N-CSRS 1 milliman-ncsrs.htm SEMI-ANNUAL CERTIFIED SHAREHOLDER REPORT


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 811-23710



Milliman Variable Insurance Trust
(Exact name of Registrant as specified in charter)



71 South Wacker Drive, 31st Floor
Chicago, IL 60606
(Address of principal executive offices) (Zip code)



Ehsan Sheikh
71 South Wacker Drive, 31st Floor
Chicago, IL 60606
(Name and address of agent for service)



(312) 726-0677
Registrant's telephone number, including area code



Date of fiscal year end: December 31, 2023

Date of reporting period:  June 30, 2023

Item 1. Reports to Stockholders.

(a) Semi-Annual Report


 

 

Milliman Variable Insurance Trust

Structured Outcome Funds

Semi-Annual Report

 

June 30, 2023

 

 

 

The following series of Milliman Variable Insurance Trust are presented in this semi-annual report:

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jun/Dec
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jan/Jul
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Feb/Aug
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Mar/Sep
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jan
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Feb
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Mar
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Apr
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – May
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jun
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jul
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Aug
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Sep
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Oct
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Nov
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Dec
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I)

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (II)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (II)

 

 

 

TABLE OF CONTENTS

 

Expense Example 3
Schedules of Investments 8
Statements of Assets and Liabilities 128
Statements of Operations 143
Statements of Changes in Net Assets 158
Financial Highlights 187
Notes to Financial Statements 194
Additional Information 207
Statement Regarding the Funds’ Liquidity Risk Management Program 208
Board Considerations Regarding Approval of Investment Management Agreements 209

 

 

 

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended

June 30, 2023 (Unaudited)

 

Each Fund sells its shares to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. The tables below do not include any fees or sales charges imposed by your variable product.

 

As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service (“12b-1”) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023.

 

Actual Expenses

The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Actual
Expenses
Paid
During the
Period(a)		  
                                 
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Strategy#                                
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jan/Jul   $ 1,000.00     $ 1,107.10       0.97 %   $ 5.07  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Feb/Aug   $ 1,000.00     $ 1,075.60       0.97 %   $ 4.99  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Mar/Sep   $ 1,000.00     $ 1,127.30       0.97 %   $ 5.12  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Apr/Oct   $ 1,000.00     $ 1,095.60       0.97 %   $ 5.04  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - May/Nov   $ 1,000.00     $ 1,091.40       0.97 %   $ 5.03  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jun/Dec   $ 1,000.00     $ 1,110.30       0.97 %   $ 5.08  
                                 
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Strategy#                                
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jan/Jul   $ 1,000.00     $ 1,116.90       0.97 %   $ 5.09  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Feb/Aug   $ 1,000.00     $ 1,087.70       0.97 %   $ 5.02  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Mar/Sep   $ 1,000.00     $ 1,106.50       0.97 %   $ 5.07  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Apr/Oct   $ 1,000.00     $ 1,098.00       0.97 %   $ 5.05  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - May/Nov   $ 1,000.00     $ 1,094.40       0.97 %   $ 5.04  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec   $ 1,000.00     $ 1,109.20       0.97 %   $ 5.07  
                                 
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Strategy#                                
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul   $ 1,000.00     $ 1,052.00       0.97 %   $ 4.66 (b)
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug   $ 1,000.00     $ 1,044.00       0.97 %   $ 3.80 (c)
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep   $ 1,000.00     $ 1,058.00       0.97 %   $ 3.06 (d)
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Apr/Oct   $ 1,000.00     $ 1,067.80       0.97 %   $ 4.97  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - May/Nov   $ 1,000.00     $ 1,105.80       0.97 %   $ 5.06  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jun/Dec   $ 1,000.00     $ 1,101.40       0.97 %   $ 5.05  

 

3 

 

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended

June 30, 2023 (Unaudited)

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Actual
Expenses
Paid
During the
Period(a)		  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Strategy#                                
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jan   $ 1,000.00     $ 1,126.00       0.97 %   $ 5.11  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Feb   $ 1,000.00     $ 1,127.30       0.97 %   $ 5.12  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Mar   $ 1,000.00     $ 1,168.70       0.97 %   $ 5.22  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Apr   $ 1,000.00     $ 1,121.30       0.97 %   $ 5.10  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - May   $ 1,000.00     $ 1,079.10       0.97 %   $ 5.00  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jun   $ 1,000.00     $ 1,093.10       0.97 %   $ 5.03  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jul   $ 1,000.00     $ 1,102.90       0.97 %   $ 5.06  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Aug   $ 1,000.00     $ 1,072.10       0.97 %   $ 4.98  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Sep   $ 1,000.00     $ 1,107.20       0.97 %   $ 5.07  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Oct   $ 1,000.00     $ 1,125.40       0.97 %   $ 5.11  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Nov   $ 1,000.00     $ 1,112.20       0.97 %   $ 5.08  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Dec   $ 1,000.00     $ 1,115.80       0.97 %   $ 5.09  
                                 
Milliman 1-Year Floored S&P 500 with Par Up Outcome Strategy#                                
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jan   $ 1,000.00     $ 1,075.70       0.97 %   $ 4.99  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb   $ 1,000.00     $ 1,044.60       0.97 %   $ 4.92  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Mar   $ 1,000.00     $ 1,067.00       0.97 %   $ 4.97  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Apr   $ 1,000.00     $ 1,036.40       0.97 %   $ 4.90  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - May   $ 1,000.00     $ 1,086.20       0.97 %   $ 5.02  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jun   $ 1,000.00     $ 1,090.20       0.97 %   $ 5.03  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul   $ 1,000.00     $ 1,085.30       0.97 %   $ 5.02  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Aug   $ 1,000.00     $ 1,064.10       0.97 %   $ 4.96  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Sep   $ 1,000.00     $ 1,092.60       0.97 %   $ 5.03  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Oct   $ 1,000.00     $ 1,096.30       0.97 %   $ 5.04  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Nov   $ 1,000.00     $ 1,093.00       0.97 %   $ 5.03  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Dec   $ 1,000.00     $ 1,090.70       0.97 %   $ 5.03  
                                 
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Strategy#                                
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan   $ 1,000.00     $ 1,113.90       0.97 %   $ 5.08  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb   $ 1,000.00     $ 1,135.30       0.97 %   $ 5.14  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar   $ 1,000.00     $ 1,115.50       0.97 %   $ 5.09  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr   $ 1,000.00     $ 1,097.60       0.97 %   $ 5.04  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May   $ 1,000.00     $ 1,144.70       0.97 %   $ 5.16  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun   $ 1,000.00     $ 1,152.30       0.97 %   $ 5.18  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul   $ 1,000.00     $ 1,137.90       0.98 %   $ 5.19  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug   $ 1,000.00     $ 1,167.80       0.97 %   $ 5.21  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep   $ 1,000.00     $ 1,177.80       0.97 %   $ 5.24  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct   $ 1,000.00     $ 1,113.50       0.97 %   $ 5.08  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov   $ 1,000.00     $ 1,144.00       0.97 %   $ 5.16  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec   $ 1,000.00     $ 1,146.10       0.97 %   $ 5.16  
                                 
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Strategy#                                
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (I)   $ 1,000.00     $ 1,127.30       0.92 %   $ 4.85  

 

4 

 

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended

June 30, 2023 (Unaudited)

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Actual
Expenses
Paid
During the
Period(a)		  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (I)   $ 1,000.00     $ 1,138.10       0.93 %   $ 4.93  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jul (I)   $ 1,000.00     $ 1,142.10       0.94 %   $ 4.99  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Oct (I)   $ 1,000.00     $ 1,132.50       0.94 %   $ 4.97  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)   $ 1,000.00     $ 1,066.00       0.93 %   $ 4.50 (b)
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)   $ 1,000.00     $ 1,062.00       0.93 %   $ 2.13 (e)

 


 # Class 3 shares

* Expense ratio does not reflect the indirect expenses of underlying funds in which the Funds invest.

(a) Unless otherwise noted, actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (181) divided by the number of days in the fiscal year (365) to reflect the period from January 1, 2023 to June 30, 2023.

(b) Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (171) divided by the number of days in the fiscal year (365) to reflect the period from January 10, 2023 (commencement of operations) to June 30, 2023.

(c) Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (140) divided by the number of days in the fiscal year (365) to reflect the period from February 10, 2023 (commencement of operations) to June 30, 2023.

(d) Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (112) divided by the number of days in the fiscal year (365) to reflect the period from March 10, 2023 (commencement of operations) to June 30, 2023.

(e) Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (81) divided by the number of days in the fiscal year (365) to reflect the period from April 10, 2023 (commencement of operations) to June 30, 2023.

 

Hypothetical Example for Comparison Purposes

The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. 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 the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. The Funds do not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table below is useful in comparing the ongoing costs only and will not help you determine the relative total costs of owning different funds. The Funds' expenses shown in the tables reflect fee waivers and reimbursements in effect.

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Hypothetical
Expenses
Paid
During the
Period(a)		  
                                 
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Strategy#                                
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jan/Jul   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Feb/Aug   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Mar/Sep   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  

 

5 

 

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended

June 30, 2023 (Unaudited)

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Hypothetical
Expenses
Paid
During the
Period(a)		  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Apr/Oct   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - May/Nov   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jun/Dec   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
                                 
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Strategy#                                
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jan/Jul   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Feb/Aug   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Mar/Sep   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Apr/Oct   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - May/Nov   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
                                 
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Strategy#                                
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Apr/Oct   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - May/Nov   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jun/Dec   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
                                 
Milliman 1-Year Buffered S&P 500 with Spread Outcome Strategy#                                
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jan   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Feb   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Mar   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Apr   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - May   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jun   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jul   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Aug   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Sep   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Oct   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Nov   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Dec   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
                                 
Milliman 1-Year Floored S&P 500 with Par Up Outcome Strategy#                                
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jan   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Mar   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Apr   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - May   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jun   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Aug   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  

 

6 

 

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended

June 30, 2023 (Unaudited)

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Hypothetical
Expenses
Paid
During the
Period(a)		  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Sep   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Oct   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Nov   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Dec   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
                                 
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Strategy#                                
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul   $ 1,000.00     $ 1,019.93       0.98 %   $ 4.91  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86  
                                 
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Strategy#                                
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (I)   $ 1,000.00     $ 1,020.23       0.92 %   $ 4.61  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (I)   $ 1,000.00     $ 1,020.18       0.93 %   $ 4.66  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jul (I)   $ 1,000.00     $ 1,020.13       0.94 %   $ 4.71  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Oct (I)   $ 1,000.00     $ 1,020.13       0.94 %   $ 4.71  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)   $ 1,000.00     $ 1,020.18       0.93 %   $ 4.66  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)   $ 1,000.00     $ 1,020.18       0.93 %   $ 4.66  

 


 # Class 3 shares

* Expense ratio does not reflect the indirect expenses of underlying funds in which the Funds invest.

(a) Expenses are equal to the Funds’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period).

 

7 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jan/Jul

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.53%                
iShares 0-3 Month Treasury Bond ETF (a)     624     $ 62,793  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     426       46,068  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,863       91,931  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,165       92,070  
Vanguard Short-Term Treasury ETF (a)     359       20,725  
TOTAL EXCHANGE TRADED FUNDS (Cost $314,658)             313,587  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.91%            
United States Treasury Note, 0.125%, 1/15/2024 (a)   $ 242,000       235,379  
TOTAL U.S. TREASURY NOTE (Cost $236,187)             235,379  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 112.07% (b)(c)                        
CALL OPTIONS - 112.07%                        
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $391.94     16     $ 712,064       85,404  
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.59     24       1,068,096       1,065,877  
                      1,151,281  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $157.36     24       1,068,096       3  
TOTAL PURCHASED OPTIONS (Cost $976,367)                     1,151,284  
                         
Total Investments (Cost $1,527,212) - 165.51%                     1,700,250  
Liabilities in Excess of Other Assets - (65.51)%                     (673,020 )
TOTAL NET ASSETS - 100.00%                   $ 1,027,230  

 

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 $548,966.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     7/10/2023     $ 157.36       24     $ (1,068,096 )   $ (690,181 )
Put Options                                        
S&P 500® Mini Index     7/10/2023       352.75       24       (1,068,096 )     (49 )
TOTAL OPTIONS WRITTEN (Premiums Received $586,717)                                   $ (690,230 )

 

The accompanying notes are an integral part of these financial statements.

 

8 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jan/Jul

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 313,587     $ —     $ —     $ 313,587  
U.S. Treasury Note     —       235,379       —       235,379  
Purchased Options     —       1,151,284       —       1,151,284  
Total Assets   $ 313,587     $ 1,386,663     $ —     $ 1,700,250  
                                 
Liabilities                                
Options Written   $ —     $ 690,230     $ —     $ 690,230  
Total Liabilities   $ —     $ 690,230     $ —     $ 690,230  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,151,284     $ —     $ 1,151,284  
Liabilities - Written options   Options written, at value   $ 690,230     $ —     $ 690,230  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ (24,539 )   $ (15,726 )   $ (40,265 )
Written options   Written Options     18,720       (23,979 )     (5,259 )
        $ (5,819 )   $ (39,705 )   $ (45,524 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 224,728     $ (29,915 )   $ 194,813  
Written options   Written Options     (143,004 )     86,535       (56,469 )
        $ 81,724     $ 56,620     $ 138,344  

 

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     30.53 %
U.S. Treasury Note     22.91  
Purchased Options     112.07  
Total Investments     165.51  
Written Options     (67.19 )
Assets in Excess of Other Liabilities     1.68  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

9 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Feb/Aug

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.64%                
iShares 0-3 Month Treasury Bond ETF (a)     956     $ 96,202  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     655       70,832  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     4,383       140,738  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,786       141,148  
Vanguard Short-Term Treasury ETF (a)     552       31,867  
TOTAL EXCHANGE TRADED FUNDS (Cost $482,290)             480,787  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.64%            
United States Treasury Note, 0.125%, 2/15/2024 (a)   $ 371,100       359,224  
TOTAL U.S. TREASURY NOTE (Cost $360,276)             359,224  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 108.34% (b)(c)                  
CALL OPTIONS - 108.34%                        
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $409.05     24     $ 1,068,096       92,915  
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.61     35       1,557,640       1,553,548  
                      1,646,463  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $164.23     35       1,557,640       28  
TOTAL PURCHASED OPTIONS (Cost $1,486,253)                     1,646,491  
                         
Total Investments (Cost $2,328,819) - 163.62%                     2,486,502  
Liabilities in Excess of Other Assets - (63.62)%                     (966,771 )
TOTAL NET ASSETS - 100.00%                   $ 1,519,731  

 

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 $840,011.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

                               
Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     8/10/2023     $ 164.23       35     $ (1,557,640 )   $ (984,347 )
Put Options                                        
S&P 500® Mini Index     8/10/2023       368.14       35       (1,557,640 )     (849 )
TOTAL OPTIONS WRITTEN (Premiums Received $892,763)                                   $ (985,196 )

 

The accompanying notes are an integral part of these financial statements.

 

10 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Feb/Aug

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 480,787     $ —     $ —     $ 480,787  
U.S. Treasury Note     —       359,224       —       359,224  
Purchased Options     —       1,646,491       —       1,646,491  
Total Assets   $ 480,787     $ 2,005,715     $ —     $ 2,486,502  
                                 
Liabilities                                
Options Written   $ —     $ 985,196     $ —     $ 985,196  
Total Liabilities   $ —     $ 985,196     $ —     $ 985,196  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,646,491     $ —     $ 1,646,491  
Liabilities - Written options   Options written, at value   $ 985,196     $ —     $ 985,196  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ (114,890 )   $ 41,714     $ (73,176 )
Written options   Written Options     88,959       (149,235 )     (60,276 )
        $ (25,931 )   $ (107,521 )   $ (133,452 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 368,551     $ (134,429 )   $ 234,122  
Written options   Written Options     (243,352 )     241,124       (2,228 )
        $ 125,199     $ 106,695     $ 231,894  

 

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     31.64 %
U.S. Treasury Note     23.64  
Purchased Options     108.34  
Total Investments     163.62  
Written Options     (64.83 )
Assets in Excess of Other Liabilities     1.21  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

11 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Mar/Sep

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.38%                
iShares 0-3 Month Treasury Bond ETF (a)     661     $ 66,517  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     459       49,636  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,062       98,321  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,252       98,945  
Vanguard Short-Term Treasury ETF (a)     383       22,111  
TOTAL EXCHANGE TRADED FUNDS (Cost $333,732)             335,530  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.46%            
United States Treasury Note, 0.250%, 3/15/2024 (a)   $ 257,100       248,020  
TOTAL U.S. TREASURY NOTE (Cost $248,603)             248,020  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 110.63% (b)(c)                        
CALL OPTIONS - 110.63%                        
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $386.17     18     $ 801,072       113,409  
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.58     25       1,112,600       1,108,318  
                      1,221,727  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $155.05     25       1,112,600       38  
TOTAL PURCHASED OPTIONS (Cost $1,005,294)                     1,221,765  
                         
Total Investments (Cost $1,587,629) - 163.47%                     1,805,315  
Liabilities in Excess of Other Assets - (63.47)%                     (700,981 )
TOTAL NET ASSETS - 100.00%                   $ 1,104,334  

 

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 $583,550.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     9/11/2023     $ 155.05       25     $ (1,112,600 )   $ (726,358 )
Put Options                                        
S&P 500® Mini Index     9/11/2023       347.56       25       (1,112,600 )     (1,146 )
TOTAL OPTIONS WRITTEN (Premiums Received $604,713)                                   $ (727,504 )

 

The accompanying notes are an integral part of these financial statements.

 

12 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Mar/Sep

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                        
Exchange Traded Funds   $ 335,530     $ —     $ —     $ 335,530  
U.S. Treasury Note     —       248,020       —       248,020  
Purchased Options     —       1,221,765       —       1,221,765  
Total Assets   $ 335,530     $ 1,469,785     $ —     $ 1,805,315  
                                 
Liabilities                                
Options Written   $ —     $ 727,504     $ —     $ 727,504  
Total Liabilities   $ —     $ 727,504     $ —     $ 727,504  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,221,765     $ —     $ 1,221,765  
Liabilities - Written options   Options written, at value   $ 727,504     $ —     $ 727,504  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ (103,063 )   $ (55,193 )   $ (158,256 )
Written options   Written Options     86,113       33,657       119,770  
        $ (16,950 )   $ (21,536 )   $ (38,486 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 318,297     $ (8,940 )   $ 309,357  
Written options   Written Options     (191,882 )     36,619       (155,263 )
        $ 126,415     $ 27,679     $ 154,094  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.38 %
U.S. Treasury Note     22.46  
Purchased Options     110.63  
Total Investments     163.47  
Written Options     (65.87 )
Assets in Excess of Other Liabilities     2.40  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

13 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Apr/Oct

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.76%                
iShares 0-3 Month Treasury Bond ETF (a)     773     $ 77,787  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     522       56,449  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,528       113,284  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,429       112,934  
Vanguard Short-Term Treasury ETF (a)     443       25,574  
TOTAL EXCHANGE TRADED FUNDS (Cost $380,073)             386,028  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.63%            
United States Treasury Note, 0.375%, 4/15/2024 (a)   $ 298,800       287,209  
TOTAL U.S. TREASURY NOTE (Cost $289,106)             287,209  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 108.27% (b)(c)                        
CALL OPTIONS - 108.26%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $410.91     18     $ 801,072       76,170  
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.62     28       1,246,112       1,239,918  
                      1,316,088  
PUT OPTIONS - 0.01%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $164.98     28       1,246,112       107  
TOTAL PURCHASED OPTIONS (Cost $1,196,002)                     1,316,195  
                         
Total Investments (Cost $1,865,181) - 163.66%                     1,989,432  
Liabilities in Excess of Other Assets - (63.66)%                     (773,806 )
TOTAL NET ASSETS - 100.00%                   $ 1,215,626  

 

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 $673,237.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     10/10/2023     $ 164.98       28     $ (1,246,112 )   $ (786,799 )
Put Options                                        
S&P 500® Mini Index     10/10/2023       369.82       28       (1,246,112 )     (3,750 )
TOTAL OPTIONS WRITTEN (Premiums Received $719,642)                                   $ (790,549 )

 

The accompanying notes are an integral part of these financial statements.

 

14 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Apr/Oct

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 386,028     $ —     $ —     $ 386,028  
U.S. Treasury Note     —       287,209       —       287,209  
Purchased Options     —       1,316,195       —       1,316,195  
Total Assets   $ 386,028     $ 1,603,404     $ —     $ 1,989,432  
                                 
Liabilities                                
Options Written   $ —     $ 790,549     $ —     $ 790,549  
Total Liabilities   $ —     $ 790,549     $ —     $ 790,549  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,316,195     $ —     $ 1,316,195  
Liabilities - Written options   Options written, at value   $ 790,549     $ —     $ 790,549  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 214,343     $ —     $ 214,343  
Written options   Written Options     (115,318 )     —       (115,318 )
        $ 99,025     $ —     $ 99,025  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 20,643     $ —     $ 20,643  
Written options   Written Options     (24,356 )     —       (24,356 )
        $ (3,713 )   $ —     $ (3,713 )

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.76 %
U.S. Treasury Note     23.63  
Purchased Options     108.27  
Total Investments     163.66  
Written Options     (65.04 )
Assets in Excess of Other Liabilities     1.38  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

15 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - May/Nov

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.58%                
iShares 0-3 Month Treasury Bond ETF (a)     1,067     $ 107,373  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     731       79,050  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     4,883       156,793  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,984       156,796  
Vanguard Short-Term Treasury ETF (a)     613       35,388  
TOTAL EXCHANGE TRADED FUNDS (Cost $529,698)             535,400  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.39%            
United States Treasury Note, 0.250%, 5/15/2024 (a)   $ 414,600       396,510  
TOTAL U.S. TREASURY NOTE (Cost $399,203)             396,510  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 108.85% (b)(c)                        
CALL OPTIONS - 108.83%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $413.76     28     $ 1,246,112       119,258  
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.62     39       1,735,656       1,725,528  
                      1,844,786  
PUT OPTIONS - 0.02%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $166.12     39       1,735,656       292  
TOTAL PURCHASED OPTIONS (Cost $1,674,137)                     1,845,078  
                         
Total Investments (Cost $2,603,038) - 163.82%                     2,776,988  
Liabilities in Excess of Other Assets - (63.82)%                     (1,081,827 )
TOTAL NET ASSETS - 100.00%                   $ 1,695,161  

 

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 $931,910.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

                               
Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     11/10/2023     $ 166.12       39     $ (1,735,656 )   $ (1,093,173 )
Put Options                                        
S&P 500® Mini Index     11/10/2023       372.38       39       (1,735,656 )     (8,322 )
TOTAL OPTIONS WRITTEN (Premiums Received $1,004,621)                                   $ (1,101,495 )

 

The accompanying notes are an integral part of these financial statements.

