0001145549-23-070788.txt : 20231127 0001145549-23-070788.hdr.sgml : 20231127 20231127093941 ACCESSION NUMBER: 0001145549-23-070788 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230930 FILED AS OF DATE: 20231127 DATE AS OF CHANGE: 20231127 PERIOD START: 20231231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Milliman Variable Insurance Trust CENTRAL INDEX KEY: 0001844255 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23710 FILM NUMBER: 231437753 BUSINESS ADDRESS: STREET 1: 71 S. WACKER DRIVE STREET 2: 31ST FLOOR CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: (312) 726-0677 MAIL ADDRESS: STREET 1: 71 S. WACKER DRIVE STREET 2: 31ST FLOOR CITY: CHICAGO STATE: IL ZIP: 60606 0001844255 S000073314 Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul C000230131 Class 3 NPORT-P 1 primary_doc.xml NPORT-P false 0001844255 XXXXXXXX S000073314 C000230131 Milliman Variable Insurance Trust 811-23710 0001844255 5493002H8STET494T224 71 S. Wacker Drive 31st Floor Chicago 60606 312-726-0677 Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul S000073314 254900BYH9ESKYHTB721 2023-12-31 2023-09-30 N 1615729.850000000000 636815.070000000000 978914.780000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 44663.190000000000 N S&P 500 Index SPX iShares iBoxx $ Investment Gra 549300FYCXFXG8POR355 iShares iBoxx $ Investment Grade Corporate Bond ETF 464287242 451.000000000000 NS USD 46011.020000000000 4.7002068965 Long EC RF US N 1 N N N iShares 0-3 Month Treasury Bon 549300L2T50TTT4U6186 iShares 0-3 Month Treasury Bond ETF 46436E718 430.000000000000 NS USD 43288.100000000000 4.4220498949 Long EC RF US N 1 N N N XSP 07/10/2024 440.97 C N/A XSP 07/10/2024 440.97 C N/A 18.000000000000 NC USD 46989.900000000000 4.8002033435 N/A DE US N 2 Chicago Board Options Exchange N/A Call Purchased S&P 500 Mini Index XSP 100.000000000000 440.970000000000 USD 2024-07-10 XXXX -23241.590000000000 N N N XSP 07/10/2024 176.83 P N/A XSP 07/10/2024 176.83 P N/A 22.000000000000 NC USD 1177.440000000000 0.1202801331 N/A DE US N 2 Chicago Board Options Exchange N/A Put Purchased S&P 500 Mini Index XSP 100.000000000000 176.830000000000 USD 2024-07-10 XXXX -291.040000000000 N N N XSP 07/10/2024 440.97 P N/A XSP 07/10/2024 440.97 P N/A -22.000000000000 NC USD -51917.360000000000 -5.3035627882 N/A DE US N 2 Chicago Board Options Exchange N/A Put Written S&P 500 Mini Index XSP 100.000000000000 440.970000000000 USD 2024-07-10 XXXX -6789.840000000000 N N N SPDR Portfolio Intermediate Te 549300V0LZHF2UQ4WK69 SPDR Portfolio Intermediate Term Corporate Bond ETF 78464A375 2997.000000000000 NS USD 94255.650000000000 9.6285858510 Long EC RF US N 1 N N N Vanguard Intermediate-Term Cor N/A Vanguard Intermediate-Term Corporate Bond ETF 92206C870 1226.000000000000 NS USD 93151.480000000000 9.5157905369 Long EC RF US N 1 N N N XSP 07/10/2024 0.44 C N/A XSP 07/10/2024 0.44 C N/A 22.000000000000 NC USD 932634.780000000000 95.2723157372 N/A DE US N 2 Chicago Board Options Exchange N/A Call Purchased S&P 500 Mini Index XSP 100.000000000000 0.440000000000 USD 2024-07-10 XXXX -26295.710000000000 N N N XSP 07/10/2024 396.87 P N/A XSP 07/10/2024 396.87 P N/A 22.000000000000 NC USD 25754.520000000000 2.6309256461 N/A DE US N 2 Chicago Board Options Exchange N/A Put Purchased S&P 500 Mini Index XSP 100.000000000000 396.870000000000 USD 2024-07-10 XXXX 262.030000000000 N N N XSP 07/10/2024 176.83 C N/A XSP 07/10/2024 176.83 C N/A -22.000000000000 NC USD -562584.440000000000 -57.4702161510 N/A DE US N 2 Chicago Board Options Exchange N/A Call