N-Q 1 fp0037145_nq.htm

  OMB APPROVAL
 

OMB Number: 3235-0578

 

Expires: March 31, 2019

 

Estimated average burden hours per response: 10.5

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-07917  

 

Wilshire Variable Insurance Trust
(Exact name of registrant as specified in charter)

 

1299 Ocean Avenue, Suite 700 Santa Monica, California 90401-1085
Address of principal executive offices) (Zip code)

 

Jason A. Schwarz

 

1299 Ocean Avenue, Suite 700 Santa Monica, California 90401-1085
(Name and address of agent for service)

 

Registrant's telephone number, including area code: (310) 451-3051  

 

Date of fiscal year end: December 31  
     
Date of reporting period: September 30, 2018  

 

Form N-Q is to be used by management investment companies other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

Item 1. Schedule of Investments.

 

WILSHIRE GLOBAL ALLOCATION FUND

SCHEDULE OF INVESTMENTS

September 30, 2018 (Unaudited)

 

AFFILIATED REGISTERED INVESTMENT COMPANIES - 86.7%  Shares   Value 
Wilshire Income Opportunities Fund - Institutional Class   9,316,286   $95,957,751 
Wilshire International Equity Fund - Institutional Class   11,489,323    127,186,803 
Wilshire Large Company Growth Portfolio - Institutional Class   793,428    39,187,409 
Wilshire Large Company Value Portfolio - Institutional Class   2,361,794    50,684,098 
Wilshire Small Company Growth Portfolio - Institutional Class   384,403    12,085,640 
Wilshire Small Company Value Portfolio - Institutional Class   465,269    11,445,613 
Total Affiliated Registered Investment Companies (Cost $307,858,178)       $336,547,314 

 

OTHER OPEN-END FUNDS - 13.4%  Shares   Value 
DFA Emerging Markets Core Equity Portfolio - Institutional Class   625,586   $12,949,631 
Vanguard Short-Term Bond Index Fund - Admiral Shares   1,660,156    16,966,797 
Vanguard Total International Bond Index Fund - Institutional Shares   682,419    22,280,966 
Total Other Open-End Funds (Cost $53,254,349)       $52,197,394 

 

MONEY MARKET FUNDS - 0.1%  Shares   Value 
Northern Trust Institutional Government Select Portfolio - Institutional Class, 1.88% (a) (Cost $499,099)   499,099   $499,099 
Total Investments at Value - 100.2% (Cost $361,611,626)       $389,243,807 
Liabilities in Excess of Other Assets - (0.2%)        (795,653)
Net Assets - 100.0%       $388,448,154 

 

(a)The rate shown is the 7-day effective yield as of September 30, 2018.

 

Seeaccompanying notes to Schedules of Investments.

 

 

 

WILSHIRE 2015 FUND

SCHEDULE OF INVESTMENTS

September 30, 2018 (Unaudited)

 

AFFILIATED REGISTERED INVESTMENT COMPANIES - 80.8%  Shares   Value 
Wilshire Income Opportunities Fund - Institutional Class   730,891   $7,528,182 
Wilshire International Equity Fund - Institutional Class   351,362    3,889,574 
Wilshire Large Company Growth Portfolio - Institutional Class   49,208    2,430,381 
Wilshire Large Company Value Portfolio - Institutional Class   137,418    2,948,991 
Wilshire Small Company Growth Portfolio - Institutional Class   18,211    572,562 
Wilshire Small Company Value Portfolio - Institutional Class   30,867    759,327 
Total Affiliated Registered Investment Companies (Cost $16,666,506)       $18,129,017 

 

OTHER OPEN-END FUNDS - 19.3%  Shares   Value 
Vanguard Short-Term Bond Index Fund - Admiral Shares   195,313   $1,996,094 
Vanguard Total Bond Market Index Fund - Admiral Shares   224,834    2,329,279 
Total Other Open-End Funds (Cost $4,424,857)       $4,325,373 

 

MONEY MARKET FUNDS - 0.0% (a)  Shares   Value 
Northern Trust Institutional Government Select Portfolio - Institutional Class, 1.88% (b) (Cost $10,542)   10,542   $10,542 
Total Investments at Value - 100.1% (Cost $21,101,905)       $22,464,932 
Liabilities in Excess of Other Assets - (0.1%)        (25,442)
Net Assets - 100.0%       $22,439,490 

 

(a)Percentage rounds to less than 0.1%.
(b)The rate shown is the 7-day effective yield as of September 30, 2018.