 

16 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - May/Nov

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 535,400     $ —     $ —     $ 535,400  
U.S. Treasury Note     —       396,510       —       396,510  
Purchased Options     —       1,845,078       —       1,845,078  
Total Assets   $ 535,400     $ 2,241,588     $ —     $ 2,776,988  
                                 
Liabilities                                
Options Written   $ —     $ 1,101,495     $ —     $ 1,101,495  
Total Liabilities   $ —     $ 1,101,495     $ —     $ 1,101,495  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,845,078     $ —     $ 1,845,078  
Liabilities - Written options   Options written, at value   $ 1,101,495     $ —     $ 1,101,495  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 60,040     $ —     $ 60,040  
Written options   Written Options     (32,141 )     —       (32,141 )
        $ 27,899     $ —     $ 27,899  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 239,602     $ —     $ 239,602  
Written options   Written Options     (140,510 )     —       (140,510 )
        $ 99,092     $ —     $ 99,092  

 

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     31.58 %
U.S. Treasury Note     23.39  
Purchased Options     108.85  
Total Investments     163.82  
Written Options     (64.98 )
Assets in Excess of Other Liabilities     1.16  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

17 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jun/Dec

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 33.06%      
iShares 0-3 Month Treasury Bond ETF (a)     779     $ 78,391  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     542       58,612  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,611       115,949  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,473       116,411  
Vanguard Short-Term Treasury ETF (a)     451       26,036  
TOTAL EXCHANGE TRADED FUNDS (Cost $395,359)             395,399  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 24.14%      
United States Treasury Note, 0.250%, 6/15/2024 (a)   $ 303,200       288,717  
TOTAL U.S. TREASURY NOTE (Cost $289,347)             288,717  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 105.31% (b)(c)            
CALL OPTIONS - 105.27%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $433.91     23     $ 1,023,592       66,242  
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.65     27       1,201,608       1,192,777  

                    1,259,019  
PUT OPTIONS - 0.04%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $174.21     27       1,201,608       424  
TOTAL PURCHASED OPTIONS (Cost $1,198,205)                     1,259,443  
                         
Total Investments (Cost $1,882,911) - 162.51%                     1,943,559  
Liabilities in Excess of Other Assets - (62.51)%                     (747,601 )
TOTAL NET ASSETS - 100.00%                   $ 1,195,958  

 

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 $684,116.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN            
June 30, 2023 (Unaudited)        
                               
Description     Expiration     Strike Price       Contracts     Notional Amount     Value  
Call Options                                        
S&P 500® Mini Index     12/11/2023     $ 174.21       27     $ (1,201,608 )   $ (736,071 )
Put Options                                        
S&P 500® Mini Index     12/11/2023       390.52       27       (1,201,608 )     (10,801 )
TOTAL OPTIONS WRITTEN (Premiums Received $712,436)                                   $ (746,872 )

 

The accompanying notes are an integral part of these financial statements.

18 

 

Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund - Jun/Dec

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 395,399     $ —     $ —     $ 395,399  
U.S. Treasury Note     —       288,717       —       288,717  
Purchased Options     —       1,259,443       —       1,259,443  
Total Assets   $ 395,399     $ 1,548,160     $ —     $ 1,943,559  
                                 
Liabilities                                
Options Written   $ —     $ 746,872     $ —     $ 746,872  
Total Liabilities   $ —     $ 746,872     $ —     $ 746,872  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,259,443     $ —     $ 1,259,443  
Liabilities - Written options   Options written, at value   $ 746,872     $ —     $ 746,872  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          
                             

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ 140,900     $ —     $ 140,900  
Written options   Written Options     (76,089 )     —       (76,089 )
        $ 64,811     $ —     $ 64,811  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
       

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 103,064     $ —     $ 103,064  
Written options   Written Options  
(59,637 )     —       (59,637 )
        $ 43,427     $ —     $ 43,427  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     33.06 %
U.S. Treasury Note     24.14  
Purchased Options     105.31  
Total Investments     162.51  
Written Options     (62.45 )
Liabilities in Excess of Other Assets     (0.06 )
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

19 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jan/Jul

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 30.24%      
iShares 0-3 Month Treasury Bond ETF (a)     518     $ 52,127  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     353       38,173  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,376       76,293  
Vanguard Intermediate-Term Corporate Bond ETF (a)     967       76,422  
Vanguard Short-Term Treasury ETF (a)     298       17,204  
TOTAL EXCHANGE TRADED FUNDS (Cost $261,539)             260,219  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 22.71%      
United States Treasury Note, 0.125%, 1/15/2024 (a)   $ 200,900       195,404  
TOTAL U.S. TREASURY NOTE (Cost $196,074)             195,404  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 111.91% (b)(c)            
CALL OPTIONS - 111.91%                        
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $391.96     14     $ 623,056       74,701  
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.61     20       890,080       888,190  

                    962,891  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $157.38     20       890,080       2  
TOTAL PURCHASED OPTIONS (Cost $815,604)                     962,893  
                         
Total Investments (Cost $1,273,217) - 164.86%                     1,418,516  
Liabilities in Excess of Other Assets - (64.86)%                     (558,126 )
TOTAL NET ASSETS - 100.00%                   $ 860,390  

 

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 $455,623.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                    
       
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     7/10/2023     $ 157.38       20     $ (890,080 )   $ (575,111 )
Put Options                                        
S&P 500® Mini Index     7/10/2023       391.96       10       (445,040 )     (41 )
TOTAL OPTIONS WRITTEN (Premiums Received $490,928)             $ (575,152 )

 

The accompanying notes are an integral part of these financial statements.

 

20 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jan/Jul

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 260,219     $ —     $ —     $ 260,219  
U.S. Treasury Note     —    
195,404       —       195,404  
Purchased Options     —       962,893       —       962,893  
Total Assets   $ 260,219     $ 1,158,297     $ —     $ 1,418,516  
                                 
Liabilities                                
Options Written   $ —     $ 575,152     $ —     $ 575,152  
Total Liabilities   $ —     $ 575,152     $ —     $ 575,152  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 962,893     $ —     $ 962,893  
Liabilities - Written options   Options written, at value   $ 575,152     $ —     $ 575,152  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          
                             

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ (20,676 )   $ (14,456 )   $ (35,132 )
Written options   Written Options     16,341
    (16,725 )     (384 )
        $ (4,335 )   $ (31,181 )   $ (35,516 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
       

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 189,113     $ (22,906 )   $ 166,207  
Written options   Written Options  
(112,604 )     68,010       (44,594 )
        $ 76,509     $ 45,104     $ 121,613  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.24 %
U.S. Treasury Note     22.71  
Purchased Options     111.91  
Total Investments     164.86  
Written Options     (66.84 )
Assets in Excess of Other Liabilities     1.98  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

21 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Feb/Aug

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 31.70%      
iShares 0-3 Month Treasury Bond ETF (a)     801     $ 80,604  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     549       59,369  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,673       117,940  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,497       118,309  
Vanguard Short-Term Treasury ETF (a)     462       26,671  
TOTAL EXCHANGE TRADED FUNDS (Cost $403,620)             402,893  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 23.68%            
United States Treasury Note, 0.125%, 2/15/2024 (a)   $ 311,000       301,047  
TOTAL U.S. TREASURY NOTE (Cost $301,928)             301,047  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 103.87% (b)(c)            
CALL OPTIONS - 103.87%                        
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $409.07     20     $ 890,080       77,390  
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.63     28       1,246,112       1,242,783  

                    1,320,173  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $164.25     28       1,246,112       23  
TOTAL PURCHASED OPTIONS (Cost $1,190,985)                     1,320,196  
                         
Total Investments (Cost $1,896,533) - 159.25%                     2,024,136  
Liabilities in Excess of Other Assets - (59.25)%                     (753,089 )
TOTAL NET ASSETS - 100.00%                   $ 1,271,047  

 

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 $703,940.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                    
       
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     8/10/2023     $ 164.25       28     $ (1,246,112 )   $ (787,421 )
Put Options                                        
S&P 500® Mini Index     8/10/2023       409.07       14       (623,056 )     (1,163 )
TOTAL OPTIONS WRITTEN (Premiums Received $716,222)       $ (788,584 )

 

The accompanying notes are an integral part of these financial statements.

 

22 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Feb/Aug

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 402,893     $ —     $ —     $ 402,893  
U.S. Treasury Note     —       301,047       —       301,047  
Purchased Options     —       1,320,196       —       1,320,196  
Total Assets   $ 402,893     $ 1,621,243     $ —     $ 2,024,136  
                                 
Liabilities                     —          
Options Written   $ —     $ 788,584     $ —     $ 788,584  
Total Liabilities   $ —     $ 788,584     $ —     $ 788,584  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,320,196     $ —     $ 1,320,196  
Liabilities - Written options   Options written, at value   $ 788,584     $ —     $ 788,584  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          
                             

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ (97,074 )   $ 35,406
  $ (61,668 )
Written options   Written Options     56,364
    (126,803 )     (70,439 )
        $ (40,710 )   $ (91,397 )   $ (132,107 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
             

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 304,995     $ (114,061 )   $ 190,934  
Written options   Written Options  
(168,676 )     204,697       36,021
        $ 136,319     $ 90,636     $ 226,955  

   

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.70 %
U.S. Treasury Note     23.68  
Purchased Options     103.87  
Total Investments     159.25  
Written Options     (62.04 )
Assets in Excess of Other Liabilities     2.79  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

23 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Mar/Sep

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 30.65%      
iShares 0-3 Month Treasury Bond ETF (a)     559     $ 56,252  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     388       41,958  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,588       83,101  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,058       83,614  
Vanguard Short-Term Treasury ETF (a)     323       18,647  
TOTAL EXCHANGE TRADED FUNDS (Cost $282,150)             283,572  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 22.66%      
United States Treasury Note, 0.250%, 3/15/2024 (a)   $ 217,300       209,625  
TOTAL U.S. TREASURY NOTE (Cost $210,119)             209,625  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 106.04% (b)(c)            
CALL OPTIONS - 106.04%                        
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $386.19     15     $ 667,560       94,479  
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.60     20       890,080       886,615  

                    981,094  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $155.07     20       890,080       30  
TOTAL PURCHASED OPTIONS (Cost $805,791)                     981,124  
                         
Total Investments (Cost $1,298,060) - 159.35%                     1,474,321  
Liabilities in Excess of Other Assets - (59.35)%                     (549,115 )
TOTAL NET ASSETS - 100.00%                   $ 925,206  

 

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 $493,197.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN        
June 30, 2023 (Unaudited)                    
       
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     9/11/2023     $ 155.07       20     $ (890,080 )   $ (581,047 )
Put Options                                        
S&P 500® Mini Index     9/11/2023       386.19       10       (445,040 )     (1,098 )
TOTAL OPTIONS WRITTEN (Premiums Received $484,568)               $ (582,145 )

 

The accompanying notes are an integral part of these financial statements.

 

24 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Mar/Sep

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                        
Exchange Traded Funds   $ 283,572     $ —     $ —     $ 283,572  
U.S. Treasury Note     —       209,625       —       209,625  
Purchased Options     —       981,124       —       981,124  
Total Assets   $ 283,572     $ 1,190,749     $ —     $ 1,474,321  
                                 
Liabilities                                
Options Written   $ —     $ 582,145     $ —     $ 582,145  
Total Liabilities   $ —     $ 582,145     $ —     $ 582,145  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 981,124     $ —     $ 981,124  
Liabilities - Written options   Options written, at value   $ 582,145     $ —     $ 582,145  

  

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ (89,703 )   $ (47,880 )   $ (137,583 )
Written options   Written Options  
48,991    
28,979    
77,970  
        $ (40,712 )   $ (18,901 )   $ (59,613 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 264,222     $ (7,827 )   $ 256,395  
Written options   Written Options     (146,110 )     31,797       (114,313 )
        $ 118,112     $ 23,970     $ 142,082  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.65 %
U.S. Treasury Note     22.66  
Purchased Options     106.04  
Total Investments     159.35  
Written Options     (62.92 )
Assets in Excess of Other Liabilities     3.57  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

25 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Apr/Oct

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 31.67%      
iShares 0-3 Month Treasury Bond ETF (a)     605     $ 60,881  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     409       44,229  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,761       88,656  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,118       88,356  
Vanguard Short-Term Treasury ETF (a)     347       20,032  
TOTAL EXCHANGE TRADED FUNDS (Cost $297,399)             302,154  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.55%            
United States Treasury Note, 0.375%, 4/15/2024 (a)   $ 233,800       224,731  
TOTAL U.S. TREASURY NOTE (Cost $226,215)             224,731  

  

    Contracts    

Notional

Amount

        
PURCHASED OPTIONS - 108.77% (b)(c)                        
CALL OPTIONS - 108.76%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $410.93     15     $ 667,560       63,448  
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.64     22       979,088       974,177  
                      1,037,625  
PUT OPTIONS - 0.01%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $165.00     22       979,088       84  
TOTAL PURCHASED OPTIONS (Cost $942,080)                     1,037,709  
                         
Total Investments (Cost $1,465,694) - 163.99%                     1,564,594  
Liabilities in Excess of Other Assets - (63.99)%                     (610,483 )
TOTAL NET ASSETS - 100.00%                   $ 954,111  

 

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 $526,885.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     National
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     10/10/2023     $ 165.00       22     $ (979,088 )   $ (618,156 )
Put Options                                        
S&P 500® Mini Index     10/10/2023       410.93       11       (489,544 )     (3,911 )
TOTAL OPTIONS WRITTEN (Premiums Received $566,926)                                   $ (622,067 )

  

The accompanying notes are an integral part of these financial statements.

 

26 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Apr/Oct

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

  

    Level 1     Level 2     Level 3     Total  
Assets                        
Exchange Traded Funds   $ 302,154     $ —     $ —     $ 302,154  
U.S. Treasury Note     —       224,731       —       224,731  
Purchased Options     —       1,037,709       —       1,037,709  
Total Assets   $ 302,154     $ 1,262,440     $ —     $ 1,564,594  
                                 
Liabilities                                
Options Written   $ —     $ 622,067     $ —     $ 622,067  
Total Liabilities   $ —     $ 622,067     $ —     $ 622,067  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,037,709     $ —     $ 1,037,709  
Liabilities - Written options   Options written, at value   $ 622,067     $ —     $ 622,067  

  

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 160,953     $ —     $ 160,953  
Written options   Written Options  
(89,675 )  
—    
(89,675 )
        $ 71,278     $ —     $ 71,278  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 20,696     $ —     $ 20,696  
Written options   Written Options     (14,315 )     —       (14,315 )
        $ 6,381     $ —     $ 6,381  

   

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.67 %
U.S. Treasury Note     23.55  
Purchased Options     108.77  
Total Investments     163.99  
Written Options     (65.20 )
Assets in Excess of Other Liabilities     1.21  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

27 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - May/Nov

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.56%              
iShares 0-3 Month Treasury Bond ETF (a)     621     $ 62,491  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     425       45,960  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,841       91,224  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,154       91,201  
Vanguard Short-Term Treasury ETF (a)     356       20,552  
TOTAL EXCHANGE TRADED FUNDS (Cost $307,481)             311,428  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.38%              
United States Treasury Note, 0.250%, 5/15/2024 (a)   $ 241,200       230,676  
TOTAL U.S. TREASURY NOTE (Cost $232,242)             230,676  

  

    Contracts     Notional
Amount		          
PURCHASED OPTIONS - 105.57% (b)(c)                        
CALL OPTIONS - 105.55%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $413.78     16     $ 712,064       68,120  
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.64     22       979,088       973,331  

                    1,041,451  
PUT OPTIONS - 0.02%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $166.15     22       979,088       165  
TOTAL PURCHASED OPTIONS (Cost $944,853)                     1,041,616  
                         
Total Investments (Cost $1,484,576) - 160.51%                     1,583,720  
Liabilities in Excess of Other Assets - (60.51)%                     (597,036 )
TOTAL NET ASSETS - 100.00%                   $ 986,684  

 

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 $542,104.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     11/10/2023     $ 166.15       22     $ (979,088 )   $ (616,597 )
Put Options                                        
S&P 500® Mini Index     11/10/2023       413.78       11       (489,544 )     (5,606 )
TOTAL OPTIONS WRITTEN (Premiums Received $567,432)                                   $ (622,203 )

 

The accompanying notes are an integral part of these financial statements.

 

28 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - May/Nov

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                          
Exchange Traded Funds   $ 311,428     $ —     $ —     $ 311,428  
U.S. Treasury Note     —       230,676       —       230,676  
Purchased Options     —       1,041,616       —       1,041,616  
Total Assets   $ 311,428     $ 1,272,292     $ —     $ 1,583,720  
                                 
Liabilities                                
Options Written   $ —     $ 622,203     $ —     $ 622,203  
Total Liabilities   $ —     $ 622,203     $ —     $ 622,203  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,041,616     $ —     $ 1,041,616  
Liabilities - Written options   Options written, at value   $ 622,203     $ —     $ 622,203  

  

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 45,888     $ —     $ 45,888  
Written options   Written Options  
(23,927 )  
—    
(23,927 )
        $ 21,961     $ —     $ 21,961  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 121,701     $ —     $ 121,701  
Written options   Written Options     (67,969 )     —       (67,969 )
        $ 53,732     $ —     $ 53,732  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.56 %
U.S. Treasury Note     23.38  
Purchased Options     105.57  
Total Investments     160.51  
Written Options     (63.06 )
Assets in Excess of Other Liabilities     2.55  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

29 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 32.03%              
iShares 0-3 Month Treasury Bond ETF (a)     668     $ 67,221  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     465       50,285  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,096       99,413  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,263       99,814  
Vanguard Short-Term Treasury ETF (a)     387       22,342  
TOTAL EXCHANGE TRADED FUNDS (Cost $339,068)             339,075  

 

      Principal
Amount		          
U.S. TREASURY NOTE - 23.39%                
United States Treasury Note, 0.250%, 6/15/2024 (a)   $ 260,000       247,580  
TOTAL U.S. TREASURY NOTE (Cost $248,121)             247,580  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 97.28% (b)(c)            
CALL OPTIONS - 97.25%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $433.93     20     $ 890,080       57,571  
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.67     22       979,088       971,849  

                    1,029,420  
PUT OPTIONS - 0.03%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $174.24     22       979,088       347  
TOTAL PURCHASED OPTIONS (Cost $978,812)                     1,029,767  
                         
Total Investments (Cost $1,566,001) - 152.70%                     1,616,422  
Liabilities in Excess of Other Assets - (52.70)%                     (557,789 )
TOTAL NET ASSETS - 100.00%                   $ 1,058,633  

 

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 $586,655.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     12/11/2023     $ 174.24       22     $ (979,088 )   $ (599,697 )
Put Options                                        
S&P 500® Mini Index     12/11/2023       433.93       11       (489,544 )     (10,643 )
TOTAL OPTIONS WRITTEN (Premiums Received $582,931)                                   $ (610,340 )

  

The accompanying notes are an integral part of these financial statements.

 

30 

 

Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 339,075     $ —     $ —     $ 339,075  
U.S. Treasury Note     —       247,580       —       247,580  
Purchased Options     —       1,029,767       —       1,029,767  
Total Assets   $ 339,075     $ 1,277,347     $ —     $ 1,616,422  
                                 
Liabilities                                
Options Written   $ —     $ 610,340     $ —     $ 610,340  
Total Liabilities   $ —     $ 610,340     $ —     $ 610,340  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,029,767     $ —     $ 1,029,767  
Liabilities - Written options   Options written, at value   $ 610,340     $ —     $ 610,340  

  

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 120,006     $ —     $ 120,006  
Written options   Written Options  
(64,983 )  
—    
(64,983 )
        $ 55,023     $ —     $ 55,023  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 86,354     $ —     $ 86,354  
Written options   Written Options     (46,658 )     —       (46,658 )
        $ 39,696     $ —     $ 39,696  

   

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     32.03 %
U.S. Treasury Note     23.39  
Purchased Options     97.28  
Total Investments     152.70  
Written Options     (57.66 )
Assets in Excess of Other Liabilities     4.96  
Net Assets     100.00 %

  

The accompanying notes are an integral part of these financial statements.

 

31 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.16%              
iShares 0-3 Month Treasury Bond ETF (a)     658     $ 66,214  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     441       47,690  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,998       96,266  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,214       95,942  
Vanguard Short-Term Treasury ETF (a)     378       21,822  
TOTAL EXCHANGE TRADED FUNDS (Cost $331,952)             327,934  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.60%              
United States Treasury Note, 0.125%, 1/15/2024 (a)   $ 255,400       248,413  
TOTAL U.S. TREASURY NOTE (Cost $249,352)             248,413  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 186.46% (b)(c)            
CALL OPTIONS - 186.46%                        
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $394.31     167     $ 7,432,168       851,924  
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.58     25       1,112,600       1,110,313  
                      1,962,237  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $159.90     25       1,112,600       3  
TOTAL PURCHASED OPTIONS (Cost $1,451,777)                     1,962,240  
                         
Total Investments (Cost $2,033,081) - 241.22%                     2,538,587  
Liabilities in Excess of Other Assets - (141.22)%                     (1,486,147 )
TOTAL NET ASSETS - 100.00%                   $ 1,052,440  

 

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 $576,347.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     7/10/2023     $ 398.29       167     $ (7,432,168 )   $ (785,625 )
S&P 500® Mini Index     7/10/2023       159.90       25       (1,112,600 )     (712,598 )
                                      (1,498,223 )
Put Options                                        
S&P 500® Mini Index     7/10/2023       358.46       25       (1,112,600 )     (55 )
TOTAL OPTIONS WRITTEN (Premiums Received $1,038,754)                                   $ (1,498,278 )

 

The accompanying notes are an integral part of these financial statements.

