||
Wells Fargo & Co. | 11,000 | 619 | ||||||
|
| |||||||
21,573 | ||||||||
|
| |||||||
Health Care—16.1% | ||||||||
Abbott Laboratories | 53,000 | 2,601 | ||||||
Becton, Dickinson & Co. | 19,000 | 2,691 | ||||||
Biogen, Inc.(2) | 6,300 | 2,545 | ||||||
Gilead Sciences, Inc. | 24,000 | 2,810 | ||||||
HCA Holdings, Inc.(2) | 27,000 | 2,449 | ||||||
St. Jude Medical, Inc. | 36,000 | 2,631 | ||||||
UnitedHealth Group, Inc. | 21,000 | 2,562 | ||||||
Zimmer Biomet Holdings, Inc. | 22,000 | 2,403 | ||||||
|
| |||||||
20,692 | ||||||||
|
| |||||||
Industrials—12.8% | ||||||||
Alaska Air Group, Inc. | 42,000 | 2,706 | ||||||
FedEx Corp. | 15,000 | 2,556 | ||||||
L-3 Communications Holdings, Inc. | 22,000 | 2,495 | ||||||
Parker Hannifin Corp. | 22,000 | 2,559 | ||||||
Southwest Airlines Co. | 60,000 | 1,986 | ||||||
Trinity Industries, Inc. | 75,000 | 1,982 |
SHARES | VALUE | |||||||
Industrials—continued | ||||||||
United Rentals, Inc.(2) | 26,000 | $ | 2,278 | |||||
|
| |||||||
16,562 | ||||||||
|
| |||||||
Information Technology—17.5% | ||||||||
Apple, Inc. | 20,000 | 2,509 | ||||||
EMC Corp. | 100,000 | 2,639 | ||||||
Facebook, Inc. Class A(2) | 29,000 | 2,487 | ||||||
Google, Inc. Class A(2) | 2,000 | 1,080 | ||||||
Google, Inc. Class C(2) | 3,409 | 1,775 | ||||||
Intel Corp. | 85,000 | 2,585 | ||||||
MasterCard, Inc. Class A | 28,000 | 2,618 | ||||||
Micron Technology, Inc.(2) | 135,000 | 2,543 | ||||||
QUALCOMM, Inc. | 40,000 | 2,505 | ||||||
Western Digital Corp. | 24,000 | 1,882 | ||||||
|
| |||||||
22,623 | ||||||||
|
| |||||||
Materials—5.2% | ||||||||
CF Industries Holdings, Inc. | 41,000 | 2,635 | ||||||
Hi-Crush Partners LP | 46,210 | 1,418 | ||||||
Mosaic Co. (The) | 56,000 | 2,624 | ||||||
|
| |||||||
6,677 | ||||||||
|
| |||||||
Telecommunication Services—2.1% | ||||||||
Verizon Communications, Inc. | 57,000 | 2,657 | ||||||
TOTAL COMMON STOCKS (Identified Cost $98,286) | 128,079 | |||||||
TOTAL LONG TERM INVESTMENTS—99.3% | ||||||||
(Identified Cost $98,286) | 128,079 | |||||||
SHORT-TERM INVESTMENTS—0.7% | ||||||||
Money Market Mutual Fund—0.7% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (seven-day effective yield 0.140%) | 863,236 | 863 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $863) | 863 | |||||||
TOTAL INVESTMENTS—100.0% (Identified Cost $99,149) | 128,942 | (1) | ||||||
Other assets and liabilities, net—0.0% |
| 21 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 128,963 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 128,079 | $ | 128,079 | ||||
Short-Term Investments | 863 | 863 | ||||||
|
|
|
| |||||
Total Investments | $ | 128,942 | $ | 128,942 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2015.
See Notes to Financial Statements
9
Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
PREFERRED STOCKS—9.0% | ||||||||
Consumer Staples—1.0% | ||||||||
Henkel AG & Co. KGAA (Germany) | 22,100 | $ | 2,479 | |||||
|
| |||||||
Financials—2.6% | ||||||||
Banco Bradesco S.A. Sponsored ADR 0.420% (Brazil) | 709,437 | 6,499 | ||||||
|
| |||||||
Information Technology—3.6% | ||||||||
Samsung Electronics Co., Ltd. 1.770% (South Korea) | 10,000 | 8,902 | ||||||
|
| |||||||
Materials—1.8% | ||||||||
Vale S.A. ADR 7.650% (Brazil) | 848,400 | 4,284 | ||||||
TOTAL PREFERRED STOCKS (Identified Cost $21,686) | 22,164 | |||||||
COMMON STOCKS—90.0% | ||||||||
Consumer Staples—15.1% | ||||||||
British American Tobacco plc (United Kingdom) | 158,900 | 8,526 | ||||||
Casino Guichard Perrachon SA (France) | 57,400 | 4,348 | ||||||
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR (Mexico) | 74,200 | 6,611 | ||||||
Japan Tobacco, Inc. (Japan) | 252,300 | 8,989 | ||||||
Nestle S.A. Registered Shares (Switzerland) | 121,000 | 8,736 | ||||||
|
| |||||||
37,210 | ||||||||
|
| |||||||
Energy—6.3% | ||||||||
John Wood Group plc (United Kingdom) | 355,800 | 3,603 | ||||||
Royal Dutch Shell plc B Shares (United Kingdom) | 234,900 | 6,669 | ||||||
Tenaris S.A. ADR (Italy) | 193,800 | 5,237 | ||||||
|
| |||||||
15,509 | ||||||||
|
| |||||||
Financials—17.3% | ||||||||
AIA Group Ltd. (Hong Kong) | 1,126,400 | 7,375 | ||||||
City Developments Ltd. (Singapore) | 485,000 | 3,522 | ||||||
Daito Trust Construction Co., Ltd. (Japan) | 24,900 | 2,580 | ||||||
HSBC Holdings plc (United Kingdom) | 535,435 | 4,796 | ||||||
Nordea Bank AB (Sweden) | 323,700 | 4,037 | ||||||
Oversea-Chinese Banking Corp. (Singapore) | 646,837 | 4,889 | ||||||
Standard Chartered plc (United Kingdom) | 372,827 | 5,969 | ||||||
Swire Pacific Ltd. Class B (Hong Kong) | 1,405,000 | 3,299 | ||||||
Zurich Financial Services AG (Switzerland) | 20,200 | 6,149 | ||||||
|
| |||||||
42,616 | ||||||||
|
|
SHARES | VALUE | |||||||
Health Care—10.1% | ||||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 30,700 | $ | 2,534 | |||||
Novartis AG Registered Shares (Switzerland) | 116,600 | 11,492 | ||||||
Roche Holding AG (Switzerland) | 39,100 | 10,957 | ||||||
|
| |||||||
24,983 | ||||||||
|
| |||||||
Industrials—17.6% | ||||||||
Atlas Copco AB (Sweden) | 204,260 | 5,717 | ||||||
Canadian National Railway Co. (Canada) | 81,400 | 4,696 | ||||||
Experian plc (United Kingdom) | 308,300 | 5,615 | ||||||
FANUC Corp. (Japan) | 38,700 | 7,931 | ||||||
Jardine Matheson Holdings Ltd. (Hong Kong) | 87,600 | 4,971 | ||||||
Rolls-Royce Holdings plc C Shares (United Kingdom) | 338,200 | 4,623 | ||||||
Rolls-Royce Holdings plc Entitlement Shares (United Kingdom) | 54,834,900 | 86 | ||||||
Schindler Holding AG (Switzerland) | 15,000 | 2,453 | ||||||
Schneider Electric SE (France) | 51,900 | 3,583 | ||||||
Weir Group plc (The) (United Kingdom) | 141,600 | 3,776 | ||||||
|
| |||||||
43,451 | ||||||||
|
| |||||||
Information Technology—6.1% | ||||||||
Check Point Software Technologies Ltd. (Israel)(2) | 32,400 | 2,577 | ||||||
Taiwan Semiconductors Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 384,900 | 8,741 | ||||||
Telefonaktiebolaget LM Ericsson Class B (Sweden) | 361,200 | 3,743 | ||||||
|
| |||||||
15,061 | ||||||||
|
| |||||||
Materials—9.2% | ||||||||
BHP Billiton plc (United Kingdom) | 311,200 | 6,107 | ||||||
Linde AG (Germany) | 19,200 | 3,637 | ||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 176,500 | 5,466 | ||||||
Shin-Etsu Chemical Co., Ltd. (Japan) | 115,800 | 7,190 | ||||||
South32 Ltd. (Australia)(2) | 294,940 | 399 | ||||||
|
| |||||||
22,799 | ||||||||
|
| |||||||
Telecommunication Services—7.2% | ||||||||
MTN Group Ltd. (South Africa) | 287,400 | 5,404 | ||||||
Singapore Telecommunications Ltd. (Singapore) | 1,964,000 | 6,139 | ||||||
TELUS Corp. (Canada) | 82,700 | 2,849 | ||||||
Vodafone Group plc (United Kingdom) | 908,161 | 3,280 | ||||||
|
| |||||||
17,672 | ||||||||
|
|
SHARES | VALUE | |||||||
Utilities—1.1% | ||||||||
GDF Suez (France) | 142,800 | $ | 2,649 | |||||
TOTAL COMMON STOCKS (Identified Cost $158,754) | 221,950 | |||||||
TOTAL LONG TERM INVESTMENTS—99.0% | ||||||||
(Identified Cost $180,440) | 244,114 | |||||||
SHORT-TERM INVESTMENTS—0.5% | ||||||||
Money Market Mutual Fund—0.5% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (seven-day effective yield 0.140%) | 1,132,466 | 1,132 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $1,132) | 1,132 | |||||||
TOTAL INVESTMENTS—99.5% | ||||||||
(Identified Cost $181,572) | 245,246 | (1) | ||||||
Other assets and liabilities, net—0.5% |
| 1,280 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 246,526 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
Country Weightings† | ||||
United Kingdom | 22 | % | ||
Switzerland | 16 | |||
Japan | 11 | |||
Hong Kong | 6 | |||
Singapore | 6 | |||
Sweden | 6 | |||
Canada | 5 | |||
Other | 28 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2015 |
|
See Notes to Financial Statements
10
Table of Contents
VIRTUS INTERNATIONAL SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Equity Securities: | ||||||||||||
Common Stocks | $ | 221,950 | $ | 221,864 | $ | 86 | ||||||
Preferred Stocks | 22,164 | 22,164 | — | |||||||||
Short-Term Investments | 1,132 | 1,132 | — | |||||||||
|
|
|
|
|
| |||||||
Total Investments | $ | 245,246 | $ | 245,160 | $ | 86 | ||||||
|
|
|
|
|
|
There are no Level 3 (significant unobservable inputs) priced securities.
Securities held by the Series with an end of period value of $172,066 were transferred from Level 2 to Level 1 based on our valuation procedures for non-U.S. securities (See Note 2A in the Notes to Financial Statements).
See Notes to Financial Statements
11
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—1.3% | ||||||||
U.S. Treasury Note 2.250%, 11/15/24 | $ | 1,900 | $ | 1,885 | ||||
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $1,944) | 1,885 | |||||||
MUNICIPAL BONDS—1.4% | ||||||||
California—0.7% | ||||||||
Alameda Corridor Transportation Authority Series 99 – C, Taxable (NATL Insured) 6.600%, 10/1/29 | 875 | 1,018 | ||||||
Massachusetts—0.3% | ||||||||
Commonwealth of Massachusetts, Series C, Taxable | 305 | 372 | ||||||
Michigan—0.1% | ||||||||
Tobacco Settlement Finance Authority Taxable Series A, 7.309%, 6/1/34 | 195 | 165 | ||||||
Virginia—0.3% | ||||||||
Tobacco Settlement Financing Corp. Series A-1, Taxable | 655 | 479 | ||||||
TOTAL MUNICIPAL BONDS (Identified Cost $2,067) | 2,034 | |||||||
FOREIGN GOVERNMENT SECURITIES—4.9% | ||||||||
Argentine Republic Series NY, | 562 | 540 | ||||||
Bolivarian Republic of Venezuela | ||||||||
RegS 7.000%, 12/1/18(4) | 93 | 41 | ||||||
RegS 7.750%, 10/13/19(4) | 87 | 34 | ||||||
7.650%, 4/21/25 | 825 | 305 | ||||||
9.250%, 9/15/27 | 470 | 202 | ||||||
9.375%, 1/13/34 | 750 | 298 | ||||||
Kingdom of Morocco 144A 4.250%, 12/11/22(3) | 505 | 515 | ||||||
Mongolia 144A 5.125%, 12/5/22(3) | 340 | 309 | ||||||
Republic of Azerbaijan 144A 4.750%, 3/18/24(3) | 370 | 377 | ||||||
Republic of Chile 5.500%, 8/5/20 | 231,500 | CLP | 387 | |||||
Republic of Colombia 4.375%, 3/21/23 | 994,000 | COP | 345 | |||||
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(3) | 305 | 298 | ||||||
Republic of El Salvador 144A 6.375%, 1/18/27(3) | 475 | 462 | ||||||
Republic of Indonesia | ||||||||
Series FR30, | 3,750,000 | IDR | 290 | |||||
Series FR63, | 2,221,000 | IDR | 141 | |||||
Republic of Iraq RegS 5.800%, 1/15/28(4) | 250 | 203 |
PAR VALUE | VALUE | |||||||
FOREIGN GOVERNMENT SECURITIES—continued | ||||||||
Republic of Panama 3.750%, 3/16/25 | $ | 380 | $ | 374 | ||||
Republic of Romania 144A 4.875%, 1/22/24(3) | 210 | 222 | ||||||
Republic of South Africa | ||||||||
Series R203, 8.250%, 9/15/17 | 2,375 | ZAR | 199 | |||||
Series R208, 6.750%, 3/31/21 | 1,310 | ZAR | 102 | |||||
Russian Federation | ||||||||
144A 7.850%, 3/10/18(3) | 30,000 | RUB | 500 | |||||
144A 4.875%, 9/16/23(3) | 800 | 791 | ||||||
United Mexican States Series M, | 6,043 | MXN | 398 | |||||
TOTAL FOREIGN GOVERNMENT SECURITIES | ||||||||
(Identified Cost $8,978) | 7,333 | |||||||
MORTGAGE-BACKED SECURITIES—14.2% | ||||||||
Agency—1.2% | ||||||||
FHLMC 14-DN2, M2 1.837%, 4/25/24(2) | 350 | 342 | ||||||
FNMA | ||||||||
3.000%, 5/1/43 | 633 | 632 | ||||||
3.000%, 6/1/43 | 446 | 445 | ||||||
3.500%, 1/1/45 | 284 | 292 | ||||||
|
| |||||||
1,711 | ||||||||
|
| |||||||
Non-Agency—13.0% | ||||||||
Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32(2)(3) | 400 | 413 | ||||||
Banc of America Alternative Loan Trust 03-10, 2A1 6.000%, 12/25/33 | 50 | 53 | ||||||
Banc of America Funding Trust 05-1, 1A1 5.500%, 2/25/35 | 163 | 166 | ||||||
Bank of America (Merrill Lynch – Countrywide) Alternative Loan Trust | 265 | 281 | ||||||
Bank of America (Merrill Lynch – Countrywide) Mortgage Trust 06-C1, AM 5.865%, 5/12/39(2) | 350 | 360 | ||||||
Bank of America (Merrill Lynch) Mortgage Investors Trust 98-C1, C 6.750%, 11/15/26(2) | 465 | 512 | ||||||
Barclays (Lehman Brothers) – UBS Commercial Mortgage Trust | ||||||||
07-C3, A4 6.101%, 7/15/44(2) | 395 | 422 | ||||||
07-C7, A3 5.866%, 9/15/45(2) | 449 | 485 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
05-5, 2A3 5.000%, 8/25/35 | 178 | 177 | ||||||
15-A, A1 3.500%, 6/25/58(2) | 387 | 389 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Commercial Mortgage Trust 07-GG11, AM 5.867%, 12/10/49(2) | $ | 771 | $ | 827 | ||||
Credit Suisse Commercial Mortgage Trust | ||||||||
07-C1, A1A | 287 | 300 | ||||||
07-C2, A3 | 740 | 780 | ||||||
CSAIL Commercial Mortgage Trust 15-C2, AS | 735 | 744 | ||||||
Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.586%, 8/10/44(2)(3) | 350 | 364 | ||||||
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A | 290 | 288 | ||||||
Goldman Sachs Mortgage Securities Trust II 07-GG10, A4 5.989%, 8/10/45(2) | 570 | 608 | ||||||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust | ||||||||
04-1, 21A1 | 362 | 358 | ||||||
04-10, 12A3 | 441 | 437 | ||||||
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities, Inc. | ||||||||
06-PW12, AM | 750 | 776 | ||||||
05-PW10, AM | 725 | 736 | ||||||
07- PW15, AM | 280 | 290 | ||||||
07-PW18, AM | 1,475 | 1,610 | ||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust 04-CB1, 5A | 16 | 17 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
14-1, 1A1 144A | 552 | 573 | ||||||
06-LDP7, AM | 780 | 808 | ||||||
06-LDP9, A3 | 335 | 350 | ||||||
07-LDPX, AM | 450 | 465 | ||||||
JPMorgan Chase Mortgage Trust | ||||||||
05-A1, 4A1 | 24 | 24 | ||||||
05-A4, 3A1 | 35 | 35 | ||||||
MASTR Reperforming Loan Trust 05-1, 1A2 144A 6.500%, 8/25/34(3) | 360 | 362 |
Refer to Footnote Legend on page 18.
See Notes to Financial Statements
12
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Morgan Stanley Capital I Trust 07-IQ14, AM 5.867%, 4/15/49(2) | $ | 325 | $ | 339 | ||||
Morgan Stanley Capital I, Inc. 4.163%, 5/15/48(2) | 519 | 534 | ||||||
New Residential Mortgage Loan Trust 14-1A, A 144A 3.750%, 1/25/54(2)(3) | 222 | 229 | ||||||
Nomura Asset Acceptance Corp. 04-R3, A1 144A 6.500%, 2/25/35(3) | 343 | 351 | ||||||
Residential Accredit Loans, Inc. 03-QS6, A4 4.250%, 3/25/33 | 19 | 19 | ||||||
Residential Asset Mortgage Products, Inc. | ||||||||
04-SL1, A8 6.500%, 11/25/31 | 34 | 35 | ||||||
05-SL2, A4 7.500%, 2/25/32 | 229 | 240 | ||||||
Sequoia Mortgage Trust | ||||||||
14-2, A1 144A 4.000%, 7/25/44(2)(3) | 226 | 232 | ||||||
15-1, A1 144A 3.500%, 1/25/45(2)(3) | 411 | 409 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 04-4, 3A1 | 304 | 301 | ||||||
Wells Fargo (Royal Bank of Scotland plc) Commercial Mortgage Trust 11-C5, C 144A 5.822%, 11/15/44(2)(3) | 330 | 368 | ||||||
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust | ||||||||
07-C30, A5 | 970 | 1,019 | ||||||
07-C32, A3 | 775 | 819 | ||||||
15-LC20, B | 150 | 146 | ||||||
Wells Fargo Mortgage Backed Securities Trust 06-17, A1 5.500%, 11/25/21 | 5 | 5 | ||||||
WinWater Mortgage Loan Trust 14-1, A1 144A 3.999%, 6/20/44(2)(3) | 267 | 274 | ||||||
|
| |||||||
19,330 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Identified Cost $20,201) | 21,041 | |||||||
ASSET-BACKED SECURITIES—6.4% | ||||||||
American Homes 4 Rent | 435 | 454 | ||||||
Ameriquest Mortgage Securities, Inc. 03-10, AF6 5.210%, 11/25/33(2) | 14 | 15 | ||||||
Bank of America (Merrill Lynch – Countrywide) Asset-Backed Certificates | ||||||||
05-1 AF5A 5.251%, 7/25/35(2) | 588 | 583 | ||||||
05-12, 2A4 5.575%, 2/25/36(2) | 340 | 339 |
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—continued | ||||||||
CarFinance Capital Auto Trust | $ | 895 | $ | 896 | ||||
Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43(3) | 387 | 392 | ||||||
CIT Group Home Equity Loan Trust 03-1, A5 4.980%, 7/20/34(2) | 300 | 302 | ||||||
Conseco Financial Corp. | ||||||||
94-1, A5 7.650%, 4/15/19 | 10 | 10 | ||||||
01-3, A4 6.910%, 5/1/33(2) | 575 | 634 | ||||||
DB Master Finance LLC 15-A1, A2II 144A 3.980%, 2/20/45(3) | 160 | 159 | ||||||
Drive Auto Receivables Trust 15-AA, D 144A 4.120%, 6/15/22(3) | 450 | 452 | ||||||
Drug Royalty LP II 14-1, A2 144A 3.484%, 7/15/23(3) | 476 | 483 | ||||||
Exeter Automobile Receivables Trust | ||||||||
14-1A, C 144A 3.570%, 7/15/19(3) | 340 | 344 | ||||||
15-2A, C 144A 3.900%, 3/15/21(3) | 380 | 381 | ||||||
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42(3) | 601 | 602 | ||||||
Foursight Capital Automobile Receivables Trust 15-1, B 144A 4.120%, 9/15/22(3) | 455 | 455 | ||||||
Greater Capital Association of Realtors 15-1A, C 9.790%, 10/15/25 | 250 | 250 | ||||||
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35(2) | 214 | 218 | ||||||
LEAF Receivables Funding 9 LLC 13-1, E1 144A 6.000%, 9/15/21(3) | 398 | 408 | ||||||
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35(2)(3) | 354 | 367 | ||||||
Origen Manufactured Housing Contract Trust 04-B, M1 5.730%, 11/15/35(2) | 249 | 259 | ||||||
Residential Funding Mortgage Securities II Home Loan Trust 07-HI1, A3 | 95 | 96 | ||||||
SVO VOI Mortgage Corp. 10-AA, A 144A 3.650%, 7/20/27(3) | 27 | 27 | ||||||
U-Haul S Fleet LLC | 515 | 536 | ||||||
Vericrest Opportunity Loan Trust | ||||||||
15-NPL2, A1 144A 3.375%, 2/25/55(2)(3) | 166 | 165 | ||||||
15-NPL3, A1 144A 3.375%, 10/25/58(2)(3) | 301 | 301 |
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—continued | ||||||||
Wendy’s Funding LLC 15-1A, A2II 144A 4.080%, 6/15/45(3) | $ | 455 | $ | 452 | ||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Identified Cost $9,399) | 9,580 | |||||||
CORPORATE BONDS AND NOTES—54.6% | ||||||||
Consumer Discretionary—5.9% | ||||||||
Argos Merger Sub, Inc. 144A 7.125%, 3/15/23(3) | 270 | 284 | ||||||
Boyd Gaming Corp. | ||||||||
9.000%, 7/1/20 | 130 | 142 | ||||||
6.875%, 5/15/23 | 145 | 149 | ||||||
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20(11) | 270 | 221 | ||||||
Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20 | 105 | 99 | ||||||
Caesars Growth Properties Holdings LLC 144A 9.375%, 5/1/22(3) | 230 | 174 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
Series A 7.625%, 3/15/20 | 250 | 259 | ||||||
Series B 7.625%, 3/15/20 | 440 | 460 | ||||||
iHeartCommunications, Inc. 10.000%, 1/15/18 | 115 | 93 | ||||||
Intelsat Jackson Holdings SA 5.500%, 8/1/23 | 285 | 253 | ||||||
International Game Technology plc 7.500%, 6/15/19 | 160 | 170 | ||||||
Isle of Capri Casinos, Inc. 5.875%, 3/15/21 | 412 | 425 | ||||||
Landry’s, Inc. 144A 9.375%, 5/1/20(3) | 300 | 323 | ||||||
Meritor, Inc. | 325 | 334 | ||||||
MGM Resorts International 6.000%, 3/15/23 | 165 | 168 | ||||||
MPG Holdco I, Inc. 7.375%, 10/15/22 | 285 | 305 | ||||||
New York University 4.142%, 7/1/48 | 225 | 213 | ||||||
Numericable Group SA 144A 6.000%, 5/15/22(3) | 200 | 198 | ||||||
Omega US Sub LLC 144A 8.750%, 7/15/23(3) | 300 | 301 | ||||||
Penn National Gaming, Inc. 5.875%, 11/1/21 | 220 | 223 | ||||||
Pinnacle Entertainment, Inc. 6.375%, 8/1/21 | 355 | 379 | ||||||
RCN Telecom Services LLC (RCN Capital Corp.) 144A 8.500%, 8/15/20(3) | 145 | 152 | ||||||
RSI Home Products, Inc. 144A 6.500%, 3/15/23(3) | 155 | 157 | ||||||
Scientific Games International, Inc. 144A 7.000%, 1/1/22(3) | 255 | 265 |
Refer to Footnote Legend on page 18.