 

Seeaccompanying notes to Schedules of Investments.

 

 

 

WILSHIRE 2025 FUND

SCHEDULE OF INVESTMENTS

September 30, 2018 (Unaudited)

 

AFFILIATED REGISTERED INVESTMENT COMPANIES - 86.1%  Shares   Value 
Wilshire Income Opportunities Fund - Institutional Class   1,414,151   $14,565,760 
Wilshire International Equity Fund - Institutional Class   1,303,131    14,425,655 
Wilshire Large Company Growth Portfolio - Institutional Class   163,323    8,066,506 
Wilshire Large Company Value Portfolio - Institutional Class   457,884    9,826,193 
Wilshire Small Company Growth Portfolio - Institutional Class   67,123    2,110,332 
Wilshire Small Company Value Portfolio - Institutional Class   80,961    1,991,650 
Total Affiliated Registered Investment Companies (Cost $45,937,204)       $50,986,096 

 

OTHER OPEN-END FUNDS - 14.0%  Shares   Value 
Vanguard Short-Term Bond Index Fund - Admiral Shares   371,094   $3,792,578 
Vanguard Total Bond Market Index Fund - Institutional Shares   430,667    4,461,708 
Total Other Open-End Funds (Cost $8,419,278)       $8,254,286 

 

MONEY MARKET FUNDS - 0.0% (a)  Shares   Value 
Northern Trust Institutional Government Select Portfolio - Institutional Class, 1.88% (b) (Cost $15,768)   15,768   $15,768 
Total Investments at Value - 100.1% (Cost $54,372,250)       $59,256,150 
Liabilities in Excess of Other Assets - (0.1%)        (45,141)
Net Assets - 100.0%       $59,211,009 

 

(a)Percentage rounds to less than 0.1%.
(b)The rate shown is the 7-day effective yield as of September 30, 2018.

 

Seeaccompanying notes to Schedules of Investments.

  

 

 

 

WILSHIRE 2035 FUND

SCHEDULE OF INVESTMENTS

September 30, 2018 (Unaudited)

 

AFFILIATED REGISTERED INVESTMENT COMPANIES - 92.6%  Shares   Value 
Wilshire Income Opportunities Fund - Institutional Class   973,147   $10,023,410 
Wilshire International Equity Fund - Institutional Class   2,297,221    25,430,234 
Wilshire Large Company Growth Portfolio - Institutional Class   290,933    14,369,179 
Wilshire Large Company Value Portfolio - Institutional Class   833,627    17,889,639 
Wilshire Small Company Growth Portfolio - Institutional Class   119,787    3,766,100 
Wilshire Small Company Value Portfolio - Institutional Class   160,127    3,939,126 
Total Affiliated Registered Investment Companies (Cost $66,840,402)       $75,417,688 

 

OTHER OPEN-END FUNDS - 7.4%  Shares   Value 
Vanguard Short-Term Bond Index Fund - Admiral Shares   273,438   $2,794,531 
Vanguard Total Bond Market Index Fund - Institutional Shares   312,503    3,237,532 
Total Other Open-End Funds (Cost $6,140,237)       $6,032,063 

 

MONEY MARKET FUNDS - 0.1%  Shares   Value 
Northern Trust Institutional Government Select Portfolio - Institutional Class, 1.88% (a) (Cost $49,401)   49,401   $49,401 
Total Investments at Value - 100.1% (Cost $73,030,040)       $81,499,152 
Liabilities in Excess of Other Assets - (0.1%)        (92,969)
Net Assets - 100.0%       $81,406,183 

 

(a)The rate shown is the 7-day effective yield as of September 30, 2018.

 

Seeaccompanying notes to Schedules of Investments.

 

 

 

WILSHIRE VARIABLE INSURANCE TRUST

NOTES TO SCHEDULES OF INVESTMENTS

September 30, 2018 (Unaudited)

 

1. Securities valuation

 

The Wilshire Variable Insurance Trust (the “Trust”) consists of four separate investment portfolios. The portfolios presented in these statements are: Wilshire Global Allocation Fund, Wilshire 2015 Fund, Wilshire 2025 Fund and Wilshire 2035 Fund (collectively the “Funds,” each a “Fund” of the Trust). A security listed or traded on a domestic exchange is valued at its last sales price on the exchange where it is principally traded. In the absence of a current quotation, the security is valued at the mean between the last bid and asked prices on the exchange. Securities traded on National Association of Securities Dealers Automatic Quotation (“NASDAQ”) System are valued at the NASDAQ official closing price. If there is no NASDAQ official closing price available, the most recent bid quotation is used. Securities traded over-the-counter (other than on NASDAQ) are valued at the last current sale price, and if there are no such sales, the most recent bid quotation is used.

