NPORT-EX 2 SCG.htm VIP SMALL CAP GROWTH SOI HTML
   SCHEDULE OF INVESTMENTS   
 
   Small Cap Growth (in thousands)    MARCH 31, 2020 (UNAUDITED)
     
     

 

COMMON STOCKS   Shares   Value  
Communication Services
Alternative Carriers – 1.3%

8x8, Inc.(A)

   269   $3,727
   

 

Broadcasting – 2.0%

Gray Television, Inc.(A)

   114   1,229

Nexstar Broadcasting Group, Inc.

   81   4,680
   

 

    5,909
   

 

Total Communication
Services - 3.3%		   9,636

Consumer Discretionary

Apparel Retail – 0.2%

Boot Barn Holdings, Inc.(A)

   47   613
   

 

Auto Parts & Equipment – 0.9%

Fox Factory Holding Corp.(A)

   65   2,710
   

 

Casinos & Gaming – 1.5%

Churchill Downs, Inc.

   33   3,356

Monarch Casino & Resort, Inc.(A)

   37   1,029
   

 

    4,385
   

 

Distributors – 0.7%

Pool Corp.

   10   2,019
   

 

Homebuilding – 2.2%

Installed Building Products, Inc.(A)

   92   3,667

TopBuild Corp.(A)

   37   2,675
   

 

    6,342
   

 

Hotels, Resorts & Cruise Lines – 0.4%

Hilton Grand Vacations,
Inc.(A)

   77   1,210
   

 

Leisure Facilities – 0.7%

SeaWorld Entertainment,
Inc.(A)

   182   2,010
   

 

Leisure Products – 0.9%

Malibu Boats, Inc., Class A(A)

   93   2,664
   

 

Restaurants – 2.1%

Wingstop, Inc.

   76   6,072
   

 

Total Consumer
Discretionary - 9.6%		   28,025

Consumer Staples

Packaged Foods & Meats – 2.7%

J&J Snack Foods Corp.

   23   2,834

Nomad Foods Ltd.(A)

   275   5,100

TreeHouse Foods, Inc.(A)

   3   131
   

 

    8,065
   

 

Total Consumer Staples - 2.7%   8,065

Financials

Asset Management & Custody Banks – 0.9%

Hamilton Lane, Inc., Class A

   47   2,594
   

 

Consumer Finance – 0.5%

First Cash Financial Services, Inc.

   20   1,441
   

 

Insurance Brokers – 2.4%

eHealth, Inc.(A)

   49   6,888
   

 

Investment Banking & Brokerage – 3.2%

Houlihan Lokey, Inc.

   110   5,738

LPL Investment Holdings, Inc.

   68   3,710
   

 

    9,448
   

 

Regional Banks – 1.7%

Prosperity Bancshares, Inc.

   46   2,232

Seacoast Banking Corp. of
Florida(A)

   156   2,860
   

 

    5,092
   

 

Total Financials - 8.7%   25,463

Health Care

Biotechnology – 1.1%

Vericel Corp.(A)

   359   3,295
   

 

Health Care Distributors – 1.5%

PetIQ, Inc.(A)

   193   4,486
   

 

Health Care Equipment – 7.4%

Insulet Corp.(A)

   34   5,664

iRhythm Technologies, Inc.(A)

   33   2,674

NovoCure Ltd.(A)

   33   2,209

Penumbra, Inc.(A)

   28   4,578

Tactile Systems Technology,
Inc.(A)

   113   4,548

Veracyte, Inc.(A)

   76   1,849
   

 

    21,522
   

 

Health Care Services – 7.2%

AMN Healthcare Services, Inc.(A)

   82   4,747

LHC Group, Inc.(A)

   39   5,462

Teladoc Health, Inc.(A)(B)

   70   10,838
   

 

    21,047
   

 

Health Care Supplies – 2.8%

Haemonetics Corp.(A)

   45   4,504

STAAR Surgical Co.(A)

   114   3,692
   

 

    8,196
   

 

Health Care Technology – 4.6%

CareDx, Inc.(A)

   217   4,741

HMS Holdings Corp.(A)