See Notes to Financial Statements
13
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Seminole Hard Rock Entertainment, Inc. 144A 5.875%, 5/15/21(3) | $ | 405 | $ | 411 | ||||
Signet UK Finance plc 4.700%, 6/15/24 | 460 | 464 | ||||||
Standard Pacific Corp. 5.875%, 11/15/24 | 140 | 145 | ||||||
Station Casinos LLC 7.500%, 3/1/21 | 320 | 344 | ||||||
Taylor Morrison Communities, Inc. (Monarch Communities, Inc.) 144A | 245 | 243 | ||||||
Toll Brothers Finance Corp. 6.750%, 11/1/19 | 350 | 390 | ||||||
TRI Pointe Holdings, Inc. 5.875%, 6/15/24 | 305 | 300 | ||||||
Viking Cruises Ltd. 144A 8.500%, 10/15/22(3) | 350 | 390 | ||||||
VTR Finance B.V. 144A 6.875%, 1/15/24(3) | 345 | 353 | ||||||
|
| |||||||
8,787 | ||||||||
|
| |||||||
Consumer Staples—0.6% | ||||||||
Dole Food Co., Inc. 144A 7.250%, 5/1/19(3) | 155 | 157 | ||||||
Ingles Markets, Inc. 5.750%, 6/15/23 | 295 | 301 | ||||||
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25(3) | 115 | 117 | ||||||
Rite Aid Corp. 144A 6.125%, 4/1/23(3) | 70 | 72 | ||||||
Tops Holding LLC (Tops Markets II Corp.) 144A 8.000%, 6/15/22(3) | 300 | 302 | ||||||
|
| |||||||
949 | ||||||||
|
| |||||||
Energy—8.5% | ||||||||
Antero Resources Corp. 144A 5.625%, 6/1/23(3) | 165 | 160 | ||||||
Carrizo Oil & Gas, Inc. 7.500%, 9/15/20 | 275 | 291 | ||||||
CNOOC Finance USA LLC 3.500%, 5/5/25 | 405 | 389 | ||||||
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21 | 375 | 313 | ||||||
CONSOL Energy, Inc. 5.875%, 4/15/22 | 225 | 192 | ||||||
Denbury Resources, Inc. 5.500%, 5/1/22 | 170 | 153 | ||||||
Ecopetrol SA 5.375%, 6/26/26 | 375 | 371 | ||||||
Empresa Nacional del Petroleo 144A 4.375%, 10/30/24(3) | 350 | 349 | ||||||
EnQuest plc 144A 7.000%, 4/15/22(3) | 345 | 274 | ||||||
EP Energy LLC (Everest Acquisition Finance, Inc.) 144A 6.375%, 6/15/23(3) | 310 | 312 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
FTS International, Inc. 6.250%, 5/1/22 | $ | 175 | $ | 129 | ||||
Gazprom Neft OAO (GPN Capital SA) 144A 6.000%, 11/27/23(3)(7) | 335 | 309 | ||||||
Gazprom OAO (Gaz Capital SA) 144A 8.146%, 4/11/18(3) | 205 | 220 | ||||||
Gulfport Energy, Corp. 7.750%, 11/1/20 | 300 | 316 | ||||||
Helmerich & Payne International Drilling Co. 144A 4.650%, 3/15/25(3) | 220 | 227 | ||||||
Kinder Morgan, Inc. 7.750%, 1/15/32 | 305 | 349 | ||||||
Laredo Petroleum, Inc. | ||||||||
7.375%, 5/1/22 | 245 | 259 | ||||||
6.250%, 3/15/23 | 60 | 61 | ||||||
Linn Energy LLC 6.500%, 9/15/21 | 160 | 120 | ||||||
MarkWest Energy Partners LP (MarkWest Energy Finance Corp.) 4.875%, 12/1/24 | 205 | 201 | ||||||
MEG Energy Corp. 144A 7.000%, 3/31/24(3) | 300 | 289 | ||||||
Newfield Exploration Co. 5.375%, 1/1/26 | 305 | 302 | ||||||
NGL Energy Partners LP (NGL Energy Finance Corp.) 5.125%, 7/15/19 | 335 | 336 | ||||||
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22(3) | 547 | 392 | ||||||
Pacific Rubiales Energy Corp. 144A 5.375%, 1/26/19(3) | 240 | 198 | ||||||
Parker Drilling Co. (The) 7.500%, 8/1/20 | 365 | 334 | ||||||
Petrobras Global Finance BV | ||||||||
3.000%, 1/15/19 | 410 | 379 | ||||||
5.375%, 1/27/21 | 155 | 149 | ||||||
Petroleos de Venezuela SA | ||||||||
RegS 8.500%, 11/2/17(4) | 140 | 97 | ||||||
144A 6.000%, 5/16/24(3) | 650 | 234 | ||||||
RegS 6.000%, 11/15/26(4) | 360 | 129 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 1/21/21 | 350 | 380 | ||||||
4.875%, 1/18/24 | 145 | 149 | ||||||
5.500%, 6/27/44 | 200 | 184 | ||||||
QEP Resources, Inc. 6.875%, 3/1/21 | 390 | 407 | ||||||
QGOG Constellation SA 144A 6.250%, 11/9/19(3) | 400 | 294 | ||||||
Regency Energy Partners LP 4.500%, 11/1/23 | 385 | 372 | ||||||
Sabine Pass Liquefaction LLC 5.625%, 2/1/21 | 315 | 323 | ||||||
SM Energy Co. 144A 6.125%, 11/15/22(3) | 410 | 423 | ||||||
Sunoco LP (Sunoco Finance Corp.) 144A 6.375%, 4/1/23(3) | 340 | 355 | ||||||
Transcanada Trust 5.625%, 5/20/75(2) | 375 | 378 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Transocean, Inc. 4.300%, 10/15/22 | $ | 470 | $ | 355 | ||||
Whiting Petroleum Corp. 144A 6.250%, 4/1/23(3) | 300 | 299 | ||||||
Williams Cos., Inc. (The) | ||||||||
3.700%, 1/15/23 | 375 | 349 | ||||||
4.550%, 6/24/24 | 450 | 436 | ||||||
|
| |||||||
12,538 | ||||||||
|
| |||||||
Financials—19.9% | ||||||||
Akbank TAS 144A 7.500%, 2/5/18(3) | 530 | TRY | 178 | |||||
Allstate Corp. (The) 5.750%, 8/15/53(2)(6) | 625 | 660 | ||||||
Ally Financial, Inc. 3.600%, 5/21/18 | 40 | 40 | ||||||
Apollo Management Holdings LP | 440 | 440 | ||||||
Ares Capital Corp. 3.875%, 1/15/20 | 205 | 208 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21(3) | 425 | 459 | ||||||
Banco de Credito del Peru 144A 6.125%, 4/24/27(2)(3) | 520 | 554 | ||||||
Banco de Credito e Inversiones 144A 4.000%, 2/11/23(3) | 390 | 386 | ||||||
Banco Inbursa SA Institucion de Banca Multiple 144A 4.125%, 6/6/24(3) | 200 | 192 | ||||||
Banco Internacional del Peru SAA 144A 6.625%, 3/19/29(2)(3) | 155 | 165 | ||||||
Banco Santander Brasil SA 144A 8.000%, 3/18/16 | 600 | BRL | 182 | |||||
Banco Santander Chile | ||||||||
144A 3.750%, 9/22/15(3) | 100 | 100 | ||||||
144A 3.875%, 9/20/22(3) | 505 | 510 | ||||||
Bancolombia S.A. 5.125%, 9/11/22 | 545 | 544 | ||||||
Bank of America Corp. 4.200%, 8/26/24 | 130 | 130 | ||||||
Bank of China Ltd. 144A 5.000%, 11/13/24(3) | 390 | 399 | ||||||
Bank of Georgia JSC 144A 7.750%, 7/5/17(3) | 290 | 302 | ||||||
Barclays Bank plc 144A 6.050%, 12/4/17(3) | 435 | 473 | ||||||
Braskem America Finance Co. RegS 7.125%, 7/22/41(4) | 495 | 429 | ||||||
Chubb Corp. (The) 6.375%, 3/29/67(2) | 1,390 | 1,458 | ||||||
Citizens Financial Group, Inc. 144A 5.500%, 12/29/49(2)(3) | 300 | 292 | ||||||
Compass Bank 3.875%, 4/10/25 | 380 | 357 | ||||||
CTR Partnership LP (Caretrust Capital Corp.) 5.875%, 6/1/21 | 285 | 291 | ||||||
CyrusOne LP (CyrusOne Finance Corp.) 144A 6.375%, 11/15/22(3) | 300 | 311 |
Refer to Footnote Legend on page 18.
See Notes to Financial Statements
14
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22(3) | $ | 535 | $ | 476 | ||||
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3) | 440 | 440 | ||||||
ESH Hospitality, Inc. 144A 5.250%, 5/1/25(3) | 305 | 298 | ||||||
Eurasian Development Bank 144A 4.767%, 9/20/22(3) | 475 | 448 | ||||||
Excel Trust LP 4.625%, 5/15/24 | 175 | 166 | ||||||
Fidelity National Financial, Inc. 5.500%, 9/1/22 | 130 | 137 | ||||||
First Cash Financial Services, Inc. 6.750%, 4/1/21 | 200 | 212 | ||||||
First Niagara Financial Group, Inc. 7.250%, 12/15/21 | 610 | 680 | ||||||
FS Investment Corp. | ||||||||
4.250%, 1/15/20 | 365 | 369 | ||||||
4.750%, 5/15/22 | 70 | 68 | ||||||
General Motors Financial Co., Inc. 4.750%, 8/15/17 | 735 | 776 | ||||||
Genworth Holdings, Inc. 4.900%, 8/15/23 | 620 | 550 | ||||||
GLP Capital LP (GLP Financing II, Inc.) | ||||||||
4.875%, 11/1/20 | 300 | 305 | ||||||
5.375%, 11/1/23 | 10 | 10 | ||||||
HBOS plc 144A 6.750%, 5/21/18(3) | 200 | 222 | ||||||
Healthcare Realty Trust, Inc. 3.875%, 5/1/25 | 165 | 159 | ||||||
Huntington National Bank (The) 6.600%, 6/15/18 | 250 | 270 | ||||||
Hutchison Whampoa International Ltd. Series 12, 144A 6.000%(2)(3)(5)(6) | 610 | 648 | ||||||
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.) | ||||||||
4.875%, 3/15/19 | 30 | 30 | ||||||
6.000%, 8/1/20 | 175 | 181 | ||||||
5.875%, 2/1/22 | 355 | 361 | ||||||
ING Groep NV 6.000%(2)(5)(6) | 275 | 273 | ||||||
iStar Financial, Inc. | ||||||||
4.875%, 7/1/18 | 125 | 123 | ||||||
5.000%, 7/1/19 | 195 | 193 | ||||||
Itau Unibanco Holding S.A. 144A 5.125%, 5/13/23(3) | 560 | 547 | ||||||
Jefferies Group LLC 6.875%, 4/15/21 | 165 | 189 | ||||||
JPMorgan Chase & Co. Series Z, 5.300%(2)(5)(6) | 70 | 70 | ||||||
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(3) | 410 | 393 | ||||||
Korea Finance Corp. 4.625%, 11/16/21 | 400 | 442 | ||||||
Leucadia National Corp. 5.500%, 10/18/23 | 250 | 255 | ||||||
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 31 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Lincoln National Corp. 6.050%, 4/20/67(2)(6) | $ | 365 | $ | 330 | ||||
Lloyds TSB Bank plc 144A 6.500%, 9/14/20(3) | 600 | 691 | ||||||
Macquarie Bank Ltd. 144A 6.625%, 4/7/21(3) | 330 | 378 | ||||||
Morgan Stanley 144A 10.090%, 5/3/17(3) | 1,250 | BRL | 380 | |||||
MPT Operating Partnership LP 5.500%, 5/1/24 | 165 | 170 | ||||||
Navient LLC | 420 | 399 | ||||||
Nordea Bank AB 144A 4.250%, 9/21/22(3) | 600 | 614 | ||||||
Phosagro OAO (Phosagro Bond Funding Ltd.) 144A 4.204%, 2/13/18(3)(7) | 360 | 349 | ||||||
PKO Finance AB 144A 4.630%, 9/26/22(3)(7) | 610 | 630 | ||||||
Progressive Corp. (The) 6.700%, 6/15/37(2) | 750 | 782 | ||||||
Prudential Financial, Inc. | ||||||||
5.875%, 9/15/42(2) | 1,100 | 1,162 | ||||||
5.625%, 6/15/43(2)(6) | 190 | 197 | ||||||
RHP Hotel Properties LP (RHP Finance Corp.) 144A 5.000%, 4/15/23(3) | 45 | 44 | ||||||
Royal Bank of Scotland Group plc (The) | ||||||||
5.625%, 8/24/20 | 375 | 422 | ||||||
7.648%(2)(5)(6) | 450 | 563 | ||||||
Santander Bank NA 8.750%, 5/30/18 | 200 | 233 | ||||||
Select Income REIT 4.500%, 2/1/25 | 385 | 371 | ||||||
Springleaf Finance Corp. 5.250%, 12/15/19 | 325 | 322 | ||||||
SunTrust Bank, Inc. 5.400%, 4/1/20 | 250 | 273 | ||||||
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(2)(3) | 360 | 361 | ||||||
TIAA Asset Management Finance Co. LLC 144A 4.125%, 11/1/24(3) | 350 | 352 | ||||||
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22(3) | 705 | 713 | ||||||
Ukreximbank Via Biz Finance plc RegS 8.375%, 7/27/15(4)(7) | 180 | 140 | ||||||
Voya Financial, Inc. 5.650%, 5/15/53(2) | 570 | 584 | ||||||
Walter Investment Management Corp. 7.875%, 12/15/21 | 435 | 405 | ||||||
WP Carey, Inc. 4.600%, 4/1/24 | 345 | 346 | ||||||
|
| |||||||
29,593 | ||||||||
|
| |||||||
Health Care—2.9% | ||||||||
Acadia Healthcare Co., Inc. 5.125%, 7/1/22 | 115 | 114 |
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
Alere, Inc. 144A 6.375%, 7/1/23(3) | $ | 115 | $ | 117 | ||||
Capsugel SA PIK Interest Capitalization 144A 7.00% interest, 0.75% capitalization, 5/15/19(3)(15) | 75 | 76 | ||||||
Concordia Healthcare Corp. 144A 7.000%, 4/15/23(3) | 20 | 20 | ||||||
Crimson Merger Sub, Inc. 144A 6.625%, 5/15/22(3) | 265 | 235 | ||||||
DaVita Healthcare Partners, Inc. 5.000%, 5/1/25 | 180 | 174 | ||||||
Endo Finance LLC | ||||||||
144A 6.000%, 7/15/23(3) | 375 | 384 | ||||||
6.000%, 2/1/25(3) | 190 | 194 | ||||||
HCA, Inc. 5.375%, 2/1/25 | 325 | 329 | ||||||
Hologic, Inc. 144A 5.250%, 7/15/22(3) | 25 | 26 | ||||||
IASIS Healthcare LLC 8.375%, 5/15/19 | 165 | 171 | ||||||
inVentiv Health, Inc. 144A 9.000%, 1/15/18(3) | 165 | 172 | ||||||
JLL Delta Dutch Pledgeco BV PIK Interest Capitalization 144A, 8.75% interest, 0.75% capitalization, 5/1/20(3)(10) | 160 | 163 | ||||||
Mallinckrodt International Finance S.A. | ||||||||
144A 5.750%, 8/1/22(3) | 135 | 138 | ||||||
144A 5.500%, 4/15/25(3) | 20 | 20 | ||||||
MPH Acquisition Holdings LLC | 245 | 251 | ||||||
Owens & Minor, Inc. 3.875%, 9/15/21 | 75 | 77 | ||||||
Quintiles Transnational Corp. 144A 4.875%, 5/15/23(3) | 155 | 156 | ||||||
Select Medical Corp. 6.375%, 6/1/21 | 115 | 117 | ||||||
Sterigenics-Nordion Holdings LLC 144A 6.500%, 5/15/23(3) | 105 | 106 | ||||||
Surgical Care Affiliates, Inc. 144A 6.000%, 4/1/23(3) | 41 | 41 | ||||||
Tenet Healthcare Corp. | ||||||||
144A 3.786%, 6/15/20(2)(3) | 70 | 71 | ||||||
4.500%, 4/1/21 | 330 | 328 | ||||||
8.125%, 4/1/22 | 345 | 379 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
144A 7.500%, 7/15/21(3) | 50 | 54 | ||||||
144A 5.500%, 3/1/23(3) | 95 | 96 | ||||||
144A 5.875%, 5/15/23(3) | 265 | 272 | ||||||
144A 6.125%, 4/15/25(3) | 35 | 36 | ||||||
|
| |||||||
4,317 | ||||||||
|
| |||||||
Industrials—5.5% | ||||||||
ADT Corp. (The) 6.250%, 10/15/21 | 435 | 459 | ||||||
Ahern Rentals, Inc. 144A 7.375%, 5/15/23(3) | 300 | 298 | ||||||
Air Canada Pass-Through-Trust, 13-1, B 144A 5.375%, 5/15/21(3) | 202 | 210 |
Refer to Footnote Legend on page 18.
See Notes to Financial Statements
15
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Industrials—continued | ||||||||
American Airlines Pass-Through-Trust 14-1, B 4.375%, 10/1/22 | $ | 572 | $ | 581 | ||||
Atlas Air Pass-Through-Trust 00-1, A | 227 | 232 | ||||||
Berry Plastics Corp. 5.125%, 7/15/23 | 280 | 274 | ||||||
Bombardier, Inc. | ||||||||
144A 4.750%, 4/15/19(3) | 170 | 166 | ||||||
144A 6.125%, 1/15/23(3) | 460 | 411 | ||||||
Building Materials Corp. of America 144A 5.375%, 11/15/24(3) | 160 | 158 | ||||||
Carpenter Technology Corp. 5.200%, 7/15/21 | 425 | 454 | ||||||
CEB, Inc. 144A | 145 | 146 | ||||||
Continental Airlines Pass-Through-Trust | 677 | 742 | ||||||
00-1, A1 8.048%, 11/1/20 | 277 | 314 | ||||||
Delta Air Lines Pass-Through-Trust 12-1, A | 416 | 445 | ||||||
DP World Ltd. 144A | 200 | 218 | ||||||
Harland Clarke Holdings Corp. 144A | 245 | 236 | ||||||
Masco Corp. | 390 | 438 | ||||||
Northwest Airlines Pass-Through-Trust 02-1, G2 | 344 | 360 | ||||||
Pelabuhan Indonesia II PT 144A 4.250%, 5/5/25(3) | 305 | 287 | ||||||
Penske Truck Leasing Co. LP 144A 3.375%, 2/1/22(3) | 150 | 145 | ||||||
TransDigm, Inc. | 265 | 263 | ||||||
144A 6.500%, 5/15/25(3) | 90 | 89 | ||||||
UAL Pass-Through-Trust | 142 | 155 | ||||||
07-01, A 6.636%, 7/2/22 | 850 | 911 | ||||||
United Rentals North America, Inc. | 95 | 92 | ||||||
|
| |||||||
8,084 | ||||||||
|
| |||||||
Information Technology—1.6% | ||||||||
Blue Coat Holdings, Inc. 144A 8.375%, 6/1/23(3) | 200 | 204 | ||||||
First Data Corp. | 752 | 848 | ||||||
Flextronics International Ltd. 144A 4.750%, 6/15/25(3) | 375 | 372 | ||||||
Infinity Acquisition LLC (Infinity Acquisition Finance Corp.) 144A 7.250%, 8/1/22(3) | 265 | 250 | ||||||
NXP BV (NXP Funding LLC) 144A 4.125%, 6/15/20(3) | 300 | 303 |
PAR VALUE | VALUE | |||||||
Information Technology—continued | ||||||||
Project Homestake Merger Corp. 144A 8.875%, 3/1/23(3) | $ | 135 | $ | 131 | ||||
SunGard Data Systems, Inc. | 230 | 238 | ||||||
|
| |||||||
2,346 | ||||||||
|
| |||||||
Materials—5.1% | ||||||||
Alpek SA de C.V. 144A 5.375%, 8/8/23(3) | 625 | 651 | ||||||
ArcelorMittal | 300 | 300 | ||||||
Ardagh Packaging Finance plc | 200 | 204 | ||||||
144A 6.750%, 1/31/21(3) | 260 | 267 | ||||||
Cemex SAB de CV | 395 | 436 | ||||||
144A 7.250%, 1/15/21(3) | 275 | 291 | ||||||
Eldorado Gold Corp. 144A | 180 | 179 | ||||||
EuroChem Mineral & Chemical Co. OJSC 144A | 270 | 271 | ||||||
Fibria Overseas Finance Ltd. | 375 | 377 | ||||||
FMG Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22(3) | 50 | 52 | ||||||
Gerdau Holdings, Inc. 144A | 375 | 407 | ||||||
Hexion U.S. Finance Corp. | 225 | 208 | ||||||
INEOS Group Holdings SA 144A 5.875%, 2/15/19(3) | 305 | 308 | ||||||
Inversiones CMPC S.A. 144A | 600 | 602 | ||||||
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21(3) | 780 | 813 | ||||||
Severstal OAO (Steel Capital SA) 144A | 500 | 522 | ||||||
Tronox Finance LLC | 345 | 322 | ||||||
United States Steel Corp. | 220 | 221 | ||||||
Vale Overseas Ltd. | 525 | 515 | ||||||
Vedanta Resources plc | 345 | 370 | ||||||
144A 6.000%, 1/31/19(3) | 200 | 195 | ||||||
|
| |||||||
7,511 | ||||||||
|
| |||||||
Telecommunication Services—2.8% | ||||||||
Altice Financing SA 144A | 305 | 303 | ||||||
America Movil SAB de C.V. Series 12 | 2,000 | MXN | 122 | |||||
Bharti Airtel International Netherlands BV 144A | 400 | 419 |
PAR VALUE | VALUE | |||||||
Telecommunication Services—continued | ||||||||
CCO Holdings LLC | ||||||||
5.250%, 3/15/21 | $ | 165 | $ | 165 | ||||
5.250%, 9/30/22 | 180 | 178 | ||||||
144A 5.125%, 5/1/23(3) | 105 | 103 | ||||||
Crown Castle Towers LLC 144A 5.495%, 1/15/17(3) | 85 | 88 | ||||||
Digicel Group Ltd. 144A | 345 | 347 | ||||||
Frontier Communications Corp. | 375 | 343 | ||||||
Level 3 Financing, Inc. | 400 | 425 | ||||||
Sprint Corp. | 340 | 335 | ||||||
T-Mobile USA, Inc. | 190 | 197 | ||||||
6.731%, 4/28/22 | 60 | 63 | ||||||
6.500%, 1/15/24 | 140 | 145 | ||||||
Verizon Communications, Inc. 4.400%, 11/1/34 | 365 | 342 | ||||||
Windstream Corp. 7.750%, 10/15/20 | 650 | 639 | ||||||
|
| |||||||
4,214 | ||||||||
|
| |||||||
Utilities—1.8% | ||||||||
Calpine Corp. | ||||||||
144A 6.000%, | 20 | 21 | ||||||
5.375%, 1/15/23 | 191 | 188 | ||||||
Dynegy, Inc. | ||||||||
144A 7.375%, | 185 | 195 | ||||||
144A 7.625%, | 70 | 74 | ||||||
Electricite de France SA 144A 5.250%(2)(3)(5)(6) | 635 | 636 | ||||||
Israel Electric Corp. Ltd. 144A 5.625%, | 275 | 294 | ||||||
Lamar Funding Ltd. 144A 3.958%, 5/7/25(3) | 375 | 365 | ||||||
Majapahit Holding BV 144A 7.750%, | 300 | 348 | ||||||
Talen Energy Supply LLC 144A 5.125%, 7/15/19(3) | 250 | 246 | ||||||
TerraForm Power Operating LLC 144A | 285 | 291 | ||||||
Texas Competitive Electric Holdings Co. LLC | 396 | 42 | ||||||
|
| |||||||
2,700 | ||||||||
TOTAL CORPORATE BONDS AND NOTES | ||||||||
(Identified Cost $81,701) | 81,039 | |||||||
LOAN AGREEMENTS(2)—9.8% | ||||||||
Consumer Discretionary—3.1% | ||||||||
Advantage Sales & Marketing, Inc. Second Lien, 7.500%, 7/25/22 | 260 | 262 | ||||||
Affinity Gaming LLC 5.250%, 11/9/17 | 377 | 379 |
Refer to Footnote Legend on page 18.