 

32 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 327,934     $ —     $ —     $ 327,934  
U.S. Treasury Note     —       248,413       —       248,413  
Purchased Options     —       1,962,240       —       1,962,240  
Total Assets   $ 327,934     $ 2,210,653     $ —     $ 2,538,587  
                                 
Liabilities                                
Options Written   $ —     $ 1,498,278     $ —     $ 1,498,278  
Total Liabilities   $ —     $ 1,498,278     $ —     $ 1,498,278  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,962,240     $ —     $ 1,962,240  
Liabilities - Written options   Options written, at value   $ 1,498,278     $ —     $ 1,498,278  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:

   

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 510,463     $ —     $ 510,463  
Written options   Written Options     (459,524 )     —       (459,524 )
        $ 50,939     $ —     $ 50,939  

   

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     31.16 %
U.S. Treasury Note     23.60  
Purchased Options     186.46  
Total Investments     241.22  
Written Options     (142.37 )
Assets in Excess of Other Liabilities     1.15  
Net Assets     100.00 %

  

The accompanying notes are an integral part of these financial statements.

 

33 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.74%      
iShares 0-3 Month Treasury Bond ETF (a)     659     $ 66,315  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     452       48,879  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,022       97,036  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,231       97,287  
Vanguard Short-Term Treasury ETF (a)     380       21,937  
TOTAL EXCHANGE TRADED FUNDS (Cost $331,832)             331,454  

 

      Principal
Amount		          
U.S. TREASURY NOTE - 23.71%                
United States Treasury Note, 0.125%, 2/15/2024 (a)   $ 255,800       247,614  
TOTAL U.S. TREASURY NOTE (Cost $248,339)             247,614  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 162.12% (b)(c)            
CALL OPTIONS - 162.12%                        
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $404.94     147     $ 6,542,088       627,393  
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.59     24       1,068,096       1,065,338  
                      1,692,731  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $164.21     24       1,068,096       19  
TOTAL PURCHASED OPTIONS (Cost $1,400,267)                     1,692,750  
                         
Total Investments (Cost $1,980,438) - 217.57%                     2,271,818  
Liabilities in Excess of Other Assets - (117.57)%                     (1,227,612 )
TOTAL NET ASSETS - 100.00%                   $ 1,044,206  

 

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 $579,068.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     8/10/2023     $ 409.03       147     $ (6,542,088 )   $ (569,386 )
S&P 500® Mini Index     8/10/2023       164.21       24       (1,068,096 )     (675,028 )
                                      (1,244,414 )
Put Options                                        
S&P 500® Mini Index     8/10/2023       368.12       24       (1,068,096 )     (582 )
TOTAL OPTIONS WRITTEN (Premiums Received $992,425)                                   $ (1,244,996 )

 

The accompanying notes are an integral part of these financial statements.

 

34 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 331,454     $ —     $ —     $ 331,454  
U.S. Treasury Note     —       247,614       —       247,614  
Purchased Options     —       1,692,750       —       1,692,750  
Total Assets   $ 331,454     $ 1,940,364     $ —     $ 2,271,818  
                                 
Liabilities                                
Options Written   $ —     $ 1,244,996     $ —     $ 1,244,996  
Total Liabilities   $ —     $ 1,244,996     $ —     $ 1,244,996  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,692,750     $ —     $ 1,692,750  
Liabilities - Written options   Options written, at value   $ 1,244,996     $ —     $ 1,244,996  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 292,483     $ —     $ 292,483  
Written options   Written Options     (252,571 )     —       (252,571 )
        $ 39,912     $ —     $ 39,912  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.74 %
U.S. Treasury Note     23.71  
Purchased Options     162.12  
Total Investments     217.57  
Written Options     (119.23 )
Assets in Excess of Other Liabilities     1.66  
Net Assets     100.00 %

  

The accompanying notes are an integral part of these financial statements.

 

35 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.51%      
iShares 0-3 Month Treasury Bond ETF (a)     657     $ 66,114  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     456       49,312  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,045       97,775  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,245       98,392  
Vanguard Short-Term Treasury ETF (a)     381       21,995  
TOTAL EXCHANGE TRADED FUNDS (Cost $331,314)             333,588  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.30%      
United States Treasury Note, 0.250%, 3/15/2024 (a)   $ 255,700       246,669  
TOTAL U.S. TREASURY NOTE (Cost $247,250)             246,669  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 229.56% (b)(c)            
CALL OPTIONS - 229.56%                        
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $382.29     198     $ 8,811,792       1,321,422  
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.56     25       1,112,600       1,108,368  
                      2,429,790  
PUT OPTIONS - 0.00%                        
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $155.03     25       1,112,600       38  
TOTAL PURCHASED OPTIONS (Cost $1,535,668)                     2,429,828  
                         
Total Investments (Cost $2,114,232) - 284.37%                     3,010,085  
Liabilities in Excess of Other Assets - (184.37)%                     (1,951,579 )
TOTAL NET ASSETS - 100.00%                   $ 1,058,506  

 

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 $580,257.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)       

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     9/11/2023     $ 386.15       198     $ (8,811,792 )   $ (1,247,877 )
S&P 500® Mini Index     9/11/2023       155.03       25       (1,112,600 )     (726,407 )

                                    (1,974,284 )
Put Options                                        
S&P 500® Mini Index     9/11/2023       347.54       25       (1,112,600 )     (1,145 )
TOTAL OPTIONS WRITTEN (Premiums Received $1,133,818)                                   $ (1,975,429 )

  

The accompanying notes are an integral part of these financial statements.

 

36 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep

 

Scheduled of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 333,588     $ —     $ —     $ 333,588  
U.S. Treasury Note     —       246,669       —       246,669  
Purchased Options     —       2,429,828       —       2,429,828  
Total Assets   $ 333,588     $ 2,676,497     $ —     $ 3,010,085  
                                 
Liabilities                                
Options Written   $ —     $ 1,975,429     $ —     $ 1,975,429  
Total Liabilities   $ —     $ 1,975,429     $ —     $ 1,975,429  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 2,429,828     $ —     $ 2,429,828  
Liabilities - Written options   Options written, at value   $ 1,975,429     $ —     $ 1,975,429  

  

The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 894,159     $ —     $ 894,159  
Written options   Written Options     (841,611 )     —       (841,611 )
        $ 52,548     $ —     $ 52,548  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.51 %
U.S. Treasury Note     23.30  
Purchased Options     229.56  
Total Investments     284.37  
Written Options     (186.62 )
Assets in Excess of Other Liabilities     2.25  
Net Assets     100.00 %

  

The accompanying notes are an integral part of these financial statements.

 

37 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Apr/Oct

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 32.34%      
iShares 0-3 Month Treasury Bond ETF (a)     728     $ 73,259  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     492       53,205  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,322       106,670  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,345       106,295  
Vanguard Short-Term Treasury ETF (a)     417       24,073  
TOTAL EXCHANGE TRADED FUNDS (Cost $351,975)             363,502  

 

     

Principal

Amount

          
U.S. TREASURY NOTE - 24.07%                
United States Treasury Note, 0.375%, 4/15/2024 (a)   $ 281,400       270,484  
TOTAL U.S. TREASURY NOTE (Cost $272,270)             270,484  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 159.80% (b)(c)            
CALL OPTIONS - 159.79%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $406.78     140     $ 6,230,560       644,419  
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.60     26       1,157,104       1,151,402  
                      1,795,821  
PUT OPTIONS - 0.01%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $164.96     26       1,157,104       100  
TOTAL PURCHASED OPTIONS (Cost $1,482,026)                     1,795,921  
                         
Total Investments (Cost $2,106,271) - 216.21%                     2,429,907  
Liabilities in Excess of Other Assets - (116.21)%                     (1,306,043 )
TOTAL NET ASSETS - 100.00%                   $ 1,123,864  

 

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 $633,986.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)      

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     10/10/2023     $ 410.89       140     $ (6,230,560 )   $ (592,680 )
S&P 500® Mini Index     10/10/2023       164.96       26       (1,157,104 )     (730,650 )
                                      (1,323,330 )
Put Options                                        
S&P 500® Mini Index     10/10/2023       369.80       26       (1,157,104 )     (3,481 )
TOTAL OPTIONS WRITTEN (Premiums Received $1,039,186)                                   $ (1,326,811 )

 

The accompanying notes are an integral part of these financial statements.

 

38 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Apr/Oct

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 363,502     $ —     $ —     $ 363,502  
U.S. Treasury Note     —       270,484       —       270,484  
Purchased Options     —       1,795,921       —       1,795,921  
Total Assets   $ 363,502     $ 2,066,405     $ —     $ 2,429,907  
                                 
Liabilities                                
Options Written   $ —     $ 1,326,811     $ —     $ 1,326,811  
Total Liabilities   $ —     $ 1,326,811     $ —     $ 1,326,811  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,795,921     $ —     $ 1,795,921  
Liabilities - Written options   Options written, at value   $ 1,326,811     $ —     $ 1,326,811  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 696,162     $ —     $ 696,162  
Written options   Written Options  
(618,331 )  
—    
(618,331 )
        $ 77,831     $ —     $ 77,831  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 97,850     $ —     $ 97,850  
Written options   Written Options     (114,260 )     —       (114,260 )
        $ (16,410 )   $ —     $ (16,410 )

     

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     32.34 %
U.S. Treasury Note     24.07  
Purchased Options     159.80  
Total Investments     216.21  
Written Options     (118.06 )
Assets in Excess of Other Liabilities     1.85  
Net Assets     100.00 %

  

The accompanying notes are an integral part of these financial statements.

 

39 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - May/Nov

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 32.45%      
iShares 0-3 Month Treasury Bond ETF (a)     1,055     $ 106,165  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     723       78,185  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     4,829       155,059  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,961       154,978  
Vanguard Short-Term Treasury ETF (a)     606       34,984  
TOTAL EXCHANGE TRADED FUNDS (Cost $522,247)             529,371  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 24.04%      
United States Treasury Note, 0.250%, 5/15/2024 (a)   $ 410,000       392,111  
TOTAL U.S. TREASURY NOTE (Cost $394,774)             392,111  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 170.66% (b)(c)            
CALL OPTIONS - 170.64%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $409.60     229     $ 10,191,416       1,058,429  
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.60     39       1,735,656       1,725,604  
                      2,784,033  
PUT OPTIONS - 0.02%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $166.10     39       1,735,656       292  
TOTAL PURCHASED OPTIONS (Cost $2,255,687)                     2,784,325  
                         
Total Investments (Cost $3,172,708) - 227.15%                     3,705,807  
Liabilities in Excess of Other Assets - (127.15)%                     (2,074,406 )
TOTAL NET ASSETS - 100.00%                   $ 1,631,401  

 

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 $921,482.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)      

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     11/10/2023     $ 413.74       229     $ (10,191,416 )   $ (975,758 )
S&P 500® Mini Index     11/10/2023       166.10       39       (1,735,656 )     (1,093,249 )
                                      (2,069,007 )
Put Options                                        
S&P 500® Mini Index     11/10/2023       372.36       39       (1,735,656 )     (8,318 )
TOTAL OPTIONS WRITTEN (Premiums Received $1,585,958)                                   $ (2,077,325 )

 

The accompanying notes are an integral part of these financial statements.

 

40 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - May/Nov

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 529,371     $ —     $ —     $ 529,371  
U.S. Treasury Note     —       392,111       —       392,111  
Purchased Options     —       2,784,325       —       2,784,325  
Total Assets   $ 529,371     $ 3,176,436     $ —     $ 3,705,807  
                                 
Liabilities                                
Options Written   $ —     $ 2,077,325     $ —     $ 2,077,325  
Total Liabilities   $ —     $ 2,077,325     $ —     $ 2,077,325  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 2,784,325     $ —     $ 2,784,325  
Liabilities - Written options   Options written, at value   $ 2,077,325     $ —     $ 2,077,325  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ (168,446 )   $ —     $ (168,446 )
Written options   Written Options     267,557
    —       267,557
        $ 99,111     $ —     $ 99,111  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 922,221     $ —     $ 922,221  
Written options   Written Options  
(878,699 )     —       (878,699 )
        $ 43,522     $ —     $ 43,522  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     32.45 %
U.S. Treasury Note     24.04  
Purchased Options     170.66  
Total Investments     227.15  
Written Options     (127.33 )
Assets in Excess of Other Liabilities     0.18  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

41 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jun/Dec

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 33.10%      
iShares 0-3 Month Treasury Bond ETF (a)     709     $ 71,347  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     493       53,313  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,285       105,481  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,340       105,901  
Vanguard Short-Term Treasury ETF (a)     410       23,669  
TOTAL EXCHANGE TRADED FUNDS (Cost $359,470)             359,711  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 24.17%      
United States Treasury Note, 0.250%, 6/15/2024 (a)   $ 275,900       262,721  
TOTAL U.S. TREASURY NOTE (Cost $263,295)             262,721  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 139.91% (b)(c)            
CALL OPTIONS - 139.88%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $429.55     143     $ 6,364,072       460,155  
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.63     24       1,068,096       1,060,293  

                    1,520,448  
PUT OPTIONS - 0.03%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $174.19     24       1,068,096       377  
TOTAL PURCHASED OPTIONS (Cost $1,353,834)                     1,520,825  
                         
Total Investments (Cost $1,976,599) - 197.18%                     2,143,257  
Liabilities in Excess of Other Assets - (97.18)%                     (1,056,361 )
TOTAL NET ASSETS - 100.00%                   $ 1,086,896  

 

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 $622,432.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                    
       
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     12/11/2023     $ 433.89       143     $ (6,364,072 )   $ (412,072 )
S&P 500® Mini Index     12/11/2023       174.19       24       (1,068,096 )     (654,332 )

                                    (1,066,404 )
Put Options                                        
S&P 500® Mini Index     12/11/2023       390.50       24       (1,068,096 )     (9,597 )
TOTAL OPTIONS WRITTEN (Premiums Received $920,623)                                   $ (1,076,001 )

 

The accompanying notes are an integral part of these financial statements.

 

42 

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jun/Dec

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 359,711     $ —     $ —     $ 359,711  
U.S. Treasury Note     —    
262,721       —       262,721  
Purchased Options     —       1,520,825       —       1,520,825  
Total Assets   $ 359,711     $ 1,783,546     $ —     $ 2,143,257  
                                 
Liabilities                                
Options Written   $ —     $ 1,076,001     $ —     $ 1,076,001  
Total Liabilities   $ —     $ 1,076,001     $ —     $ 1,076,001  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,520,825     $ —     $ 1,520,825  
Liabilities - Written options   Options written, at value   $ 1,076,001     $ —     $ 1,076,001  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ 330,642     $ —     $ 330,642  
Written options   Written Options     (261,736 )     —       (261,736 )
        $ 68,906     $ —     $ 68,906  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 363,739     $ —     $ 363,739  
Written options   Written Options  
(341,915 )     —       (341,915 )
        $ 21,824     $ —     $ 21,824  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     33.10 %
U.S. Treasury Note     24.17  
Purchased Options     139.91  
Total Investments     197.18  
Written Options     (98.99 )
Assets in Excess of Other Liabilities     1.81  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

43 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jan

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 29.04%      
iShares 0-3 Month Treasury Bond ETF (a)     366     $ 36,831  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     373       40,336  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,509       80,564  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,021       80,689  
Vanguard Short-Term Treasury ETF (a)     633       36,543  
TOTAL EXCHANGE TRADED FUNDS (Cost $282,880)             274,963  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 21.84%      
United States Treasury Note, 0.125%, 1/15/2024 (a)   $ 212,600       206,784  
TOTAL U.S. TREASURY NOTE (Cost $207,493)             206,784  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 110.90% (b)(c)            
CALL OPTIONS - 110.86%                        
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $401.96     21     $ 934,584       121,524  
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $0.41     21       934,584       927,972  

                    1,049,496  
PUT OPTIONS - 0.04%                        
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $157.18     21       934,584       421  
TOTAL PURCHASED OPTIONS (Cost $883,685)                     1,049,917  
                         
Total Investments (Cost $1,374,058) - 161.78%                     1,531,664  
Liabilities in Excess of Other Assets - (61.78)%                     (584,913 )
TOTAL NET ASSETS - 100.00%                   $ 946,751  

 

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 $481,747.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                    
       
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     1/10/2024     $ 157.18       21     $ (934,584 )   $ (608,713 )
Put Options                                        
S&P 500® Mini Index     1/10/2024       352.74       21       (934,584 )     (5,237 )
TOTAL OPTIONS WRITTEN (Premiums Received $531,605)                                   $ (613,950 )

 

The accompanying notes are an integral part of these financial statements.

 

44 

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jan

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 274,963     $ —     $ —     $ 274,963  
U.S. Treasury Note     —       206,784       —       206,784  
Purchased Options     —       1,049,917       —       1,049,917  
Total Assets   $ 274,963     $ 1,256,701     $ —     $ 1,531,664  
                                 
Liabilities                                
Options Written   $ —     $ 613,950     $ —     $ 613,950  
Total Liabilities   $ —     $ 613,950     $ —     $ 613,950  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,049,917     $ —     $ 1,049,917  
Liabilities - Written options   Options written, at value   $ 613,950     $ —     $ 613,950  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ (218,261 )   $ 248,859     $ 30,598  
Written options   Written Options     147,147
    (306,849 )     (159,702 )
        $ (71,114 )   $ (57,990 )   $ (129,104 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 402,561     $ (302,723 )   $ 99,838  
Written options   Written Options  
(230,216 )     359,957       129,741
        $ 172,345     $ 57,234     $ 229,579  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     29.04 %
U.S. Treasury Note     21.84  
Purchased Options     110.90  
Total Investments     161.78  
Written Options     (64.85 )
Assets in Excess of Other Liabilities     3.07  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

45 

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Feb

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 30.16%      
iShares 0-3 Month Treasury Bond ETF (a)     394     $ 39,648  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     404       43,689  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,699       86,665  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,100       86,933  
Vanguard Short-Term Treasury ETF (a)     682       39,372  
TOTAL EXCHANGE TRADED FUNDS (Cost $302,421)             296,307  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 22.54%      
United States Treasury Note, 0.125%, 2/15/2024 (a)   $ 228,800       221,478  
TOTAL U.S. TREASURY NOTE (Cost $222,126)             221,478  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 109.56% (b)(c)            
CALL OPTIONS - 109.50%                        
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $417.76     22     $ 979,088       104,429  
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $0.43     22       979,088       971,478  

                    1,075,907  
PUT OPTIONS - 0.06%                        
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $164.05     22       979,088       574  
TOTAL PURCHASED OPTIONS (Cost $965,079)                     1,076,481  
                         
Total Investments (Cost $1,489,626) - 162.26%                     1,594,266  
Liabilities in Excess of Other Assets - (62.26)%                     (611,744 )
TOTAL NET ASSETS - 100.00%                   $ 982,522  

 

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 $517,785.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                    
       
                               
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     2/12/2024     $ 164.05       22     $ (979,088 )   $ (624,254 )
Put Options                                        
S&P 500® Mini Index     2/12/2024       368.16       22       (979,088 )     (8,667 )
TOTAL OPTIONS WRITTEN (Premiums Received $579,491)                                   $ (632,921 )

 

The accompanying notes are an integral part of these financial statements.

 

46 

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Feb

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 296,307     $ —     $ —     $ 296,307  
U.S. Treasury Note     —       221,478       —       221,478  
Purchased Options     —       1,076,481       —       1,076,481  
Total Assets   $ 296,307     $ 1,297,959     $ —     $ 1,594,266  
                                 
Liabilities                                
Options Written   $ —     $ 632,921     $ —     $ 632,921  
Total Liabilities   $ —     $ 632,921     $ —     $ 632,921  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,076,481     $ —     $ 1,076,481  
Liabilities - Written options   Options written, at value   $ 632,921     $ —     $ 632,921  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ (148,945 )   $ 203,495     $ 54,550  
Written options   Written Options     137,291
  $ (262,495 )     (125,204 )
        $ (11,654 )   $ (59,000 )   $ (70,654 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 315,821     $ (252,899 )   $ 62,922  
Written options   Written Options  
(194,504 )     307,381       112,877
        $ 121,317     $ 54,482     $ 175,799  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.16 %
U.S. Treasury Note     22.54  
Purchased Options     109.56  
Total Investments     162.26  
Written Options     (64.42 )
Assets in Excess of Other Liabilities     2.16  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

47 

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Mar

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 28.74%      
iShares 0-3 Month Treasury Bond ETF (a)     391     $ 39,346  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     406       43,905  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,706       86,890  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,106       87,407  
Vanguard Short-Term Treasury ETF (a)     679       39,199  
TOTAL EXCHANGE TRADED FUNDS (Cost $298,926)             296,747  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 21.27%      
United States Treasury Note, 0.250%, 3/15/2024 (a)   $ 227,600       219,561  
TOTAL U.S. TREASURY NOTE (Cost $220,078)             219,561  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 113.52% (b)(c)            
CALL OPTIONS - 113.45%                        
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $395.13     23     $ 1,023,592       157,112  
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $0.41     23       1,023,592       1,014,296  

                    1,171,408  
PUT OPTIONS - 0.07%                        
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $154.87     23       1,023,592       676  
TOTAL PURCHASED OPTIONS (Cost $955,794)                     1,172,084  
                         
Total Investments (Cost $1,474,798) - 163.53%                     1,688,392  
Liabilities in Excess of Other Assets - (63.53)%                     (655,949 )
TOTAL NET ASSETS - 100.00%                   $ 1,032,443  

 

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 $516,308.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                    
       
                               
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     3/11/2024     $ 154.87       23     $ (1,023,592 )   $ (673,156 )
Put Options                                        
S&P 500® Mini Index     3/11/2024       347.58       23       (1,023,592 )     (7,648 )
TOTAL OPTIONS WRITTEN (Premiums Received $574,229)                                   $ (680,804 )

 

The accompanying notes are an integral part of these financial statements.