   188   4,748

Omnicell, Inc.(A)

   58   3,820
   

 

    13,309
   

 

Managed Health Care – 1.0%

HealthEquity, Inc.(A)

   56   2,846
   

 

Total Health Care - 25.6%   74,701

Industrials

Aerospace & Defense – 2.7%

Mercury Computer Systems,
Inc.(A)

   110   7,853
   

 

Air Freight & Logistics – 1.4%

Air Transport Services Group,
Inc.(A)

   231   4,228
   

 

Building Products – 1.3%

PGT Innovations, Inc.(A)

   127   1,067

Simpson Manufacturing Co., Inc.

   9   588

Trex Co., Inc.(A)

   28   2,230
   

 

    3,885
   

 

Electrical Components & Equipment – 0.9%

EnerSys

   53   2,625
   

 

Environmental & Facilities Services – 1.4%

Clean Harbors, Inc.(A)

   78   3,985
   

 

Industrial Machinery – 5.6%

Crane Co.

   60   2,937

John Bean Technologies Corp.

   64   4,764

RBC Bearings, Inc.(A)

   25   2,836

Timken Co. (The)

   92   2,961

Woodward, Inc.

   47   2,795
   

 

    16,293
   

 

Security & Alarm Services – 1.3%

Brink’s Co. (The)

   73   3,777
   

 

Trucking – 2.2%

Knight Transportation, Inc.

   171   5,606

Saia, Inc.(A)

   13   920
   

 

    6,526
   

 

Total Industrials - 16.8%   49,172

Information Technology

Application Software – 12.2%

Envestnet, Inc.(A)

   70   3,762

Five9, Inc.(A)

   125   9,559

Globant S.A.(A)

   46   4,046

HubSpot, Inc.(A)

   19   2,486

Mimecast Ltd.(A)

   159   5,630

Paycom Software, Inc.(A)

   9   1,777

Q2 Holdings, Inc.(A)

   83   4,885

Smartsheet, Inc., Class A(A)

   82   3,414
   

 

    35,559
   

 

Communications Equipment – 1.1%

Viavi Solutions, Inc.(A)

   300   3,361
   

 

Data Processing & Outsourced Services – 0.8%

EVO Payments, Inc., Class A(A)

   146   2,237
   

 

Electronic Equipment & Instruments – 1.3%

Coherent, Inc.(A)

   35   3,739
   

 

IT Consulting & Other Services – 1.3%

Booz Allen Hamilton Holding Corp.

   56   3,840
   

 

Semiconductor Equipment – 1.0%

Enphase Energy, Inc.(A)

   96   3,106
   

 

Semiconductors – 2.2%

Monolithic Power Systems, Inc.

   38   6,406
   

 

Systems Software – 3.9%

Proofpoint, Inc.(A)

   61   6,237

Varonis Systems, Inc.(A)

   80   5,075
   

 

    11,312
   

 

Total Information
Technology - 23.8%		   69,560

Real Estate

Health Care REITs – 0.5%

Community Healthcare Trust, Inc.

   34   1,294
   

 

Specialized REITs – 2.8%

Digital Realty Trust, Inc.

   59   8,238
   

 

Total Real Estate - 3.3%   9,532

TOTAL COMMON STOCKS – 93.8%

   $274,154

(Cost: $265,054)

 

SHORT-TERM

SECURITIES

        

Money Market Funds(C) - 5.5%

State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.310%

   15,940   15,940
   

 

TOTAL SHORT-TERM
SECURITIES – 5.5%

   $15,940

(Cost: $15,940)

TOTAL INVESTMENT
SECURITIES – 99.3%

   $290,094

(Cost: $280,994)

CASH AND OTHER ASSETS, NET OF LIABILITIES(D) – 0.7%

   2,055

NET ASSETS – 100.0%

   $292,149

        

        

 

 

Notes to Schedule of Investments

*Not shown due to rounding.

(A)No dividends were paid during the preceding 12 months.

(B)All or a portion of securities with an aggregate value of $11,321 are on loan.

(C)Rate shown is the annualized 7-day yield at March 31, 2020.