See Notes to Financial Statements
16
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Brickman Group Ltd. LLC (The) Second Lien, 7.500%, 12/17/21 | $ | 166 | $ | 167 | ||||
Caesars Entertainment Operating Co., Inc. | ||||||||
Tranche B-6, 1.500%, 3/1/17(11) | 257 | 231 | ||||||
Tranche B-7, 1.500%, 1/28/18(11) | 19 | 16 | ||||||
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21 | 128 | 109 | ||||||
CBAC Borrower LLC Tranche B, | 202 | 187 | ||||||
Cirque Du Soleil | 78 | 78 | ||||||
iHeartCommunications, Inc. (Clear Channel Communications, Inc.) Tranche D, 6.937%, 1/30/19 | 294 | 273 | ||||||
Key Safety Systems, Inc. 4.750%, 8/29/21 | 169 | 170 | ||||||
Landry’s, Inc. (Landry’s Restaurants, Inc.) | 595 | 597 | ||||||
Laureate Education, Inc. 2018 Extended, 5.000%, 6/15/18 | 160 | 149 | ||||||
Life Time Fitness 4.250%, 6/10/22 | 183 | 182 | ||||||
Marina District Finance Co., Inc. 6.500%, 8/15/18 | 155 | 157 | ||||||
Peppermill Casinos, Inc. Tranche B, | 395 | 397 | ||||||
PetSmart, Inc. Tranche B-1 4.250%, 3/11/22 | 55 | 55 | ||||||
Shingle Springs Tribal Gaming Authority | 193 | 194 | ||||||
Staples, Inc. First Lien, 0.000%, 4/23/21(8) | 287 | 287 | ||||||
Transtar Holding Co. Second Lien, 10.000%, 10/9/19 | 197 | 193 | ||||||
TWCC Holding Corp. Second Lien, 7.000%, 6/26/20 | 349 | 327 | ||||||
U.S. Farathane Corp. 6.750%, 12/23/21 | 119 | 120 | ||||||
|
| |||||||
4,530 | ||||||||
|
| |||||||
Consumer Staples—0.3% | ||||||||
Albertson’s LLC Tranche B-4, 5.500%, 8/25/21 | 250 | 252 | ||||||
New Hostess Brand Acquisition LLC Tranche B, 6.750%, 4/9/20 | 183 | 186 | ||||||
|
| |||||||
438 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Energy—1.3% | ||||||||
Arch Coal, Inc. | $ | 440 | $ | 304 | ||||
Chief Exploration & Development LLC Second Lien, | 257 | 243 | ||||||
Drillships Ocean Ventures, Inc. 5.500%, 7/25/21 | 272 | 233 | ||||||
Expro Finservices S.A.R.L. | 175 | 155 | ||||||
Fieldwood Energy LLC Second Lien, 8.750%, 9/30/20 | 341 | 262 | ||||||
Jonah Energy LLC Second Lien, 7.500%, 5/12/21 | 206 | 196 | ||||||
Paragon Offshore Finance Co. 3.750%, 7/16/21 | 188 | 138 | ||||||
Seadrill Operating LP | 247 | 188 | ||||||
Templar Energy LLC Second Lien, 8.500%, 11/25/20 | 345 | 255 | ||||||
|
| |||||||
1,974 | ||||||||
|
| |||||||
Financials—0.2% | ||||||||
Capital Automotive LP Second Lien, 6.000%, 4/30/20 | 189 | 193 | ||||||
Walter Investment Management Corp. Tranche B, 4.750%, 12/18/20 | 168 | 159 | ||||||
|
| |||||||
352 | ||||||||
|
| |||||||
Health Care—1.5% | ||||||||
21st Century Oncology, Inc. Tranche B | 60 | 59 | ||||||
AMAG Pharmaceuticals, Inc. 7.250%, 11/12/20 | 114 | 116 | ||||||
American Renal Holdings, Inc. Second Lien, 7.250%, 3/20/20 | 307 | 307 | ||||||
Ardent Medical Services, Inc. | ||||||||
First Lien, | 118 | 118 | ||||||
Second Lien, 11.000%, 1/2/19 | 256 | 259 | ||||||
Concentra, Inc. First Lien, Tranche B | 21 | 21 | ||||||
Horizon Pharma, Inc. 2015 Term Loan | 64 | 64 | ||||||
InVentiv Health, Inc. Tranche B-4, | 262 | 263 | ||||||
MMM Holdings, Inc. 9.750%, 12/12/17 | 116 | 97 | ||||||
MSO of Puerto Rico, Inc. 9.750%, 12/12/17 | 84 | 70 |
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
NVA Holdings, Inc. Second Lien 8.000%, 8/14/22 | $ | 158 | $ | 159 | ||||
PharMEDium Healthcare Corp. Second Lien, 7.750%, 1/28/22 | 67 | 67 | ||||||
Regional Care, Inc. (RCHP, Inc.) First Lien, 5.250%, 4/23/19 | 276 | 275 | ||||||
Surgery Center Holdings, Inc. | ||||||||
First Lien, | 186 | 186 | ||||||
Second Lien, 8.500%, 11/3/21 | 138 | 138 | ||||||
|
| |||||||
2,199 | ||||||||
|
| |||||||
Industrials—1.0% | ||||||||
Alliance Laundry Systems LLC Second Lien, 9.500%, 12/10/19 | 37 | 37 | ||||||
Ceridian HCM Holding, Inc. 4.500%, 9/15/20 | 304 | 302 | ||||||
DynCorp International, Inc. 6.250%, 7/7/16 | 137 | 134 | ||||||
Filtration Group Corp. Second Lien, 8.250%, 11/22/21 | 68 | 68 | ||||||
Landmark U.S. Member LLC (Landmark U.S. Corp Acquisition, Inc.) Second Lien 8.250%, 1/25/21 | 265 | 264 | ||||||
Navistar, Inc. Tranche B, 5.750%, 8/17/17 | 281 | 282 | ||||||
Sedgwick Claims Management Services, Inc. Second Lien, 5.750%, 2/28/22 | 340 | 335 | ||||||
|
| |||||||
1,422 | ||||||||
|
| |||||||
Information Technology—1.7% | ||||||||
Allflex Holdings III, Inc. Second Lien, 8.000%, 7/19/21 | 200 | 202 | ||||||
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22 | 178 | 179 | ||||||
Avago Technologies Cayman Ltd. 3.750%, 5/6/21 | 290 | 291 | ||||||
Deltek, Inc. | ||||||||
First Lien 0.000%, 12/19/22(8) | 9 | 9 | ||||||
Second Lien 0.000%, 6/23/23(8) | 134 | 135 | ||||||
Epicor Software Corp. Tranche B, | 113 | 113 | ||||||
Evergreen Skills Lux S.A.R.L. Second Lien, 9.250%, 4/28/22 | 189 | 177 | ||||||
First Data Corp. | ||||||||
2018 Term Loan | 375 | 374 | ||||||
0.000%, 6/24/22(8) | 69 | 69 |
Refer to Footnote Legend on page 18.
See Notes to Financial Statements
17
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Information Technology—continued | ||||||||
Infinity Acquisition Ltd. 4.000%, 8/6/21 | $ | 170 | $ | 169 | ||||
Kronos, Inc. Second Lien, 9.750%, 4/30/20 | 458 | 474 | ||||||
Presidio, Inc. Refinancing Term 5.250%, 2/2/22 | 204 | 205 | ||||||
Riverbed Technologies, Inc. 6.000%, 4/24/22 | 138 | 139 | ||||||
|
| |||||||
2,536 | ||||||||
|
| |||||||
Materials—0.5% | ||||||||
Fortescue Metals Group (FMG) Resources Property Ltd. 3.750%, 6/30/19 | 444 | 395 | ||||||
Houghton International, Inc. Holding Corp. Second Lien, 9.500%, 12/21/20 | 310 | 311 | ||||||
|
| |||||||
706 | ||||||||
|
| |||||||
Utilities—0.2% | ||||||||
Atlantic Power LP 4.750%, 2/24/21 | 67 | 67 | ||||||
Texas Competitive Electric Holdings Co. LLC 2017 Extended, 4.671%, 10/10/17(12) | 465 | 269 | ||||||
|
| |||||||
336 | ||||||||
TOTAL LOAN AGREEMENTS (Identified Cost $15,164) | 14,493 | |||||||
SHARES | ||||||||
PREFERRED STOCKS—4.1% | ||||||||
Energy—0.3% | ||||||||
PTT Exploration & Production PCL 144A, | 440 | (9) | 441 | |||||
|
| |||||||
Financials—3.5% | ||||||||
Ally Financial, Inc. | 20,000 | 529 | ||||||
Ally Financial, Inc. | 219 | 221 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal | 150 | (9) | 154 | |||||
Bank of New York Mellon Corp. | 290 | (9) | 288 | |||||
Citigroup, Inc. | 15,800 | 432 | ||||||
Citigroup, Inc. | 420 | (9) | 421 | |||||
General Electric Capital Corp. | 300 | (9) | 328 | |||||
General Electric Capital Corp. | 400 | (9) | 410 | |||||
Goldman Sachs Group, Inc. (The) | 315 | (9) | 316 | |||||
JPMorgan Chase & Co. | 595 | (9) | 582 |
SHARES | VALUE | |||||||
Financials—continued | ||||||||
PNC Financial Services Group, Inc. (The) | 405 | (9) | $ | 387 | ||||
SunTrust Bank, Inc. | 120 | (9) | 121 | |||||
Wells Fargo & Co. | 440 | (9) | 476 | |||||
Zions Bancorp | 17,215 | 479 | ||||||
|
| |||||||
5,144 | ||||||||
|
| |||||||
Industrials—0.3% | ||||||||
Seaspan Corp. | 20,000 | 517 | ||||||
TOTAL PREFERRED STOCKS (Identified Cost $5,787) | 6,102 | |||||||
COMMON STOCK—0.0% | ||||||||
Consumer Discretionary—0.0% | ||||||||
Mark IV Industries | 828 | 34 | ||||||
TOTAL COMMON STOCK (Identified Cost $7) | 34 | |||||||
AFFILIATED MUTUAL FUND—2.1% | ||||||||
Virtus Credit Opportunities Fund | 306,200 | 3,053 | ||||||
TOTAL AFFILIATED MUTUAL FUND (Identified Cost $3,062) | 3,053 | |||||||
TOTAL LONG TERM INVESTMENTS—98.8% | ||||||||
(Identified Cost $148,310) | 146,594 | (13) | ||||||
SHORT-TERM INVESTMENTS—1.3% | ||||||||
Money Market Mutual Fund—1.3% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (seven-day effective yield 0.140%) | 1,986,370 | 1,986 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $1,986) | 1,986 | |||||||
TOTAL INVESTMENTS—100.1% (Identified Cost $150,296) | 148,580 | (1) | ||||||
Other assets and liabilities, net—(0.1)% |
| (83 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 148,497 | ||||||
|
|
Abbreviations:
FHLMC | Federal Home Loan Mortgage Corporation (“Freddie Mac”). |
FNMA | Federal National Mortgage Association (“Fannie Mae”). |
NATL | National Public Finance Guarantee Corp. |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2015. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015, these securities amounted to a value of $51,433 or 34.6% of net assets. |
(4) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933. |
(5) | No contractual maturity date. |
(6) | Interest payments may be deferred. |
(7) | This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(8) | This loan will settle after June 30, 2015, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(9) | Value shown as par value. |
(10) | 92.1% of the income received will be in cash and 7.9% in PIK. |
(11) | Security in default. |
(12) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(13) | All or a portion of the Fund’s assets have been segregated for delayed delivery security. |
(14) | Non-income producing. |
(15) | 90% of the income received will be in cash and 10% in PIK. |
Foreign Currencies:
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
RUB | Russian Ruble |
TRY | Turkish Lira |
ZAR | South African Rand |
Country Weightings† | ||||
United States | 73 | % | ||
United Kingdom | 3 | |||
Chile | 2 | |||
Luxembourg | 2 | |||
Mexico | 2 | |||
Canada | 1 | |||
Cayman Islands | 1 | |||
Other | 16 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2015 |
|
See Notes to Financial Statements
18
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 9,580 | $ | — | $ | 9,580 | $ | — | ||||||||
Corporate Bonds and Notes | 81,039 | — | 81,039 | — | ||||||||||||
Foreign Government Securities | 7,333 | — | 7,333 | — | ||||||||||||
Loan Agreements | 14,493 | — | 14,493 | — | ||||||||||||
Mortgage-Backed Securities | 21,041 | — | 21,041 | — | ||||||||||||
Municipal Bonds | 2,034 | — | 2,034 | — | ||||||||||||
U.S. Government Securities | 1,885 | — | 1,885 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stock | 34 | — | — | 34 | ||||||||||||
Preferred Stocks | 6,102 | 1,957 | 4,145 | — | ||||||||||||
Affiliated Mutual Fund | 3,053 | 3,053 | — | — | ||||||||||||
Short-Term Investments | 1,986 | 1,986 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 148,580 | $ | 6,996 | $ | 141,550 | $ | 34 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2015.
The following is a reconciliation of assets of the Series for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Investments in Securities | Common Stocks | Loan Agreements | ||||||||||
Beginning Balance December 31, 2014: | $ | 209 | $ | 31 | $ | 178 | (e) | |||||
Accrued Discount/(Premium) | — | (a) | — | — | (a) | |||||||
Realized Gain (Loss) | — | — | — | |||||||||
Change in Unrealized Appreciation (Depreciation)(b) | 21 | 3 | 18 | |||||||||
Purchases | — | — | — | |||||||||
(Sales)(c) | — | — | — | |||||||||
Transfers into Level 3(d) | — | — | — | |||||||||
Transfers from Level 3(d) | (196 | ) | — | (196 | ) | |||||||
|
|
|
|
|
| |||||||
Ending Balance June 30, 2015 | $ | 34 | $ | 34 | (e) | $ | — | |||||
|
|
|
|
|
|
None of the securities in this table are internally fair valued.
(a) | Amount is less than $500. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. The change in unrealized appreciation (depreciation) on investments still held as of June 30, 2015 was $3. |
(c) | Includes paydowns on securities. |
(d) | “Transfers into and/or from” represent the ending value as of June 30, 2015, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. |
(e) | The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of Level 3 investments. |
See Notes to Financial Statements
19
Table of Contents
VIRTUS REAL ESTATE SECURITIES SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.1% | ||||||||
Real Estate Investment Trusts—99.1% | ||||||||
Diversified—1.1% | ||||||||
American Homes 4 Rent Class A | 60,000 | $ | 962 | |||||
|
| |||||||
Health Care—2.8% | ||||||||
HCP, Inc. | 18,196 | 664 | ||||||
Ventas, Inc. | 30,666 | 1,904 | ||||||
|
| |||||||
2,568 | ||||||||
|
| |||||||
Industrial/Office—27.4% | ||||||||
Industrial—8.2% | ||||||||
DCT Industrial Trust, Inc. | 100,657 | 3,164 | ||||||
Prologis, Inc. | 114,471 | 4,247 | ||||||
|
| |||||||
7,411 | ||||||||
|
| |||||||
Mixed—4.1% | ||||||||
Duke Realty Corp. | 71,898 | 1,335 | ||||||
Liberty Property Trust | 74,826 | 2,411 | ||||||
|
| |||||||
3,746 | ||||||||
|
| |||||||
Office—15.1% | ||||||||
Boston Properties, Inc. | 21,214 | 2,568 | ||||||
Cousins Properties, Inc. | 149,400 | 1,551 | ||||||
Douglas Emmett, Inc. | 83,673 | 2,254 | ||||||
Highwoods Properties, Inc. | 43,397 | 1,734 | ||||||
Kilroy Realty Corp. | 53,780 | 3,611 | ||||||
Paramount Group, Inc. | 53,684 | 921 | ||||||
SL Green Realty Corp. | 10,025 | 1,102 | ||||||
|
| |||||||
13,741 | ||||||||
|
| |||||||
Total Industrial/Office | 24,898 | |||||||
|
| |||||||
Lodging/Resorts—12.5% | ||||||||
Host Hotels & Resorts, Inc. | 180,904 | 3,587 | ||||||
LaSalle Hotel Properties | 70,878 | 2,513 | ||||||
Pebblebrook Hotel Trust | 64,365 | 2,760 | ||||||
RLJ Lodging Trust | 83,600 | 2,490 | ||||||
|
| |||||||
11,350 | ||||||||
|
| |||||||
Residential—21.9% | ||||||||
Apartments—20.8% | ||||||||
American Campus Communities, Inc. | 48,487 | 1,828 | ||||||
AvalonBay Communities, Inc. | 25,804 | 4,125 | ||||||
Camden Property Trust | 53,950 | 4,007 | ||||||
Equity Residential | 63,531 | 4,458 | ||||||
Essex Property Trust, Inc. | 21,071 | 4,478 | ||||||
|
| |||||||
18,896 | ||||||||
|
| |||||||
Manufactured Homes—1.1% | ||||||||
Equity Lifestyle Properties, Inc. | 18,067 | 950 | ||||||
|
| |||||||
Total Residential | 19,846 | |||||||
|
|
SHARES | VALUE | |||||||
Retail—23.5% | ||||||||
Regional Malls—13.1% | ||||||||
General Growth Properties, Inc. | 132,621 | $ | 3,403 | |||||
Macerich Co. (The) | 4,247 | 317 | ||||||
Simon Property Group, Inc. | 46,226 | 7,998 | ||||||
WP GLIMCHER, Inc. | 11,938 | 161 | ||||||
|
| |||||||
11,879 | ||||||||
|
| |||||||
Shopping Centers—10.4% | ||||||||
Brixmor Property Group, Inc. | 112,002 | 2,591 | ||||||
Federal Realty Investment Trust | 14,900 | 1,909 | ||||||
Regency Centers Corp. | 29,900 | 1,763 | ||||||
Tanger Factory Outlet Centers | 99,300 | 3,148 | ||||||
|
| |||||||
9,411 | ||||||||
|
| |||||||
Total Retail | 21,290 | |||||||
|
| |||||||
Self Storage—9.9% | ||||||||
CubeSmart | 45,600 | 1,056 | ||||||
Extra Space Storage, Inc. | 54,582 | 3,560 | ||||||
Public Storage | 23,730 | 4,375 | ||||||
|
| |||||||
8,991 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $54,923) | 89,905 | |||||||
TOTAL LONG TERM INVESTMENTS—99.1% | ||||||||
(Identified Cost $54,923) | 89,905 | |||||||
SHORT-TERM INVESTMENTS—0.5% | ||||||||
Money Market Mutual Fund—0.5% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (Seven-day effective yield 0.140%) | 506,797 | 507 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $507) | 507 | |||||||
TOTAL INVESTMENTS—99.6% (Identified Cost $55,430) | 90,412 | (1) | ||||||
Other assets and liabilities, net—0.4% |
| 323 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 90,735 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 89,905 | $ | 89,905 | ||||
Short-Term Investments | 507 | 507 | ||||||
|
|
|
| |||||
Total Investments | $ | 90,412 | $ | 90,412 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2015.
See Notes to Financial Statements
20
Table of Contents
VIRTUS SMALL-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—94.9% | ||||||||
Consumer Discretionary—10.2% | ||||||||
Hibbett Sports, Inc.(2) | 14,494 | $ | 675 | |||||
Monro Muffler Brake, Inc. | 27,000 | 1,678 | ||||||
Morningstar, Inc. | 31,700 | 2,522 | ||||||
Pool Corp. | 21,900 | 1,537 | ||||||
|
| |||||||
6,412 | ||||||||
|
| |||||||
Consumer Staples—9.5% | ||||||||
Chefs’ Warehouse, Inc. (The)(2) | 169,300 | 3,596 | ||||||
PriceSmart, Inc. | 26,400 | 2,409 | ||||||
|
| |||||||
6,005 | ||||||||
|
| |||||||
Financials—9.1% | ||||||||
Financial Engines, Inc. | 65,600 | 2,787 | ||||||
MarketAxess Holdings, Inc. | 32,000 | 2,968 | ||||||
|
| |||||||
5,755 | ||||||||
|
| |||||||
Health Care—13.3% | ||||||||
Abaxis, Inc. | 52,500 | 2,703 | ||||||
National Research Corp. Class A | 146,815 | 2,086 | ||||||
Sirona Dental Systems, Inc.(2) | 35,700 | 3,585 | ||||||
|
| |||||||
8,374 | ||||||||
|
| |||||||
Industrials—14.5% | ||||||||
AAON, Inc. | 63,100 | 1,421 | ||||||
Copart, Inc.(2) | 60,800 | 2,157 | ||||||
Heartland Express, Inc. | 26,000 | 526 | ||||||
HEICO Corp. Class A | 37,205 | 1,889 | ||||||
HUB Group, Inc. Class A(2) | 36,200 | 1,460 | ||||||
Omega Flex, Inc. | 45,309 | 1,707 | ||||||
|
| |||||||
9,160 | ||||||||
|
| |||||||
Information Technology—35.0% | ||||||||
ANSYS, Inc.(2) | 23,900 | 2,181 | ||||||
Autohome, Inc. ADR(2) | 27,000 | 1,365 | ||||||
Ellie Mae, Inc.(2) | 41,000 | 2,861 | ||||||
FactSet Research Systems, Inc. | 14,900 | 2,421 | ||||||
Forrester Research, Inc. | 46,350 | 1,670 | ||||||
HomeAway, Inc.(2) | 83,200 | 2,589 | ||||||
MercadoLibre, Inc. | 13,650 | 1,934 | ||||||
Mesa Laboratories, Inc. | 7,035 | 625 | ||||||
NVE Corp. | 49,400 | 3,873 | ||||||
Shutterstock, Inc.(2) | 43,500 | 2,551 | ||||||
|
| |||||||
22,070 | ||||||||
|
| |||||||
Materials—3.3% | ||||||||
UFP Technologies, Inc.(2) | 101,200 | 2,117 | ||||||
TOTAL COMMON STOCKS (Identified Cost $38,644) | 59,893 | |||||||
TOTAL LONG TERM INVESTMENTS—94.9% | ||||||||
(Identified Cost $38,644) | 59,893 |
SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—5.7% | ||||||||
Money Market Mutual Fund—5.7% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (seven-day effective yield 0.140%) | 3,578,859 | $ | 3,579 | |||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $3,579) | 3,579 | |||||||
TOTAL INVESTMENTS—100.6% (Identified Cost $42,223) | 63,472 | (1) | ||||||
Other assets and liabilities, net—(0.6)% |
| (377 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 63,095 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 59,893 | $ | 59,893 | ||||
Short-Term Investments | 3,579 | 3,579 | ||||||
|
|
|
| |||||
Total Investments | $ | 63,472 | $ | 63,472 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2015.