 

48 

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Mar

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 296,747     $ —     $ —
  $ 296,747  
U.S. Treasury Note     —       219,561       —       219,561  
Purchased Options     —       1,172,084       —       1,172,084  
Total Assets   $ 296,747     $ 1,391,645     $ —     $ 1,688,392  
                                 
Liabilities                                
Options Written   $ —     $ 680,804     $ —
  $ 680,804  
Total Liabilities   $ —     $ 680,804     $ —     $ 680,804  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,172,084     $ —     $ 1,172,084  
Liabilities - Written options   Options written, at value   $ 680,804     $ —     $ 680,804  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ (170,164 )   $ 136,393     $ (33,771 )
Written options   Written Options     153,002
    (195,371 )     (42,369 )
        $ (17,162 )   $ (58,978 )   $ (76,140 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 391,330     $ (184,042 )   $ 207,288  
Written options   Written Options  
(231,987 )     243,464       11,477
        $ 159,343     $ 59,422     $ 218,765  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     28.74 %
U.S. Treasury Note     21.27  
Purchased Options     113.52  
Total Investments     163.53  
Written Options     (65.94 )
Assets in Excess of Other Liabilities     2.41  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

49 

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Apr

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 30.35%      
iShares 0-3 Month Treasury Bond ETF (a)     404     $ 40,655  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     410       44,337  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,762       88,687  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,119       88,435  
Vanguard Short-Term Treasury ETF (a)     697       40,238  
TOTAL EXCHANGE TRADED FUNDS (Cost $306,082)             302,352  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 22.56%      
United States Treasury Note, 0.375%, 4/15/2024 (a)   $ 233,800       224,731  
TOTAL U.S. TREASURY NOTE (Cost $226,215)             224,731  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 113.61% (b)(c)            
CALL OPTIONS - 113.52%                        
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $418.88     23     $ 1,023,592       117,622  
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $0.43     23       1,023,592       1,013,286  


                  1,130,908  
PUT OPTIONS - 0.09%                        
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $164.80     23       1,023,592       867  
TOTAL PURCHASED OPTIONS (Cost $1,010,764)                     1,131,775  
                         
Total Investments (Cost $1,543,061) - 166.52%                     1,658,858  
Liabilities in Excess of Other Assets - (66.52)%                     (662,666 )
TOTAL NET ASSETS - 100.00%                   $ 996,192  

 

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 $527,083.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN            
June 30, 2023 (Unaudited)                    
       
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     4/10/2024     $ 164.80       23     $ (1,023,592 )   $ (652,034 )
Put Options                                        
S&P 500® Mini Index     4/10/2024       369.84       23    
(1,023,592 )     (12,441 )
TOTAL OPTIONS WRITTEN (Premiums Received $606,913)                                   $ (664,475 )

 

The accompanying notes are an integral part of these financial statements.

 

50 

 

 Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Apr

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 302,352     $ —     $ —     $ 302,352  
U.S. Treasury Note     —       224,731       —       224,731  
Purchased Options     —       1,131,775    
—       1,131,775  
Total Assets   $ 302,352     $ 1,356,506     $ —     $ 1,658,858  
                                 
Liabilities                                
Options Written   $ —     $ 664,475     $ —     $ 664,475  
Total Liabilities   $ —     $ 664,475     $ —     $ 664,475  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,131,775     $ —     $ 1,131,775  
Liabilities - Written options   Options written, at value   $ 664,475     $ —     $ 664,475  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          

  Location   Equity Risk     Interest Rate Risk      Total  
Purchased options   Investments   $ (139,566 )   $ 2,051     $ (137,515 )
Written options   Written Options     121,670
    (66,351 )     55,319
        $ (17,896 )   $ (64,300 )   $ (82,196 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  

  Location   Equity Risk     Interest Rate Risk     Total  
Purchased options   Investments   $ 322,833     $ (99,336 )   $ 223,497  
Written options   Written Options  
(187,729 )     151,395       (36,334 )
        $ 135,104     $ 52,059     $ 187,163  

  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.35 %
U.S. Treasury Note     22.56  
Purchased Options     113.61  
Total Investments     166.52  
Written Options     (66.70 )
Assets in Excess of Other Liabilities     0.18  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

51 

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - May

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 30.22%      
iShares 0-3 Month Treasury Bond ETF (a)     406     $ 40,856  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     417       45,094  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,786       89,458  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,132       89,463  
Vanguard Short-Term Treasury ETF (a)     703       40,584  
TOTAL EXCHANGE TRADED FUNDS (Cost $308,482)             305,455  

 

    Principal        

  Amount        
U.S. TREASURY NOTE - 22.42%      
United States Treasury Note, 0.250%, 5/15/2024 (a)   $ 237,000       226,659  
TOTAL U.S. TREASURY NOTE (Cost $228,198)             226,659  

 

          Notional        

  Contracts     Amount        
PURCHASED OPTIONS - 112.12% (b)(c)            
CALL OPTIONS - 112.02%                        
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $420.71     23     $ 1,023,592       119,887  
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $0.43     23       1,023,592       1,012,457  

                    1,132,344  
PUT OPTIONS - 0.10%                        
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $165.94     23       1,023,592       964  
TOTAL PURCHASED OPTIONS (Cost $1,018,193)                     1,133,308  
                         
Total Investments (Cost $1,554,873) - 164.76%                     1,665,422  
Liabilities in Excess of Other Assets - (64.76)%                     (654,658 )
TOTAL NET ASSETS - 100.00%                   $ 1,010,764  

 

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 $532,114.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                    
       
                               
Description     Expiration     Strike Price       Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     5/10/2024     $ 165.94       23     $ (1,023,592 )   $ (650,373 )
Put Options                                        
S&P 500® Mini Index     5/10/2024       372.40       23       (1,023,592 )     (14,552 )
TOTAL OPTIONS WRITTEN (Premiums Received $611,053)                                   $ (664,925 )

 

The accompanying notes are an integral part of these financial statements.

 

52 

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - May

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 305,455     $ —     $ —     $ 305,455  
U.S. Treasury Note     —       226,659       —       226,659  
Purchased Options     —       1,133,308       —       1,133,308  
Total Assets   $ 305,455     $ 1,359,967     $ —     $ 1,665,422  
                                 
Liabilities                                
Options Written   $ —     $ 664,925     $ —     $ 664,925  
Total Liabilities   $ —     $ 664,925     $ —     $ 664,925  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,133,308     $ —     $ 1,133,308  
Liabilities - Written options   Options written, at value   $ 664,925     $ —     $ 664,925  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ (34,856 )   $ (39,241 )   $ (74,097 )
Written options   Written Options     26,388       (4,192 )     22,196  
        $ (8,468 )   $ (43,433 )   $ (51,901 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 213,372     $ (34,772 )   $ 178,600  
Written options   Written Options     (125,007 )     68,108       (56,899 )
        $ 88,365     $ 33,336     $ 121,701  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.22 %
U.S. Treasury Note     22.42  
Purchased Options     112.12  
Total Investments     164.76  
Written Options     (65.78 )
Assets in Excess of Other Liabilities     1.02  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

53

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jun

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.77%                
iShares 0-3 Month Treasury Bond ETF (a)     437     $ 43,975  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     456       49,312  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,034       97,422  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,238       97,839  
Vanguard Short-Term Treasury ETF (a)     761       43,933  
TOTAL EXCHANGE TRADED FUNDS (Cost $331,304)             332,481  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.20%                
United States Treasury Note, 0.250%, 6/15/2024 (a)   $ 255,000       242,819  
TOTAL U.S. TREASURY NOTE (Cost $243,350)             242,819  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 105.56% (b)(c)                        
CALL OPTIONS - 105.45%                        
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $440.07     23     $ 1,023,592       92,181  
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $0.46     23       1,023,592       1,011,168  
                      1,103,349  
PUT OPTIONS - 0.11%                        
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $174.02     23       1,023,592       1,191  
TOTAL PURCHASED OPTIONS (Cost $1,063,710)                     1,104,540  
                         
Total Investments (Cost $1,638,364) - 160.53%                     1,679,840  
Liabilities in Excess of Other Assets - (60.53)%                     (633,402 )
TOTAL NET ASSETS - 100.00%                   $ 1,046,438  

 

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 $575,300.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   6/10/2024     $ 174.02     23     $ (1,023,592 )   $ (633,358 )
Put Options                                    
S&P 500® Mini Index   6/10/2024       390.54     23       (1,023,592 )     (20,717 )
TOTAL OPTIONS WRITTEN (Premiums Received $634,605)                   $ (654,075 )

 

The accompanying notes are an integral part of these financial statements.

 

54

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jun

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 332,481     $ —     $ —     $ 332,481  
U.S. Treasury Note     —       242,819       —       242,819  
Purchased Options     —       1,104,540       —       1,104,540  
Total Assets   $ 332,481     $ 1,347,359     $ —     $ 1,679,840  
                                 
Liabilities                                
Options Written   $ —     $ 654,075     $ —     $ 654,075  
Total Liabilities   $ —     $ 654,075     $ —     $ 654,075  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,104,540     $ —     $ 1,104,540  
Liabilities - Written options   Options written, at value   $ 654,075     $ —     $ 654,075  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 119,937     $ (34,462 )   $ 85,475  
Written options   Written Options     (54,505 )     (11,792 )     (66,297 )
        $ 65,432     $ (46,254 )   $ 19,178  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
 
 		 Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 98,418     $ (31,414 )   $ 67,544  
Written options   Written Options     (64,203 )     58,594       (5,609 )
        $ 34,215     $ 27,180     $ 61,935  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.77 %
U.S. Treasury Note     23.20  
Purchased Options     105.56  
Total Investments     160.53  
Written Options     (62.51 )
Assets in Excess of Other Liabilities     1.98  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

55

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jul

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.29%                
iShares 0-3 Month Treasury Bond ETF (a)     985     $ 99,121  
Schwab Short-Term U.S. Treasury ETF (a)     1,976       94,967  
SPDR Portfolio Short Term Treasury ETF (a)     1,650       47,504  
Vanguard Short-Term Treasury ETF (a)     1,651       95,311  
TOTAL EXCHANGE TRADED FUNDS (Cost $341,258)             336,903  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 124.47% (b)(c)                        
CALL OPTIONS - 119.59%                        
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $394.35     26     $ 1,157,104       132,531  
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.40     26       1,157,104       1,155,193  
                      1,287,724  
PUT OPTIONS - 4.88%                        
iShares 20+ Year Treasury Bond ETF, Expires 7/10/2023, Strike Price $108.70     87       895,578       51,956  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 7/10/2023, Strike Price $105.47     90       973,260       518  
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $154.58     26       1,157,104       3  
                      52,477  
TOTAL PURCHASED OPTIONS (Cost $1,175,621)                     1,340,201  
                         
Total Investments (Cost $1,516,879) - 155.76%                     1,677,104  
Liabilities in Excess of Other Assets - (55.76)%                     (600,399 )
TOTAL NET ASSETS - 100.00%                   $ 1,076,705  

 

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 $336,903.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   7/10/2023     $ 154.58     26     $ (1,157,104 )   $ (754,913 )
Put Options                                    
iShares 20+ Year Treasury Bond ETF   7/10/2023       114.42     87       (895,578 )     (101,593 )
iShares iBoxx $ Investment Grade Corporate Bond ETF   7/10/2023       111.02     90       (973,260 )     (29,150 )
S&P 500® Mini Index   7/10/2023       346.92     26       (1,157,104 )     (48 )
                                  (130,791 )
TOTAL OPTIONS WRITTEN (Premiums Received $787,421)                     $ (885,704 )

 

The accompanying notes are an integral part of these financial statements.

 

56

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Jul

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


   Level 1     Level 2     Level 3     Total  
Assets                   
Exchange Traded Funds   $ 336,903     $ —     $ —     $ 336,903  
Purchased Options     —       1,340,201       —       1,340,201  
Total Assets   $ 336,903     $ 1,340,201     $ —     $ 1,677,104  
                                 
Liabilities                                
Options Written   $ —     $ 885,704     $ —     $ 885,704  
Total Liabilities   $ —     $ 885,704     $ —     $ 885,704  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,287,727     $ 52,474     $ 1,340,201  
Liabilities - Written options   Options written, at value   $ 754,961     $ 130,743     $ 885,704  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 234,727     $ (75,723 )   $ 159,004  
Written options   Written Options     (125,979 )     61,015       (64,964 )
        $ 108,748     $ (14,708 )   $ 94,040  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.29 %
Purchased Options     124.47  
Total Investments     155.76  
Written Options     (82.26 )
Assets in Excess of Other Liabilities     26.50  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

57

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Aug

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 34.70%                
iShares 0-3 Month Treasury Bond ETF (a)     983     $ 98,919  
Schwab Short-Term U.S. Treasury ETF (a)     1,987       95,495  
SPDR Portfolio Short Term Treasury ETF (a)     1,659       47,763  
Vanguard Short-Term Treasury ETF (a)     1,660       95,832  
TOTAL EXCHANGE TRADED FUNDS (Cost $342,394)             338,009  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 122.76% (b)(c)                        
CALL OPTIONS - 114.08%                        
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $430.48     24     $ 1,068,096       45,263  
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.44     24       1,068,096       1,065,696  
                      1,110,959  
PUT OPTIONS - 8.68%                        
iShares 20+ Year Treasury Bond ETF, Expires 8/10/2023, Strike Price $111.57     85       874,990       74,084  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 8/10/2023, Strike Price $108.17     88       951,632       10,412  
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $168.85     24       1,068,096       21  
                      84,517  
TOTAL PURCHASED OPTIONS (Cost $1,161,714)                     1,195,476  
                         
Total Investments (Cost $1,504,108) - 157.46%                     1,533,485  
Liabilities in Excess of Other Assets - (57.46)%                     (559,527 )
TOTAL NET ASSETS - 100.00%                   $ 973,958  

 

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 $338,009.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   8/10/2023     $ 168.85     24     $ (1,068,096 )   $ (663,961 )
Put Options                                    
iShares 20+ Year Treasury Bond ETF   8/10/2023       117.44     85       (874,990 )     (122,865 )
iShares iBoxx $ Investment Grade Corporate Bond ETF   8/10/2023       113.86     88       (951,632 )     (52,261 )
S&P 500® Mini Index   8/10/2023       378.93     24       (1,068,096 )     (762 )
                                  (175,888 )
TOTAL OPTIONS WRITTEN (Premiums Received $769,764)                     $ (839,849 )

 

The accompanying notes are an integral part of these financial statements.

 

58

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Aug

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 338,009     $ —     $ —     $ 338,009  
Purchased Options     —       1,195,476       —       1,195,476  
Total Assets   $ 338,009     $ 1,195,476     $ —     $ 1,533,485  
                                 
Liabilities                                
Options Written   $ —     $ 839,849     $ —     $ 839,849  
Total Liabilities   $ —     $ 839,849     $ —     $ 839,849  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,110,980     $ 84,496     $ 1,195,476  
Liabilities - Written options   Options written, at value   $ 664,723     $ 175,126     $ 839,849  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 171,145     $ (72,507 )   $ 98,638  
Written options   Written Options     (90,996 )     51,315       (39,681 )
        $ 80,149     $ (21,192 )   $ 58,957  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     34.70 %
Purchased Options     122.76  
Total Investments     157.46  
Written Options     (86.24 )
Assets in Excess of Other Liabilities     28.78  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

59

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Sep

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 32.55%                
iShares 0-3 Month Treasury Bond ETF (a)     976     $ 98,215  
Schwab Short-Term U.S. Treasury ETF (a)     1,983       95,303  
SPDR Portfolio Short Term Treasury ETF (a)     1,656       47,676  
Vanguard Short-Term Treasury ETF (a)     1,657       95,659  
TOTAL EXCHANGE TRADED FUNDS (Cost $339,658)             336,853  

 

    Contracts     Notional Amount        
PURCHASED OPTIONS - 112.08% (b)(c)                        
CALL OPTIONS - 109.59%                        
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $422.74     24     $ 1,068,096       69,725  
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.45     24       1,068,096       1,064,294  
                      1,134,019  
PUT OPTIONS - 2.49%                        
iShares 20+ Year Treasury Bond ETF, Expires 9/11/2023, Strike Price $102.92     92       947,048       22,899  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 9/11/2023, Strike Price $103.17     92       994,888       2,852  
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $164.88     24       1,068,096       44  
                      25,795  
TOTAL PURCHASED OPTIONS (Cost $1,144,559)                     1,159,814  
                         
Total Investments (Cost $1,484,217) - 144.63%                     1,496,667  
Liabilities in Excess of Other Assets - (44.63)%                     (461,821 )
TOTAL NET ASSETS - 100.00%                   $ 1,034,846  

 

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 $336,853.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   9/11/2023     $ 164.88     24     $ (1,068,096 )   $ (673,974 )
Put Options                                    
iShares 20+ Year Treasury Bond ETF   9/11/2023       108.34     92       (947,048 )     (55,128 )
iShares iBoxx $ Investment Grade Corporate Bond ETF   9/11/2023       108.60     92       (994,888 )     (16,269 )
S&P 500® Mini Index   9/11/2023       370.00     24       (1,068,096 )     (1,777 )
                                  (73,174 )
TOTAL OPTIONS WRITTEN (Premiums Received $760,575)                 $ (747,148 )

 

 

The accompanying notes are an integral part of these financial statements.

 

60

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Sep

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 336,853     $ —     $ —     $ 336,853  
Purchased Options     —       1,159,814       —       1,159,814  
Total Assets   $ 336,853     $ 1,159,814     $ —     $ 1,496,667  
                                 
Liabilities                                
Options Written   $ —     $ 747,148     $ —     $ 747,148  
Total Liabilities   $ —     $ 747,148     $ —     $ 747,148  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,134,063     $ 25,751     $ 1,159,814  
Liabilities - Written options   Options written, at value   $ 675,751     $ 71,397     $ 747,148  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 183,183     $ (74,851 )   $ 108,332  
Written options   Written Options     (94,795 )     80,211       (14,584 )
        $ 88,388     $ 5,360     $ 93,748  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     32.55 %
Purchased Options     112.08  
Total Investments     144.63  
Written Options     (72.20 )
Assets in Excess of Other Liabilities     27.57  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

61

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Oct

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 27.97%                
iShares 0-3 Month Treasury Bond ETF (a)     437     $ 43,975  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     465       50,285  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,036       97,486  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,260       99,578  
Vanguard Short-Term Treasury ETF (a)     748       43,182  
TOTAL EXCHANGE TRADED FUNDS (Cost $323,208)             334,506  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 20.23%                
United States Treasury Note, 0.625%, 10/15/2024 (a)   $ 256,900       242,038  
TOTAL U.S. TREASURY NOTE (Cost $245,063)             242,038  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 117.91% (b)(c)                        
CALL OPTIONS - 117.90%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $371.18     27     $ 1,201,608       214,025  
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.38     27       1,201,608       1,196,273  
                      1,410,298  
PUT OPTIONS - 0.01%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $144.88     27       1,201,608       71  
TOTAL PURCHASED OPTIONS (Cost $1,062,943)                     1,410,369  
                         
Total Investments (Cost $1,631,214) - 166.11%                     1,986,913  
Liabilities in Excess of Other Assets - (66.11)%                     (790,763 )
TOTAL NET ASSETS - 100.00%                   $ 1,196,150  

 

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 $576,544.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   10/10/2023     $ 144.88     27     $ (1,201,608 )   $ (812,113 )
Put Options                                    
S&P 500® Mini Index   10/10/2023       325.14     27       (1,201,608 )     (1,542 )
TOTAL OPTIONS WRITTEN (Premiums Received $645,557)               $ (813,655 )

 

The accompanying notes are an integral part of these financial statements.

 

62

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Oct

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 334,506     $ —     $ —     $ 334,506  
U.S. Treasury Note     —       242,038       —       242,038  
Purchased Options     —       1,410,369       —       1,410,369  
Total Assets   $ 334,506     $ 1,652,407     $ —     $ 1,986,913  
                                 
Liabilities                                
Options Written   $ —     $ 813,655     $ —     $ 813,655  
Total Liabilities   $ —     $ 813,655     $ —     $ 813,655  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,410,369     $ —     $ 1,410,369  
Liabilities - Written options   Options written, at value   $ 813,655     $ —     $ 813,655  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 260,676     $ —     $ 260,676  
Written options   Written Options     (134,380 )     —       (134,380 )
        $ 126,296     $ —     $ 126,296  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     27.97 %
U.S. Treasury Note     20.23  
Purchased Options     117.91  
Total Investments     166.11  
Written Options     (68.02 )
Assets in Excess of Other Liabilities     1.91  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

63

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Nov

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.13%                
iShares 0-3 Month Treasury Bond ETF (a)     433     $ 43,573  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     455       49,203  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,990       96,009  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,231       97,286  
Vanguard Short-Term Treasury ETF (a)     746       43,067  
TOTAL EXCHANGE TRADED FUNDS (Cost $322,981)             329,138  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.14%            
United States Treasury Note, 0.625%, 10/15/2024 (a)   $ 256,700       241,850  
TOTAL U.S. TREASURY NOTE (Cost $244,788)             241,850  

 

    Contracts     Notional
Amount		        
             
PURCHASED OPTIONS - 112.34% (b)(c)                        
CALL OPTIONS - 112.32%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $407.30     25     $ 1,112,600       120,613  
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.42     25       1,112,600       1,106,597  
                      1,227,210  
PUT OPTIONS - 0.02%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $158.65     25       1,112,600       165  
TOTAL PURCHASED OPTIONS (Cost $1,069,780)                     1,227,375  
                         
Total Investments (Cost $1,637,549) - 164.61%                     1,798,363  
Liabilities in Excess of Other Assets - (64.61)%                     (705,832 )
TOTAL NET ASSETS - 100.00%                   $ 1,092,531  

 

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 $570,988.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   11/10/2023     $ 158.65     25     $ (1,112,600 )   $ (719,035 )
Put Options                                    
S&P 500® Mini Index   11/10/2023       356.05     25       (1,112,600 )     (3,919 )
TOTAL OPTIONS WRITTEN (Premiums Received $646,863)             $ (722,954 )

 

The accompanying notes are an integral part of these financial statements.