Written S&P 500 Mini Index XSP 100.000000000000 176.830000000000 USD 2024-07-10 XXXX 29309.080000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828Y87 246000.000000000000 PA USD 238581.550000000000 24.3720449292 Long DBT UST US N 2 2024-07-31 Fixed 1.750000000000 N N N N N N Vanguard Short-Term Treasury E N/A Vanguard Short-Term Treasury ETF 92206C102 750.000000000000 NS USD 43200.000000000000 4.4130501329 Long EC RF US N 1 N N N 2023-11-27 Milliman Variable Insurance Trust /s/ Arthur W. Jasion Milliman Variable Insurance Trust Treasurer XXXX NPORT-EX 2 floor1yr-jul.htm
Milliman
1-Year
Floored
S&P
500
with
Par
Up
Outcome
Fund
-
Jul
Schedule
of
Investments
September
30,
2023
(Unaudited)
1
Shares
Value
EXCHANGE
TRADED
FUNDS
-
32.68%
iShares
0-3
Month
Treasury
Bond
ETF
(a)
......................................................................
430
$
43,288
iShares
iBoxx
$
Investment
Grade
Corporate
Bond
ETF
(a)
................................................
451
46,011
SPDR
Portfolio
Intermediate
Term
Corporate
Bond
ETF
(a)
................................................
2,997
94,256
Vanguard
Intermediate-Term
Corporate
Bond
ETF
(a)
.......................................................
1,226
93,151
Vanguard
Short-Term
Treasury
ETF
(a)
...........................................................................
750
43,200
TOTAL
EXCHANGE
TRADED
FUNDS
(Cost
$325,841)
........................................................
319,906
Principal
Amount
U.S.
TREASURY
NOTE
-
24.37%
United
States
Treasury
Note,
1.750%,
7/31/2024
(a)
......................................................
$
246,000
238,581
TOTAL
U.S.
TREASURY
NOTE
(Cost
$238,796)
.................................................................
238,581
Contracts
Notional
Amount
PURCHASED
OPTIONS
-
102.82%
(b)(c)
CALL
OPTIONS
-
100.07%
S&P
500
Mini
Index,
Expires
7/10/2024,
Strike
Price
$440.97
.........................................
18
$
771,858
46,990
S&P
500
Mini
Index,
Expires
7/10/2024,
Strike
Price
$0.44
............................................
22
943,382
932,635
979,625
PUT
OPTIONS
-
2.75%
S&P
500
Mini
Index,
Expires
7/10/2024,
Strike
Price
$396.87
.........................................
22
943,382
25,755
S&P
500
Mini
Index,
Expires
7/10/2024,
Strike
Price
$176.83
.........................................
22
943,382
1,177
26,932
TOTAL
PURCHASED
OPTIONS
(Cost
$1,056,123)
.............................................................
1,006,557
Total
Investments
(Cost
$1,620,760)
-
159.87%
...........................................................
1,565,044
Liabilities
in
Excess
of
Other
Assets
-
(59.87)%
.............................................................
(586,132)
TOTAL
NET
ASSETS
-  100.00%
....................................................................................
$
978,912
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
$558,487
.
(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
.....................................
7/10/2024
$
176.83
22
$
(943,382)
$
(562,585)
Put
Options
S&P
500
Mini
Index
.....................................
7/10/2024
440.97
22
(943,382)
(51,917)
TOTAL
OPTIONS
WRITTEN
(Premiums
Received
$637,021)
$
(614,502)
Milliman
1-Year
Floored
S&P
500
with
Par
Up
Outcome
Fund
-
Jul
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
$
319,906
$
–
$
–
$
319,906
U.S.
Treasury
Note
–
238,581
–
238,581
Purchased
Options
–
1,006,557
–
1,006,557
Total
Assets
$
319,906
$
1,245,138
$
–
$
1,565,044
Liabilities
Options
Written
$
–
$
614,502
$
–
$
614,502
Total
Liabilities
$
–
$
614,502
$
–
$
614,502