(D)Cash of $2,040 has been pledged as collateral on open OTC swap agreements.

The following total return swap agreements were outstanding at March 31, 2020:

    Underlying Security

  

Long/Short

   Counterparty   Maturity
Date		    
 Notional
Amount		  
 		    Financing
Fee(1)(2)		    Value    Upfront
Payments/
(Receipts)		     
 Unrealized
Depreciation		  
 

    Biotech Custom Index

  

Long

  

Goldman Sachs International

   07/02/2020     $9,853      1-Month
LIBOR plus
2.5 bps		    $(2,123)    $—      $(2,123)  
             

 

  

 

(1)

The Portfolio pays the financing fee multiplied by the notional amount if long on the swap agreement. If the Portfolio is short on the swap agreement, the Portfolio receives the financing fee multiplied by the notional amount.

 

(2)

At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying security less a financing rate, if any. If the Portfolio is long on the swap agreement, the Portfolio would receive payments on any net positive total return, and would owe payments in the event of a negative total return. If the Portfolio is short on the swap agreement, the Portfolio would owe payments on any net positive total return, and would receive payments in the event of a negative total return.

The following table represents security positions within the total return basket swap as of March 31, 2020:

 

Reference Entity   Shares   Notional
Amount		    Value     % of Value  

Global Blood Therapeutics, Inc.

   2   $516      $(111 )      5.2%

Repligen Corp.

   1   449      (97 )      4.6

ACADIA Pharmaceuticals, Inc.

   2   436      (94 )      4.4

Iovance Biotherapeutics, Inc.

   2   337      (73 )      3.4

Acceleron Pharma, Inc.

   1   322      (70 )      3.3

Blueprint Medicines Corp.

   1   280      (60 )      2.9

Momenta Pharmaceuticals, Inc.

   2   262      (56 )      2.7

Emergent BioSolutions, Inc.

   1   261      (56 )      2.7

Arrowhead Pharmaceuticals, Inc.

   2   259      (56 )      2.6

Halozyme Therapeutics, Inc.

   3   252      (54 )      2.6

PTC Therapeutics, Inc.

   1   250      (54 )      2.5

FibroGen, Inc.

   1   237      (51 )      2.4

Ultragenyx Pharmaceutical, Inc.

   1   237      (51 )      2.4

Immunomedics, Inc.

   3   211      (45 )      2.1

Amicus Therapeutics, Inc.

   5   209      (45 )      2.1

MyoKardia, Inc.

   1   202      (43 )      2.0

Mirati Therapeutics, Inc.

   1   189      (41 )      1.9

Arena Pharmaceuticals, Inc.

   1   165      (36 )      1.7

Natera, Inc.

   1   162      (35 )      1.6

Intercept Pharmaceuticals, Inc.

   1   151      (33 )      1.5

Ironwood Pharmaceuticals, Inc.

             3       150      (32 )      1.5

Ra Pharmaceuticals, Inc.

   1   146      (31 )      1.5

Axsome Therapeutics, Inc.

   —*   136      (30 )      1.4

Pacira BioSciences, Inc.

   1   133      (29 )      1.3

Xencor, Inc.

   1   132      (29 )      1.3

Apellis Pharmaceuticals, Inc.

   1   126      (27 )      1.3

Insmed, Inc.

   2   122      (26 )      1.2

Reata Pharmaceuticals, Inc.

   —*   119      (26 )                    1.2

Invitae Corp.

   2   116      (25 )      1.2

Corcept Therapeutics, Inc.

   2   114      (25 )      1.2  

Veracyte, Inc.

   1   114      (24 )      1.2  

Fate Therapeutics, Inc.

   1   113      (24 )      1.1

Biohaven Pharmaceutical Holding Co. Ltd.

   1   112              (24 )      1.1

REGENXBIO, Inc.

   1   106      (23 )      1.1

Zogenix, Inc.

   1   104      (22 )      1.1

Theravance Biopharma, Inc.

   1   100      (21 )      1.0

Editas Medicine, Inc.

   1   97      (21 )      1.0

Dicerna Pharmaceuticals, Inc.