 

64

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Nov

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 329,138     $ —     $ —     $ 329,138  
U.S. Treasury Note     —       241,850       —       241,850  
Purchased Options     —       1,227,375       —       1,227,375  
Total Assets   $ 329,138     $ 1,469,225     $ —     $ 1,798,363  
                                 
Liabilities                                
Options Written   $ —     $ 722,954     $ —     $ 722,954  
Total Liabilities   $ —     $ 722,954     $ —     $ 722,954  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,227,375     $ —     $ 1,227,375  
Liabilities - Written options   Options written, at value   $ 722,954     $ —     $ 722,954  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 209,534     $ —     $ 209,534  
Written options   Written Options     (106,483 )     —       (106,483 )
        $ 103,051     $ —     $ 103,051  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.13 %
U.S. Treasury Note     22.14  
Purchased Options     112.34  
Total Investments     164.61  
Written Options     (66.18 )
Assets in Excess of Other Liabilities     1.57  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

65

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Dec

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.00%      
iShares 0-3 Month Treasury Bond ETF (a)     432     $ 43,472  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     438       47,365  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,957       94,949  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,206       95,311  
Vanguard Short-Term Treasury ETF (a)     745       43,009  
TOTAL EXCHANGE TRADED FUNDS (Cost $324,157)             324,106  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.41%      
United States Treasury Note, 0.750%, 12/31/2023 (a)   $ 247,600       242,074  
TOTAL U.S. TREASURY NOTE (Cost $242,813)             242,074  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 113.15% (b)(c)            
CALL OPTIONS - 113.12%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $411.83     25     $ 1,112,600       116,890  
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.42     25       1,112,600       1,104,982  
                      1,221,872  
PUT OPTIONS - 0.03%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $160.04     25       1,112,600       328  
TOTAL PURCHASED OPTIONS (Cost $1,077,506)                     1,222,200  
                         
Total Investments (Cost $1,644,476) - 165.56%                     1,788,380  
Liabilities in Excess of Other Assets - (65.56)%                     (708,175 )
TOTAL NET ASSETS - 100.00%                   $ 1,080,205  

 

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 $566,179.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   12/11/2023     $ 160.04     25     $ (1,112,600 )   $ (716,039 )
Put Options                                    
S&P 500® Mini Index   12/11/2023       359.17     25       (1,112,600 )     (5,621 )
TOTAL OPTIONS WRITTEN (Premiums Received $650,763)             $ (721,660 )

 

The accompanying notes are an integral part of these financial statements.

 

66

 

Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund - Dec

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 324,106     $ —     $ —     $ 324,106  
U.S. Treasury Note     —       242,074       —       242,074  
Purchased Options     —       1,222,200       —       1,222,200  
Total Assets   $ 324,106     $ 1,464,274     $ —     $ 1,788,380  
                                 
Liabilities                                
Options Written   $ —     $ 721,660     $ —     $ 721,660  
Total Liabilities   $ —     $ 721,660     $ —     $ 721,660  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,222,200     $ —     $ 1,222,200  
Liabilities - Written options   Options written, at value   $ 721,660     $ —     $ 721,660  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 206,046     $ —     $ 206,046  
Written options   Written Options     (103,505 )     —       (103,505 )
        $ 102,541     $ —     $ 102,541  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.00 %
U.S. Treasury Note     22.41  
Purchased Options     113.15  
Total Investments     165.56  
Written Options     (66.81 )
Assets in Excess of Other Liabilities     1.25  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

67

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jan

 

Schedule of Investments

June 30, 2023 (Unaudited)

 


   Shares     Value  
EXCHANGE TRADED FUNDS - 29.85%              
iShares 0-3 Month Treasury Bond ETF (a)     350     $ 35,221  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     357       38,605  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,398       77,000  
Vanguard Intermediate-Term Corporate Bond ETF (a)     976       77,133  
Vanguard Short-Term Treasury ETF (a)     605       34,927  
TOTAL EXCHANGE TRADED FUNDS (Cost $270,457)             262,886  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 22.43%            
United States Treasury Note, 0.125%, 1/15/2024 (a)   $ 203,100       197,544  
TOTAL U.S. TREASURY NOTE (Cost $198,221)             197,544  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 111.56% (b)(c)                  
CALL OPTIONS - 110.94%                        
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $391.94     14     $ 623,056       93,267  
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $0.39     20       890,080       883,821  

                    977,088  
PUT OPTIONS - 0.62%                        
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $352.75     20       890,080       4,988  
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $157.17     20       890,080       401  

                    5,389  
TOTAL PURCHASED OPTIONS (Cost $864,365)                     982,477  
                         
Total Investments (Cost $1,333,043) - 163.84%                     1,442,907  
Liabilities in Excess of Other Assets - (63.84)%                     (562,293 )
TOTAL NET ASSETS - 100.00%                   $ 880,614  

 

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 $460,430.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Call Options                                      
S&P 500® Mini Index     1/10/2024     $ 157.17     20     $ (890,080 )   $ (579,747 )
Put Options                                      
S&P 500® Mini Index     1/10/2024       391.94     20       (890,080 )     (9,815 )
TOTAL OPTIONS WRITTEN (Premiums Received $528,970)             $ (589,562 )

 

The accompanying notes are an integral part of these financial statements.

 

68

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jan

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 262,886     $ —     $ —     $ 262,886  
U.S. Treasury Note     —       197,544       —       197,544  
Purchased Options     —       982,477       —       982,477  
Total Assets   $ 262,886     $ 1,180,021     $ —     $ 1,442,907  
                                 
Liabilities                                
Options Written   $ —     $ 589,562     $ —     $ 589,562  
Total Liabilities   $ —     $ 589,562     $ —     $ 589,562  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 982,477     $ —     $ 982,477  
Liabilities - Written options   Options written, at value   $ 589,562     $ —     $ 589,562  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ (185,158 )   $ 248,859     $ 63,701  
Written options   Written Options     74,199       (306,702 )     (232,503 )
        $ (110,959 )   $ (57,843 )   $ (168,802 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 304,320     $ (302,723 )   $ 1,597  
Written options   Written Options     (135,642 )     359,810       224,168  
        $ 168,678     $ 57,087     $ 225,765  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     29.85 %
U.S. Treasury Note     22.43  
Purchased Options     111.56  
Total Investments     163.84  
Written Options     (66.94 )
Assets in Excess of Other Liabilities     3.10  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

69

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.05%                
iShares 0-3 Month Treasury Bond ETF (a)     358     $ 36,026  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     367       39,687  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,453       78,766  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,000       79,029  
Vanguard Short-Term Treasury ETF (a)     620       35,793  
TOTAL EXCHANGE TRADED FUNDS (Cost $274,857)             269,301  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 23.20%                
United States Treasury Note, 0.125%, 2/15/2024 (a)   $ 207,900       201,247  
TOTAL U.S. TREASURY NOTE (Cost $201,836)             201,247  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 111.63% (b)(c)                        
CALL OPTIONS - 110.66%                        
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $409.05     14     $ 623,056       76,470  
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $0.41     20       890,080       883,201  

                    959,671  
PUT OPTIONS - 0.97%                        
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $368.14     20       890,080       7,877  
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $164.03     20       890,080       521  

                    8,398  
TOTAL PURCHASED OPTIONS (Cost $898,049)                     968,069  
                         
Total Investments (Cost $1,374,742) - 165.88%                     1,438,617  
Liabilities in Excess of Other Assets - (65.88)%                     (571,335 )
TOTAL NET ASSETS - 100.00%                   $ 867,282  

 

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 $470,548.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Call Options                                      
S&P 500® Mini Index     2/12/2024     $ 164.03     20     $ (890,080 )   $ (567,542 )
Put Options                                      
S&P 500® Mini Index     2/12/2024       409.05     20       (890,080 )     (15,686 )
TOTAL OPTIONS WRITTEN (Premiums Received $547,470)               $ (583,228 )

 

The accompanying notes are an integral part of these financial statements.

 

70

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Feb

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 269,301     $ —     $ —     $ 269,301  
U.S. Treasury Note     —       201,247       —       201,247  
Purchased Options     —       968,069       —       968,069  
Total Assets   $ 269,301     $ 1,169,316     $ —     $ 1,438,617  
                                 
Liabilities                                
Options Written   $ —     $ 583,228     $ —     $ 583,228  
Total Liabilities   $ —     $ 583,228     $ —     $ 583,228  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 968,069     $ —     $ 968,069  
Liabilities - Written options   Options written, at value   $ 583,228     $ —     $ 583,228  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income    
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ (171,825 )   $ 203,342     $ 31,517  
Written options   Written Options     69,399       (262,495 )     (193,096 )
        $ (102,426 )   $ (59,153 )   $ (161,579 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 247,477     $ (252,753 )   $ (5,276 )
Written options   Written Options     (108,253 )     307,371       199,118  
        $ 139,224     $ 54,618     $ 193,842  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.05 %
U.S. Treasury Note     23.20  
Purchased Options     111.63  
Total Investments     165.88  
Written Options     (67.25 )
Assets in Excess of Other Liabilities     1.37  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

71

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Mar

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 29.86%                
iShares 0-3 Month Treasury Bond ETF (a)     357     $ 35,925  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     371       40,120  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,472       79,376  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,011       79,899  
Vanguard Short-Term Treasury ETF (a)     621       35,850  
TOTAL EXCHANGE TRADED FUNDS (Cost $273,159)             271,170  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 22.10%                
United States Treasury Note, 0.250%, 3/15/2024 (a)   $ 208,000       200,654  
TOTAL U.S. TREASURY NOTE (Cost $201,126)             200,654  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 116.23% (b)(c)                        
CALL OPTIONS - 115.39%                        
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $386.17     16     $ 712,064       121,576  
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $0.39     21       934,584       926,135  

                    1,047,711  
PUT OPTIONS - 0.84%                        
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $347.56     21       934,584       6,981  
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $154.86     21       934,584       617  

                    7,598  
TOTAL PURCHASED OPTIONS (Cost $895,216)                     1,055,309  
                         
Total Investments (Cost $1,369,501) - 168.19%                     1,527,133  
Liabilities in Excess of Other Assets - (68.19)%                     (619,134 )
TOTAL NET ASSETS - 100.00%                   $ 907,999  

 

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 $471,824.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Call Options                                      
S&P 500® Mini Index     3/11/2024     $ 154.86     21     $ (934,584 )   $ (614,642 )
Put Options                                      
S&P 500® Mini Index     3/11/2024       386.17     21       (934,584 )     (12,889 )
TOTAL OPTIONS WRITTEN (Premiums Received $545,948)               $ (627,531 )

 

The accompanying notes are an integral part of these financial statements.

 

72

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Mar

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 271,170     $ —     $ —     $ 271,170  
U.S. Treasury Note     —       200,654       —       200,654  
Purchased Options     —       1,055,309       —       1,055,309  
Total Assets   $ 271,170     $ 1,255,963     $ —     $ 1,527,133  
                                 
Liabilities                                
Options Written   $ —     $ 627,531     $ —     $ 627,531  
Total Liabilities   $ —     $ 627,531     $ —     $ 627,531  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,055,309     $ —     $ 1,055,309  
Liabilities - Written options   Options written, at value   $ 627,531     $ —     $ 627,531  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income      
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ (193,300 )   $ 136,236     $ (57,064 )
Written options   Written Options     83,709       (195,214 )     (111,505 )
        $ (109,591 )   $ (58,978 )   $ (168,569 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 326,752     $ (183,933 )   $ 142,819  
Written options   Written Options     (166,678 )     243,296       76,618  
        $ 160,074     $ 59,363     $ 219,437  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     29.86 %
U.S. Treasury Note     22.10  
Purchased Options     116.23  
Total Investments     168.19  
Written Options     (69.11 )
Assets in Excess of Other Liabilities     0.92  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

73

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Apr

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.05%                
iShares 0-3 Month Treasury Bond ETF (a)     389     $ 39,145  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     394       42,607  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,659       85,381  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,077       85,115  
Vanguard Short-Term Treasury ETF (a)     672       38,795  
TOTAL EXCHANGE TRADED FUNDS (Cost $294,636)             291,043  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 23.15%                
United States Treasury Note, 0.375%, 4/15/2024 (a)   $ 225,700       216,945  
TOTAL U.S. TREASURY NOTE (Cost $218,378)             216,945  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 113.97% (b)(c)                        
CALL OPTIONS - 112.61%                        
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $410.91     15     $ 667,560       86,227  
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $0.41     22       979,088       969,271  

                    1,055,498  
PUT OPTIONS - 1.36%                        
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $369.82     22       979,088       11,897  
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $164.78     22       979,088       829  

                    12,726  
TOTAL PURCHASED OPTIONS (Cost $989,768)                     1,068,224  
                         
Total Investments (Cost $1,502,782) - 168.17%                     1,576,212  
Liabilities in Excess of Other Assets - (68.17)%                     (638,924 )
TOTAL NET ASSETS - 100.00%                   $ 937,288  

 

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 $507,988.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Call Options                                      
S&P 500® Mini Index     4/10/2024     $ 164.78     22     $ (979,088 )   $ (623,726 )
Put Options                                      
S&P 500® Mini Index     4/10/2024       410.91     22       (979,088 )     (22,223 )
TOTAL OPTIONS WRITTEN (Premiums Received $603,427)               $ (645,949 )

 

The accompanying notes are an integral part of these financial statements.

 

74

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Apr

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 291,043     $ —     $ —     $ 291,043  
U.S. Treasury Note     —       216,945       —       216,945  
Purchased Options     —       1,068,224       —       1,068,224  
Total Assets   $ 291,043     $ 1,285,169     $ —     $ 1,576,212  
                                 
Liabilities                                
Options Written   $ —     $ 645,949     $ —     $ 645,949  
Total Liabilities   $ —     $ 645,949     $ —     $ 645,949  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,068,224     $ —     $ 1,068,224  
Liabilities - Written options   Options written, at value   $ 645,949     $ —     $ 645,949  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income    
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ (179,224 )   $ 2,388     $ (176,836 )
Written options   Written Options     86,580       (68,901 )     17,679  
        $ (92,644 )   $ (66,513 )   $ (159,157 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 269,449     $ (103,146 )   $ 166,303  
Written options   Written Options     (133,992 )     156,950       22,958  
        $ 135,457     $ 53,804     $ 189,261  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.05 %
U.S. Treasury Note     23.15  
Purchased Options     113.97  
Total Investments     168.17  
Written Options     (68.92 )
Assets in Excess of Other Liabilities     0.75  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

75

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - May

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.89%                
iShares 0-3 Month Treasury Bond ETF (a)     409     $ 41,158  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     421       45,527  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,810       90,229  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,142       90,252  
Vanguard Short-Term Treasury ETF (a)     709       40,931  
TOTAL EXCHANGE TRADED FUNDS (Cost $311,151)             308,097  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 22.92%                
United States Treasury Note, 0.250%, 5/15/2024 (a)   $ 239,000       228,572  
TOTAL U.S. TREASURY NOTE (Cost $230,124)             228,572  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 112.88% (b)(c)                        
CALL OPTIONS - 111.32%                        
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $413.76     17     $ 756,568       97,832  
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $0.41     23       1,023,592       1,012,499  

                    1,110,331  
PUT OPTIONS - 1.56%                        
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $372.38     23       1,023,592       14,548  
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $165.92     23       1,023,592       964  

                    15,512  
TOTAL PURCHASED OPTIONS (Cost $1,041,693)                     1,125,843  
                         
Total Investments (Cost $1,582,968) - 166.69%                     1,662,512  
Liabilities in Excess of Other Assets - (66.69)%                     (665,139 )
TOTAL NET ASSETS - 100.00%                   $ 997,373  

 

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 $536,669.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Call Options                                      
S&P 500® Mini Index     5/10/2024     $ 165.92     23     $ (1,023,592 )   $ (650,415 )
Put Options                                      
S&P 500® Mini Index     5/10/2024       413.76     23       (1,023,592 )     (26,528 )
TOTAL OPTIONS WRITTEN (Premiums Received $634,167)               $ (676,943 )

 

The accompanying notes are an integral part of these financial statements.

 

76

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - May

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 308,097     $ —     $ —     $ 308,097  
U.S. Treasury Note     —       228,572       —       228,572  
Purchased Options     —       1,125,843       —       1,125,843  
Total Assets   $ 308,097     $ 1,354,415     $ —     $ 1,662,512  
                                 
Liabilities                                
Options Written   $ —     $ 676,943     $ —     $ 676,943  
Total Liabilities   $ —     $ 676,943     $ —     $ 676,943  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,125,843     $ —     $ 1,125,843  
Liabilities - Written options   Options written, at value   $ 676,943     $ —     $ 676,943  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income    
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ (61,403 )   $ (34,194 )   $ (95,597 )
Written options   Written Options     58,913       (8,661 )     50,252  
        $ (2,490 )   $ (42,855 )   $ (45,345 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 195,131     $ (39,752 )   $ 155,379  
Written options   Written Options     (109,016 )     72,632       (36,384 )
        $ 86,115     $ 32,880     $ 118,995  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.89 %
U.S. Treasury Note     22.92  
Purchased Options     112.88  
Total Investments     166.69  
Written Options     (67.87 )
Assets in Excess of Other Liabilities     1.18  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

77

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jun

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.77%                
iShares 0-3 Month Treasury Bond ETF (a)     430     $ 43,271  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     448       48,447  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,982       95,752  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,217       96,179  
Vanguard Short-Term Treasury ETF (a)     748       43,182  
TOTAL EXCHANGE TRADED FUNDS (Cost $325,675)             326,831  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 23.20%                
United States Treasury Note, 0.250%, 6/15/2024 (a)   $ 250,600       238,629  
TOTAL U.S. TREASURY NOTE (Cost $239,151)             238,629  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 109.09% (b)(c)                        
CALL OPTIONS - 106.96%                        
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $433.91     20     $ 890,080       88,959  
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $0.43     23       1,023,592       1,011,234  

                    1,100,193  
PUT OPTIONS - 2.13%                        
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $390.52     23       1,023,592       20,712  
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $174.00     23       1,023,592       1,190  

                    21,902  
TOTAL PURCHASED OPTIONS (Cost $1,076,425)                     1,122,095  
                         
Total Investments (Cost $1,641,251) - 164.06%                     1,687,555  
Liabilities in Excess of Other Assets - (64.06)%                     (658,919 )
TOTAL NET ASSETS - 100.00%                   $ 1,028,636  

 

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 $565,460.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Call Options                                      
S&P 500® Mini Index     6/10/2024     $ 174.00     23     $ (1,023,592 )   $ (633,401 )
Put Options                                      
S&P 500® Mini Index     6/10/2024       433.91     23       (1,023,592 )     (37,642 )
TOTAL OPTIONS WRITTEN (Premiums Received $649,072)             $ (671,043 )

 

The accompanying notes are an integral part of these financial statements.

 

78

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jun

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 326,831     $ —     $ —     $ 326,831  
U.S. Treasury Note     —       238,629       —       238,629  
Purchased Options     —       1,122,095       —       1,122,095  
Total Assets   $ 326,831     $ 1,360,724     $ —     $ 1,687,555  
                                 
Liabilities                                
Options Written   $ —     $ 671,043       —     $ 671,043  
Total Liabilities   $ —     $ 671,043     $ —     $ 671,043  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,122,095     $ —     $ 1,122,095  
Liabilities - Written options   Options written, at value   $ 671,043     $ —     $ 671,043  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income    
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 67,136     $ (34,460 )   $ 32,676  
Written options   Written Options     (22,176 )     (11,704 )     (33,880 )
        $ 44,960     $ (46,164 )   $ (1,204 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 116,878     $ (31,358 )   $ 85,520  
Written options   Written Options     (66,408 )     58,574       (7,834 )
        $ 50,470     $ 27,216     $ 77,686  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.77 %
U.S. Treasury Note     23.20  
Purchased Options     109.09  
Total Investments     164.06  
Written Options     (65.24 )
Assets in Excess of Other Liabilities     1.18  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

79

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 32.62%                
iShares 0-3 Month Treasury Bond ETF (a)     985     $ 99,121  
Schwab Short-Term U.S. Treasury ETF (a)     1,976       94,967  
SPDR Portfolio Short Term Treasury ETF (a)     1,650       47,504  
Vanguard Short-Term Treasury ETF (a)     1,651       95,311  
TOTAL EXCHANGE TRADED FUNDS (Cost $341,258)             336,903  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 126.18% (b)(c)                        
CALL OPTIONS - 121.12%                        
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $385.45     16     $ 712,064       95,765  
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $0.39     26       1,157,104       1,155,218  

                    1,250,983  
PUT OPTIONS - 5.06%                        
iShares 20+ Year Treasury Bond ETF, Expires 7/10/2023, Strike Price $108.68     87       895,578       51,782  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 7/10/2023, Strike Price $105.45     90       973,260       515  
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $346.91     26       1,157,104       48  
S&P 500® Mini Index, Expires 7/10/2023, Strike Price $154.57     26       1,157,104       3  

                    52,348  
TOTAL PURCHASED OPTIONS (Cost $1,207,515)                     1,303,331  
                         
Total Investments (Cost $1,548,773) - 158.80%                     1,640,234  
Liabilities in Excess of Other Assets - (58.80)%                     (607,378 )
TOTAL NET ASSETS - 100.00%                   $ 1,032,856  

 

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 $336,903.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN                    
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Call Options                                      
S&P 500® Mini Index     7/10/2023     $ 154.57     26     $ (1,157,104 )   $ (754,939 )
Put Options                                      
iShares 20+ Year Treasury Bond ETF     7/10/2023       114.40     87       (895,578 )     (101,420 )
iShares iBoxx $ Investment Grade Corporate Bond ETF     7/10/2023       111.00     90       (973,260 )     (28,971 )
S&P 500® Mini Index     7/10/2023       385.45     26       (1,157,104 )     (93 )
                                    (130,484 )
TOTAL OPTIONS WRITTEN (Premiums Received $818,010)             $ (885,423 )

 

The accompanying notes are an integral part of these financial statements.

