NPORT-EX 2 floor1yr-apr.htm
Milliman
1-Year
Floored
S&P
500
with
Par
Up
Outcome
Fund
-
Apr
Schedule
of
Investments
September
30,
2023
(Unaudited)
1
Shares
Value
EXCHANGE
TRADED
FUNDS
-
31.67%
iShares
0-3
Month
Treasury
Bond
ETF
(a)
......................................................................
372
$
37,449
iShares
iBoxx
$
Investment
Grade
Corporate
Bond
ETF
(a)
................................................
376
38,360
SPDR
Portfolio
Intermediate
Term
Corporate
Bond
ETF
(a)
................................................
2,537
79,789
Vanguard
Intermediate-Term
Corporate
Bond
ETF
(a)
.......................................................
1,028
78,107
Vanguard
Short-Term
Treasury
ETF
(a)
...........................................................................
639
36,806
TOTAL
EXCHANGE
TRADED
FUNDS
(Cost
$281,116)
........................................................
270,511
Principal
Amount
U.S.
TREASURY
NOTE
-
24.32%
United
States
Treasury
Note,
0.375%,
4/15/2024
(a)
......................................................
$
213,400
207,737
TOTAL
U.S.
TREASURY
NOTE
(Cost
$208,649)
.................................................................
207,737
Contracts
Notional
Amount
PURCHASED
OPTIONS
-
112.20%
(b)(c)
CALL
OPTIONS
-
110.90%
S&P
500
Mini
Index,
Expires
4/10/2024,
Strike
Price
$410.91
.........................................
14
$
600,334
53,952
S&P
500
Mini
Index,
Expires
4/10/2024,
Strike
Price
$0.41
............................................
21
900,501
893,394
947,346
PUT
OPTIONS
-
1.30%
S&P
500
Mini
Index,
Expires
4/10/2024,
Strike
Price
$369.82
........................................
21
900,501
10,698
S&P
500
Mini
Index,
Expires
4/10/2024,
Strike
Price
$164.78
........................................
21
900,501
456
11,154
TOTAL
PURCHASED
OPTIONS
(Cost
$943,413)
................................................................
958,500
Total
Investments
(Cost
$1,433,178)
-
168.19%
...........................................................
1,436,748
Liabilities
in
Excess
of
Other
Assets
-
(68.19)%
.............................................................
(582,538)
TOTAL
NET
ASSETS
-  100.00%
....................................................................................
$
854,210
Percentages
are
stated
as
a
percent
of
net
assets.
(a)
All
or
a
portion
of
each
of
these
securities
is
segregated
as
collateral
for
written
options.  The
aggregate
value
of
the
securities
segregated
as
collateral
for
written
options
is
$478,248.
(b)
Exchange-Traded.
(c)
Purchased
option
contracts
are
held
in
connection
with
corresponding
written
option
contracts.
SCHEDULE
OF
OPTIONS
WRITTEN
September
30,
2023
(Unaudited)
  Description
(a)
Expiration
Strike
Price
Contracts
Notional
Amount
Value
Call
Options
S&P
500
Mini
Index
.....................................
4/10/2024
$
164.78
21
$
(900,501)
$
(559,017)
Put
Options
S&P
500
Mini
Index
.....................................
4/10/2024
410.91
21
(900,501)
(23,748)
TOTAL
OPTIONS
WRITTEN
(Premiums
Received
$575,999)
$
(582,765)
Milliman
1-Year
Floored
S&P
500
with
Par
Up
Outcome
Fund
-
Apr
Schedule
of
Investments
(Concluded)
September
30,
2023
(Unaudited)
2
Fair
Valuation
Measurement:
The
Financial
Accounting
Standards
Board
established
a
framework
for
measuring
fair
value
in
accordance
with
U.S.
generally
accepted
accounting
principles.
Under
ASC
Topic
820,
Fair
Value
Measurement
(“ASC
820”),
various
inputs
are
used
in
determining
the
value
of
the
Fund’s
investments.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
The
three
Levels
of
inputs
of
the
fair
value
hierarchy
are
defined
as
follows:
The
availability
of
observable
inputs
can
vary
from
security
to
security
and
is
affected
by
a
wide
variety
of
factors,
including,
for
example,
the
type
of
security,
whether
the
security
is
new
and
not
yet
established
in
the
marketplace,
the
liquidity
of
markets,
and
other
characteristics
particular
to
the
security.
To
the
extent
that
valuation
is
based
on
models
or
inputs
that
are
less
observable
or
unobservable
in
the
market,
the
determination
of
fair
value
requires
more
judgement.
Accordingly,
the
degree
of
judgement
exercised
in
determining
fair
value
is
greatest
for
instruments
categorized
in
Level
3.
The
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes,
the
level
in
the
fair
value
hierarchy
within
which
the
fair
value
measurement
falls
in
its
entirety,
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
The
following
table
summarizes
valuation
of
the
Fund’s
investments
under
the
fair
value
hierarchy
levels
as
of
September
30,
2023:
Level
1
-
Unadjusted
quoted
prices
in
active
markets
for
identical
assets
or
liabilities
that
the
Fund
has
the
ability
to
access.
Level
2
-
Observable
inputs
other
than
quoted
prices
included
in
Level
1
that
are
observable
for
the
asset
or
liability,
either
directly
or
indirectly.
These
inputs
may
include
quoted
prices
for
the
identical
instrument
on
an
inactive
market,
prices
for
similar
instruments,
interest
rates,
prepayment
speeds,
credit
risk,
yield
curves,
default
rates
and
similar
data.
Level
3
-
Unobservable
inputs
for
the
asset
or
liability,
to
the
extent
relevant
observable
inputs
are
not
available,
representing
the
Fund’s
own
assumptions
about
the
assumptions
a
market
participant
would
use
in
valuing
the
asset
or
liability,
and
would
be
based
on
the
best
information
available.
Level
1
Level
2
Level
3
Total
Assets
Exchange
Traded
Funds
$
270,511
$
–
$
–
$
270,511
U.S.
Treasury
Note
–
207,737
–
207,737
Purchased
Options
–
958,500
–
958,500
Total
Assets
$
270,511
$
1,166,237
$
–
$
1,436,748
Liabilities
Options
Written
$
–
$
582,765
$
–
$
582,765
Total
Liabilities
$
–
$
582,765
$
–
$
582,765