See Notes to Financial Statements
21
Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—97.8% | ||||||||
Consumer Discretionary—11.7% | ||||||||
Cheesecake Factory, Inc. (The) | 84,200 | $ | 4,592 | |||||
Cinemark Holdings, Inc. | 102,700 | 4,125 | ||||||
Wolverine World Wide, Inc. | 125,100 | 3,563 | ||||||
|
| |||||||
12,280 | ||||||||
|
| |||||||
Consumer Staples—7.5% | ||||||||
National Beverage Corp.(2) | 131,500 | 2,958 | ||||||
Village Super Market, Inc. Class A | 47,000 | 1,489 | ||||||
WD-40 Co. | 39,100 | 3,408 | ||||||
|
| |||||||
7,855 | ||||||||
|
| |||||||
Energy—2.3% | ||||||||
Core Laboratories N.V. | 21,000 | 2,395 | ||||||
|
| |||||||
Financials—20.5% | ||||||||
Artisan Partners Asset Management, Inc. Class A | 83,000 | 3,856 | ||||||
Bank of Hawaii Corp. | 64,500 | 4,301 | ||||||
First Cash Financial Services, Inc.(2) | 67,720 | 3,087 | ||||||
Primerica, Inc. | 67,400 | 3,080 | ||||||
RLI Corp. | 88,900 | 4,569 | ||||||
Westamerica Bancorp | 51,300 | 2,598 | ||||||
|
| |||||||
21,491 | ||||||||
|
| |||||||
Health Care—3.4% | ||||||||
Patterson Cos., Inc. | 72,000 | 3,503 | ||||||
|
| |||||||
Industrials—20.1% | ||||||||
CEB, Inc. | 58,200 | 5,067 | ||||||
G&K Services, Inc. Class A | 23,017 | 1,591 | ||||||
Graco, Inc. | 61,800 | 4,390 | ||||||
Landstar System, Inc. | 65,100 | 4,353 | ||||||
RBC Bearings, Inc.(2) | 50,800 | 3,645 | ||||||
Sun Hydraulics Corp. | 54,000 | 2,058 | ||||||
|
| |||||||
21,104 | ||||||||
|
| |||||||
Information Technology—28.3% | ||||||||
American Software, Inc. Class A | 181,500 | 1,724 | ||||||
Badger Meter, Inc. | 55,883 | 3,548 | ||||||
Cabot Microelectronics Corp.(2) | 65,700 | 3,095 | ||||||
Cass Information Systems, Inc. | 74,995 | 4,216 | ||||||
Cognex Corp. | 54,800 | 2,636 | ||||||
Computer Services, Inc. | 45,700 | 2,022 | ||||||
Heartland Payment Systems, Inc. | 47,000 | 2,540 | ||||||
Jack Henry & Associates, Inc. | 67,200 | 4,348 | ||||||
Monotype Imaging Holdings, Inc. | 82,733 | 1,995 | ||||||
Syntel, Inc.(2) | 74,800 | 3,552 | ||||||
|
| |||||||
29,676 | ||||||||
|
|
SHARES | VALUE | |||||||
Utilities—4.0% | ||||||||
Questar Corp. | 199,600 | $ | 4,174 | |||||
TOTAL COMMON STOCKS (Identified Cost $75,843) | 102,478 | |||||||
TOTAL LONG TERM INVESTMENTS—97.8% | ||||||||
(Identified Cost $75,843) | 102,478 | |||||||
SHORT-TERM INVESTMENTS—2.3% | ||||||||
Money Market Mutual Fund—2.3% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (seven-day effective yield 0.140%) | 2,461,324 | 2,461 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,461) | 2,461 | |||||||
TOTAL INVESTMENTS—100.1% (Identified Cost $78,304) | 104,939 | (1) | ||||||
Other assets and liabilities, net—(0.1)% |
| (114 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 104,825 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 102,478 | $ | 102,478 | ||||
Short-Term Investments | 2,461 | 2,461 | ||||||
|
|
|
| |||||
Total Investments | $ | 104,939 | $ | 104,939 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2015.
See Notes to Financial Statements
22
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—0.6% | ||||||||
U.S. Treasury Bond | $ | 200 | $ | 195 | ||||
U.S. Treasury Note | 580 | 575 | ||||||
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $813) | 770 | |||||||
MUNICIPAL BONDS—1.5% | ||||||||
California—0.5% | ||||||||
Alameda Corridor Transportation Authority | 250 | 291 | ||||||
San Diego County Regional Airport Authority Rental Car Center Project | 275 | 296 | ||||||
|
| |||||||
587 | ||||||||
|
| |||||||
Massachusetts—0.5% | ||||||||
Commonwealth of Massachusetts, | 105 | 128 | ||||||
Massachusetts Clean Water Trust (The) Taxable 5.000%, 2/1/45 | 450 | 502 | ||||||
|
| |||||||
630 | ||||||||
|
| |||||||
Virginia—0.5% | ||||||||
Tobacco Settlement Financing Corp. Series A-1, Taxable | 210 | 154 | ||||||
Virginia College Building Authority, B, Taxable 5.000%, 9/1/23 | 425 | 510 | ||||||
|
| |||||||
664 | ||||||||
TOTAL MUNICIPAL BONDS (Identified Cost $1,888) | 1,881 | |||||||
FOREIGN GOVERNMENT SECURITIES—0.9% | ||||||||
Bolivarian Republic of Venezuela | ||||||||
9.250%, 9/15/27 | 45 | 19 | ||||||
9.375%, 1/13/34 | 65 | 26 | ||||||
Republic of Chile | 52,000 | CLP | 87 | |||||
Republic of El Salvador 144A 6.375%, 1/18/27(4) | 75 | 73 | ||||||
Republic of Iceland 144A 5.875%, 5/11/22(4) | 135 | 152 | ||||||
Republic of Indonesia Series FR30, 10.750%, 5/15/16 | 564,000 | IDR | 44 | |||||
Republic of Latvia RegS | 200 | 200 |
PAR VALUE | VALUE | |||||||
FOREIGN GOVERNMENT SECURITIES—continued | ||||||||
Republic of Poland 4.000%, 1/22/24 | $ | 90 | $ | 95 | ||||
Republic of Romania 144A 4.875%, 1/22/24(4) | 50 | 53 | ||||||
Russian Federation | ||||||||
144A 7.850%, 3/10/18(4) | 5,000 | RUB | 83 | |||||
144A 4.875%, 9/16/23(4) | 200 | 198 | ||||||
United Mexican States Series M, | 440 | MXN | 29 | |||||
TOTAL FOREIGN GOVERNMENT SECURITIES | ||||||||
(Identified Cost $1,205) | 1,059 | |||||||
MORTGAGE-BACKED SECURITIES—13.3% | ||||||||
Agency—4.7% | ||||||||
FHLMC | ||||||||
14-DN2, M2 1.837%, 4/25/24(3) | 250 | 244 | ||||||
3.500%, 11/1/44 | 145 | 149 | ||||||
4.000%, 2/1/45 | 303 | 320 | ||||||
3.500%, 3/1/45 | 354 | 365 | ||||||
FNMA | ||||||||
4.000%, 6/1/20 | 24 | 25 | ||||||
4.500%, 7/1/20 | 3 | 3 | ||||||
3.000%, 2/1/27 | 178 | 184 | ||||||
2.500%, 5/1/28 | 349 | 355 | ||||||
6.500%, 10/1/31 | 5 | 6 | ||||||
6.000%, 9/1/32 | 13 | 15 | ||||||
5.000%, 10/1/35 | 54 | 59 | ||||||
6.000%, 9/1/36 | 4 | 5 | ||||||
5.500%, 4/1/37 | 16 | 18 | ||||||
5.500%, 7/1/37 | 46 | 52 | ||||||
6.000%, 10/1/37 | 17 | 19 | ||||||
5.000%, 6/1/38 | 37 | 41 | ||||||
5.500%, 6/1/38 | 9 | 11 | ||||||
5.500%, 6/1/38 | 9 | 11 | ||||||
5.500%, 11/1/38 | 34 | 38 | ||||||
4.000%, 1/1/39 | 71 | 75 | ||||||
5.000%, 1/1/39 | 12 | 13 | ||||||
6.000%, 1/1/39 | 23 | 26 | ||||||
4.500%, 3/1/39 | 25 | 27 | ||||||
5.000%, 3/1/39 | 22 | 24 | ||||||
6.000%, 3/1/39 | 21 | 23 | ||||||
4.500%, 4/1/39 | 136 | 149 | ||||||
4.000%, 5/1/39 | 141 | 149 | ||||||
4.500%, 2/1/40 | 93 | 101 | ||||||
4.000%, 10/1/40 | 194 | 207 | ||||||
4.500%, 4/1/41 | 479 | 519 | ||||||
4.000%, 7/1/41 | 122 | 129 | ||||||
3.500%, 1/1/42 | 171 | 177 | ||||||
3.500%, 4/1/42 | 398 | 411 | ||||||
3.000%, 11/1/42 | 204 | 203 | ||||||
3.500%, 12/1/42 | 210 | 216 | ||||||
3.000%, 3/1/43 | 348 | 346 | ||||||
3.000%, 5/1/43 | 105 | 105 | ||||||
3.000%, 7/1/43 | 240 | 240 | ||||||
4.000%, 10/1/44 | 404 | 428 | ||||||
Freddie Mac Gold Pool | 100 | 99 | ||||||
GNMA | ||||||||
6.500%, 11/15/23 | 40 | 45 | ||||||
6.500%, 12/15/23 | 1 | 1 |
PAR VALUE | VALUE | |||||||
Agency—continued | ||||||||
6.500%, 2/15/24 | $ | 23 | $ | 26 | ||||
6.500%, 11/15/31 | 20 | 23 | ||||||
6.500%, 2/15/32 | 47 | 53 | ||||||
|
| |||||||
5,735 | ||||||||
|
| |||||||
Non-Agency—8.6% | ||||||||
Aventura Mall Trust | 300 | 310 | ||||||
Banc of America (Merrill Lynch) Commercial Mortgage, Inc. | 120 | 126 | ||||||
Banc of America Alternative Loan Trust 03-2, CB3 | 100 | 104 | ||||||
Bank of America (Merrill Lynch – Countrywide) Mortgage Trust | 195 | 200 | ||||||
Bank of America (Merrill Lynch) Mortgage Investors Trust 98-C1, C | 125 | 138 | ||||||
Barclays (Lehman Brothers) – UBS Commercial Mortgage Trust | ||||||||
06-C3, AM | 130 | 133 | ||||||
06-C6, A4 | 325 | 337 | ||||||
07-C6, A4 | 225 | 236 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
07-C6, A1A | 249 | 266 | ||||||
07-6, A4 | 120 | 128 | ||||||
08-C7, AM | 95 | 103 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
04-UST1, A3 | 108 | 108 | ||||||
04-NCM2, 2CB2 | 86 | 91 | ||||||
14-A, A 144A | 111 | 116 | ||||||
15-A, A1 | 134 | 134 | ||||||
Colony Multi-Family Commercial Mortgage-Backed Securities | 197 | 197 | ||||||
Credit Suisse Commercial Mortgage Trust | 108 | 113 |
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
23
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
CSAIL Commercial Mortgage Trust 15-C2, AS | $ | 150 | $ | 152 | ||||
Deutsche Bank-UBS Mortgage Trust | 120 | 125 | ||||||
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A | 100 | 99 | ||||||
GMAC Mortgage Corp. Loan Trust 04-AR1, 12A | 79 | 80 | ||||||
Goldman Sachs Mortgage Securities Trust II | 328 | 350 | ||||||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust | ||||||||
04-1, 21A1 | 104 | 103 | ||||||
04-10, 12A3 | 122 | 121 | ||||||
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities, Inc. | ||||||||
06-T22, AM | 80 | 82 | ||||||
07- PW17, A4 | 425 | 453 | ||||||
07-PW18, AM | 550 | 600 | ||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | ||||||||
03-AR6, A1 | 91 | 91 | ||||||
03-AR4, 2A1 | 135 | 134 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
10-CNTR, A1 144A | 191 | 197 | ||||||
14-1, 1A1 144A | 201 | 209 | ||||||
06-LDP9, A3 | 227 | 237 | ||||||
07-LD12, A4 | 575 | 611 | ||||||
JPMorgan Chase Mortgage Trust | ||||||||
14-2, 2A2 144A | 94 | 97 | ||||||
14-IVR3, 2A1 144A | 76 | 77 | ||||||
Leaf II Receivables Funding LLC 13-1, C 144A | 150 | 151 | ||||||
MASTR Alternative Loan Trust 03-8, 2A1 | 183 | 192 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Morgan Stanley Bank of America (Merrill Lynch) Trust 15-C22, AS | $ | 225 | $ | 222 | ||||
Morgan Stanley Capital I Trust | ||||||||
06-IQ12, A4 | 474 | 493 | ||||||
07-IQ14, A4 | 240 | 254 | ||||||
07-IQ14, AM | 130 | 135 | ||||||
Morgan Stanley Capital I, Inc. | 250 | 257 | ||||||
Motel 6 Trust 15-MTL6, B 144A 3.298%, 2/5/30(4) | 155 | 155 | ||||||
New Residential Mortgage Loan Trust 14-1A, A 144A | 82 | 84 | ||||||
Nomura Asset Acceptance Corp. 04-R3, A1 144A | 122 | 124 | ||||||
Residential Asset Mortgage Products, Inc. 05-SL2, A4 | 69 | 72 | ||||||
Sequoia Mortgage Trust | 146 | 150 | ||||||
Springleaf Mortgage Loan Trust 12-3A, A 144A | 162 | 162 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | 156 | 152 | ||||||
Wells Fargo (Royal Bank of Scotland plc) Commercial Mortgage Trust | 110 | 123 | ||||||
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust | ||||||||
07-C30, A5 | 285 | 299 | ||||||
07-C30, | 160 | 168 | ||||||
07-C31, | 250 | 262 | ||||||
15-LC20, B | 50 | 49 | ||||||
07-C33, A5 | 140 | 151 | ||||||
WinWater Mortgage Loan Trust 14-1, A1 144A | 83 | 85 | ||||||
|
| |||||||
10,398 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $15,547) | 16,133 |
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—2.4% | ||||||||
AmeriCredit Automobile Receivables Trust | ||||||||
12-4, D | $ | 140 | $ | 142 | ||||
13-2, D | 275 | 277 | ||||||
Bayview Financial Mortgage-Pass-Through Trust | 37 | 39 | ||||||
Beacon Container Finance LLC 12-1A, A 144A | 200 | 203 | ||||||
BXG Receivables Note Trust | 72 | 72 | ||||||
CIT Group Home Equity Loan Trust 03-1, A5 | 250 | 252 | ||||||
DB Master Finance LLC | 50 | 49 | ||||||
Domino’s Pizza Master Issuer LLC 12-1A, A2 144A | 109 | 113 | ||||||
Drive Auto Receivables Trust | 150 | 150 | ||||||
Exeter Automobile Receivables Trust | ||||||||
14-1A, B 144A | 135 | 136 | ||||||
15-A1, C 144A | 135 | 136 | ||||||
Fairway Outdoor Funding LLC | 79 | 79 | ||||||
GSAA Home Equity Trust | 58 | 59 | ||||||
IMC Home Equity Loan Trust | 108 | 109 | ||||||
MASTR Specialized Loan Trust 05-3, A2 144A | 112 | 116 | ||||||
OneMain Financial Issuance Trust 15-A1, A 144A | 125 | 127 | ||||||
Origen Manufactured Housing Contract Trust | 68 | 71 | ||||||
SolarCity LMC Series III LLC 14-2, A 144A | 161 | 163 | ||||||
Structured Asset Securities Corp. 01-SB1, A2 | 93 | 92 | ||||||
TAL Advantage V LLC | 141 | 142 |
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
24
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—continued | ||||||||
TCF Auto Receivables Owner Trust 14-1A, C 144A | $ | 165 | $ | 166 | ||||
Trip Rail Master Funding LLC | 139 | 143 | ||||||
U-Haul S Fleet LLC | 121 | 126 | ||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $2,928) | 2,962 | |||||||
CORPORATE BONDS AND NOTES—19.5% | ||||||||
Consumer Discretionary—1.6% | ||||||||
Hyatt Hotels Corp. | 115 | 112 | ||||||
International Game Technology plc | 150 | 160 | ||||||
Lear Corp. | 100 | 99 | ||||||
Marriott International, Inc. | 105 | 105 | ||||||
MGM Resorts International | 40 | 40 | ||||||
New York University | 70 | 66 | ||||||
Numericable Group SA 144A 6.000%, 5/15/22(4) | 200 | 198 | ||||||
Penn National Gaming, Inc. | 50 | 51 | ||||||
Pinnacle Entertainment, Inc. | 80 | 85 | ||||||
Priceline Group, Inc. (The) | 130 | 126 | ||||||
QVC, Inc. | 135 | 139 | ||||||
RSI Home Products, Inc. 144A 6.500%, 3/15/23(4) | 50 | 51 | ||||||
Seminole Hard Rock Entertainment, Inc. 144A | 90 | 91 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 200 | 190 | ||||||
Taylor Morrison Communities, Inc. (Monarch Communities, Inc.) 144A | 55 | 54 | ||||||
Time Warner Cable, Inc. | 185 | 206 | ||||||
Wyndham Worldwide Corp. | 125 | 137 | ||||||
|
| |||||||
1,910 | ||||||||
|
| |||||||
Consumer Staples—0.6% | ||||||||
Altria Group, Inc. | 140 | 134 | ||||||
Flowers Foods, Inc. | 120 | 125 |
PAR VALUE | VALUE | |||||||
Consumer Staples—continued | ||||||||
HJ Heinz Co. | $ | 20 | $ | 20 | ||||
144A 3.500%, 7/15/22(4) | 25 | 25 | ||||||
Reynolds American, Inc. | 150 | 144 | ||||||
Tate & Lyle International Finance plc 144A | 275 | 289 | ||||||
|
| |||||||
737 | ||||||||
|
| |||||||
Energy—2.3% | ||||||||
Denbury Resources, Inc. | 40 | 36 | ||||||
Ecopetrol SA | 135 | 125 | ||||||
Energy Transfer Partners LP | 130 | 133 | ||||||
Gazprom Neft OAO (GPN Capital SA) 144A | 200 | 184 | ||||||
Helmerich & Payne International Drilling Co. 144A 4.650%, 3/15/25(4) | 70 | 72 | ||||||
Kinder Morgan, Inc. | 150 | 145 | ||||||
7.750%, 1/15/32 | 60 | 69 | ||||||
Linn Energy LLC | 50 | 38 | ||||||
Lukoil International Finance BV 144A | 175 | 184 | ||||||
MarkWest Energy Partners LP (MarkWest Energy Finance Corp.) | 145 | 142 | ||||||
NGL Energy Partners LP (NGL Energy Finance Corp.) | 45 | 45 | ||||||
Pacific Rubiales Energy Corp. 144A 5.375%, 1/26/19(4) | 100 | 82 | ||||||
Petrobras Global Finance BV | 55 | 51 | ||||||
5.375%, 1/27/21 | 135 | 130 | ||||||
Petroleos de Venezuela SA RegS | 35 | 13 | ||||||
Petroleos Mexicanos | 45 | 46 | ||||||
5.500%, 6/27/44 | 150 | 138 | ||||||
PHI, Inc. | 35 | 33 | ||||||
QEP Resources, Inc. | 105 | 109 | ||||||
QGOG Constellation SA 144A | 200 | 147 | ||||||
Rowan Cos., Inc. | 140 | 139 | ||||||
SM Energy Co. 144A | 105 | 108 | ||||||
Sunoco LP (Sunoco Finance Corp.) 144A | 90 | 94 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Transcanada Trust | $ | 100 | $ | 101 | ||||
Transocean, Inc. | 120 | 91 | ||||||
Weatherford International Ltd. | 45 | 53 | ||||||
Williams Cos., Inc. (The) | 100 | 93 | ||||||
Williams Partners LP | 145 | 136 | ||||||
|
| |||||||
2,737 | ||||||||
|
| |||||||
Financials—9.5% | ||||||||
Allstate Corp. (The) | 135 | 143 | ||||||
Ally Financial, Inc. | 10 | 10 | ||||||
American International Group, Inc. | 85 | 85 | ||||||
3.375%, 8/15/20 | 55 | 57 | ||||||
Apollo Management Holdings LP 144A | 135 | 135 | ||||||
Ares | ||||||||
Capital Corp. | 65 | 66 | ||||||
Finance Co., LLC 144A 4.000%, 10/8/24(4) | 140 | 135 | ||||||
Associated Banc Corp. | 85 | 88 | ||||||
Avalonbay Communities Inc. | 130 | 128 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21(4) | 150 | 162 | ||||||
Banco de Credito del Peru 144A 4.250%, 4/1/23(4) | 164 | 164 | ||||||
Banco de Credito e Inversiones 144A | 200 | 198 | ||||||
Banco Internacional del Peru SAA 144A | 115 | 122 | ||||||
Banco Santander Chile 144A | 100 | 100 | ||||||
Bancolombia S.A. | 150 | 150 | ||||||
Bank of America Corp. | ||||||||
5.650%, 5/1/18 | 400 | 439 | ||||||
4.200%, 8/26/24 | 155 | 154 | ||||||
Bank of New York Mellon Corp. (The) | 100 | 100 | ||||||
Capital One Financial Corp. | 125 | �� | 132 | |||||
CNOOC Finance 2013 Ltd. | 200 | 189 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA NY | 250 | 251 |
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
25
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Corporate Office Properties LP | ||||||||
3.700%, 6/15/21 | $ | 90 | $ | 89 | ||||
3.600%, 5/15/23 | 150 | 137 | ||||||
Digital Realty Trust LP | 65 | 65 | ||||||
Education Realty Operating Partnership LP | 135 | 135 | ||||||
Excel Trust LP | 55 | 52 | ||||||
Fidelity National Financial, Inc. | ||||||||
6.600%, 5/15/17 | 175 | 189 | ||||||
5.500%, 9/1/22 | 40 | 42 | ||||||
Fifth Third Bancorp | 150 | 159 | ||||||
First Niagara Financial Group, Inc. | 125 | 139 | ||||||
Ford Motor Credit Co. LLC | 75 | 84 | ||||||
FS Investment Corp. | ||||||||
4.250%, 1/15/20 | 115 | 116 | ||||||
4.750%, 5/15/22 | 50 | 49 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.500%, 7/10/19 | 120 | 123 | ||||||