 

80

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Jul

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 336,903     $ —     $ —     $ 336,903  
Purchased Options     —       1,303,331       —       1,303,331  
Total Assets   $ 336,903     $ 1,303,331     $ —     $ 1,640,234  
                                 
Liabilities                                
Options Written   $ —     $ 885,423     $ —     $ 885,423  
Total Liabilities   $ —     $ 885,423     $ —     $ 885,423  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,251,034     $ 52,297     $ 1,303,331  
Liabilities - Written options   Options written, at value   $ 755,032     $ 130,391     $ 885,423  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 184,692     $ (75,693 )   $ 108,999  
Written options   Written Options     (95,744 )     61,067       (34,677 )
        $ 88,948     $ (14,626 )   $ 74,322  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     32.62 %
Purchased Options     126.18  
Total Investments     158.80  
Written Options     (85.72 )
Assets in Excess of Other Liabilities     26.92  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

81

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Aug

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 34.83%                
iShares 0-3 Month Treasury Bond ETF (a)     977     $ 98,316  
Schwab Short-Term U.S. Treasury ETF (a)     1,976       94,967  
SPDR Portfolio Short Term Treasury ETF (a)     1,649       47,475  
Vanguard Short-Term Treasury ETF (a)     1,651       95,311  
TOTAL EXCHANGE TRADED FUNDS (Cost $340,430)             336,069  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 123.54% (b)(c)                        
CALL OPTIONS - 114.74%                        
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $421.01     15     $ 667,560       41,088  
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $0.42     24       1,068,096       1,065,743  

                    1,106,831  
PUT OPTIONS - 8.80%                         
iShares 20+ Year Treasury Bond ETF, Expires 8/10/2023, Strike Price $111.55     85       874,990       73,922  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 8/10/2023, Strike Price $108.15     87       940,818       10,209  
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $378.91     24       1,068,096       761  
S&P 500® Mini Index, Expires 8/10/2023, Strike Price $168.83     24       1,068,096       21  

                    84,913  
TOTAL PURCHASED OPTIONS (Cost $1,189,141)                     1,191,744  
                         
Total Investments (Cost $1,529,571) - 158.37%                     1,527,813  
Liabilities in Excess of Other Assets - (58.37)%                     (563,053 )
TOTAL NET ASSETS - 100.00%                   $ 964,760  

 

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 $336,069.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration   Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                  
S&P 500® Mini Index   8/10/2023   $  168.83     24     $ (1,068,096 )   $ (664,008 )
Put Options                                  
iShares 20+ Year Treasury Bond ETF   8/10/2023     117.42     85       (874,990 )     (122,697 )
iShares iBoxx $ Investment Grade Corporate Bond ETF   8/10/2023     113.84     87       (940,818 )     (51,495 )
S&P 500® Mini Index   8/10/2023     421.01     24       (1,068,096 )     (3,349 )
                                (177,541 )
TOTAL OPTIONS WRITTEN (Premiums Received $799,436)               $ (841,549 )

 

The accompanying notes are an integral part of these financial statements.

 

82 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Aug

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 336,069     $ —     $ —     $ 336,069  
Purchased Options     —       1,191,744       —       1,191,744  
Total Assets   $ 336,069     $ 1,191,744     $ —     $ 1,527,813  
                                 
Liabilities                                
Options Written   $ —     $ 841,549     $ —     $ 841,549  
Total Liabilities   $ —     $ 841,549     $ —     $ 841,549  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location     Equity Risk       Interest Rate
Risk		       Total  
Assets - Purchased options   Investments, at value   $ 1,107,613     $ 84,131     $ 1,191,744  
Liabilities - Written options   Options written, at value   $ 667,357     $ 174,192     $ 841,549  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 119,420     $ (72,115 )   $ 47,305  
Written options   Written Options     (47,050 )     51,194       4,144  
        $ 72,370     $ (20,921 )   $ 51,449  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     34.83 %
Purchased Options     123.54  
Total Investments     158.37  
Written Options     (87.24 )
Assets in Excess of Other Liabilities     28.87  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

83 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Sep

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 32.74%                
iShares 0-3 Month Treasury Bond ETF (a)     976     $ 98,215  
Schwab Short-Term U.S. Treasury ETF (a)     1,983       95,303  
SPDR Portfolio Short Term Treasury ETF (a)     1,656       47,676  
Vanguard Short-Term Treasury ETF (a)     1,657       95,659  
TOTAL EXCHANGE TRADED FUNDS (Cost $339,658)             336,853  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 112.26% (b)(c)                        
CALL OPTIONS - 109.59%                        
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $411.04     16     $ 712,064       63,322  
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $0.41     24       1,068,096       1,064,389  

                    1,127,711  
PUT OPTIONS - 2.67%                         
iShares 20+ Year Treasury Bond ETF, Expires 9/11/2023, Strike Price $102.90     92       947,048       22,810  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 9/11/2023, Strike Price $103.15     92       994,888       2,835  
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $369.94     24       1,068,096       1,775  
S&P 500® Mini Index, Expires 9/11/2023, Strike Price $164.83     24       1,068,096       44  

                    27,464  
TOTAL PURCHASED OPTIONS (Cost $1,169,387)                      1,155,175  
                         
Total Investments (Cost $1,509,045) - 145.00%                     1,492,028  
Liabilities in Excess of Other Assets - (45.00)%                     (463,090 )
TOTAL NET ASSETS - 100.00%                   $ 1,028,938  

 

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 $336,853.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN  
June 30, 2023 (Unaudited)  
   

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   9/11/2023     $  164.83     24     $ (1,068,096 )   $ (674,093 )
Put Options                                    
iShares 20+ Year Treasury Bond ETF   9/11/2023       108.32     92       (947,048 )     (54,984 )
iShares iBoxx $ Investment Grade Corporate Bond ETF   9/11/2023       108.58     92       (994,888 )     (16,177 )
S&P 500® Mini Index   9/11/2023       411.04     24       (1,068,096 )     (5,448 )
                                  (76,609 )
TOTAL OPTIONS WRITTEN (Premiums Received $787,511)                     $ (750,702 )

 

The accompanying notes are an integral part of these financial statements.

 

84 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Sep

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 336,853     $ —     $ —     $ 336,853  
Purchased Options     —       1,155,175       —       1,155,175  
Total Assets   $ 336,853     $ 1,155,175     $ —     $ 1,492,028  
                                 
Liabilities                                
Options Written   $ —     $ 750,702     $ —     $ 750,702  
Total Liabilities   $ —     $ 750,702     $ —     $ 750,702  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location     Equity Risk       Interest Rate
Risk		       Total  
Assets - Purchased options   Investments, at value   $ 1,129,530     $ 25,645     $ 1,155,175  
Liabilities - Written options   Options written, at value   $ 679,541     $ 71,161     $ 750,702  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 133,851     $ (74,781 )   $ 59,070  
Written options   Written Options     (58,635 )     80,230       21,595  
        $ 75,216     $ 5,449     $ 80,665  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     32.74 %
Purchased Options     112.26  
Total Investments     145.00  
Written Options     (72.95 )
Assets in Excess of Other Liabilities     27.95  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

 

85 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Oct

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 29.48%                
iShares 0-3 Month Treasury Bond ETF (a)     437     $ 43,975  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     465       50,285  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,036       97,486  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,260       99,578  
Vanguard Short-Term Treasury ETF (a)     748       43,182  
TOTAL EXCHANGE TRADED FUNDS (Cost $323,208)             334,506  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 21.33%                
United States Treasury Note, 0.625%, 10/15/2024 (a)   $ 256,900       242,038  
TOTAL U.S. TREASURY NOTE (Cost $245,063)             242,038  

 

          Notional        
    Contracts     Amount        
             
PURCHASED OPTIONS - 118.91% (b)(c)                        
CALL OPTIONS - 118.76%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $361.24     17     $ 756,568       150,963  
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $0.36     27       1,201,608       1,196,326  
                      1,347,289  
PUT OPTIONS - 0.15%                        
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $325.12     27       1,201,608       1,541  
S&P 500® Mini Index, Expires 10/10/2023, Strike Price $144.86     27       1,201,608       71  
                      1,612  
TOTAL PURCHASED OPTIONS (Cost $1,092,878)                     1,348,901  
                         
Total Investments (Cost $1,661,149) - 169.72%                     1,925,445  
Liabilities in Excess of Other Assets - (69.72)%                     (790,927 )
TOTAL NET ASSETS - 100.00%                   $ 1,134,518  

 

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 $576,544.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN  
June 30, 2023 (Unaudited)  

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   10/10/2023     $  144.86     27     $ (1,201,608 )   $ (812,167 )
Put Options                                    
S&P 500® Mini Index   10/10/2023       361.24     27       (1,201,608 )     (3,031 )
TOTAL OPTIONS WRITTEN (Premiums Received $676,579)                   $ (815,198 )

 

The accompanying notes are an integral part of these financial statements. 

 

86 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Oct

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 334,506     $ —     $ —     $ 334,506  
U.S. Treasury Note     —       242,038       —       242,038  
Purchased Options     —       1,348,901       —       1,348,901  
Total Assets   $ 334,506     $ 1,590,939     $ —     $ 1,925,445  
                                 
Liabilities                                
Options Written   $ —     $ 815,198     $ —     $ 815,198  
Total Liabilities   $ —     $ 815,198     $ —     $ 815,198  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location     Equity Risk       Interest Rate
Risk		       Total  
Assets - Purchased options   Investments, at value   $ 1,348,901     $ —     $ 1,348,901  
Liabilities - Written options   Options written, at value   $ 815,198     $ —     $ 815,198  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 204,636     $ —     $ 204,636  
Written options   Written Options     (113,075 )     —       (113,075 )
        $ 91,561     $ —     $ 91,561  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     29.48 %
U.S. Treasury Note     21.33  
Purchased Options     118.91  
Total Investments     169.72  
Written Options     (71.86 )
Assets in Excess of Other Liabilities     2.14  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

87 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Nov

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.40%                
iShares 0-3 Month Treasury Bond ETF (a)     433     $ 43,573  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     455       49,203  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,990       96,009  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,231       97,286  
Vanguard Short-Term Treasury ETF (a)     746       43,067  
TOTAL EXCHANGE TRADED FUNDS (Cost $322,981)             329,138  

 

    Principal        
    Amount        
       
U.S. TREASURY NOTE - 22.34%                
United States Treasury Note, 0.625%, 10/15/2024 (a)   $ 256,700       241,850  
TOTAL U.S. TREASURY NOTE (Cost $244,788)             241,850  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 112.88% (b)(c)                        
CALL OPTIONS - 112.50%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $395.64     19     $ 845,576       111,518  
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $0.40     25       1,112,600       1,106,646  
                      1,218,164  
PUT OPTIONS - 0.38%                        
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $356.07     25       1,112,600       3,921  
S&P 500® Mini Index, Expires 11/10/2023, Strike Price $158.63     25       1,112,600       165  
                      4,086  
TOTAL PURCHASED OPTIONS (Cost $1,090,428)                     1,222,250  
                         
Total Investments (Cost $1,658,197) - 165.62%                     1,793,237  
Liabilities in Excess of Other Assets - (65.62)%                     (710,484 )
TOTAL NET ASSETS - 100.00%                   $ 1,082,753  

 

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 $570,988.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN                    
June 30, 2023 (Unaudited)                    
                               
Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
S&P 500® Mini Index   11/10/2023
  $  158.63     25     $ (1,112,600 )   $ (719,084 )
Put Options                                    
S&P 500® Mini Index   11/10/2023       395.64     25       (1,112,600 )     (8,586 )
TOTAL OPTIONS WRITTEN (Premiums Received $667,881)               $ (727,670 )

 

The accompanying notes are an integral part of these financial statements.

 

 

88 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Nov

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 329,138     $ —     $ —     $ 329,138  
U.S. Treasury Note     —       241,850       —       241,850  
Purchased Options     —       1,222,250       —       1,222,250  
Total Assets   $ 329,138     $ 1,464,100     $ —     $ 1,793,238  
                                 
Liabilities                                
Options Written   $ —     $ 727,670     $ —     $ 727,670  
Total Liabilities   $ —     $ 727,670     $ —     $ 727,670  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,222,250     $ —     $ 1,222,250  
Liabilities - Written options   Options written, at value   $ 727,670     $ —     $ 727,670  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 162,196     $ —     $ 162,196  
Written options   Written Options     (77,547 )     —       (77,547 )
        $ 84,649     $ —     $ 84,649  

 

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     30.40 %
U.S. Treasury Note     22.34  
Purchased Options     112.88  
Total Investments     165.62  
Written Options     (67.21 )
Assets in Excess of Other Liabilities     1.59  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

89 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Dec

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.29%                
iShares 0-3 Month Treasury Bond ETF (a)     540     $ 54,340  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     547       59,153  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,697       118,711  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,507       119,097  
Vanguard Short-Term Treasury ETF (a)     931       53,747  
TOTAL EXCHANGE TRADED FUNDS (Cost $405,113)             405,048  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.64%            
United States Treasury Note, 0.750%, 12/31/2023 (a)   $ 309,600       302,690  
TOTAL U.S. TREASURY NOTE (Cost $303,615)             302,690  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 112.96% (b)(c)                        
CALL OPTIONS - 112.41%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $399.06     23     $ 1,023,592       133,051  
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $0.40     31       1,379,624       1,370,238  
                      1,503,289  
PUT OPTIONS - 0.55%                        
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $359.15     31       1,379,624       6,968  
S&P 500® Mini Index, Expires 12/11/2023, Strike Price $160.02     31       1,379,624       406  
                      7,374  
TOTAL PURCHASED OPTIONS (Cost $1,360,415)                     1,510,663  
                         
Total Investments (Cost $2,069,143) - 165.89%                     2,218,401  
Liabilities in Excess of Other Assets - (65.89)%                     (881,177 )
TOTAL NET ASSETS - 100.00%                   $ 1,337,224  

 

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 $707,738.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
S&P 500® Mini Index     12/11/2023     $ 160.02       31     $ (1,379,624 )   $ (887,948 )
Put Options                                        
S&P 500® Mini Index     12/11/2023       399.06       31       (1,379,624 )     (14,642 )
TOTAL OPTIONS WRITTEN (Premiums Received $833,141)                       $ (902,590 )

 

The accompanying notes are an integral part of these financial statements.

 

90 

 

Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund - Dec

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 405,048     $ —     $ —     $ 405,048  
U.S. Treasury Note     —       302,690       —       302,690  
Purchased Options     —       1,510,663       —       1,510,663  
Total Assets   $ 405,048     $ 1,813,353     $ —     $ 2,218,401  
                                 
Liabilities                                
Options Written   $ —     $ 902,590     $ —     $ 902,590  
Total Liabilities   $ —     $ 902,590     $ —     $ 902,590  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,510,663     $ —     $ 1,510,663  
Liabilities - Written options   Options written, at value   $ 902,590     $ —     $ 902,590  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ 192,982     $ —     $ 192,982  
Written options   Written Options     (92,722 )     —       (92,722 )
        $ 100,260     $ —     $ 100,260  

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     30.29 %
U.S. Treasury Note     22.64  
Purchased Options     112.96  
Total Investments     165.89  
Written Options     (67.49 )
Assets in Excess of Other Liabilities     1.60  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

91 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 29.36%                
iShares 0-3 Month Treasury Bond ETF (a)     367     $ 36,931  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     374       40,445  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,513       80,692  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,023       80,848  
Vanguard Short-Term Treasury ETF (a)     634       36,601  
TOTAL EXCHANGE TRADED FUNDS (Cost $283,448)             275,517  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.06%            
United States Treasury Note, 0.125%, 1/15/2024 (a)   $ 212,900       207,076  
TOTAL U.S. TREASURY NOTE (Cost $207,786)             207,076  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 147.51% (b)(c)                        
CALL OPTIONS - 147.47%                        
Invesco QQQ Trust Series 1, Expires 1/10/2024, Strike Price $272.83     30     $ 1,108,260       316,303  
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $391.96     21       934,584       139,863  
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $0.43     21       934,584       927,930  
                      1,384,096  
PUT OPTIONS - 0.04%                        
S&P 500® Mini Index, Expires 1/10/2024, Strike Price $157.20     21       934,584       421  
TOTAL PURCHASED OPTIONS (Cost $1,000,524)                     1,384,517  
                         
Total Investments (Cost $1,491,758) - 198.93%                     1,867,110  
Liabilities in Excess of Other Assets - (98.93)%                     (928,591 )
TOTAL NET ASSETS - 100.00%                   $ 938,519  

 

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 $482,593.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                        
Invesco QQQ Trust Series 1     1/10/2024     $ 293.84       30     $ (1,108,260 )   $ (258,502 )
S&P 500® Mini Index     1/10/2024       422.10       21       (934,584 )     (86,078 )
S&P 500® Mini Index     1/10/2024       157.20       21       (934,584 )     (608,674 )
                                      (953,254 )
Put Options                                        
S&P 500® Mini Index     1/10/2024       352.77       21       (934,584 )     (5,239 )
TOTAL OPTIONS WRITTEN (Premiums Received $638,434)               $ (958,493 )

 

The accompanying notes are an integral part of these financial statements.

 

92 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                        
Exchange Traded Funds   $ 275,517     $ —     $ —     $ 275,517  
U.S. Treasury Note     —       207,076       —       207,076  
Purchased Options     —       1,384,517       —       1,384,517  
Total Assets   $ 275,517     $ 1,591,593     $ —     $ 1,867,110  
                                 
Liabilities                                
Options Written   $ —     $ 958,493     $ —     $ 958,493  
Total Liabilities   $ —     $ 958,493     $ —     $ 958,493  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest
Rate Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,384,517     $ —     $ 1,384,517  
Liabilities - Written options   Options written, at value   $ 958,493     $ —     $ 958,493  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income          
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Investments   $ (317,210 )   $ 248,712     $ (68,498 )
Written options   Written Options     257,765       (306,702 )     (48,937 )
        $ (59,445 )   $ (57,990 )   $ (117,435 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 731,505     $ (302,576 )   $ 428,929  
Written options   Written Options     (580,534 )     359,811       (220,723 )
        $ 150,971     $ 57,235     $ 208,206  

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     29.36 %
U.S. Treasury Note     22.06  
Purchased Options     147.51  
Total Investments     198.93  
Written Options     (102.12 )
Assets in Excess of Other Liabilities     3.19  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

 

93 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.09%                
iShares 0-3 Month Treasury Bond ETF (a)     407     $ 40,956  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     418       45,203  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,792       89,651  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,138       89,936  
Vanguard Short-Term Treasury ETF (a)     705       40,700  
TOTAL EXCHANGE TRADED FUNDS (Cost $312,482)             306,446  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.48%                
United States Treasury Note, 0.125%, 2/15/2024 (a)   $ 236,500       228,932  
TOTAL U.S. TREASURY NOTE (Cost $229,595)             228,932  

 

    Contracts     Notional
Amount		        
                   
PURCHASED OPTIONS - 138.23% (b)(c)                        
CALL OPTIONS - 138.17%                        
Invesco QQQ Trust Series 1, Expires 2/12/2024, Strike Price $299.70     32     $ 1,182,144       266,022  
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $409.09     23       1,023,592       125,553  
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $0.45     23       1,023,592       1,015,592  
                      1,407,167  
PUT OPTIONS - 0.06%                        
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $164.07     23       1,023,592       600  
TOTAL PURCHASED OPTIONS (Cost $1,078,815)                     1,407,767  
                         
Total Investments (Cost $1,620,892) - 190.80%                     1,943,145  
Liabilities in Excess of Other Assets - (90.80)%                     (924,701 )
TOTAL NET ASSETS - 100.00%                   $ 1,018,444  

 

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 $535,378.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited) 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   2/12/2024     $ 322.18     32     $ (1,182,144 )   $ (204,346 )
S&P 500® Mini Index   2/12/2024       439.73     23       (1,023,592 )     (70,233 )
S&P 500® Mini Index   2/12/2024       164.07     23       (1,023,592 )     (652,585 )
                                  (927,164 )
Put Options                                    
S&P 500® Mini Index   2/12/2024       368.18     23       (1,023,592 )     (9,064 )
TOTAL OPTIONS WRITTEN (Premiums Received $682,593)                   $ (936,228 )

 

The accompanying notes are an integral part of these financial statements.

 

94 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 306,446     $ —     $ —     $ 306,446  
U.S. Treasury Note     —       228,932       —       228,932  
Purchased Options     —       1,407,767       —       1,407,767  
Total Assets   $ 306,446     $ 1,636,699     $ —     $ 1,943,145  
                                 
Liabilities                                
Options Written   $ —     $ 936,228     $ —     $ 936,228  
Total Liabilities   $ —     $ 936,228     $ —     $ 936,228  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,407,767     $ —     $ 1,407,767  
Liabilities - Written options   Options written, at value   $ 936,228     $ —     $ 936,228  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income      
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ (312,773 )   $ 203,342     $ (109,431 )
Written options   Written Options     293,009       (262,342 )     30,667  
        $ (19,764 )   $ (59,000 )   $ (78,764 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location     Equity Risk       Interest Rate
Risk		       Total  
Purchased options   Purchased options   $ 653,363     $ (252,759 )   $ 400,604  
Written options   Written Options     (514,077 )     307,209       (206,868 )
        $ 139,286     $ 54,450     $ 193,736  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.09 %
U.S. Treasury Note     22.48  
Purchased Options     138.23  
Total Investments     190.80  
Written Options     (91.93 )
Assets in Excess of Other Liabilities     1.13  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

95 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.15%                
iShares 0-3 Month Treasury Bond ETF (a)     391     $ 39,346  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     406       43,905  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,710       87,018  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,108       87,566  
Vanguard Short-Term Treasury ETF (a)     680       39,256  
TOTAL EXCHANGE TRADED FUNDS (Cost $299,262)             297,091  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.31%                
United States Treasury Note, 0.250%, 3/15/2024 (a)   $ 227,900       219,851  
TOTAL U.S. TREASURY NOTE (Cost $220,368)             219,851  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 149.61% (b)(c)                        
CALL OPTIONS - 149.54%                        
Invesco QQQ Trust Series 1, Expires 3/11/2024, Strike Price $288.55     30     $ 1,108,260       284,568  
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $386.21     23       1,023,592       174,686  
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $0.42     23       1,023,592       1,014,272  
                      1,473,526  
PUT OPTIONS - 0.07%                        
S&P 500® Mini Index, Expires 3/11/2024, Strike Price $154.89     23       1,023,592       676  
TOTAL PURCHASED OPTIONS (Cost $1,075,093)                     1,474,202  
                         
Total Investments (Cost $1,594,723) - 202.07%                     1,991,144  
Liabilities in Excess of Other Assets - (102.07)%                     (1,005,767 )
TOTAL NET ASSETS - 100.00%                   $ 985,377  

 

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 $516,942.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   3/11/2024     $ 309.61     30     $ (1,108,260 )   $ (229,707 )
S&P 500® Mini Index   3/11/2024       414.36     23       (1,023,592 )     (120,397 )
S&P 500® Mini Index   3/11/2024       154.89     23       (1,023,592 )     (673,112 )
                                  (1,023,216 )
Put Options                                    
S&P 500® Mini Index   3/11/2024       347.59     23       (1,023,592 )     (7,649 )
TOTAL OPTIONS WRITTEN (Premiums Received $693,288)                   $ (1,030,865 )

 

The accompanying notes are an integral part of these financial statements.