 

When market quotations are not readily available, securities are valued according to procedures adopted by the Board of Trustees or are valued at fair value as determined in good faith by the Pricing Committee, whose members include at least two representatives of Wilshire Associates Incorporated, the Funds’ investment adviser, one of whom is an officer of the Trust, or the Trust’s Valuation Committee. Securities whose market value using the procedures outlined above do not reflect fair value because a significant valuation event has occurred may be valued at fair value by the Pricing Committee or the Valuation Committee in accordance with the Trust’s valuation procedures. The value of fair valued securities may be different from the last sale price (or the mean between the last bid and asked prices), and there is no guarantee that a fair valued security will be sold at the price at which a Fund is carrying the security. Investments in open-end registered investment companies are valued at the end of day net asset value per share as reported by the underlying funds

 

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. generally accepted accounting principles, the Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The guidance establishes three levels of the fair value hierarchy as follows:

 

•Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Funds have the ability to access at the measurement date;

 

•Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and

 

•Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. During the period ended September 30, 2018, there were no significant changes to the Funds’ fair value methodologies. During the period ended September 30, 2018, there were no Level 2 or Level 3 securities held by the Funds.

 

 

 

WILSHIRE VARIABLE INSURANCE TRUST

NOTES TO SCHEDULES OF INVESTMENTS (Continued)

 

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2018:

 

Global Allocation Fund  Level 1   Level 2   Level 3   Total 
Affiliated Registered Investment Companies  $336,547,314   $-   $-   $336,547,314 
Other Open-End Funds   52,197,394    -    -    52,197,394 
Money Market Funds   499,099    -    -    499,099 
Total  $389,243,807   $-   $-   $389,243,807 

 

2015 Fund  Level 1   Level 2   Level 3   Total 
Affiliated Registered Investment Companies  $18,129,017   $-   $-   $18,129,017 
Other Open-End Funds   4,325,373    -    -    4,325,373 
Money Market Funds   10,542    -    -    10,542 
Total  $22,464,932   $-   $-   $22,464,932 

 

2025 Fund  Level 1   Level 2   Level 3   Total 
Affiliated Registered Investment Companies  $50,986,096   $-   $-   $50,986,096 
Other Open-End Funds   8,254,286    -    -    8,254,286 
Money Market Funds   15,768    -    -    15,768 
Total  $59,256,150   $-   $-   $59,256,150 

 

2035 Fund  Level 1   Level 2   Level 3   Total 
Affiliated Registered Investment Companies  $75,417,688   $-   $-   $75,417,688 
Other Open-End Funds   6,032,063    -    -    6,032,063 
Money Market Funds   49,401    -    -    49,401 
Total  $81,499,152   $-   $-   $81,499,152 

 

2. Investment transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.

 

3. Federal income tax

The following information is computed on a tax basis for each item as of September 30, 2018:

 

   Global Allocation Fund   2015 Fund   2025 Fund   2035 Fund 
Cost of portfolio investments  $362,961,959   $21,111,812   $54,393,193   $73,043,846 
                     
Gross unrealized appreciation  $29,164,438   $1,495,183   $5,116,567   $8,662,418 
Gross unrealized depreciation   (2,882,590)   (142,063)   (253,610)   (207,112)
                     
Net unrealized appreciation  $26,281,848   $1,353,120   $4,862,957   $8,455,306 

 

The difference between the federal income tax cost of portfolio investments and the Schedules of Investments cost of each Fund is attributable primarily to the tax deferral of losses on wash sales.

 

 

 

WILSHIRE VARIABLE INSURANCE TRUST

NOTES TO SCHEDULES OF INVESTMENTS (Continued)

 

4. Affiliated investments

The following is a summary of the transactions with affiliates for the period ended September 30, 2018:

Fund  Value as of December 31, 2017   Cost of Purchases   Proceeds from Sales   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value as of September 30, 2018 
Global Allocation Fund                        
Wilshire Income Opportunities Fund - Institutional Class  $100,323,497   $7,314,453   $(12,436,923)  $261,108   $495,616   $95,957,751 
Wilshire International Equity Fund - Institutional Class   146,141,754    5,335,985    (24,832,149)   3,408,367    (2,867,154)   127,186,803 
Wilshire Large Company Growth Portfolio - Institutional Class   43,562,579    6,988,045    (17,703,503)   580,399    5,759,889    39,187,409 
Wilshire Large Company Value Portfolio - Institutional Class   44,381,480    11,312,856    (6,398,144)   (709,893)   2,097,799    50,684,098 
Wilshire Small Company Growth Portfolio - Institutional Class   10,303,449    3,520,684    (3,004,076)   155,031    1,110,552    12,085,640 
Wilshire Small Company Value Portfolio - Institutional Class   10,381,600    2,026,415    (1,610,716)   (23,002)   671,316    11,445,613 
Total                           $336,547,314 

 

2015 Fund                        
Wilshire Income Opportunities Fund - Institutional Class  $8,388,751   $777,442   $(1,694,356)  $11,615   $44,730   $7,528,182 
Wilshire International Equity Fund - Institutional Class   4,432,219    251,812    (805,842)   153,917    (142,532)   3,889,574 
Wilshire Large Company Growth Portfolio - Institutional Class   3,187,126    74,288    (1,253,390)   182,867    239,490    2,430,381 
Wilshire Large Company Value Portfolio - Institutional Class   3,241,284    159,014    (523,860)   54,050    18,503    2,948,991 
Wilshire Small Company Growth Portfolio - Institutional Class   506,382    205,276    (194,427)   19,581    35,750    572,562 
Wilshire Small Company Value Portfolio - Institutional Class   509,409    307,520    (84,134)   8,888    17,644    759,327 
Total                           $18,129,017 

 

2025 Fund                        
Wilshire Income Opportunities Fund - Institutional Class  $14,548,274   $1,707,045   $(1,801,136)  $12,342   $99,235   $14,565,760 
Wilshire International Equity Fund - Institutional Class   15,834,638    1,073,784    (2,542,720)   492,439    (432,486)   14,425,655 
Wilshire Large Company Growth Portfolio - Institutional Class   9,159,147    892,522    (3,272,303)   449,840    837,300    8,066,506 
Wilshire Large Company Value Portfolio - Institutional Class   9,381,135    1,429,419    (1,243,855)   158,383    101,111    9,826,193 
Wilshire Small Company Growth Portfolio - Institutional Class   1,521,097    829,466    (437,355)   44,456    152,668    2,110,332 
Wilshire Small Company Value Portfolio - Institutional Class   1,480,343    549,521    (127,420)   13,608    75,598    1,991,650 
Total                           $50,986,096 

 

 

 

WILSHIRE VARIABLE INSURANCE TRUST

NOTES TO SCHEDULES OF INVESTMENTS (Continued)

 

Fund  Value as of December 31, 2017   Purchases   Proceeds from Sales   Realized Gain   Change in Unrealized Appreciation (Depreciation)   Value as of September 30, 2018 
2035 Fund                        
Wilshire Income Opportunities Fund - Institutional Class  $9,719,519   $1,182,074   $(956,193)  $5,557   $72,453   $10,023,410 
Wilshire International Equity Fund - Institutional Class   26,825,677    1,953,028    (3,464,934)   685,016    (568,553)   25,430,234 
Wilshire Large Company Growth Portfolio - Institutional Class   15,926,048    1,701,766    (5,562,214)   796,875    1,506,704    14,369,179 
Wilshire Large Company Value Portfolio - Institutional Class   16,257,499    3,085,242    (1,936,817)   216,423    267,292    17,889,639 
Wilshire Small Company Growth Portfolio - Institutional Class   2,313,389    1,614,346    (500,604)   52,636    286,333    3,766,100 
Wilshire Small Company Value Portfolio - Institutional Class   2,306,861    1,631,801    (125,695)   14,049    112,110    3,939,126 
Total                           $75,417,688 

 

 

 

Item 2. Controls and Procedures.

 

(a) Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, the registrant’s principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared, and that such information is recorded, processed, summarized, and reported on a timely basis.

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto

 

 

 

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) Wilshire Variable Insurance Trust    
       
By (Signature and Title)* /s/ Jason A. Schwarz  
  Jason A. Schwarz, President
       
Date November 29, 2018    
       
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/ Jason A. Schwarz  
    Jason A. Schwarz, President  
       
Date November 29, 2018    
       
By (Signature and Title)* /s/ Michael Wauters  
    Michael Wauters, Treasurer and Principal Accounting Officer
       
Date November 29, 2018    

 

*Print the name and title of each signing officer under his or her signature.