3.450%, 4/10/22 | 15 | 15 | ||||||
Genworth Holdings, Inc. | 135 | 120 | ||||||
GLP Capital LP (GLP Financing II, Inc.) | ||||||||
4.875%, 11/1/20 | 95 | 97 | ||||||
5.375%, 11/1/23 | 5 | 5 | ||||||
Goldman Sachs Group, Inc. (The) | 165 | 181 | ||||||
HCP, Inc. | ||||||||
3.750%, 2/1/19 | 60 | 62 | ||||||
5.375%, 2/1/21 | 60 | 66 | ||||||
Healthcare Realty Trust, Inc. | ||||||||
3.875%, 5/1/25 | 80 | 77 | ||||||
4.000%, 6/1/25 | 135 | 133 | ||||||
Healthcare Trust of America Holdings LP | 50 | 50 | ||||||
Highwoods Realty LP | 135 | 133 | ||||||
Hospitality Properties Trust | 130 | 128 | ||||||
HSBC USA, Inc. | 135 | 135 | ||||||
Huntington Bancshares, Inc. | 95 | 113 | ||||||
Hutchison Whampoa International Ltd. | 160 | 170 | ||||||
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.) | ||||||||
4.875%, 3/15/19 | 10 | 10 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
6.000%, 8/1/20 | $ | 55 | $ | 57 | ||||
5.875%, 2/1/22 | 115 | 117 | ||||||
iStar Financial, Inc. | 45 | 45 | ||||||
Jefferies Group LLC | 150 | 171 | ||||||
JPMorgan Chase & Co. | 270 | 292 | ||||||
KeyCorp | 165 | 183 | ||||||
Kimco Realty Corp. | 150 | 175 | ||||||
Korea Finance Corp. | 200 | 221 | ||||||
Lazard Group LLC | 135 | 142 | ||||||
Liberty Mutual Group, Inc. 144A 4.250%, 6/15/23(4) | 135 | 139 | ||||||
Lincoln National Corp. | 50 | 45 | ||||||
Lloyds TSB Bank plc 144A | 150 | 173 | ||||||
Macquarie Bank Ltd. 144A | 100 | 115 | ||||||
Morgan Stanley | ||||||||
5.550%, 4/27/17 | 120 | 129 | ||||||
4.100%, 5/22/23 | 80 | 80 | ||||||
National Retail Properties, Inc. | 150 | 168 | ||||||
Navient LLC | 130 | 123 | ||||||
Nordea Bank AB 144A | 200 | 205 | ||||||
ORIX Corp. | 86 | 88 | ||||||
PKO Finance AB 144A | 200 | 206 | ||||||
Progressive Corp. (The) | 160 | 167 | ||||||
Prudential Financial, Inc. | ||||||||
5.875%, 9/15/42(3) | 90 | 95 | ||||||
5.625%, 6/15/43(3)(6) | 60 | 62 | ||||||
Retail Opportunity Investments Partnership LP | 105 | 104 | ||||||
Royal Bank of Scotland Group plc (The) | 150 | 169 | ||||||
Sabra Health Care LP | 60 | 62 | ||||||
Santander Holdings USA, Inc. | 130 | 128 | ||||||
Select Income REIT | 125 | 121 | ||||||
Senior Housing Properties Trust | 125 | 126 | ||||||
Springleaf Finance Corp. | 80 | 79 | ||||||
SunTrust Banks, Inc. | 200 | 192 | ||||||
Swedbank AB 144A | 200 | 200 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Teachers Insurance & Annuity Association of America 144A | $ | 110 | $ | 110 | ||||
TIAA Asset Management Finance Co. LLC 144A | 125 | 126 | ||||||
Unum Group | 125 | 133 | ||||||
Ventas Realty LP (Ventas Capital Corp.) | 155 | 149 | ||||||
Voya Financial, Inc. | ||||||||
5.500%, 7/15/22 | 110 | 123 | ||||||
5.650%, 5/15/53(3) | 110 | 113 | ||||||
Wells Fargo & Co. Series M, | 115 | 114 | ||||||
Willis Group Holdings plc | 125 | 140 | ||||||
WP Carey, Inc. | 105 | 105 | ||||||
XLIT Ltd. Series E, | 100 | 86 | ||||||
Zions Bancorporation | 40 | 41 | ||||||
|
| |||||||
11,501 | ||||||||
|
| |||||||
Health Care—0.9% | ||||||||
AbbVie, Inc. | 45 | 45 | ||||||
Becton Dickinson and Co. | 135 | 131 | ||||||
Cardinal Health, Inc. | ||||||||
3.200%, 3/15/23 | 70 | 69 | ||||||
3.750%, 9/15/25 | 105 | 104 | ||||||
DaVita Healthcare Partners, Inc. | 60 | 58 | ||||||
Endo Finance LLC (Endo Finco, Inc.) 144A | 50 | 50 | ||||||
Express Scripts Holding Co. | 140 | 143 | ||||||
Forest Laboratories, Inc. 144A 4.875%, 2/15/21(4) | 80 | 87 | ||||||
HCA, Inc. | 40 | 41 | ||||||
Tenet Healthcare Corp. | ||||||||
144A 5.500%, 3/1/19(4) | 60 | 61 | ||||||
144A 3.786%, 6/15/20(3)(4) | 35 | 35 | ||||||
4.500%, 4/1/21 | 105 | 104 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
144A 6.750%, 8/15/18(4) | 45 | 47 | ||||||
144A 7.500%, 7/15/21(4) | 15 | 16 | ||||||
144A 5.625%, 12/1/21(4) | 25 | 26 | ||||||
144A 5.500%, 3/1/23(4) | 25 | 25 | ||||||
144A 5.875%, 5/15/23(4) | 10 | 10 | ||||||
144A 6.125%, 4/15/25(4) | 10 | 10 | ||||||
Zoetis, Inc. | 70 | 68 | ||||||
|
| |||||||
1,130 | ||||||||
|
|
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
26
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Industrials—1.2% | ||||||||
ADT Corp. (The) | $ | 110 | $ | 116 | ||||
Atlas Air Pass-Through-Trust | 39 | 40 | ||||||
Bombardier, Inc. 144A | 160 | 143 | ||||||
British Airways Pass-Through-Trust | 53 | 56 | ||||||
Building Materials Corp. of America 144A | 50 | 49 | ||||||
Carpenter Technology Corp. | 150 | 160 | ||||||
Continental Airlines Pass-Through-Trust | ||||||||
99-1, A | 159 | 175 | ||||||
01-1, A1 | 169 | 180 | ||||||
Northwest Airlines Pass-Through-Trust | 110 | 115 | ||||||
Penske Truck Leasing Co. LP 144A 3.375%, 2/1/22(4) | 50 | 48 | ||||||
UAL Pass-Through-Trust | 222 | 238 | ||||||
Virgin Australia Trust | 110 | 115 | ||||||
|
| |||||||
1,435 | ||||||||
|
| |||||||
Information Technology—0.4% | ||||||||
Dun & Bradstreet Corp. (The) | 135 | 134 | ||||||
Juniper Networks, Inc. | 25 | 25 | ||||||
KLA-Tencor Corp. | 130 | 130 | ||||||
McGraw Hill Financial, Inc. 144A 4.000%, 6/15/25(4) | 125 | 125 | ||||||
Verisk Analytics, Inc. | 125 | 122 | ||||||
|
| |||||||
536 | ||||||||
|
| |||||||
Materials—1.6% | ||||||||
ArcelorMittal | 100 | 100 | ||||||
Corp Nacional del Cobre de Chile 144A | 100 | 104 | ||||||
CRH America, Inc. | ||||||||
8.125%, 7/15/18 | 150 | 176 | ||||||
144A 3.875%, 5/18/25(4) | 265 | 262 | ||||||
Gerdau Holdings, Inc. 144A | 100 | 108 | ||||||
Hexion U.S. Finance Corp. | 80 | 74 |
PAR VALUE | VALUE | |||||||
Materials—continued | ||||||||
Methanex Corp. | $ | 130 | $ | 129 | ||||
NewMarket Corp. | 142 | 144 | ||||||
PTT Global Chemical plc 144A 4.250%, 9/19/22(4) | 200 | 205 | ||||||
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21(4) | 230 | 240 | ||||||
Severstal OAO (Steel Capital SA) 144A | 100 | 104 | ||||||
Tronox Finance LLC | 55 | 51 | ||||||
Vale Overseas Ltd. | 130 | 127 | ||||||
Vedanta Resources plc 144A | 100 | 107 | ||||||
|
| |||||||
1,931 | ||||||||
|
| |||||||
Telecommunication Services—0.6% | ||||||||
AT&T, Inc. | 50 | 48 | ||||||
CenturyLink, Inc. Series V | 40 | 41 | ||||||
CCO Holdings LLC | ||||||||
5.250%, 3/15/21 | 40 | 40 | ||||||
5.250%, 9/30/22 | 40 | 39 | ||||||
144A 5.125%, 5/1/23(4) | 50 | 49 | ||||||
Crown Castle Towers LLC 144A 4.883%, 8/15/20(4) | 250 | 271 | ||||||
Frontier Communications Corp. | 75 | 69 | ||||||
T-Mobile USA, Inc. | 30 | 31 | ||||||
Verizon Communications, Inc. | ||||||||
2.550%, 6/17/19 | 100 | 101 | ||||||
4.400%, 11/1/34 | 50 | 47 | ||||||
Windstream Corp. | 80 | 79 | ||||||
|
| |||||||
815 | ||||||||
|
| |||||||
Utilities—0.8% | ||||||||
Electricite de France SA 144A | 170 | 170 | ||||||
Entergy Mississippi, Inc. | 175 | 172 | ||||||
Kansas City Power & Light Co. | 110 | 108 | ||||||
United Energy Distribution Holdings Property Ltd. 144A 5.450%, 4/15/16(4)(8) | 500 | 512 | ||||||
|
| |||||||
962 | ||||||||
TOTAL CORPORATE BONDS AND NOTES (Identified Cost $23,497) | 23,694 |
PAR VALUE | VALUE | |||||||
LOAN AGREEMENTS(3)—1.0% | ||||||||
Consumer Discretionary—0.2% | ||||||||
Landry’s, Inc. (Landry’s Restaurants, Inc.) Tranche B, | $ | 93 | $ | 94 | ||||
PetSmart, Inc. Tranche B-1 | 18 | 18 | ||||||
Seminole Hard Rock Entertainment, Inc. Tranche B, | 44 | 44 | ||||||
SRAM LLC First Lien, | 23 | 23 | ||||||
Staples, Inc. First Lien, | 56 | 56 | ||||||
TWCC Holding Corp. | 52 | 49 | ||||||
|
| |||||||
284 | ||||||||
|
| |||||||
Consumer Staples—0.0% | ||||||||
Prestige Brands, Inc. | 6 | 6 | ||||||
Spectrum Brands Holdings | 16 | 16 | ||||||
|
| |||||||
22 | ||||||||
|
| |||||||
Energy—0.1% | ||||||||
Paragon Offshore Finance Co. | 33 | 24 | ||||||
Seadrill Operating LP | 51 | 39 | ||||||
|
| |||||||
63 | ||||||||
|
| |||||||
Financials—0.2% | ||||||||
Delos Finance S.A.R.L. | 80 | 80 | ||||||
Walter Investment Management Corp. Tranche B, | 118 | 112 | ||||||
|
| |||||||
192 | ||||||||
|
| |||||||
Health Care—0.0% | ||||||||
PharMEDium Healthcare Corp. Second Lien, 7.750%, 1/28/22 | 28 | 28 | ||||||
|
| |||||||
Industrials—0.1% | ||||||||
AWAS Finance Luxembourg SA | 34 | 34 | ||||||
Brock Holdings Ill, Inc. | 18 | 18 | ||||||
Ceridian HCM Holding, Inc. | 48 | 48 | ||||||
|
| |||||||
100 | ||||||||
|
|
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
27
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Information Technology—0.3% | ||||||||
Applied Systems, Inc. | $ | 14 | $ | 14 | ||||
Blue Coat Systems, Inc. | 26 | 26 | ||||||
CCC Information Services | 33 | 33 | ||||||
Deltek, Inc. First Lien 0.000%, 12/19/22(10) | 3 | 3 | ||||||
First Data Corp. | ||||||||
2018 Term Loan 3.687%, 3/23/18 | 94 | 94 | ||||||
0.000%, 6/24/22(10) | 23 | 23 | ||||||
Infinity Acquisition Ltd. | 55 | 54 | ||||||
Mitchell International, Inc. | 32 | 32 | ||||||
Riverbed Technologies, Inc. | 34 | 34 | ||||||
SS&C Technologies, Inc. | ||||||||
0.000%, 6/29/22(10) | 27 | 27 | ||||||
0.000%, 6/29/22(10) | 6 | 6 | ||||||
|
| |||||||
346 | ||||||||
|
| |||||||
Materials—0.1% | ||||||||
Fortescue Metals Group (FMG) Resources Property Ltd. | 102 | 91 | ||||||
|
| |||||||
Utilities—0.0% | ||||||||
Texas Competitive Electric Holdings Co. LLC 2017 Extended, | 65 | 38 | ||||||
TOTAL LOAN AGREEMENTS (Identified Cost $1,212) | 1,164 | |||||||
SHARES | ||||||||
PREFERRED STOCKS—0.6% | ||||||||
Financials—0.6% | ||||||||
Ally Financial, Inc. Series G, | 42 | 42 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal | 40 | (9) | 41 | |||||
Bank of New York Mellon Corp. (The) | 40 | (9) | 40 | |||||
Citigroup, Inc. Series N, | 100 | (9) | 100 | |||||
Goldman Sachs Group, Inc. (The) Series L, 5.700%(3) | 55 | (9) | 55 | |||||
JPMorgan Chase & Co. | 100 | (9) | 98 | |||||
PNC Financial Services Group, Inc. (The) | 95 | (9) | 91 | |||||
SunTrust Bank, Inc. | 20 | (9) | 20 |
SHARES | VALUE | |||||||
Financials—continued | ||||||||
Wells Fargo & Co. | 95 | (9) | $ | 103 | ||||
Zions Bancorp 6.950% | 4,250 | 118 | ||||||
TOTAL PREFERRED STOCKS (Identified Cost $666) | 708 | |||||||
COMMON STOCKS—58.6% | ||||||||
Consumer Discretionary—9.7% | ||||||||
Bayerische Motoren Werke ADR | 38,000 | 1,396 | ||||||
Ford Motor Co. | 97,000 | 1,456 | ||||||
GameStop Corp. Class A | 17,000 | 730 | ||||||
Lear Corp. | 12,000 | 1,347 | ||||||
Mohawk Industries, Inc.(2) | 7,000 | 1,336 | ||||||
Regal Entertainment Group Class A | 68,000 | 1,422 | ||||||
Royal Caribbean Cruises Ltd. | 16,000 | 1,259 | ||||||
Viacom, Inc. Class B | 22,000 | 1,422 | ||||||
Whirlpool Corp. | 8,000 | 1,385 | ||||||
|
| |||||||
11,753 | ||||||||
|
| |||||||
Consumer Staples—3.0% | ||||||||
Archer-Daniels-Midland Co. | 31,000 | 1,495 | ||||||
Clorox Co. (The) | 7,000 | 728 | ||||||
PepsiCo, Inc. | 15,000 | 1,400 | ||||||
|
| |||||||
3,623 | ||||||||
|
| |||||||
Energy—4.5% | ||||||||
Continental Resources, Inc.(2) | 28,000 | 1,187 | ||||||
Hess Corp. | 20,000 | 1,338 | ||||||
Schlumberger Ltd. | 17,000 | 1,465 | ||||||
Valero Energy Corp. | 23,000 | 1,440 | ||||||
|
| |||||||
5,430 | ||||||||
|
| |||||||
Financials—9.9% | ||||||||
BB&T Corp. | 34,000 | 1,371 | ||||||
BlackRock, Inc. | 4,200 | 1,453 | ||||||
Blackstone Group LP (The) | 36,000 | 1,471 | ||||||
Goldman Sachs Group, Inc. (The) | 7,200 | 1,503 | ||||||
JPMorgan Chase & Co. | 22,000 | 1,491 | ||||||
Lincoln National Corp. | 26,000 | 1,540 | ||||||
Progressive Corp. (The) | 50,000 | 1,392 | ||||||
Prudential Financial, Inc. | 16,000 | 1,400 | ||||||
Wells Fargo & Co. | 6,000 | 337 | ||||||
|
| |||||||
11,958 | ||||||||
|
| |||||||
Health Care—9.3% | ||||||||
Abbott Laboratories | 29,000 | 1,423 | ||||||
Becton, Dickinson & Co. | 10,000 | 1,417 | ||||||
Biogen, Inc.(2) | 3,500 | 1,414 | ||||||
Gilead Sciences, Inc. | 13,000 | 1,522 | ||||||
HCA Holdings, Inc.(2) | 15,000 | 1,361 | ||||||
St. Jude Medical, Inc. | 19,000 | 1,388 | ||||||
UnitedHealth Group, Inc. | 12,000 | 1,464 | ||||||
Zimmer Biomet Holdings, Inc. | 12,000 | 1,311 | ||||||
|
| |||||||
11,300 | ||||||||
|
|
SHARES | VALUE | |||||||
Industrials—7.8% | ||||||||
Alaska Air Group, Inc. | 23,000 | $ | 1,482 | |||||
FedEx Corp. | 8,000 | 1,363 | ||||||
L-3 Communications Holdings, Inc. | 11,000 | 1,247 | ||||||
Parker Hannifin Corp. | 12,000 | 1,396 | ||||||
Southwest Airlines Co. | 42,000 | 1,390 | ||||||
Trinity Industries, Inc. | 53,000 | 1,401 | ||||||
United Rentals, Inc.(2) | 14,000 | 1,226 | ||||||
|
| |||||||
9,505 | ||||||||
|
| |||||||
Information Technology—10.1% | ||||||||
Apple, Inc. | 11,000 | 1,380 | ||||||
EMC Corp. | 56,000 | 1,478 | ||||||
Facebook, Inc. Class A(2) | 16,000 | 1,372 | ||||||
Google, Inc. Class A(2) | 800 | 432 | ||||||
Google, Inc. Class C(2) | 1,905 | 992 | ||||||
Intel Corp. | 47,000 | 1,429 | ||||||
MasterCard, Inc. Class A | 15,000 | 1,402 | ||||||
Micron Technology, Inc.(2) | 75,000 | 1,413 | ||||||
QUALCOMM, Inc. | 22,000 | 1,378 | ||||||
Western Digital Corp. | 13,000 | 1,019 | ||||||
|
| |||||||
12,295 | ||||||||
|
| |||||||
Materials—3.1% | ||||||||
CF Industries Holdings, Inc. | 22,500 | 1,446 | ||||||
Hi-Crush Partners LP | 25,980 | 797 | ||||||
Mosaic Co. (The) | 31,000 | 1,453 | ||||||
|
| |||||||
3,696 | ||||||||
|
| |||||||
Telecommunication Services—1.2% | ||||||||
Verizon Communications, Inc. | 32,000 | 1,491 | ||||||
TOTAL COMMON STOCKS (Identified Cost $54,722) | 71,051 | |||||||
AFFILIATED MUTUAL FUND—0.3% | ||||||||
Virtus Credit Opportunities Fund | 33,020 | 329 | ||||||
TOTAL AFFILIATED MUTUAL FUND (Identified Cost $330) | 329 | |||||||
TOTAL LONG TERM INVESTMENTS—98.7% | ||||||||
(Identified Cost $102,808) | 119,751 | (13) | ||||||
SHORT-TERM INVESTMENTS—0.9% | ||||||||
Money Market Mutual Fund—0.9% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (seven-day effective yield 0.140%) | 1,042,599 | 1,043 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,043) | 1,043 | |||||||
TOTAL INVESTMENTS—99.6% (Identified Cost $103,851) | 120,794 | (1) | ||||||
Other assets and liabilities, net—0.4% |
| 435 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 121,229 | ||||||
|
|
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
28
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2015 (Unaudited)
($ reported in thousands)
Abbreviations:
ADR | American Depositary Receipt |
FHLMC | Federal Home Loan Mortgage Corporation (“Freddie Mac”). |
FNMA | Federal National Mortgage Association (“Fannie Mae”). |
GNMA | Government National Mortgage Association (“Ginnie Mae”) |
NATL | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2015, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
(3) | Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2015. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015, these securities amounted to a value of $12,077 or 10.0% of net assets. |
(5) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933. |
(6) | Interest payments may be deferred. |
(7) | No contractual maturity date. |
(8) | Illiquid security. |
(9) | Value shown as par value. |
(10) | This loan will settle after June 30, 2015, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(11) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(12) | This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(13) | All or a portion segregated as collateral for unsettled loan transactions. |
Foreign Currencies:
CLP | Chilean Peso |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
RUB | Russian Ruble |
Country Weightings† | ||||
United States | 90 | % | ||
Australia | 1 | |||
Germany | 1 | |||
Liberia | 1 | |||
Luxembourg | 1 | |||
Sweden | 1 | |||
United Kingdom | 1 | |||
Other | 4 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2015 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2015 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2015 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Debt Securities: | ||||||||||||
Asset-Backed Securities | $ | 2,962 | $ | — | $ | 2,962 | ||||||
Corporate Bonds and Notes | 23,694 | — | 23,694 | |||||||||
Foreign Government Securities | 1,059 | — | 1,059 | |||||||||
Loan Agreements | 1,164 | — | 1,164 | |||||||||
Mortgage-Backed Securities | 16,133 | — | 16,133 | |||||||||
Municipal Bonds | 1,881 | — | 1,881 | |||||||||
U.S. Government Securities | 770 | — | 770 | |||||||||
Equity Securities: | ||||||||||||
Common Stocks | 71,051 | 71,051 | — | |||||||||
Preferred Stocks | 708 | 118 | 590 | |||||||||
Affiliated Mutual Fund | 329 | 329 | — | |||||||||
Short-Term Investments | 1,043 | 1,043 | — | |||||||||
|
|
|
|
|
| |||||||
Total Investments | $ | 120,794 | $ | 72,541 | $ | 48,253 | ||||||
|
|
|
|
|
|
There are no Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2015.