 

96 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 297,091     $ —     $ —     $ 297,091  
U.S. Treasury Note     —       219,851       —       219,851  
Purchased Options     —       1,474,202       —       1,474,202  
Total Assets   $ 297,091     $ 1,694,053     $ —     $ 1,991,144  
                                 
Liabilities                                
Options Written   $ —     $ 1,030,865     $ —     $ 1,030,865  
Total Liabilities   $ —     $ 1,030,865     $ —     $ 1,030,865  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,474,202     $ —     $ 1,474,202  
Liabilities - Written options   Options written, at value   $ 1,030,865     $ —     $ 1,030,865  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income      
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ (296,865 )   $ 136,079     $ (160,786 )
Written options   Written Options     280,643       (195,057 )     85,586  
        $ (16,222 )   $ (58,978 )   $ (75,200 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 699,085     $ (183,799 )   $ 515,286  
Written options   Written Options     (588,057 )     243,126       (344,931 )
        $ 111,028     $ 59,327     $ 170,355  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.15 %
U.S. Treasury Note     22.31  
Purchased Options     149.61  
Total Investments     202.07  
Written Options     (104.62 )
Assets in Excess of Other Liabilities     2.55  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

 

97 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.03%                
iShares 0-3 Month Treasury Bond ETF (a)     411     $ 41,359  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     416       44,986  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,810       90,230  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,138       89,936  
Vanguard Short-Term Treasury ETF (a)     710       40,988  
TOTAL EXCHANGE TRADED FUNDS (Cost $311,292)             307,499  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.14%                
United States Treasury Note, 0.375%, 4/15/2024 (a)   $ 238,500       229,248  
TOTAL U.S. TREASURY NOTE (Cost $230,762)             229,248  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 136.60% (b)(c)                        
CALL OPTIONS - 136.51%                        
Invesco QQQ Trust Series 1, Expires 4/10/2024, Strike Price $317.87     29     $ 1,071,318       207,259  
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $410.95     23       1,023,592       132,141  
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $0.45     23       1,023,592       1,013,242  
                      1,352,642  
PUT OPTIONS - 0.09%                        
S&P 500® Mini Index, Expires 4/10/2024, Strike Price $164.82     23       1,023,592       867  
TOTAL PURCHASED OPTIONS (Cost $1,129,840)                     1,353,509  
                         
Total Investments (Cost $1,671,894) - 190.77%                     1,890,256  
Liabilities in Excess of Other Assets - (90.77)%                     (899,403 )
TOTAL NET ASSETS - 100.00%                   $ 990,853  

 

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 $536,747.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   4/10/2024     $ 338.53     29     $ (1,071,318 )   $ (160,002 )
S&P 500® Mini Index   4/10/2024       437.62     23       (1,023,592 )     (84,955 )
S&P 500® Mini Index   4/10/2024       164.82     23       (1,023,592 )     (651,990 )
                                  (896,947 )
Put Options                                    
S&P 500® Mini Index   4/10/2024       369.86     23       (1,023,592 )     (12,445 )
TOTAL OPTIONS WRITTEN (Premiums Received $725,749)               $ (909,392 )

 

The accompanying notes are an integral part of these financial statements.

 

98 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 307,499     $ —     $ —     $ 307,499  
U.S. Treasury Note     —       229,248       —       229,248  
Purchased Options     —       1,353,509       —       1,353,509  
Total Assets   $ 307,499     $ 1,582,757     $ —     $ 1,890,256  
                                 
Liabilities                                
Options Written   $ —     $ 909,392     $ —     $ 909,392  
Total Liabilities   $ —     $ 909,392     $ —     $ 909,392  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,353,509     $ —     $ 1,353,509  
Liabilities - Written options   Options written, at value   $ 909,392     $ —     $ 909,392  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income      
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ (267,413 )   $ 1,146     $ (266,267 )
Written options   Written Options     249,210       (66,007 )     183,203  
        $ (18,203 )   $ (64,861 )   $ (83,064 )

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 552,753     $ (98,962 )   $ 453,791  
Written options   Written Options     (437,880 )     151,429       (286,451 )
        $ 114,873     $ 52,467     $ 167,340  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.03 %
U.S. Treasury Note     23.14  
Purchased Options     136.60  
Total Investments     190.77  
Written Options     (91.78 )
Assets in Excess of Other Liabilities     1.01  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

99 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.93%                
iShares 0-3 Month Treasury Bond ETF (a)     446     $ 44,881  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     458       49,528  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,061       98,289  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,244       98,314  
Vanguard Short-Term Treasury ETF (a)     773       44,625  
TOTAL EXCHANGE TRADED FUNDS (Cost $338,964)             335,637  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 22.95%            
United States Treasury Note, 0.250%, 5/15/2024 (a)   $ 260,400       249,038  
TOTAL U.S. TREASURY NOTE (Cost $250,730)             249,038  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 134.12% (b)(c)                        
CALL OPTIONS - 134.02%                        
Invesco QQQ Trust Series 1, Expires 5/10/2024, Strike Price $325.14     31     $ 1,145,202       210,000  
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $413.80     25       1,112,600       143,791  
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $0.46     25       1,112,600       1,100,426  
                      1,454,217  
PUT OPTIONS - 0.10%                        
S&P 500® Mini Index, Expires 5/10/2024, Strike Price $165.96     25       1,112,600       1,048  
TOTAL PURCHASED OPTIONS (Cost $1,232,560)                     1,455,265  
                         
Total Investments (Cost $1,822,254) - 188.00%                     2,039,940  
Liabilities in Excess of Other Assets - (88.00)%                     (954,860 )
TOTAL NET ASSETS - 100.00%                   $ 1,085,080  

 

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 $584,675.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   5/10/2024     $ 345.62     31     $ (1,145,202 )   $ (161,860 )
S&P 500® Mini Index   5/10/2024       439.83     25       (1,112,600 )     (94,766 )
S&P 500® Mini Index   5/10/2024       165.96     25       (1,112,600 )     (706,879 )
                                  (963,505 )
Put Options                                    
S&P 500® Mini Index   5/10/2024       372.43     25       (1,112,600 )     (15,825 )
TOTAL OPTIONS WRITTEN (Premiums Received $789,751)               $ (979,330 )

 

The accompanying notes are an integral part of these financial statements.

 

100 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 335,637     $ —     $ —     $ 335,637  
U.S. Treasury Note     —       249,038       —       249,038  
Purchased Options     —       1,455,265       —       1,455,265  
Total Assets   $ 335,637     $ 1,704,303     $ —     $ 2,039,940  
                                 
Liabilities                                
Options Written   $ —     $ 979,330     $ —       979,330  
Total Liabilities   $ —     $ 979,330     $ —     $ 979,330  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,455,265     $ —     $ 1,455,265  
Liabilities - Written options   Options written, at value   $ 979,330     $ —     $ 979,330  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income      
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ (67,274 )   $ (39,319 )   $ (106,593 )
Written options   Written Options     161,218       (3,844 )     157,374  
        $ 93,944     $ (43,163 )   $ 50,781  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 428,041     $ (34,561 )   $ 393,480  
Written options   Written Options     (380,456 )     67,869       (312,587 )
        $ 47,585     $ 33,308     $ 80,893  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.93 %
U.S. Treasury Note     22.95  
Purchased Options     134.12  
Total Investments     188.00  
Written Options     (90.26 )
Assets in Excess of Other Liabilities     2.26  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

101 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 32.26%                
iShares 0-3 Month Treasury Bond ETF (a)     476     $ 47,900  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     497       53,745  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,304       106,092  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,348       106,533  
Vanguard Short-Term Treasury ETF (a)     829       47,858  
TOTAL EXCHANGE TRADED FUNDS (Cost $360,846)             362,128  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 23.57%            
United States Treasury Note, 0.250%, 6/15/2024 (a)   $ 277,800       264,530  
TOTAL U.S. TREASURY NOTE (Cost $265,108)             264,530  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 119.76% (b)(c)                        
CALL OPTIONS - 119.64%                        
Invesco QQQ Trust Series 1, Expires 6/10/2024, Strike Price $360.49     30     $ 1,108,260       132,866  
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $433.95     25       1,112,600       111,127  
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $0.47     25       1,112,600       1,099,071  
                      1,343,064  
PUT OPTIONS - 0.12%                        
S&P 500® Mini Index, Expires 6/10/2024, Strike Price $174.04     25       1,112,600       1,295  
TOTAL PURCHASED OPTIONS (Cost $1,283,644)                     1,344,359  
                         
Total Investments (Cost $1,909,598) - 175.59%                     1,971,017  
Liabilities in Excess of Other Assets - (75.59)%                     (848,516 )
TOTAL NET ASSETS - 100.00%                   $ 1,122,501  

 

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 $626,658.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

                               
Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   6/10/2024     $ 383.92     30     $ (1,108,260 )   $ (90,303 )
S&P 500® Mini Index   6/10/2024       462.11     25       (1,112,600 )     (64,009 )
S&P 500® Mini Index   6/10/2024       174.04     25       (1,112,600 )     (688,386 )
                                  (842,698 )
Put Options                                    
S&P 500® Mini Index   6/10/2024       390.56     25       (1,112,600 )     (22,525 )
TOTAL OPTIONS WRITTEN (Premiums Received $816,981)             $ (865,223 )

 

The accompanying notes are an integral part of these financial statements.

 

102 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 362,128     $ —     $ —     $ 362,128  
U.S. Treasury Note     —       264,530       —       264,530  
Purchased Options     —       1,344,359       —       1,344,359  
Total Assets   $ 362,128     $ 1,608,889     $ —     $ 1,971,017  
                                 
Liabilities                                
Options Written   $ —     $ 865,223     $ —     $ 865,223  
Total Liabilities   $ —     $ 865,223     $ —     $ 865,223  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,344,359     $ —     $ 1,344,359  
Liabilities - Written options   Options written, at value   $ 865,223     $ —     $ 865,223  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income      
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 253,590     $ (34,458 )   $ 219,132  
Written options   Written Options     (103,414 )     (11,526 )     (114,940 )
        $ 150,176     $ (45,984 )   $ 104,192  

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 205,059     $ (31,332 )   $ 173,727  
Written options   Written Options     (194,833 )     58,464       (136,369 )
        $ 10,226     $ 27,132     $ 37,358  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     32.26 %
U.S. Treasury Note     23.57  
Purchased Options     119.76  
Total Investments     175.59  
Written Options     (77.08 )
Assets in Excess of Other Liabilities     1.49  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

103 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.33%                
iShares 0-3 Month Treasury Bond ETF (a)     985     $ 99,121  
Schwab Short-Term U.S. Treasury ETF (a)     1,976       94,967  
SPDR Portfolio Short Term Treasury ETF (a)     1,650       47,504  
Vanguard Short-Term Treasury ETF (a)     1,651       95,311  
TOTAL EXCHANGE TRADED FUNDS (Cost $341,258)             336,903  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 146.96% (b)(c)                        
CALL OPTIONS - 142.26%                        
Invesco QQQ Trust Series 1, Expires 7/10/2023, Strike Price $289.04     34     $ 1,256,028       274,701  
SPDR S&P 500® Trust ETF, Expires 7/10/2023, Strike Price $384.23     26       1,152,528       154,629  
SPDR S&P 500® Trust ETF, Expires 7/10/2023, Strike Price $0.38     26       1,152,528       1,151,063  
                      1,580,393  
PUT OPTIONS - 4.70%                        
iShares 20+ Year Treasury Bond ETF, Expires 7/10/2023, Strike Price $108.66     87       895,578       51,609  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 7/10/2023, Strike Price $105.43     90       973,260       512  
SPDR S&P 500® Trust ETF, Expires 7/10/2023, Strike Price $154.08     26       1,152,528       —  

                    52,121  
TOTAL PURCHASED OPTIONS (Cost $1,304,329)                     1,632,514  
                         
Total Investments (Cost $1,645,587) - 177.29%                     1,969,417  
Liabilities in Excess of Other Assets - (77.29)%                     (858,539 )
TOTAL NET ASSETS - 100.00%                   $ 1,110,878  

 

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 $336,903.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   7/10/2023     $ 313.46     34     $ (1,256,028 )   $ (191,837 )
SPDR S&P 500® Trust ETF   7/10/2023       416.71     26       (1,152,528 )     (70,426 )
SPDR S&P 500® Trust ETF   7/10/2023       154.08     26       (1,152,528 )     (752,028 )
                                  (1,014,291 )
Put Options                                    
iShares 20+ Year Treasury Bond ETF   7/10/2023       114.38     87       (895,578 )     (101,246 )
iShares iBoxx $ Investment Grade Corporate                                    
Bond ETF   7/10/2023       110.98     90       (973,260 )     (28,793 )
SPDR S&P 500® Trust ETF   7/10/2023       345.81     26       (1,152,528 )     (41 )
                                  (130,080 )
TOTAL OPTIONS WRITTEN (Premiums Received $919,804)                   $ (1,144,371 )

 

The accompanying notes are an integral part of these financial statements.

 

104 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 336,903     $ —     $ —     $ 336,903  
Purchased Options     —       1,632,514       —       1,632,514  
Total Assets   $ 336,903     $ 1,632,514     $ —     $ 1,969,417  
                                 
Liabilities                                
Options Written   $ —     $ 1,144,371     $ —     $ 1,144,371  
Total Liabilities   $ —     $ 1,144,371     $ —     $ 1,144,371  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,580,393     $ 52,121     $ 1,632,514  
Liabilities - Written options   Options written, at value   $ 1,014,332     $ 130,039     $ 1,144,371  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 475,988     $ (75,663 )   $ 400,325  
Written options   Written Options     (333,258 )     61,119       (272,139 )
        $ 142,730     $ (14,544 )   $ 128,186  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.33 %
Purchased Options     146.96  
Total Investments     177.29  
Written Options     (103.02 )
Assets in Excess of Other Liabilities     25.73  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

105 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 31.90%                
iShares 0-3 Month Treasury Bond ETF (a)     980     $ 98,617  
Schwab Short-Term U.S. Treasury ETF (a)     1,980       95,159  
SPDR Portfolio Short Term Treasury ETF (a)     1,653       47,590  
Vanguard Short-Term Treasury ETF (a)     1,654       95,485  
TOTAL EXCHANGE TRADED FUNDS (Cost $341,221)             336,851  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 128.39% (b)(c)                        
CALL OPTIONS - 120.44%                        
Invesco QQQ Trust Series 1, Expires 8/10/2023, Strike Price $325.93     31     $ 1,145,202       143,511  
SPDR S&P 500® Trust ETF, Expires 8/10/2023, Strike Price $419.99     24       1,063,872       65,456  
SPDR S&P 500® Trust ETF, Expires 8/10/2023, Strike Price $0.42     24       1,063,872       1,062,889  
                      1,271,856  
PUT OPTIONS - 7.95%                        
iShares 20+ Year Treasury Bond ETF, Expires 8/10/2023, Strike Price $111.53     85       874,990       73,759  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 8/10/2023, Strike Price $108.13     88       951,632       10,240  
SPDR S&P 500® Trust ETF, Expires 8/10/2023, Strike Price $168.42     24       1,063,872       35  

                    84,034  
TOTAL PURCHASED OPTIONS (Cost $1,294,323)                     1,355,890  
                         
Total Investments (Cost $1,635,544) - 160.29%                     1,692,741  
Liabilities in Excess of Other Assets - (60.29)%                     (636,684 )
TOTAL NET ASSETS - 100.00%                   $ 1,056,057  

 

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 $336,851.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

                               
Description   Expiration     Strike Price     Contracts     Notional Amount     Value  
Call Options                                    
Invesco QQQ Trust Series 1   8/10/2023     $ 352.04     31     $ (1,145,202 )   $ (69,709 )
SPDR S&P 500® Trust ETF   8/10/2023       453.63     24       (1,063,872 )     (7,121 )
SPDR S&P 500® Trust ETF   8/10/2023       168.42     24       (1,063,872 )     (662,146 )
                                  (738,976 )
Put Options                                    
iShares 20+ Year Treasury Bond ETF   8/10/2023       117.40     85       (874,990 )     (122,529 )
iShares iBoxx $ Investment Grade Corporate                                    
Bond ETF   8/10/2023       113.82     88       (951,632 )     (51,914 )
SPDR S&P 500® Trust ETF   8/10/2023       377.99     24       (1,063,872 )     (809 )
                                  (175,252 )
TOTAL OPTIONS WRITTEN (Premiums Received $901,951)             $ (914,228 )

 

The accompanying notes are an integral part of these financial statements.

 

106 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Purchased Options   $ —     $ 1,355,890     $ —     $ 1,355,890  
Exchange Traded Funds     336,851       —       —       336,851  
Total Assets   $ 336,851     $ 1,355,890     $ —     $ 1,692,741  
                                 
Liabilities                                
Options Written   $ —     $ 914,228     $ —     $ 914,228  
Total Liabilities   $ —     $ 914,228     $ —     $ 914,228  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,271,891     $ 83,999     $ 1,355,890  
Liabilities - Written options   Options written, at value   $ 739,785     $ 174,443     $ 914,228  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 315,219     $ (72,480 )   $ 242,739  
Written options   Written Options     (148,376 )     51,593       (96,783 )
        $ 166,843     $ (20,887 )   $ 145,956  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     31.90 %
Purchased Options     128.39  
Total Investments     160.29  
Written Options     (86.57 )
Assets in Excess of Other Liabilities     26.28  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

 

107 

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.43%                
iShares 0-3 Month Treasury Bond ETF (a)     977     $ 98,316  
Schwab Short-Term U.S. Treasury ETF (a)     1,984       95,351  
SPDR Portfolio Short Term Treasury ETF (a)     1,656       47,676  
Vanguard Short-Term Treasury ETF (a)     1,658       95,716  
TOTAL EXCHANGE TRADED FUNDS (Cost $339,865)             337,059  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 124.43% (b)(c)                        
CALL OPTIONS - 122.13%                        
Invesco QQQ Trust Series 1, Expires 9/11/2023, Strike Price $310.74     31     $ 1,145,202       196,050  
SPDR S&P 500® Trust ETF, Expires 9/11/2023, Strike Price $410.97     24       1,063,872       93,763  
SPDR S&P 500® Trust ETF, Expires 9/11/2023, Strike Price $0.41     24       1,063,872       1,063,104  
                      1,352,917  
PUT OPTIONS - 2.30%                        
iShares 20+ Year Treasury Bond ETF, Expires 9/11/2023, Strike Price $102.88     92       947,048       22,721  
iShares iBoxx $ Investment Grade Corporate Bond ETF, Expires 9/11/2023, Strike Price  $103.13     92       994,888       2,819  
SPDR S&P 500® Trust ETF, Expires 9/11/2023, Strike Price $164.80     24       1,063,872       52  
                      25,592  
TOTAL PURCHASED OPTIONS (Cost $1,280,578)                     1,378,509  
                         
Total Investments (Cost $1,620,443) - 154.86%                     1,715,568  
Liabilities in Excess of Other Assets - (54.86)%                     (607,741 )
TOTAL NET ASSETS - 100.00%                   $ 1,107,827  

 

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 $337,059.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   9/11/2023     $ 336.81     31     $ (1,145,202 )   $ (121,308 )
SPDR S&P 500® Trust ETF   9/11/2023       445.45     24       (1,063,872 )     (25,556 )
SPDR S&P 500® Trust ETF   9/11/2023       164.80     24       (1,063,872 )     (672,884 )
                                  (819,748 )
Put Options                                    
iShares 20+ Year Treasury Bond ETF   9/11/2023       108.30     92       (947,048 )     (54,838 )
iShares iBoxx $ Investment Grade Corporate Bond ETF   9/11/2023       108.56     92       (994,888 )     (16,086 )
SPDR S&P 500® Trust ETF   9/11/2023       369.87     24       (1,063,872 )     (1,749 )
                                  (72,673 )
TOTAL OPTIONS WRITTEN (Premiums Received $896,303)                     $ (892,421 )

 

The accompanying notes are an integral part of these financial statements.

 

108

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 337,059     $ —     $ —     $ 337,059  
Purchased Options     —       1,378,509       —       1,378,509  
Total Assets   $ 337,059     $ 1,378,509     $ —     $ 1,715,568  
                                 
Liabilities                                
Options Written   $ —     $ 892,421     $ —     $ 892,421  
Total Liabilities   $ —     $ 892,421     $ —     $ 892,421  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,352,969     $ 25,540     $ 1,378,509  
Liabilities - Written options   Options written, at value   $ 821,497     $ 70,924     $ 892,421  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 363,763     $ (74,713 )   $ 289,050  
Written options   Written Options     (209,095 )     80,248       (128,847 )
        $ 154,668     $ 5,535     $ 160,203  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     30.43 %
Purchased Options     124.43  
Total Investments     154.86  
Written Options     (80.56 )
Assets in Excess of Other Liabilities     25.70  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

109

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 28.59%                
iShares 0-3 Month Treasury Bond ETF (a)     437     $ 43,975  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     465       50,285  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     3,036       97,486  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,260       99,578  
Vanguard Short-Term Treasury ETF (a)     748       43,182  
TOTAL EXCHANGE TRADED FUNDS (Cost $323,208)             334,506  

 

    Principal
Amount		          
U.S. TREASURY NOTE - 20.69%                
United States Treasury Note, 0.625%, 10/15/2024 (a)   $ 256,900       242,038  
TOTAL U.S. TREASURY NOTE (Cost $245,063)             242,038  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 155.25% (b)(c)                        
CALL OPTIONS - 155.24%                        
Invesco QQQ Trust Series 1, Expires 10/10/2023, Strike Price $266.41     36     $ 1,329,912       385,822  
SPDR S&P 500® Trust ETF, Expires 10/10/2023, Strike Price $360.02     27       1,196,856       238,619  
SPDR S&P 500® Trust ETF, Expires 10/10/2023, Strike Price $0.36     27       1,196,856       1,191,920  
                      1,816,361  
PUT OPTIONS - 0.01%                        
SPDR S&P 500® Trust ETF, Expires 10/10/2023, Strike Price $144.37     27       1,196,856       89  
TOTAL PURCHASED OPTIONS (Cost $1,210,165)                     1,816,450  
                         
Total Investments (Cost $1,778,436) - 204.53%                     2,392,994  
Liabilities in Excess of Other Assets - (104.53)%                     (1,222,950 )
TOTAL NET ASSETS - 100.00%                   $ 1,170,044  

 

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 $576,544.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited) 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   10/10/2023     $ 293.61     36     $ (1,329,912 )   $ (291,639 )
SPDR S&P 500® Trust ETF   10/10/2023       396.78     27       (1,196,856 )     (144,781 )
SPDR S&P 500® Trust ETF   10/10/2023       144.37     27       (1,196,856 )     (809,080 )
                                  (1,245,500 )
Put Options                                    
SPDR S&P 500® Trust ETF   10/10/2023       324.02     27       (1,196,856 )     (1,583 )
TOTAL OPTIONS WRITTEN (Premiums Received $793,928)               $ (1,247,083 )

 

The accompanying notes are an integral part of these financial statements.