   1   93      (20 )      0.9

Epizyme, Inc.

   1   87      (19 )      0.9

Supernus Pharmaceuticals, Inc.

   1   87      (19 )      0.9

Enanta Pharmaceuticals, Inc.

   —*   87      (19 )      0.9

Heron Therapeutics, Inc.

             2   84      (18 )      0.9

Denali Therapeutics, Inc.

   1   82      (18 )      0.8

Esperion Therapeutics, Inc.

   1   77      (17 )      0.8

Allakos, Inc.

   —*   75              (16 )      0.8

Allogene Therapeutics, Inc.

   1   74      (16 )      0.8

Innoviva, Inc.

   1   74      (16 )      0.7

NanoString Technologies, Inc.

   1   72      (16 )      0.7

Exact Sciences Corp.

   —*   69      (15 )      0.7

TG Therapeutics, Inc.

   1   68      (15 )      0.7

Twist Bioscience Corp.

   —*   63      (14 )      0.6

Aimmune Therapeutics, Inc.

   1   62      (13 )      0.6

Omeros Corp.

   1   61      (13 )      0.6

Retrophin, Inc.

   1   58      (12 )      0.6

Radius Health, Inc.

   1   57      (12 )      0.6

Codexis, Inc.

   1   57      (12 )      0.6

Aerie Pharmaceuticals, Inc.

   1   57      (12 )                    0.6

Vanda Pharmaceuticals, Inc.

   1   53      (11 )      0.5

Amphastar Pharmaceuticals, Inc.

   1   52      (11 )      0.5

Madrigal Pharmaceuticals, Inc.

   —*   51      (11 )      0.5

Adverum Biotechnologies, Inc.

   1   50      (11 )      0.5

Sangamo Therapeutics, Inc.

   2   50      (11 )      0.5

Tricida, Inc.

   —*   47      (10 )      0.5

Portola Pharmaceuticals, Inc.

   1   46      (10 )      0.5

Phibro Animal Health Corp.

   —*   46      (10 )      0.5

Athenex, Inc.

   1   45      (10 )      0.5

PetIQ, Inc.

   —*   43      (9 )      0.4

Vericel Corp.

   1   39      (9 )      0.4

Pacific Biosciences of California, Inc.

   3   39      (8 )      0.4

ZIOPHARM Oncology, Inc.

   3   39      (8 )      0.4

Cara Therapeutics, Inc.

   1   38      (8 )      0.4

Heska Corp.

   —*   38      (8 )      0.4

Atara Biotherapeutics, Inc.

   1       37      (8 )      0.4

ANI Pharmaceuticals, Inc.

   —*   37      (8 )      0.4

UroGen Pharma Ltd.

   —*   33      (7 )      0.3

Amneal Pharmaceuticals, Inc.

             2   32      (7 )      0.3

Clovis Oncology, Inc.

   1   30      (6 )      0.3

AnaptysBio, Inc.

   —*   29      (6 )      0.3

Spectrum Pharmaceuticals, Inc.

   2   23      (5 )      0.3

Accelerate Diagnostics, Inc.

   1   22      (5 )      0.2

G1 Therapeutics, Inc.

   —*   22      (5 )      0.2

Voyager Therapeutics, Inc.

   1   22      (5 )      0.2

Stemline Therapeutics, Inc.

   1       19      (4 )                    0.2
           $ (2,123 )   

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2020:

 

       Level 1        Level 2        Level 3  

Assets

         

Investments in Securities

         

Common Stocks

     $ 274,154      $ —      $ —   

Short-Term Securities

      15,940        —        —   
  

 

 

  

Total

     $     290,094      $ —      $ —   
  

 

 

  

Liabilities

         

Total Return Swaps

     $ —      $     2,123      $     —   

The following acronyms are used throughout this schedule:

OTC = Over the Counter

REIT = Real Estate Investment Trust

 

For Federal income tax purposes, cost of investments owned at March 31, 2020 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

                  $280,994  
  

 

 

  

Gross unrealized appreciation

      52,153  

Gross unrealized depreciation

      (43,053)  
  

 

 

  

Net unrealized appreciation

      $9,100