See Notes to Financial Statements
29
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2015 (Unaudited)
(Reported in thousands except shares and per share amounts)
Capital Growth Series | Equity Trend Series | Growth & Income Series | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1) | $ | 218,610 | $ | 14,686 | $ | 128,942 | ||||||
Receivables | ||||||||||||
Investment securities sold | 3,310 | 479 | 3,014 | |||||||||
Dividends and interest | 153 | 13 | 72 | |||||||||
Tax reclaims | 4 | — | — | |||||||||
Prepaid expenses | 1 | 46 | 2 | |||||||||
Prepaid trustee retainer | 14 | 1 | 9 | |||||||||
Other assets | 319 | 38 | 196 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 222,411 | 15,263 | 132,235 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Series shares repurchased | 322 | 1 | 121 | |||||||||
Investment securities purchased | 3,512 | — | 2,802 | |||||||||
Investment advisory fee | 96 | 6 | 52 | |||||||||
Administration fees | 24 | 2 | 15 | |||||||||
Transfer agent fees and expenses | 1 | 1 | 1 | |||||||||
Trustees’ fees and expenses | 4 | — | 3 | |||||||||
Professional fees | 27 | — | 28 | |||||||||
Distribution and service fees | 48 | 3 | 27 | |||||||||
Trustee deferred compensation plan | 319 | 38 | 196 | |||||||||
Other accrued expenses | 28 | 3 | 27 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 4,381 | 54 | 3,272 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 218,030 | $ | 15,209 | $ | 128,963 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 165,839 | $ | 16,913 | $ | 88,011 | ||||||
Accumulated undistributed net investment income (loss) | (196 | ) | (169 | ) | 40 | |||||||
Accumulated undistributed net realized gain (loss) | (30,020 | ) | (1,087 | ) | 11,119 | |||||||
Net unrealized appreciation (depreciation) | 82,407 | (448 | ) | 29,793 | ||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 218,030 | $ | 15,209 | $ | 128,963 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 24.44 | $ | 11.84 | $ | 16.14 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 8,919,609 | 1,270,001 | 7,989,366 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 218,030 | $ | 15,032 | $ | 128,963 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | — | $ | 11.87 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | — | 14,915 | — | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | — | $ | 177 | $ | — | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | $ | 136,203 | $ | 15,134 | $ | 99,149 |
See Notes to Financial Statements
30
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 2015 (Unaudited)
(Reported in thousands except shares and per share amounts)
International Series | Multi-Sector Fixed Income Series | Real Estate Securities Series | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1) | $ | 245,246 | $ | 148,580 | $ | 90,412 | ||||||
Foreign currency at value(2) | — | 1 | — | |||||||||
Cash | — | 468 | — | |||||||||
Receivables | ||||||||||||
Investment securities sold | — | 525 | — | |||||||||
Series shares sold | 49 | 5 | 129 | |||||||||
Dividends and interest | 655 | 1,654 | 407 | |||||||||
Tax reclaims | 928 | 1 | — | |||||||||
Prepaid expenses | 1 | 1 | — | (3) | ||||||||
Prepaid trustee retainer | 16 | 9 | 7 | |||||||||
Other assets | 379 | 219 | 150 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 247,274 | 151,463 | 91,105 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Series shares repurchased | 49 | 53 | 9 | |||||||||
Investment securities purchased | — | 2,523 | 91 | |||||||||
Investment advisory fee | 140 | 53 | 50 | |||||||||
Administration fees | 29 | 17 | 10 | |||||||||
Transfer agent fees and expenses | 1 | 1 | 2 | |||||||||
Trustees’ fees and expenses | 6 | 4 | 2 | |||||||||
Professional fees | 41 | 31 | 21 | |||||||||
Distribution and service fees | 52 | 31 | 19 | |||||||||
Trustee deferred compensation plan | 379 | 219 | 150 | |||||||||
Other accrued expenses | 51 | 34 | 16 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 748 | 2,966 | 370 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 246,526 | $ | 148,497 | $ | 90,735 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 178,691 | $ | 153,701 | $ | 48,888 | ||||||
Accumulated undistributed net investment income (loss) | 2,230 | 966 | 495 | |||||||||
Accumulated undistributed net realized gain (loss) | 1,978 | (4,453 | ) | 6,370 | ||||||||
Net unrealized appreciation (depreciation) | 63,627 | (1,717 | ) | 34,982 | ||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 246,526 | $ | 148,497 | $ | 90,735 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 16.33 | $ | 9.26 | $ | 24.43 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 15,086,093 | 16,014,362 | 3,708,569 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 246,428 | $ | 148,285 | $ | 90,607 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | 16.32 | $ | 9.25 | $ | 24.40 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 5,974 | 22,919 | 5,219 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 98 | $ | 212 | $ | 128 | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | $ | 181,572 | $ | 150,296 | $ | 55,430 | ||||||
(2) Foreign currency at cost | $ | — | $ | 1 | $ | — | ||||||
(3) Amount is less than $500. |
See Notes to Financial Statements
31
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 2015 (Unaudited)
(Reported in thousands except shares and per share amounts)
Small-Cap Growth Series | Small-Cap Value Series | Strategic Allocation Series | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1) | $ | 63,472 | $ | 104,939 | $ | 120,794 | ||||||
Foreign currency at value(2) | — | — | — | (3) | ||||||||
Cash | — | — | 7 | |||||||||
Receivables | ||||||||||||
Investment securities sold | — | — | 2,816 | |||||||||
Series shares sold | — | 2 | — | |||||||||
Dividends and interest | 24 | 33 | 468 | |||||||||
Prepaid expenses | 4 | — | 1 | |||||||||
Prepaid trustee retainer | 4 | 7 | 8 | |||||||||
Other assets | 91 | 157 | 183 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 63,595 | 105,138 | 124,277 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Series shares repurchased | 76 | 20 | 87 | |||||||||
Investment securities purchased | 240 | — | 2,644 | |||||||||
Investment advisory fee | 34 | 62 | 48 | |||||||||
Administration fees | 7 | �� | 12 | 2 | ||||||||
Transfer agent fees and expenses | 1 | 1 | 1 | |||||||||
Trustees’ fees and expenses | 1 | 2 | 3 | |||||||||
Professional fees | 21 | 20 | 27 | |||||||||
Distribution and service fees | 13 | 22 | 25 | |||||||||
Trustee deferred compensation plan | 91 | 157 | 183 | |||||||||
Other accrued expenses | 16 | 17 | 28 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 500 | 313 | 3,048 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 63,095 | $ | 104,825 | $ | 121,229 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 39,522 | $ | 70,766 | $ | 98,020 | ||||||
Accumulated undistributed net investment income (loss) | (164 | ) | 35 | 105 | ||||||||
Accumulated undistributed net realized gain (loss) | 2,489 | 7,389 | 6,160 | |||||||||
Net unrealized appreciation (depreciation) | 21,248 | 26,635 | 16,944 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 63,095 | $ | 104,825 | $ | 121,229 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 21.74 | $ | 17.14 | $ | 13.78 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 2,885,556 | 6,114,718 | 8,795,590 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 62,727 | $ | 104,825 | $ | 121,229 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | 21.86 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 16,844 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 368 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | $ | 42,223 | $ | 78,304 | $ | 103,851 | ||||||
(2) Foreign currency at cost | $ | — | $ | — | $ | — | (3) | |||||
(3) Amount is less than $500. |
See Notes to Financial Statements
32
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited)
($ reported in thousands)
Capital Growth Series | Equity Trend Series | Growth & Income Series | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 1,181 | $ | 65 | $ | 1,136 | ||||||
Foreign taxes withheld | (3 | ) | — | (1) | (6 | ) | ||||||
|
|
|
|
|
| |||||||
Total investment income | 1,178 | 65 | 1,130 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fee | 770 | 140 | 472 | |||||||||
Administration fee | 135 | 16 | 84 | |||||||||
Distribution and service fees | 275 | 32 | 169 | |||||||||
Transfer agent fees and expenses | 1 | 1 | 1 | |||||||||
Custodian fees | 2 | 1 | 1 | |||||||||
Printing fees and expenses | 21 | 3 | 16 | |||||||||
Professional fees | 33 | 17 | 32 | |||||||||
Trustees’ fees and expenses | 48 | 21 | 30 | |||||||||
Miscellaneous expenses | 35 | 7 | 32 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,320 | 238 | 837 | |||||||||
Less expenses reimbursed by investment advisor | (180 | ) | (14 | ) | (149 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 1,140 | 224 | 688 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 38 | (159 | ) | 442 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments | 8,230 | (510 | ) | 11,485 | ||||||||
Net change in unrealized appreciation (depreciation) on investments | 7,175 | (816 | ) | (12,603 | ) | |||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investments | 15,405 | (1,326 | ) | (1,118 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 15,443 | $ | (1,485 | ) | $ | (676 | ) | ||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
33
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF OPERATIONS (Continued)
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited)
($ reported in thousands)
International Series | Multi-Sector Fixed Income Series | Real Estate Securities Series | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 6,589 | $ | 57 | $ | 1,692 | ||||||
Interest | — | 4,554 | — | |||||||||
Foreign taxes withheld | (513 | ) | (3 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total investment income | 6,076 | 4,608 | 1,692 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fee | 972 | 376 | 386 | |||||||||
Administration fee | 161 | 93 | 64 | |||||||||
Distribution and service fees | 325 | 188 | 128 | |||||||||
Transfer agent fees and expenses | 1 | 1 | 2 | |||||||||
Custodian fees | 32 | 5 | 1 | |||||||||
Printing fees and expenses | 31 | 15 | 10 | |||||||||
Professional fees | 47 | 34 | 25 | |||||||||
Trustees’ fees and expenses | 60 | 36 | 23 | |||||||||
Miscellaneous expenses | 57 | 33 | 19 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,686 | 781 | 658 | |||||||||
Less expenses reimbursed by investment advisor | (120 | ) | (57 | ) | (49 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 1,566 | 724 | 609 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 4,510 | 3,884 | 1,083 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments | 2,623 | (2,745 | ) | 7,801 | ||||||||
Net realized gain (loss) on foreign currency transactions | (38 | ) | (19 | ) | — | |||||||
Net change in unrealized appreciation (depreciation) on investments | (6,778 | ) | 2,031 | (13,955 | ) | |||||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | 29 | 12 | — | |||||||||
|
|
|
|
|
| |||||||
Net loss on investments | (4,164 | ) | (721 | ) | (6,154 | ) | ||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 346 | $ | 3,163 | $ | (5,071 | ) | |||||
|
|
|
|
|
|
See Notes to Financial Statements
34
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF OPERATIONS (Continued)
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited)
($ reported in thousands)
Small-Cap Growth Series | Small-Cap Value Series | Strategic Allocation Series | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 295 | $ | 911 | $ | 634 | ||||||
Interest | — | — | 1,109 | |||||||||
Foreign taxes withheld | — | (2 | ) | (4 | ) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 295 | 909 | 1,739 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fee | 265 | 484 | 376 | |||||||||
Administration fee | 39 | 67 | 77 | |||||||||
Distribution and service fees | 78 | 135 | 157 | |||||||||
Transfer agent fees and expenses | 1 | 1 | 1 | |||||||||
Custodian fees | 1 | 1 | 3 | |||||||||
Printing fees and expenses | 7 | 10 | 12 | |||||||||
Professional fees | 20 | 24 | 31 | |||||||||
Trustees’ fees and expenses | 14 | 24 | 29 | |||||||||
Miscellaneous expenses | 17 | 17 | 24 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 442 | 763 | 710 | |||||||||
Less expenses reimbursed by investment advisor | (58 | ) | (110 | ) | (80 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 384 | 653 | 630 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (89 | ) | 256 | 1,109 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments | 2,498 | 7,399 | 6,412 | |||||||||
Net realized gain (loss) on foreign currency transactions | — | — | — | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 1,271 | (6,651 | ) | (7,526 | ) | |||||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | — | — | 1 | |||||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investments | 3,769 | 748 | (1,113 | ) | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,680 | $ | 1,004 | $ | (4 | ) | |||||
|
|
|
|
|
|
See Notes to Financial Statements
35
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF CHANGES IN NET ASSETS
($ reported in thousands)
Capital Growth Series | Equity Trend Series | Growth & Income Series | ||||||||||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 38 | $ | (22 | ) | $ | (159 | ) | $ | 98 | $ | 442 | $ | 1,313 | ||||||||||
Net realized gain (loss) | 8,230 | 17,985 | (510 | ) | 2,211 | 11,485 | 15,723 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | 7,175 | 5,404 | (816 | ) | (2,226 | ) | (12,603 | ) | (3,833 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from operations | 15,443 | 23,367 | (1,485 | ) | 83 | (676 | ) | 13,203 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | — | (131 | ) | — | (103 | ) | (400 | ) | (1,320 | ) | ||||||||||||||
Net investment income, Class I | — | — | — | (1 | ) | — | — | |||||||||||||||||
Net realized short-term gains, Class A | — | — | — | (551 | ) | (146 | ) | (227 | ) | |||||||||||||||
Net realized short-term gains, Class I | — | — | — | (4 | ) | — | — | |||||||||||||||||
Net realized long-term gains, Class A | — | — | — | (2,182 | ) | (4,712 | ) | (13,694 | ) | |||||||||||||||
Net realized long-term gains, Class I | — | — | — | (16 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets from distributions to shareholders | — | (131 | ) | — | (2,857 | ) | (5,258 | ) | (15,241 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 1,602 | 3,467 | 3,611 | 30,572 | 632 | 1,764 | ||||||||||||||||||
Class I | — | — | — | (1) | 147 | — | — | |||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | — | 131 | — | 2,836 | 5,258 | 15,241 | ||||||||||||||||||
Class I | — | — | — | 21 | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (16,053 | ) | (28,060 | ) | (23,786 | ) | (12,684 | ) | (10,115 | ) | (26,228 | ) | ||||||||||||
Class I | — | — | (88 | ) | (11 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets from share transactions | (14,451 | ) | (24,462 | ) | (20,263 | ) | 20,881 | (4,225 | ) | (9,223 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 992 | (1,226 | ) | (21,748 | ) | 18,107 | (10,159 | ) | (11,261 | ) | ||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 217,038 | 218,264 | 36,957 | 18,850 | 139,122 | 150,383 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 218,030 | $ | 217,038 | $ | 15,209 | $ | 36,957 | $ | 128,963 | $ | 139,122 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | (196 | ) | $ | (234 | ) | $ | (169 | ) | $ | (10 | ) | $ | 40 | $ | (2 | ) | |||||||
|
|
|
|
|
|
| ||||||||||||||||||
Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 67 | 166 | 295 | 2,224 | 37 | 99 | ||||||||||||||||||
Class I | — | — | — | (2) | 11 | — | — | |||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | — | 6 | — | 222 | 319 | 880 | ||||||||||||||||||
Class I | — | — | — | 2 | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (671 | ) | (1,341 | ) | (1,948 | ) | (930 | ) | (592 | ) | (1,480 | ) | ||||||||||||
Class I | — | — | (7 | ) | (1 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase/(Decrease) | (604 | ) | (1,169 | ) | (1,660 | ) | 1,528 | (236 | ) | (501 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount is less than $500. |
(2) | Amount is less than 500 shares. |
See Notes to Financial Statements
36
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
International Series | Multi-Sector Fixed Income Series | Real Estate Securities Series | ||||||||||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 4,510 | $ | 10,858 | $ | 3,884 | $ | 8,404 | $ | 1,083 | $ | 1,110 | ||||||||||||
Net realized gain (loss) | 2,585 | 20,221 | (2,764 | ) | 1,029 | 7,801 | 12,433 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | (6,749 | ) | (40,249 | ) | 2,043 | (5,795 | ) | (13,955 | ) | 13,589 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from operations | 346 | (9,170 | ) | 3,163 | 3,638 | (5,071 | ) | 27,132 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | (2,515 | ) | (11,031 | ) | (2,941 | ) | (8,108 | ) | (672 | ) | (1,131 | ) | ||||||||||||
Net investment income, Class I | (1 | ) | (5 | ) | (4 | ) | (9 | ) | (1 | ) | (2 | ) | ||||||||||||
Net realized short-term gains, Class A | — | (1) | — | (1) | — | — | (127 | ) | (445 | ) | ||||||||||||||
Net realized short-term gains, Class I | — | (1) | — | (1) | — | — | — | (1) | (1 | ) | ||||||||||||||
Net realized long-term gains, Class A | (2,382 | ) | (2,690 | ) | — | — | (3,398 | ) | (11,391 | ) | ||||||||||||||
Net realized long-term gains, Class I | (1 | ) | (1 | ) | — | — | (5 | ) | (14 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets from distributions to shareholders | (4,899 | ) | (13,727 | ) | (2,945 | ) | (8,117 | ) | (4,203 | ) | (12,984 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 2,332 | 5,432 | 5,072 | 11,880 | 6,573 | 11,894 | ||||||||||||||||||
Class I | 1 | 3 | 8 | 100 | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 4,897 | 13,722 | 2,941 | 8,107 | 4,197 | 12,967 | ||||||||||||||||||
Class I | 2 | 5 | 4 | 10 | 6 | 17 | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (17,530 | ) | (52,712 | ) | (14,860 | ) | (32,596 | ) | (16,409 | ) | (24,280 | ) | ||||||||||||
Class I | (1 | ) | (5 | ) | (24 | ) | (3 | ) | — | (1) | — | (1) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets from share transactions | (10,299 | ) | (33,555 | ) | (6,859 | ) | (12,502 | ) | (5,633 | ) | 598 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (14,852 | ) | (56,452 | ) | (6,641 | ) | (16,981 | ) | (14,907 | ) | 14,746 | |||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 261,378 | 317,830 | 155,138 | 172,119 | 105,642 | 90,896 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 246,526 | $ | 261,378 | $ | 148,497 | $ | 155,138 | $ | 90,735 | $ | 105,642 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | 2,230 | $ | 237 | $ | 966 | $ | 28 | $ | 495 | $ | 84 | ||||||||||||
|
|
|
|
|
|
| ||||||||||||||||||
Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 136 | 294 | 538 | 1,213 | 232 | 439 | ||||||||||||||||||
Class I | — | (2) | — | (2) | 1 | 10 | — | — | ||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 294 | 777 | 317 | 849 | 169 | 477 | ||||||||||||||||||
Class I | — | (2) | — | (2) | 1 | 1 | — | (2) | 1 | |||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (1,020 | ) | (2,821 | ) | (1,583 | ) | (3,345 | ) | (593 | ) | (908 | ) | ||||||||||||
Class I | — | (2) | — | (2) | (3 | ) | — | (2) | — | (2) | — | (2) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase/(Decrease) | (590 | ) | (1,750 | ) | (729 | ) | (1,272 | ) | (192 | ) | 9 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount is less than $500. |
(2) | Amount is less than 500 shares. |
See Notes to Financial Statements
37
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Small-Cap Growth Series | Small-Cap Value Series | Strategic Allocation Series | ||||||||||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | (89 | ) | $ | (387 | ) | $ | 256 | $ | 689 | $ | 1,109 | $ | 2,536 | ||||||||||
Net realized gain (loss) | 2,498 | 5,697 | 7,399 | 12,882 | 6,412 | 8,997 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 1,271 | (2,457 | ) | (6,651 | ) | (12,636 | ) | (7,525 | ) | (1,826 | ) | |||||||||||||
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Increase (decrease) in net assets resulting from operations | 3,680 | 2,853 | 1,004 | 935 | (4 | ) | 9,707 | |||||||||||||||||
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From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | — | — | (250 | ) | (686 | ) | (935 | ) | (2,822 | ) | ||||||||||||||
Net investment income, Class I | — | — | — | — | — | — | ||||||||||||||||||
Net realized short-term gains, Class A | (229 | ) | — | — | — | (238 | ) | (172 | ) | |||||||||||||||
Net realized short-term gains, Class I | (1 | ) | — | — | — | — | — | |||||||||||||||||
Net realized long-term gains, Class A | (475 | ) | (6,216 | ) | (98 | ) | (5,790 | ) | (3,163 | ) | �� | (7,372 | ) | |||||||||||
Net realized long-term gains, Class I | (3 | ) | (26 | ) | — | — | — | — | ||||||||||||||||
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Decrease in net assets from distributions to shareholders | (708 | ) | (6,242 | ) | (348 | ) | (6,476 | ) | (4,336 | ) | (10,366 | ) | ||||||||||||
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From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 560 | 961 | 305 | 807 | 906 | 533 | ||||||||||||||||||
Class I | 181 | 131 | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 704 | 6,216 | 348 | 6,476 | 4,336 | 10,366 | ||||||||||||||||||
Class I | 4 | 26 | — | — | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (4,981 | ) | (11,262 | ) | (9,514 | ) | (24,064 | ) | (9,146 | ) | (18,220 | ) | ||||||||||||
Class I | (103 | ) | (10 | ) | — | — | — | — | ||||||||||||||||
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Increase (decrease) in net assets from share transactions | (3,635 | ) | (3,938 | ) | (8,861 | ) | (16,781 | ) | (3,904 | ) | (7,321 | ) | ||||||||||||
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Net increase (decrease) in net assets | (663 | ) | (7,327 | ) | (8,205 | ) | (22,322 | ) | (8,244 | ) | (7,980 | ) | ||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 63,758 | 71,085 | 113,030 | 135,352 | 129,473 | 137,453 | ||||||||||||||||||
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End of period | $ | 63,095 | $ | 63,758 | $ | 104,825 | $ | 113,030 | $ | 121,229 | $ | 129,473 | ||||||||||||
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Accumulated undistributed net investment income (loss) at end of period | $ | (164 | ) | $ | (74 | ) | $ | 35 | $ | 32 | $ | 105 | $ | (70 | ) | |||||||||
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Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 26 | 47 | 18 | 48 | 63 | 36 | ||||||||||||||||||
Class I | 9 | 6 | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 32 | 300 | 20 | 375 | 311 | 712 | ||||||||||||||||||
Class I | — | (1) | 1 | — | — | — | — | |||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (235 | ) | (551 | ) | (559 | ) | (1,425 | ) | (633 | ) | (1,234 | ) | ||||||||||||
Class I | (5 | ) | (1 | ) | — | — | — | — | ||||||||||||||||
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Net Increase/(Decrease) | (173 | ) | (198 | ) | (521 | ) | (1,002 | ) | (259 | ) | (486 | ) | ||||||||||||
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(1) | Amount is less than 500 Shares. |
See Notes to Financial Statements
38
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Growth Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 22.79 | — | 1.65 | 1.65 | — | — | — | 1.65 | $ | 24.44 | 7.24 | %(6) | $ | 218,030 | 1.03 | %(5) | 1.21 | %(5) | 0.04 | %(5) | 9 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 20.41 | (0.00 | ) | 2.39 | 2.39 | (0.01 | ) | — | (0.01 | ) | 2.38 | 22.79 | 11.73 | 217,038 | 1.03 | 1.19 | (0.01 | ) | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 15.82 | 0.04 | 4.61 | 4.65 | (0.06 | ) | — | (0.06 | ) | 4.59 | 20.41 | 29.44 | 218,264 | 1.03 | 1.14 | 0.19 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 13.99 | 0.11 | 1.81 | 1.92 | (0.09 | ) | — | (0.09 | ) | 1.83 | 15.82 | 13.76 | 189,975 | 0.96 | (7) | 1.13 | 0.68 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 14.67 | 0.01 | (0.68 | ) | (0.67 | ) | (0.01 | ) | — | (0.01 | ) | (0.68 | ) | 13.99 | (4.60 | ) | 189,689 | 0.95 | 1.15 | 0.04 | 127 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 12.83 | 0.05 | 1.85 | 1.90 | (0.06 | ) | — | (0.06 | ) | 1.84 | 14.67 | 14.88 | 228,109 | 0.95 | 1.05 | 0.36 | 166 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity Trend Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 12.55 | (0.07 | ) | (0.64 | ) | (0.71 | ) | — | — | — | (0.71 | ) | $ | 11.84 | (5.66 | )%(6) | $ | 15,032 | 1.70 | %(5) | 1.82 | %(5) | (1.23 | )%(5) | 223 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 13.30 | 0.04 | 0.27 | 0.31 | (0.05 | ) | (1.01 | ) | (1.06 | ) | (0.75 | ) | 12.55 | 2.23 | 36,680 | 1.70 | (8) | 1.65 | 0.32 | 473 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 10.41 | 0.06 | 2.92 | 2.98 | (0.05 | ) | (0.04 | ) | (0.09 | ) | 2.89 | 13.30 | 28.71 | 18,710 | 1.70 | 1.79 | 0.52 | 108 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 9.49 | 0.15 | 0.86 | 1.01 | (0.09 | ) | — | (0.09 | ) | 0.92 | 10.41 | 10.69 | 4,958 | 1.70 | 2.07 | 1.50 | 272 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2/14/11(4) to 12/31/11 | 10.00 | 0.08 | (0.52 | ) | (0.44 | ) | (0.07 | ) | — | (0.07 | ) | (0.51 | ) | 9.49 | (4.47 | )(6) | 1,250 | 1.70 | (5) | 7.31 | (5) | 0.98 | (5) | 249 | (6) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 12.57 | (0.05 | ) | (0.65 | ) | (0.70 | ) | — | — | — | (0.70 | ) | $ | 11.87 | (5.49 | )%(6) | $ | 177 | 1.45 | %(5) | 1.60 | %(5) | (0.90 | )%(5) | 223 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 13.30 | 0.05 | 0.29 | 0.34 | (0.06 | ) | (1.01 | ) | (1.07 | ) | (0.73 | ) | 12.57 | 2.39 | 277 | 1.45 | (8) | 1.41 | 0.40 | 473 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 11.69 | 0.07 | 1.66 | 1.73 | (0.08 | ) | (0.04 | ) | (0.12 | ) | 1.61 | 13.30 | 14.64 | (6) | 140 | 1.45 | (5) | 1.50 | (5) | 0.89 | (5) | 108 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Growth & Income Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 16.91 | 0.06 | (0.15 | ) | (0.09 | ) | (0.05 | ) | (0.63 | ) | (0.68 | ) | (0.77 | ) | $ | 16.14 | (0.59 | )%(6) | $ | 128,963 | 0.98 | %(5) | 1.24 | %(5) | 0.66 | %(5) | 35 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 17.23 | 0.16 | 1.51 | 1.67 | (0.17 | ) | (1.82 | ) | (1.99 | ) | (0.32 | ) | 16.91 | 9.64 | 139,122 | 0.98 | 1.20 | 0.91 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 14.23 | 0.11 | 4.39 | 4.50 | (0.14 | ) | (1.36 | ) | (1.50 | ) | 3.00 | 17.23 | 31.81 | 150,383 | 0.98 | 1.14 | 0.84 | 54 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 12.51 | 0.12 | 1.73 | 1.85 | (0.13 | ) | — | (0.13 | ) | 1.72 | 14.23 | 14.77 | 137,385 | 0.91 | (7) | 1.14 | 0.83 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 12.82 | 0.09 | (0.30 | ) | (0.21 | ) | (0.10 | ) | — | (0.10 | ) | (0.31 | ) | 12.51 | (1.66 | ) | 148,283 | 0.90 | 1.16 | 0.69 | 36 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 11.49 | 0.11 | 1.34 | 1.45 | (0.12 | ) | — | (0.12 | ) | 1.33 | 12.82 | 12.83 | 189,361 | 0.90 | 1.07 | 0.98 | 39 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 16.67 | 0.30 | (0.31 | ) | (0.01 | ) | (0.17 | ) | (0.16 | ) | (0.33 | ) | (0.34 | ) | $ | 16.33 | (0.10 | )%(6) | $ | 246,428 | 1.18 | %(5) | 1.30 | %(5) | 3.47 | %(5) | 6 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 18.23 | 0.67 | (1.34 | ) | (0.67 | ) | (0.71 | ) | (0.18 | ) | (0.89 | ) | (1.56 | ) | 16.67 | (3.90 | ) | 261,281 | 1.18 | 1.26 | 3.60 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 17.30 | 0.35 | 0.97 | 1.32 | (0.39 | ) | — | (0.39 | ) | 0.93 | 18.23 | 7.78 | 317,726 | 1.18 | 1.18 | 1.97 | 11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 15.28 | 0.41 | 2.06 | 2.47 | (0.45 | ) | — | (0.45 | ) | 2.02 | 17.30 | 16.52 | 341,717 | 1.06 | (7) | 1.18 | 2.53 | 13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 16.45 | 0.47 | (1.21 | ) | (0.74 | ) | (0.43 | ) | — | (0.43 | ) | (1.17 | ) | 15.28 | (4.57 | ) | 335,529 | 1.03 | 1.19 | 2.91 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 14.86 | 0.35 | 1.61 | 1.96 | (0.37 | ) | — | (0.37 | ) | 1.59 | 16.45 | 13.47 | 403,607 | 1.03 | 1.08 | 2.36 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 16.65 | 0.32 | (0.30 | ) | 0.02 | (0.19 | ) | (0.16 | ) | (0.35 | ) | (0.33 | ) | $ | 16.32 | 0.09 | %(6) | $ | 98 | 0.93 | %(5) | 1.05 | %(5) | 3.75 | %(5) | 6 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 18.22 | 0.69 | (1.32 | ) | (0.63 | ) | (0.76 | ) | (0.18 | ) | (0.94 | ) | (1.57 | ) | 16.65 | (3.71 | ) | 97 | 0.93 | 1.01 | 3.71 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 18.40 | 0.18 | 0.08 | 0.26 | (0.44 | ) | — | (0.44 | ) | (0.18 | ) | 18.22 | 1.17 | (6) | 104 | 0.93 | (5) | 0.93 | (5) | 1.54 | (5) | 11 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
39
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Multi-Sector Fixed Income Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 9.25 | 0.24 | (0.04 | ) | 0.20 | (0.19 | ) | — | (0.19 | ) | 0.01 | $ | 9.26 | 2.13 | %(6) | $ | 148,285 | 0.94 | %(5) | 1.04 | %(5) | 5.16 | %(5) | 33 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.54 | 0.48 | (0.29 | ) | 0.19 | (0.48 | ) | — | (0.48 | ) | (0.29 | ) | 9.25 | 1.90 | 154,915 | 0.94 | 1.01 | 4.93 | 48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 9.88 | 0.51 | (0.30 | ) | 0.21 | (0.55 | ) | — | (0.55 | ) | (0.34 | ) | 9.54 | 2.25 | 171,995 | 0.94 | 0.96 | 5.23 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 9.18 | 0.58 | 0.74 | 1.32 | (0.62 | ) | — | (0.62 | ) | 0.70 | 9.88 | 14.69 | 203,775 | 0.78 | (7) | 0.94 | 5.94 | 85 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 9.55 | 0.63 | (0.34 | ) | 0.29 | (0.66 | ) | — | (0.66 | ) | (0.37 | ) | 9.18 | 2.99 | 197,016 | 0.75 | 0.97 | 6.50 | 39 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 8.98 | 0.61 | 0.65 | 1.26 | (0.69 | ) | — | (0.69 | ) | 0.57 | 9.55 | 14.36 | 227,860 | 0.75 | 0.85 | 6.48 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 9.24 | 0.25 | (0.04 | ) | 0.21 | (0.20 | ) | — | (0.20 | ) | 0.01 | $ | 9.25 | 2.26 | %(6) | $ | 212 | 0.69 | %(5) | 0.79 | %(5) | 5.39 | %(5) | 33 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.53 | 0.51 | (0.29 | ) | 0.22 | (0.51 | ) | — | (0.51 | ) | (0.29 | ) | 9.24 | 2.16 | 223 | 0.69 | 0.76 | 5.19 | 48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 10.19 | 0.36 | (0.44 | ) | (0.08 | ) | (0.58 | ) | — | (0.58 | ) | (0.66 | ) | 9.53 | (0.89 | )(6) | 124 | 0.69 | (5) | 0.71 | (5) | 5.54 | (5) | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 27.05 | 0.29 | (1.72 | ) | (1.43 | ) | (0.19 | ) | (1.00 | ) | (1.19 | ) | (2.62 | ) | $ | 24.43 | (5.36 | )%(6) | $ | 90,607 | 1.16 | %(5) | 1.28 | %(5) | 2.10 | %(5) | 12 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 23.33 | 0.29 | 7.00 | 7.29 | (0.31 | ) | (3.26 | ) | (3.57 | ) | 3.72 | 27.05 | 31.62 | 105,508 | 1.16 | 1.27 | 1.10 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 27.78 | 0.34 | (0.05 | ) | 0.29 | (0.43 | ) | (4.31 | ) | (4.74 | ) | (4.45 | ) | 23.33 | 0.90 | 90,794 | 1.16 | 1.22 | 1.20 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 26.18 | 0.30 | 4.10 | 4.40 | (0.29 | ) | (2.51 | ) | (2.80 | ) | 1.60 | 27.78 | 16.98 | 102,399 | 1.11 | (7) | 1.20 | 1.03 | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 25.43 | 0.24 | 2.25 | 2.49 | (0.19 | ) | (1.55 | ) | (1.74 | ) | 0.75 | 26.18 | 9.87 | 103,114 | 1.10 | 1.22 | 0.90 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 20.25 | 0.28 | 5.35 | 5.63 | (0.45 | ) | — | (0.45 | ) | 5.18 | 25.43 | 28.00 | 110,769 | 1.10 | 1.11 | 1.23 | 36 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 27.02 | 0.33 | (1.72 | ) | (1.39 | ) | (0.23 | ) | (1.00 | ) | (1.23 | ) | (2.62 | ) | $ | 24.40 | (5.23 | )%(6) | $ | 128 | 0.91 | %(5) | 1.03 | %(5) | 2.38 | %(5) | 12 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 23.30 | 0.34 | 7.02 | 7.36 | (0.38 | ) | (3.26 | ) | (3.64 | ) | 3.72 | 27.02 | 31.98 | 134 | 0.91 | 1.02 | 1.30 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 30.96 | 0.23 | (3.08 | ) | (2.85 | ) | (0.50 | ) | (4.31 | ) | (4.81 | ) | (7.66 | ) | 23.30 | (10.45 | )(6) | 102 | 0.91 | (5) | 0.98 | (5) | 1.23 | (5) | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Growth Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 20.73 | (0.03 | ) | 1.29 | 1.26 | — | (0.25 | ) | (0.25 | ) | 1.01 | $ | 21.74 | 6.04 | %(6) | $ | 62,727 | 1.19 | %(5) | 1.42 | %(5) | (0.29 | )%(5) | 5 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 21.72 | (0.13 | ) | 1.29 | 1.16 | — | (2.15 | ) | (2.15 | ) | (0.99 | ) | 20.73 | 5.50 | 63,483 | 1.19 | 1.38 | (0.62 | ) | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 15.66 | (0.12 | ) | 6.39 | 6.27 | (0.05 | ) | (0.16 | ) | (0.21 | ) | 6.06 | 21.72 | 40.20 | 70,948 | 1.19 | 1.33 | (0.63 | ) | 28 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 14.03 | 0.07 | 1.59 | 1.66 | (0.03 | ) | — | (0.03 | ) | 1.63 | 15.66 | 11.81 | 59,898 | 1.07 | (7) | 1.32 | 0.44 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 13.24 | (0.02 | ) | 2.23 | 2.21 | — | (1.42 | ) | (1.42 | ) | 0.79 | 14.03 | 16.59 | 64,868 | 1.05 | 1.35 | (0.15 | ) | 35 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 11.66 | (0.07 | ) | 1.65 | 1.58 | — | — | — | 1.58 | 13.24 | 13.53 | 68,463 | 1.05 | 1.33 | (0.55 | ) | 179 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 20.82 | (0.01 | ) | 1.30 | 1.29 | — | (0.25 | ) | (0.25 | ) | 1.04 | $ | 21.86 | 6.16 | %(6) | $ | 368 | 0.94 | %(5) | 1.18 | %(5) | (0.13 | )%(5) | 5 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 21.75 | (0.07 | ) | 1.29 | 1.22 | — | (2.15 | ) | (2.15 | ) | (0.93 | ) | 20.82 | 5.78 | 275 | 0.94 | 1.14 | (0.34 | ) | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 17.29 | (0.03 | ) | 4.70 | 4.67 | (0.05 | ) | (0.16 | ) | (0.21 | ) | 4.46 | 21.75 | 26.28 | (6) | 137 | 0.94 | (5) | 1.07 | (5) | (0.23 | )(5) | 28 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
40
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VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Value Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 17.03 | 0.04 | 0.13 | 0.17 | (0.04 | ) | (0.02 | ) | (0.06 | ) | 0.11 | $ | 17.14 | 0.98 | %(6) | $ | 104,825 | 1.20 | %(5) | 1.42 | %(5) | 0.47 | %(5) | 9 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 17.72 | 0.10 | 0.24 | 0.34 | (0.11 | ) | (0.92 | ) | (1.03 | ) | (0.69 | ) | 17.03 | 1.83 | 113,030 | 1.20 | 1.41 | 0.61 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 12.66 | 0.04 | 5.11 | 5.15 | (0.09 | ) | — | (0.09 | ) | 5.06 | 17.72 | 40.77 | 135,352 | 1.20 | 1.35 | 0.25 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 11.99 | 0.29 | 0.67 | 0.96 | (0.29 | ) | — | (0.29 | ) | 0.67 | 12.66 | 8.13 | 118,741 | 1.29 | (7) | 1.34 | 2.29 | 17 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 12.33 | 0.12 | 0.48 | 0.60 | (0.10 | ) | (0.84 | ) | (0.94 | ) | (0.34 | ) | 11.99 | 4.54 | 129,907 | 1.30 | 1.36 | 0.95 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 10.55 | 0.15 | 1.69 | 1.84 | (0.06 | ) | — | (0.06 | ) | 1.78 | 12.33 | 17.40 | 151,281 | 1.30 | 1.41 | 1.34 | 69 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Strategic Allocation Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 6/30/15(9) | $ | 14.30 | 0.13 | (0.14 | ) | (0.01 | ) | (0.11 | ) | (0.40 | ) | (0.51 | ) | (0.52 | ) | $ | 13.78 | (0.11 | )%(6) | $ | 121,229 | 0.98 | %(5) | 1.13 | %(5) | 1.77 | %(5) | 31 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 14.41 | 0.28 | 0.80 | 1.08 | (0.32 | ) | (0.87 | ) | (1.19 | ) | (0.11 | ) | 14.30 | 7.51 | 129,473 | 0.98 | 1.11 | 1.89 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 13.48 | 0.27 | 2.13 | 2.40 | (0.29 | ) | (1.18 | ) | (1.47 | ) | 0.93 | 14.41 | 17.99 | 137,453 | 0.98 | 1.06 | 1.88 | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 12.17 | 0.29 | 1.33 | 1.62 | (0.31 | ) | — | (0.31 | ) | 1.31 | 13.48 | 13.42 | 135,046 | 0.87 | (7) | 1.05 | 2.18 | 72 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 12.22 | 0.30 | (0.06 | ) | 0.24 | (0.29 | ) | — | (0.29 | ) | (0.05 | ) | 12.17 | 1.91 | 138,124 | 0.85 | 1.07 | 2.39 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 11.11 | 0.30 | 1.14 | 1.44 | (0.33 | ) | — | (0.33 | ) | 1.11 | 12.22 | 13.20 | 158,322 | 0.85 | 0.96 | 2.61 | 42 |
Footnote Legend:
(1) | Computed using average shares outstanding. |
(2) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(3) | Each Series will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(4) | Inception date |
(5) | Annualized |
(6) | Not Annualized |
(7) | Blended net expense ratio due to a change in expense limitation agreements during the fiscal year. |
(8) | See Note 3D in the Notes to Financial Statements for information on recapture of expense previously waived. |
(9) | Unaudited. |
See Notes to Financial Statements
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VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (Unaudited)
Note 1—Organization
Virtus Variable Insurance Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. It was formed on February 18, 1986, as a Massachusetts business trust, commenced operations on December 5, 1986, and was reorganized as a Delaware statutory trust on February 14, 2011.
The Trust is organized with series, which are currently available only to separate accounts of participating insurance companies to fund variable accumulation annuity contracts and variable universal life insurance policies. As of the date of this report the Trust is comprised of nine series (each a “Series”), each reported in this semiannual report. Each Series’ investment objective is outlined below.
Series Name | Each Series Seeks to Provide | |
Capital Growth Series | Long-term growth of capital | |
Equity Trend Series | Long-term capital appreciation | |
Growth and Income Series | Capital appreciation and current income | |
International Series | High total return consistent with reasonable risk | |
Multi-Sector Fixed Income Series | Long-term total return | |
Real Estate Securities Series | Capital appreciation and income with approximately equal emphasis | |
Small-Cap Growth Series | Long-term capital growth | |
Small-Cap Value Series | Long-term capital appreciation | |
Strategic Allocation Series | High total return over an extended period of time consistent with prudent investment risk |
Each Series offers Class A shares. The Equity Trend Series, International Series, Multi-Sector Fixed Income Series, Real Estate Securities Series, and Small-Cap Growth Series also offer Class I shares.
Note 2—Significant Accounting Policies
The significant accounting policies consistently followed by the Trust in the preparation of its financial statements are summarized below. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and those differences could be significant.
A. | Security Valuation |
Security valuation procedures for each Series, which include nightly price variance, as well as back-testing such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees (the “Board”, or the “Trustees”). All internally fair valued securities are approved by a valuation committee (the “Valuation Committee”) appointed by the Board. The Valuation Committee is comprised of certain members of management as identified to the Board and convenes independently from portfolio management. All internally fair valued securities are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of the model inputs and any changes to the model. Quarterly fair valuations are reviewed by the Board.
Each Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Series’ policy is to recognize transfers between levels at the end of the reporting period.
•Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). | |
•Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |
•Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to a Series’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Series calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases the Series fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs, and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and
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NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2015 (Unaudited)
asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Both are categorized as Level 1 in the hierarchy.
A summary of the inputs used to value a Series’ net assets by each major security type is disclosed at the end of the Schedule of Investments for each Series. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from sales of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method.
Dividend income from REIT investments is recorded using management’s estimate of the income included in distributions received from the REIT investments. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
Each Series is treated as a separate taxable entity. It is the intention of each Series to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
Certain Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Trust has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of June 30, 2015, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2011 forward (with limited exceptions).
D. | Distributions to Shareholders |
Distributions are recorded by each Series on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences may include the treatment of non-taxable dividends, market premium and discount, non-deductible expenses, expiring capital loss carryovers, foreign currency gain or loss, gain or loss on futures contracts, partnerships, operating losses and losses deferred due to wash sales. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital paid in on shares of beneficial interest.
E. | Expenses |
Expenses incurred together by a Series and other affiliated mutual funds are allocated in proportion to the net assets of each such Series/fund, except where allocation of direct expense to each Series/fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that a Series bears directly, the contract owners, as investors in the Series, indirectly bear the Series’ pro rata expenses of any underlying mutual funds in which the Series invests.
F. | Foreign Currency Translation |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Series do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
G. | Loan Agreements |
Certain Series may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan agreements are generally non-investment grade and often involve borrowers that are highly leveraged. The Series may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Series’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Series has the right to receive payments
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NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2015 (Unaudited)
of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Series generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Series may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Series purchases assignments from lenders it acquires direct rights against the borrower on the loan.
A Series may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR (London Interbank Offered Rate), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased a Series may pay an assignment fee. On an ongoing basis, a Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
At June 30, 2015, the Series only held assignment loans.
H. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Series may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Series to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable a Series to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Series records when-issued and delayed delivery securities on the trade date. Each Series maintains collateral for the securities purchased. Securities purchased on a when-issued or delayed delivery basis begin earning interest on the settlement date.
Note 3—Investment Advisory Fees and Related Party Transactions
($ reported in thousands except as noted)
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect wholly owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the adviser to the Trust. The Adviser manages the Series’ investment programs and general operations of the Series, including oversight of the Series’ subadvisers.
As compensation for its services to the Series, the Adviser is entitled to a fee based upon the following annual rates as a percentage of the average daily net assets of each Series:
Series | First $250 Million | Next $250 Million | Over $500 Million | |||||||||
Capital Growth Series | 0.70 | % | 0.65 | % | 0.60 | % | ||||||
Growth & Income Series | 0.70 | 0.65 | 0.60 | |||||||||
International Series | 0.75 | 0.70 | 0.65 | |||||||||
Multi-Sector Fixed Income Series | 0.50 | 0.45 | 0.40 | |||||||||
Strategic Allocation Series | 0.60 | 0.55 | 0.50 | |||||||||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||||||||
Real Estate Securities Series | 0.75 | % | 0.70 | % | 0.65 | % | ||||||
First $1 Billion | $1+ Billion | |||||||||||
Small-Cap Growth Series | 0.85 | % | 0.80 | % | ||||||||
First $400 Million | $400 Million to $1 Billion | Over $1 Billion | ||||||||||
Small-Cap Value Series | 0.90 | % | 0.85 | % | 0.80 | % | ||||||
Rate | ||||||||||||
Equity Trend Series | 1.00 | % |
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VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2015 (Unaudited)
B. | Subadvisers |
The subadvisers manage the investments of each Series for which they are paid a fee by the Adviser. A list of the subadvisers and the Series they serve is as follows:
Series | Subadviser | |
Capital Growth Series | Kayne Anderson Rudnick Investment Management, LLC (“KAR”)* | |
Equity Trend Series | Euclid Advisors LLC (“Euclid”)* | |
Growth & Income Series | Euclid* | |
International Series | Aberdeen Asset Management Inc. |
Series | Subadviser | |
Multi-Sector Fixed Income Series | Newfleet Asset Management, LLC (“NF”)* | |
Real Estate Securities Series | Duff & Phelps Investment Management Co.* | |
Small-Cap Growth Series | KAR* | |
Small-Cap Value Series | KAR* | |
Strategic Allocation Series: | ||
Equity Portfolio | Euclid* | |
Fixed Income Portfolio | NF* |
* | An indirect wholly owned subsidiary of Virtus. |
C. | Expense Limits |
The Adviser has extended the contractual agreement to limit total operating expenses of certain Series of the Trust through April 30, 2016 (excluding front-end or contingent deferred loads, interest, taxes, leverage expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, extraordinary expenses and acquired fund fees and expenses, if any), so that such expenses do not exceed the following percentages of average net assets:
Maximum Total Operating Expenses | ||||||||
Class A | Class I | |||||||
Capital Growth Series | 1.03 | % | — | |||||
Equity Trend Series | 1.70 | 1.45 | % | |||||
Growth & Income Series | 0.98 | — | ||||||
International Series | 1.18 | 0.93 | ||||||
Multi-Sector Fixed Income Series | 0.94 | 0.69 | ||||||
Real Estate Securities Series | 1.16 | 0.91 | ||||||
Small-Cap Growth Series | 1.19 | 0.94 | ||||||
Small-Cap Value Series | 1.20 | — | ||||||
Strategic Allocation Series | 0.98 | — |
D. | Expense Recapture |
The Adviser may recapture operating expenses waived or reimbursed under this arrangement within three fiscal years following the end of the fiscal year in which such waiver or reimbursement occurred. A Series must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending:
Expiration Date | ||||||||||||||||
2015 | 2016 | 2017 | Total | |||||||||||||
Capital Growth Series | $ | 334 | $ | 211 | $ | 336 | $ | 881 | ||||||||
Equity Trend Series | 8 | 9 | — | 17 | ||||||||||||
Growth & Income Series | 335 | 231 | 312 | 878 | ||||||||||||
International Series | 407 | — | 252 | 659 | ||||||||||||
Multi-Sector Fixed Income Series | 327 | 34 | 115 | 476 | ||||||||||||
Real Estate Securities Series | 95 | 57 | 109 | 261 | ||||||||||||
Small-Cap Growth Series | 155 | 88 | 121 | 364 | ||||||||||||
Small-Cap Value Series | 69 | 194 | 245 | 508 | ||||||||||||
Strategic Allocation Series | 253 | 112 | 171 | 536 |
E. | Administrator and Distributor |
Virtus Fund Services, LLC, an indirect wholly owned subsidiary of Virtus, serves as administrator to the Series.
For the six months ended June 30, 2015 (the “period”), the Series incurred administration fees totaling $604 which are included in the Statements of Operations. A portion of these fees was paid to an outside entity that also provides services to the Series.
VP Distributors, LLC (“VP Distributors”), an indirect wholly owned subsidiary of Virtus, serves as the distributor for all the Series’ shares. Each Series pays VP Distributors distribution and/or service fees under a Board approved Rule 12b-1 plan, at the annual rate of 0.25% of the average daily net assets of such Series’ Class A shares. Class I shares are not subject to a Rule 12b-1 plan. For the period ended June 30, 2015, the Series incurred distribution fees totaling $1,487 which are included in the Statements of Operations. A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners.
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VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2015 (Unaudited)
F. | Affiliated Accounts |
At June 30, 2015, Virtus and its affiliates, and the retirement plans of Virtus and its affiliates, held shares of certain Series which may be redeemed at any time, that aggregated the following:
Shares | Aggregate Net Asset Value | |||||||
Equity Trend Series | ||||||||
Class I | 9,345 | $ | 111 | |||||
International Series | ||||||||
Class I | 5,974 | 98 | ||||||
Multi-Sector Fixed Income Series | ||||||||
Class I | 11,194 | 104 | ||||||
Real Estate Securities Series | ||||||||
Class I | 4,590 | 112 | ||||||
Small-Cap Growth Series | ||||||||
Class I | 6,487 | 142 |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds or variable annuities selected by the Trustees. Investments in such instruments are included in “Other Assets” on the Statement of Assets and Liabilities at June 30, 2015.
Note 4—Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities and short-term investments) during the period ended June 30, 2015, were as follows:
Purchases | Sales | |||||||
Capital Growth Series | $ | 20,436 | $ | 34,981 | ||||
Equity Trend Series | 41,804 | 62,791 | ||||||
Growth and Income Series | 47,402 | 57,067 | ||||||
International Series | 15,860 | 24,643 | ||||||
Multi-Sector Fixed Income Series | 38,256 | 45,824 | ||||||
Real Estate Securities Series | 11,690 | 18,176 | ||||||
Small-Cap Growth Series | 2,991 | 9,440 | ||||||
Small-Cap Value Series | 9,375 | 20,154 | ||||||
Strategic Allocation Series | 35,607 | 43,253 |
Purchases and sales of long-term U.S. Government and agency securities during the period ended June 30, 2015, were as follows:
Purchases | Sales | |||||||
Multi-Sector Fixed Income Series | $ | 11,151 | $ | 8,723 | ||||
Strategic Allocation Series | 3,057 | 2,998 |
Note 5—Credit Risk and Asset Concentrations
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Series’ ability to repatriate such amounts.
High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadvisers to accurately predict risk.
Certain Series may invest in ETFs, which may expose the Series to the risk that the value of an ETF will be more volatile than the underlying portfolio of securities the ETF is designed to track, or that the costs to the Series of owning shares of the ETF will exceed those the Series would incur by investing in such securities directly.
Investing in sector funds or non-diversified funds may be more volatile than investing in broadly diversified funds, and may be more susceptible to adverse economic, political or regulatory developments affecting a single issuer than would be the case if it were more broadly diversified.
Certain Series may invest a high percentage of their assets in specific sectors of the market in the pursuit of their investment objectives. Fluctuations in these sectors of concentration may have a greater impact on a Series, positive or negative, than if the Series did not concentrate its investments in such sectors.
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VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2015 (Unaudited)
At June 30, 2015, the Series below held securities in specific sectors as detailed below:
Series | Sector | Percentage of Total Investments | ||||
Capital Growth Series | Information Technology | 37 | % | |||
Equity Trend Series | Consumer Discretionary | 30 | ||||
Small-Cap Growth Series | Information Technology | 35 | ||||
Small-Cap Value Series | Information Technology | 28 |
Note 6—Illiquid and Restricted Securities
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Series. Additionally, the following information is also considered in determining illiquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of each Series’ Schedule of Investments, where applicable. However, a portion of such footnoted securities could be liquid where it is determined that some, though not all, of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by a Series.
Restricted securities are illiquid securities, as defined above, not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
Each Series will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
At June 30, 2015, the Series did not hold any securities that were both illiquid and restricted.
Note 7—Indemnifications
Under the Trust’s organizational documents and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its Series. In addition, in the normal course of business, the Series enter into contracts that provide a variety of indemnifications to other parties. The Series’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Series and that have not occurred. However, the Series have not had prior claims or losses pursuant to these arrangements and expect the risk of loss to be remote.
Note 8—Manager of Managers
The Trust and the Adviser have each received an exemptive order from the SEC that permits the Adviser, subject to certain conditions and without the approval of shareholders, to: (a) employ a new unaffiliated subadviser for a Series pursuant to the terms of a new subadvisory agreement, in each case either as a replacement for an existing subadviser or as an additional subadviser; (b) change the terms of any subadvisory agreement; and (c) continue the employment of an existing subadviser on the same subadvisory agreement terms where an agreement has been assigned because of a change in control of the subadviser. In such circumstances, shareholders would receive notice of such action, including the information concerning the new subadviser that normally is provided in a proxy statement.
Note 9—Mixed and Shared Funding
Shares of the Series are not directly offered to the public. Shares of the Series are currently offered through separate accounts to fund variable accumulation annuity contracts and variable universal life insurance policies issued by participating insurance companies.
The interests of variable annuity contract owners and variable life policy owners could diverge based on differences in U.S. federal and state regulatory requirements, tax laws, investment management or other unanticipated developments. The Trust’s Trustees do not foresee any such differences or disadvantages at this time. However, the Trust’s Trustees intend to monitor for any material conflicts and will determine what action, if any, should be taken in response to such conflicts. If such a conflict should occur, one or more separate accounts may be required to withdraw its investment in the Series, or shares of another Series may be substituted.
Note 10—Federal Income Tax Information
($ reported in thousands)
At June 30, 2015, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by each Series were as follows:
Series | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Capital Growth Series | $ | 136,353 | $ | 85,315 | $ | (3,058 | ) | $ | 82,257 | |||||||
Equity Trend Series | 15,137 | 185 | (636 | ) | (451 | ) | ||||||||||
Growth & Income Series | 99,413 | 32,448 | (2,919 | ) | 29,529 | |||||||||||
International Series | 182,156 | 79,467 | (16,377 | ) | 63,090 | |||||||||||
Multi-Sector Fixed Income Series | 150,574 | 4,222 | (6,216 | ) | (1,994 | ) | ||||||||||
Real Estate Securities Series | 56,833 | 34,908 | (1,329 | ) | 33,579 | |||||||||||
Small-Cap Growth Series | 42,223 | 21,943 | (694 | ) | 21,249 | |||||||||||
Small-Cap Value Series | 78,304 | 27,889 | (1,254 | ) | 26,635 | |||||||||||
Strategic Allocation Series | 104,011 | 19,263 | (2,480 | ) | 16,783 |
The differences between book basis cost and tax basis cost were primarily attributable to the tax deferral of losses on wash sales.
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VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2015 (Unaudited)
The following Series have capital loss carryovers, which may be used to offset future capital gains, as follows:
Expiration Year | ||||||||||||
Series | 2016 | 2017 | Total | |||||||||
Capital Growth Series | $ | 11,783 | $ | 26,333 | $ | 38,116 | ||||||
Multi-Sector Fixed Income Series | — | 1,395 | 1,395 |
The Trust may not realize the benefit of these losses to the extent each Series does not realize gains on investments prior to the expiration of the capital loss carryovers. Utilization of this capital loss carryover is subject to annual limits.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized for tax years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
Note 11—Regulatory Matters and Litigation
From time to time, the Series’ investment adviser and/or its affiliates and/or subadvisers may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Series’ investment adviser believes that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial statements.
As part of an SEC non-public, confidential investigation of a matter entitled — In the Matter of F-Squared Investments Inc., the SEC staff informed the Series’ investment adviser that it was inquiring into whether it had violated securities laws or regulations with respect to circumstances related to that matter.
Note 12—Subsequent Events
Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
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VIRTUS VARIABLE INSURANCE TRUST
RESULTS OF SHAREHOLDER MEETING
February 20, 2015
(Unaudited)
At a Special Meeting of Shareholders of all Series of Virtus Variable Insurance Trust, held on February 20, 2015, shareholders voted on the following proposals:
Number of Eligible Shares Voted: | For | Against | Abstain | |||||||||
To elect seven trustees to serve on the Board of Trustees (Proposal 1) | ||||||||||||
George R. Aylward | 71,974,523.545 | 3,376,166.332 | 0 | |||||||||
Thomas J. Brown | 72,048,239.254 | 3,302,450.623 | 0 | |||||||||
Roger A. Gelfenbien | 71,952,893.704 | 3,397,796.173 | 0 | |||||||||
John R. Mallin | 72,066,186.880 | 3,284,502.997 | 0 | |||||||||
Hassell H. McClellan | 71,991,659.456 | 3,359,030.421 | 0 | |||||||||
Philip R. McLoughlin | 71,909,455.629 | 3,441,234.248 | 0 | |||||||||
Geraldine M. McNamara | 72,234,861.038 | 3,115,828.839 | 0 | |||||||||
To permit Virtus Investment Advisers, Inc., as the Series’ investment adviser, to hire and replace subadvisers or to modify subadvisory agreements without shareholder approval (Proposal 2) | ||||||||||||
Virtus Capital Growth Series | 7,562,222.665 | 1,289,379.932 | 623,321.467 | |||||||||
Virtus Growth & Income Series | 6,460,330.772 | 1,142,676.547 | 579,122.429 | |||||||||
Virtus International Series | 12,498,105.742 | 1,876,320.081 | 1,213,991.866 | |||||||||
Virtus Multi-Sector Fixed Income Series | 13,073,158.236 | 2,124,570.676 | 1,479,375.987 | |||||||||
Virtus Premium AlphaSector Series (now Virtus Equity Trend Series) | 2,601,881.308 | 154,448.224 | 167,067.122 | |||||||||
Virtus Real Estate Securities Series | 3,217,581.761 | 370,518.560 | 276,985.223 | |||||||||
Virtus Small-Cap Growth Series | 2,438,441.994 | 413,286.370 | 210,058.338 | |||||||||
Virtus Small-Cap Value Series | 5,208,154.896 | 902,937.140 | 483,184.497 | |||||||||
Virtus Strategic Allocation Series | 7,048,692.986 | 1,220,495.931 | 714,379.127 |
Shareholders of each Series of the Trust voted to approve the above proposals.
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Virtus Premium AlphaSector® Series,
a series of Virtus Variable Insurance Trust (the “Trust”)
Supplement dated May 14, 2015 to the Summary and
Statutory Prospectuses dated April 30, 2015
THIS SUPPLEMENT SUPERCEDES THE SUPPLEMENT DATED MAY 11, 2015
TO THE ABOVE-REFERENCED PROSPECTUSES.
IMPORTANT NOTICETO INVESTORS
In a Supplement dated May 11, 2015, the Series disclosed that it was to be liquidated in June 2015 and that, in anticipation of that liquidation, the Series expected to begin liquidating its assets and therefore deviate from its previously stated polices during the period prior to liquidation. Further, the Series disclosed that the Adviser had terminated the limited services subadvisory agreement with F-Squared Institutional Advisors, LLC (“F-Squared”) and that all references to F-Squared, and to Alexey Panchekha as portfolio manager, were thereby removed from the Series’ prospectuses.
In response to investor feedback, at a meeting held on May 13, 2015, management of the Trust recommended, and the Board of Trustees of the Trust voted, to halt the liquidation of the Series and instead make the changes to the Series’ name, principal investment strategies and investment advisory fee described in this Supplement and a supplement to the Series’ statement of additional information. In connection with these changes, Virtus Investment Advisers, Inc., the Series’ investment adviser, and Euclid Advisors LLC, the Series’ subadviser, will continue to serve in their respective capacities. F-Squared will remain terminated and have no relationship with the Series going forward, so all references to F-Squared, and to Alexey Panchekha as portfolio manager, are removed from the Series’ prospectuses as previously stated.
Disclosure changes to the Series’ prospectuses are described below and are effective May 14, 2015.
The Series’ name has changed as shown below and all references to the Series throughout the prospectuses are hereby amended to reflect the new name:
Prior Series Name | New Series Name | |
Virtus Premium AlphaSector Series | Virtus Equity Trend Series |
The “Annual Fund Operating Expenses” table in the summary prospectus and in the summary section of the statutory prospectus is hereby revised to reflect a reduction in the management fee and replaced with the following:
Annual Series Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I | ||
Management Fees(1) | 1.00% | 1.00% | ||
Distribution and Servicing (12b-1) Fees | 0.25% | None | ||
Other Expenses | 0.30% | 0.30% | ||
Acquired Fund Fees and Expenses(2) | 0.02% | 0.02% | ||
Recapture of Previously Waived Expenses | 0.05% | 0.05% | ||
Total Annual Series Operating Expenses(3) | 1.62% | 1.37% |
(1) | Restated to reflect current management fee. |
(2) | Restated to estimate expenses expected to be incurred based on changes to principal investment strategies. |
(3) | The Total Annual Fund Operating Expenses do not correlate to the ratio of expense to average net assets appearing in the Financial Highlights tables, which tables reflect only the operating expenses of the series and do not include acquired fund fees and expenses. |
The “Example” table in the summary prospectus and in the summary section of the statutory prospectus is hereby replaced with the following:
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||
Class A | $ | 165 | $ | 501 | $ | 860 | $ | 1,872 | ||||||||
Class I | $ | 139 | $ | 423 | $ | 728 | $ | 1,595 |
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The disclosure under “Principal Investment Strategies” in the summary prospectus, in the summary section of the statutory prospectus and the first three paragraphs on page 5 of the statutory prospectus is hereby replaced with the following:
The Series utilizes a rules-based investment process and may invest in securities representing the approximately 130 sub-sectors of the primary sectors of the S&P 500® Index and/or cash equivalents (high-quality short-term securities). Allocations to each sub-sector are based on quantitative models.
The Series has the flexibility to invest in any combination of the sub-sectors and high-quality short-term securities, or 100% in high-quality short-term securities. A relative strength momentum model is utilized to rank each sub-sector of the equity market. The Series will allocate to those sub-sectors that the model determines are more likely to outperform the broad market. A market risk indicator model is also used to determine whether the market is in a lower or higher level of risk based on price trends in the overall market. When the market is determined to be in a higher level of risk, a defensive cash equivalent position may be built by allocating from those sub-sectors of the market that are not exhibiting absolute positive momentum, up to 100% of Series assets.
The adviser is responsible for final model specification, portfolio construction, model monitoring, and governance. The subadviser, Euclid Advisors, LLC, monitors the Series’ allocations to the underlying securities and is responsible for rebalancing assets to maintain target allocations among the underlying sub-sectors, while taking into account any other factors the subadviser may deem relevant, such as cash flow and/or timing considerations.
The disclosure under “Principal Risks” in the summary prospectus and in the summary section of the statutory prospectus is hereby amended by removing the disclosure entitled “Correlation to Index Risk,” “Exchange-Traded Funds (ETFs) Risk” and “Fund of Funds Risk.” Also, the second sentence of the disclosure entitled “Sector Focused Investing Risk” is hereby deleted. Additionally, the disclosure entitled “Model Portfolio Risk” is hereby renamed “Quantitative Model Risk.”
The caption “The Adviser and Subadvisers” in the summary prospectuses and in the summary section of the Series’ statutory prospectus is hereby revised to read “The Adviser and Subadviser” and the disclosure describing the Series’ subadviser is hereby replaced with: “Euclid Advisors LLC (“Euclid”), an affiliate of VIA, is the subadviser to the Series.”
The disclosure under “Portfolio Management” in the summary prospectus and in the summary section of the statutory prospectus is hereby replaced with the following:
Ø | Warun Kumar, Senior Managing Director and Portfolio Manager at VIA, is a manager of the Series. Mr. Kumar has served as a Portfolio Manager of the Series since May 2015. |
Ø | Amy Robinson, Managing Director at Euclid, is a manager of the Series. Ms. Robinson has served as a Portfolio Manager of the Series since inception in February 2011. |
The disclosure under “More About Principal Risks” beginning on page 5 of the statutory prospectus is hereby amended by deleting the sections entitled “Exchange-Traded Funds (“ETFs”) Risk” and “Fund of Funds Risk.” Additionally, the disclosure entitled “Model Portfolio Risk” is hereby renamed “Quantitative Model Risk.”
Under “The Adviser” on page 7 of the statutory prospectus, the second and third paragraphs are hereby replaced with the following:
Pursuant to the Investment Advisory Agreement with the Series and subject to the direction of the Trust’s Board of Trustees, VIA is responsible for managing the Series’ investment program in conformity with the stated policies of the Series as described in this prospectus. VIA, with the approval of the Trust’s Board of Trustees, has selected Euclid to serve as subadviser. VIA is responsible for final model specification, portfolio construction, model monitoring and governance, while Euclid monitors the Series’ allocations and is responsible for rebalancing assets to maintain target allocations.
The Series pays VIA an investment management agreement that is accrued daily against the value of the Series’ net assets at the annual rate of 1.00%.
The caption “The Subadvisers” on page 8 of the statutory prospectus is hereby revised to read “The Subadviser” and the description of Euclid is revised by replacing the third sentence with: “As subadviser to the Series, Euclid monitors the Series’ allocations and is responsible for rebalancing assets to maintain target allocations.” Additionally, the last paragraph in this section is replaced with: “From its investment advisory fee, VIA, not the Series, pays Euclid for its subadvisory services at the rate of 20% of the net advisory fee.”
Under biographical information for the portfolio managers under “Portfolio Management” on page 8 of the statutory prospectus is hereby replaced with the following:
Warun Kumar. Mr. Kumar is Senior Managing Director and Portfolio Manager at VIA (since April 2015). He is also Senior Managing Director and Portfolio Manager at Virtus Alternative Investment Advisers, Inc., an affiliate of VIA (since May 2014). Before joining Virtus, Mr. Kumar was founder and managing partner of Varick Asset Management,
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an independent alternative manager focused on the development of innovative portfolio solutions and investment strategies for high net worth investors and institutional clients (2010 to 2014). Prior to forming Varick, Mr. Kumar was the U.S. head of Barclays Capital Fund Solutions, where he led the investment committee and managed business expansion throughout the Americas (2007 to 2010). Mr. Kumar’s investment management career began at Volaris Advisors, where he was a partner and headed the derivative advisory business. In addition to these roles, Mr. Kumar has held senior positions in the capital markets divisions of Lehman Brothers and Robertson Stephens, and was a founding partner of Sigma Advisors, an alternative investment advisory firm. Mr. Kumar began his financial services career in 1993 as a member of JP Morgan’s equity derivatives business.
Amy Robinson. Ms. Robinson is Managing Director of Euclid (since September 2011) and leads Euclid’s equity trading function. She also served in the role for VIA from 1992 to 2011. In this role, Ms. Robinson is responsible for all trading activities of investment portfolios and mutual funds; she also manages strategic operational initiatives for the firm. As Co-Portfolio Manager of the Series, she is responsible for monitor the Series’ assets and rebalancing assets to maintain target allocations. Ms. Robinson has 35 years of investment experience and is a former president of the Security Traders Association of Connecticut.
All other disclosure concerning the Series, including fees and expenses, remains unchanged from its prospectuses dated April 30, 2015.
Investors should retain this supplement with the
Prospectuses for future reference.
VVIT 8510/PASS Changes (5/2015)
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Virtus Capital Growth Series,
a series of Virtus Variable Insurance Trust
Supplement dated July 31, 2015 to the Summary and Statutory Prospectuses
and Statement of Additional Information (“SAI”) dated April 30, 2015
IMPORTANT NOTICETO INVESTORS
The disclosure under “Portfolio Managers” in the fund’s summary prospectus and in the summary section of the fund’s statutory prospectus is hereby replaced with the following:
Ø | Doug Foreman, CFA, Chief Investment Officer and Director of Equities at Kayne. Mr. Foreman has served as Portfolio Manager of the fund since November 2011. |
The disclosure under “Portfolio Management” on page 6 of the fund’s statutory prospectus is hereby replaced with the following:
Ø | Doug Foreman, CFA. Mr. Foreman has served as a Portfolio Manager since 2011. Mr. Foreman is Chief Investment Officer, Director of Equities and a member of the Executive Management Committee at Kayne. Before joining Kayne in 2011, he was director of equities at HighMark Capital Management (2009 to 2011). Prior to HighMark, Mr. Foreman was retired for two years (2007 to 2008) and was group managing director and chief investment officer of U.S. equities at Trust Company of the West (“TCW”) (1994 to 2006). |
The disclosure for the fund in the table under “Portfolio Managers” on page 79 of the SAI is hereby amended by removing reference to Gregory Toppe.
The disclosure in the “Other Accounts (No Performance Based Fees)” table on page 80 of the SAI is hereby amended by removing reference to Gregory Toppe.
Investors should retain this supplement with the
Prospectuses and SAI for future reference.
VVIT CGS PMs (7/2015)
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VIRTUS VARIABLE INSURANCE TRUST
100 Pearl Street
Hartford, CT 06103-4506
Trustees
George R. Aylward
Thomas J. Brown
Roger A. Gelfenbien
John R. Mallin
Hassell H. McClellan
Philip R. McLoughlin, Chairman
Geraldine M. McNamara
Officers
George R. Aylward, President
Francis G. Waltman, Executive Vice President
W. Patrick Bradley, Senior Vice President, Chief Financial Officer and Treasurer
Nancy J. Engberg, Vice President and Chief Compliance Officer
Jennifer Fromm, Vice President, Chief Legal Officer, Counsel and Secretary
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Transfer Agent
Bank of New York Mellon
4400 Computer Drive
Westborough, MA 01581-1722
Custodian
JPMorgan Chase Bank, NA
1 Chase Manhattan Plaza
New York, NY 10005-1401
How to Contact Us
Mutual Fund Services1-800-367-5877
Web siteVirtus.com
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-367-5877.
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For more information about the Virtus Variable Insurance Trust, please contact us at 1-800-367-5877 or Virtus.com.
8508 | 08-15 |
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period 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.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
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Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of 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. | Exhibits. |
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
Table of Contents
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) | Virtus Variable Insurance Trust |
By (Signature and Title)* | /s/ George R. Aylward | |||
George R. Aylward, President | ||||
(principal executive officer) |
Date | 9/4/15 |
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/ George R. Aylward | |||
George R. Aylward, President | ||||
(principal executive officer) |
Date | 9/4/15 |
By (Signature and Title)* | /s/ W. Patrick Bradley | |||
W. Patrick Bradley, Senior Vice President, | ||||
Chief Financial Officer and Treasurer | ||||
(principal financial officer) |
Date | 9/4/15 |
* | Print the name and title of each signing officer under his or her signature. |