 

110

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 334,506     $ —     $ —     $ 334,506  
U.S. Treasury Note     —       242,038       —       242,038  
Purchased Options     —       1,816,450       —       1,816,450  
Total Assets   $ 334,506     $ 2,058,488     $ —     $ 2,392,994  
                                 
Liabilities                                
Options Written   $ —     $ 1,247,083     $ —     $ 1,247,083  
Total Liabilities   $ —     $ 1,247,083     $ —     $ 1,247,083  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,816,450     $ —     $ 1,816,450  
Liabilities - Written options   Options written, at value   $ 1,247,083     $ —     $ 1,247,083  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 547,824     $ —     $ 547,824  
Written options   Written Options     (436,154 )     —       (436,154 )
        $ 111,670     $ —     $ 111,670  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     28.59 %
U.S. Treasury Note     20.69  
Purchased Options     155.25  
Total Investments     204.53  
Written Options     (106.59 )
Assets in Excess of Other Liabilities     2.06  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

111

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 29.11%                
iShares 0-3 Month Treasury Bond ETF (a)     433     $ 43,573  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     455       49,203  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,990       96,009  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,231       97,286  
Vanguard Short-Term Treasury ETF (a)     746       43,067  
TOTAL EXCHANGE TRADED FUNDS (Cost $322,981)             329,138  

 

    Principal
Amount		        
U.S. TREASURY NOTE - 21.40%            
United States Treasury Note, 0.625%, 10/15/2024 (a)   $ 256,800       241,944  
TOTAL U.S. TREASURY NOTE (Cost $244,883)             241,944  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 139.45% (b)(c)                        
CALL OPTIONS - 139.43%                        
Invesco QQQ Trust Series 1, Expires 11/10/2023, Strike Price $282.75     35     $ 1,292,970       326,300  
SPDR S&P 500® Trust ETF, Expires 11/10/2023, Strike Price $394.69     25       1,108,200       146,127  
SPDR S&P 500® Trust ETF, Expires 11/10/2023, Strike Price $0.39     25       1,108,200       1,103,734  
                      1,576,161  
PUT OPTIONS - 0.02%                        
SPDR S&P 500® Trust ETF, Expires 11/10/2023, Strike Price $158.27     25       1,108,200       232  
TOTAL PURCHASED OPTIONS (Cost $1,215,386)                     1,576,393  
                         
Total Investments (Cost $1,783,250) - 189.96%                     2,147,475  
Liabilities in Excess of Other Assets - (89.96)%                     (1,016,996 )
TOTAL NET ASSETS - 100.00%                   $ 1,130,479  

 

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 $571,082.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   11/10/2023     $ 308.14     35     $ (1,292,970 )   $ (243,621 )
SPDR S&P 500® Trust ETF   11/10/2023       430.13     25       (1,108,200 )     (69,772 )
SPDR S&P 500® Trust ETF   11/10/2023       158.27     25       (1,108,200 )     (717,080 )
                                  (1,030,473 )
Put Options                                    
SPDR S&P 500® Trust ETF   11/10/2023       355.22     25       (1,108,200 )     (3,971 )
TOTAL OPTIONS WRITTEN (Premiums Received $793,056)             $ (1,034,444 )

 

The accompanying notes are an integral part of these financial statements.

 

112

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 329,138     $ —     $ —     $ 329,138  
U.S. Treasury Note     —       241,944       —       241,944  
Purchased Options     —       1,576,393       —       1,576,393  
Total Assets   $ 329,138     $ 1,818,337     $ —     $ 2,147,475  
                                 
Liabilities                                
Options Written   $ —     $ 1,034,444     $ —     $ 1,034,444  
Total Liabilities   $ —     $ 1,034,444     $ —     $ 1,034,444  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,576,393     $ —     $ 1,576,393  
Liabilities - Written options   Options written, at value   $ 1,034,444     $ —     $ 1,034,444  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 466,420     $ —     $ 466,420  
Written options   Written Options     (331,480 )     —       (331,480 )
        $ 134,940     $ —     $ 134,940  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     29.11 %
U.S. Treasury Note     21.40  
Purchased Options     139.45  
Total Investments     189.96  
Written Options     (91.50 )
Assets in Excess of Other Liabilities     1.54  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

113

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 29.05%                
iShares 0-3 Month Treasury Bond ETF (a)     432     $ 43,472  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     438       47,365  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,957       94,949  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,206       95,311  
Vanguard Short-Term Treasury ETF (a)     745       43,009  
TOTAL EXCHANGE TRADED FUNDS (Cost $324,157)             324,106  

 

    Principal Amount        
U.S. TREASURY NOTE - 21.70%            
United States Treasury Note, 0.750%, 12/31/2023 (a)   $ 247,600       242,073  
TOTAL U.S. TREASURY NOTE (Cost $242,813)             242,073  

 

    Contracts     Notional Amount        
PURCHASED OPTIONS - 140.05% (b)(c)            
CALL OPTIONS - 140.03%                        
Invesco QQQ Trust Series 1, Expires 12/11/2023, Strike Price $285.58     34     $ 1,256,028       314,235  
SPDR S&P 500® Trust ETF, Expires 12/11/2023, Strike Price $398.95     25       1,108,200       143,686  
SPDR S&P 500® Trust ETF, Expires 12/11/2023, Strike Price $0.40     25       1,108,200       1,104,035  
                      1,561,956  
PUT OPTIONS - 0.02%                        
SPDR S&P 500® Trust ETF, Expires 12/11/2023, Strike Price $159.98     25       1,108,200       265  
TOTAL PURCHASED OPTIONS (Cost $1,222,710)                     1,562,221  
                         
Total Investments (Cost $1,789,680) - 190.80%                     2,128,400  
Liabilities in Excess of Other Assets - (90.80)%                     (1,012,900 )
TOTAL NET ASSETS - 100.00%                   $ 1,115,500  

 

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 $566,179.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Call Options                                    
Invesco QQQ Trust Series 1   12/11/2023     $ 310.97     34     $ (1,256,028 )   $ (235,642 )
SPDR S&P 500® Trust ETF   12/11/2023       434.42     25       (1,108,200 )     (69,677 )
SPDR S&P 500® Trust ETF   12/11/2023       159.98     25       (1,108,200 )     (715,119 )
                                  (1,020,438 )
Put Options                                    
SPDR S&P 500® Trust ETF   12/11/2023       359.06     25       (1,108,200 )     (5,539 )
TOTAL OPTIONS WRITTEN (Premiums Received $795,729)               $ (1,025,977 )

 

The accompanying notes are an integral part of these financial statements.

 

114

 

Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 324,106     $ —     $ —     $ 324,106  
U.S. Treasury Note     —       242,073       —       242,073  
Purchased Options     —       1,562,221       —       1,562,221  
Total Assets   $ 324,106     $ 1,804,294     $ —     $ 2,128,400  
                                 
Liabilities                                
Options Written   $ —     $ 1,025,977     $ —     $ 1,025,977  
Total Liabilities   $ —     $ 1,025,977     $ —     $ 1,025,977  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,562,221     $ —     $ 1,562,221  
Liabilities - Written options   Options written, at value   $ 1,025,977     $ —     $ 1,025,977  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 451,158     $ —     $ 451,158  
Written options   Written Options     (317,750 )     —       (317,750 )
        $ 133,408     $ —     $ 133,408  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     29.05 %
U.S. Treasury Note     21.70  
Purchased Options     140.05  
Total Investments     190.80  
Written Options     (91.97 )
Assets in Excess of Other Liabilities     1.17  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

115

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (I)

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 62.41%                
Invesco BulletShares 2028 Corporate Bond ETF (a)     3,974     $ 78,467  
Invesco BulletShares 2029 Corporate Bond ETF (a)     11,780       211,395  
iShares iBonds Dec 2028 Term Corporate ETF (a)     3,186       78,057  
iShares iBonds Dec 2029 Term Corporate ETF (a)     9,356       210,042  
TOTAL EXCHANGE TRADED FUNDS (Cost $660,975)             577,961  

 

    Principal
Amount		          
U.S. TREASURY NOTE - 21.41%                
United States Treasury Note, 0.750%, 1/31/2028 (a)   $ 231,200       198,286  
TOTAL U.S. TREASURY NOTE (Cost $221,776)             198,286  

 

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 20.73% (b)(c)                        
CALL OPTIONS - 20.73%                        
S&P 500® Mini Index, Expires 1/10/2028, Strike Price $467.03     23     $ 1,023,592       191,973  
TOTAL PURCHASED OPTIONS (Cost $207,500)                     191,973  
                         
Total Investments (Cost $1,090,251) - 104.55%                     968,220  
Liabilities in Excess of Other Assets - (4.55)%                     (42,091 )
TOTAL NET ASSETS - 100.00%                   $ 926,129  

 

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 $776,247.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN
June 30, 2023 (Unaudited)

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Put Options                                    
S&P 500® Mini Index   1/10/2028     $ 373.62     21     $ (934,584 )   $ (59,901 )
TOTAL OPTIONS WRITTEN (Premiums Received $86,357)             $ (59,901 )

 

The accompanying notes are an integral part of these financial statements.

 

116

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (I)

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 577,961     $ —     $ —     $ 577,961  
U.S. Treasury Note     —       198,286       —       198,286  
Purchased Options     —       191,973       —       191,973  
Total Assets   $ 577,961     $ 390,259     $ —     $ 968,220  
                                 
Liabilities                                
Options Written   $ —     $ 59,901     $ —     $ 59,901  
Total Liabilities   $ —     $ 59,901     $ —     $ 59,901  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 191,973     $ —     $ 191,973  
Liabilities - Written options   Options written, at value   $ 59,901     $ —     $ 59,901  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 52,840     $ —     $ 52,840  
Written options   Written Options     36,857       —       36,857  
        $ 89,697     $ —     $ 89,697  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     62.41 %
U.S. Treasury Note     21.41  
Purchased Options     20.73  
Total Investments     104.55  
Written Options     (6.47 )
Assets in Excess of Other Liabilities     1.92  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

117

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (I)

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 56.61%                
Invesco BulletShares 2028 Corporate Bond ETF (a)     6,641     $ 131,127  
Invesco BulletShares 2029 Corporate Bond ETF (a)     21,357       383,257  
iShares iBonds Dec 2028 Term Corporate ETF (a)     5,318       130,291  
iShares iBonds Dec 2029 Term Corporate ETF (a)     16,950       380,528  
TOTAL EXCHANGE TRADED FUNDS (Cost $1,062,856)             1,025,203  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 19.28%                
United States Treasury Note, 1.250%, 4/30/2028 (a)   $ 399,800       349,146  
TOTAL U.S. TREASURY NOTE (Cost $368,620)             349,146  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 27.67% (b)(c)                        
CALL OPTIONS - 27.67%                        
S&P 500® Mini Index, Expires 4/10/2028, Strike Price $441.28     50     $ 2,225,200       501,037  
TOTAL PURCHASED OPTIONS (Cost $440,407)                     501,037  
                         
Total Investments (Cost $1,871,883) - 103.56%                     1,875,386  
Liabilities in Excess of Other Assets - (3.56)%                     (64,419 )
TOTAL NET ASSETS - 100.00%                   $ 1,810,967  

 

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 $1,374,349.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Put Options                                      
S&P 500® Mini Index     4/10/2028     $ 353.03     40     $ (1,780,160 )   $ (101,207 )
TOTAL OPTIONS WRITTEN (Premiums Received $147,666)               $ (101,207 )

 

The accompanying notes are an integral part of these financial statements.

 

118

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (I)

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 1,025,203     $ —     $ —     $ 1,025,203  
U.S. Treasury Note     —       349,146       —       349,146  
Purchased Options     —       501,037       —       501,037  
Total Assets   $ 1,025,203     $ 850,183     $ —     $ 1,875,386  
                                 
Liabilities                                
Options Written   $ —     $ 101,207     $ —     $ 101,207  
Total Liabilities   $ —     $ 101,207     $ —     $ 101,207  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 501,037     $ —     $ 501,037  
Liabilities - Written options   Options written, at value   $ 101,207     $ —     $ 101,207  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 132,124     $ —     $ 132,124  
Written options   Written Options     60,933       —       60,933  
        $ 193,057     $ —     $ 193,057  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     56.61 %
U.S. Treasury Note     19.28  
Purchased Options     27.67  
Total Investments     103.56  
Written Options     (5.59 )
Assets in Excess of Other Liabilities     2.03  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

119

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jul (I)

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 49.11%                
Invesco BulletShares 2028 Corporate Bond ETF (a)     9,557     $ 188,703  
Invesco BulletShares 2029 Corporate Bond ETF (a)     30,868       553,935  
iShares iBonds Dec 2028 Term Corporate ETF (a)     7,686       188,307  
iShares iBonds Dec 2029 Term Corporate ETF (a)     24,590       552,046  
TOTAL EXCHANGE TRADED FUNDS (Cost $1,506,334)             1,482,991  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 16.82%                
United States Treasury Note, 1.000%, 7/31/2028 (a)   $ 592,200       507,811  
TOTAL U.S. TREASURY NOTE (Cost $530,600)             507,811  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 36.41% (b)(c)                        
CALL OPTIONS - 36.41%                        
S&P 500® Mini Index, Expires 7/10/2028, Strike Price $385.44     82     $ 3,649,328       1,099,462  
TOTAL PURCHASED OPTIONS (Cost $857,722)                     1,099,462  
                         
Total Investments (Cost $2,894,656) - 102.34%                     3,090,264  
Liabilities in Excess of Other Assets - (2.34)%                     (70,450 )
TOTAL NET ASSETS - 100.00%                   $ 3,019,814  

 

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 $1,990,802.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN                
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Put Options                                      
S&P 500® Mini Index     7/10/2028     $ 308.35     69     $ (3,070,776 )   $ (125,239 )
TOTAL OPTIONS WRITTEN (Premiums Received $187,123)                                 $ (125,239 )

 

The accompanying notes are an integral part of these financial statements.

 

120

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jul (I)

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 1,482,991     $ —     $ —     $ 1,482,991  
U.S. Treasury Note     —       507,811       —       507,811  
Purchased Options     —       1,099,462       —       1,099,462  
Total Assets   $ 1,482,991     $ 1,607,273     $ —     $ 3,090,264  
                                 
Liabilities                                
Options Written   $ —     $ 125,239     $ —     $ 125,239  
Total Liabilities   $ —     $ 125,239     $ —     $ 125,239  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 1,099,462     $ —     $ 1,099,462  
Liabilities - Written options   Options written, at value   $ 125,239     $ —     $ 125,239  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 262,330     $ —     $ 262,330  
Written options   Written Options     78,366       —       78,366  
        $ 340,696     $ —     $ 340,696  

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     49.11 %
U.S. Treasury Note     16.82  
Purchased Options     36.41  
Total Investments     102.34  
Written Options     (4.15 )
Assets in Excess of Other Liabilities     1.81  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

121

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Oct (I)

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 48.75%                
Invesco BulletShares 2028 Corporate Bond ETF (a)     10,492     $ 207,165  
Invesco BulletShares 2029 Corporate Bond ETF (a)     3,941       70,722  
iShares iBonds Dec 2028 Term Corporate ETF (a)     8,486       207,907  
iShares iBonds Dec 2029 Term Corporate ETF (a)     3,138       70,448  
TOTAL EXCHANGE TRADED FUNDS (Cost $536,065)             556,242  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 16.69%            
United States Treasury Note, 1.375%, 10/31/2028 (a)   $ 219,000       190,513  
TOTAL U.S. TREASURY NOTE (Cost $190,296)             190,513  

 

          Notional        
    Contracts     Amount        
             
PURCHASED OPTIONS - 35.77% (b)(c)                        
CALL OPTIONS - 35.77%                        
S&P 500® Mini Index, Expires 10/10/2028, Strike Price $361.24     27     $ 1,201,608       408,286  
TOTAL PURCHASED OPTIONS (Cost $337,628)                     408,286  
                         
Total Investments (Cost $1,063,989) - 101.21%                     1,155,041  
Liabilities in Excess of Other Assets - (1.21)%                     (13,857 )
TOTAL NET ASSETS - 100.00%                   $ 1,141,184  

 

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 $746,755.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN                              
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Put Options                                      
S&P 500® Mini Index     10/10/2028     $ 289.00     27     $ (1,201,608 )   $ (42,965 )
TOTAL OPTIONS WRITTEN (Premiums Received $77,470)               $ (42,965 )

 

The accompanying notes are an integral part of these financial statements.

 

122

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Oct (I)

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 556,242     $ —     $ —     $ 556,242  
U.S. Treasury Note     —       190,513       —       190,513  
Purchased Options     —       408,286       —       408,286  
Total Assets   $ 556,242     $ 598,799     $ —     $ 1,155,041  
                                 
Liabilities                                
Options Written   $ —     $ 42,965     $ —     $ 42,965  
Total Liabilities   $ —     $ 42,965     $ —     $ 42,965  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 408,286     $ —     $ 408,286  
Liabilities - Written options   Options written, at value   $ 42,965     $ —     $ 42,965  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 93,564     $ —     $ 93,564  
Written options   Written Options     26,717       —       26,717  
        $ 120,281     $ —     $ 120,281  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     48.75 %
U.S. Treasury Note     16.69  
Purchased Options     35.77  
Total Investments     101.21  
Written Options     (3.76 )
Assets in Excess of Other Liabilities     2.55  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

123

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 51.84%                
Invesco BulletShares 2029 Corporate Bond ETF (a)     10,229     $ 183,562  
Invesco Bulletshares 2031 Corporate Bond ETF (a)     5,792       92,471  
iShares iBonds Dec 2029 Term Corporate ETF (a)     8,173       183,484  
iShares iBonds Dec 2031 Term Corporate ETF (a)     4,588       92,999  
TOTAL EXCHANGE TRADED FUNDS (Cost $565,914)             552,516  

 

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 17.65%                
United States Treasury Note, 1.750%, 1/31/2029 (a)   $ 212,900       188,179  
TOTAL U.S. TREASURY NOTE (Cost $193,743)             188,179  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 33.52% (b)(c)                        
CALL OPTIONS - 33.52%                        
S&P 500® Mini Index, Expires 1/10/2029, Strike Price $398.31     27     $ 1,201,608       357,371  
TOTAL PURCHASED OPTIONS (Cost $292,727)                     357,371  
                         
Total Investments (Cost $1,052,384) - 103.01%                     1,098,066  
Liabilities in Excess of Other Assets - (3.01)%                     (32,100 )
TOTAL NET ASSETS - 100.00%                   $ 1,065,966  

 

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 $740,695.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Put Options                                      
S&P 500® Mini Index     1/10/2029     $ 318.65     25     $ (1,112,600 )   $ (53,029 )
TOTAL OPTIONS WRITTEN (Premiums Received $63,381)             $ (53,029 )

 

The accompanying notes are an integral part of these financial statements.

 

124

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 552,516     $ —     $ —     $ 552,516  
U.S. Treasury Note     —       188,179       —       188,179  
Purchased Options     —       357,371       —       357,371  
Total Assets   $ 552,516     $ 545,550     $ —     $ 1,098,066  
                                 
Liabilities                                
Options Written   $ —     $ 53,029     $ —     $ 53,029  
Total Liabilities   $ —     $ 53,029     $ —     $ 53,029  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 357,371     $ —     $ 357,371  
Liabilities - Written options   Options written, at value   $ 53,029     $ —     $ 53,029  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 64,644     $ —     $ 64,644  
Written options   Written Options     10,352       —       10,352  
        $ 74,996     $ —     $ 74,996  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     51.84 %
U.S. Treasury Note     17.65  
Purchased Options     33.52  
Total Investments     103.01  
Written Options     (4.97 )
Assets in Excess of Other Liabilities     1.96  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

125

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 52.12%                
Invesco BulletShares 2029 Corporate Bond ETF (a)     8,501     $ 152,553  
Invesco Bulletshares 2031 Corporate Bond ETF (a)     7,759       123,875  
iShares iBonds Dec 2029 Term Corporate ETF (a)     6,812       152,929  
iShares iBonds Dec 2031 Term Corporate ETF (a)     6,127       124,194  
TOTAL EXCHANGE TRADED FUNDS (Cost $564,797)             553,551  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 17.56%                
United States Treasury Note, 2.875%, 4/30/2029 (a)   $ 198,900       186,508  
TOTAL U.S. TREASURY NOTE (Cost $192,136)             186,508  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 33.83% (b)(c)                        
CALL OPTIONS - 33.83%                        
S&P 500® Mini Index, Expires 4/10/2029, Strike Price $410.91     28     $ 1,246,112       359,260  
TOTAL PURCHASED OPTIONS (Cost $302,617)                     359,260  
                         
Total Investments (Cost $1,059,550) - 103.51%                     1,099,319  
Liabilities in Excess of Other Assets - (3.51)%                     (37,291 )
TOTAL NET ASSETS - 100.00%                   $ 1,062,028  

 

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 $740,059.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN              
June 30, 2023 (Unaudited)                              
                      Notional        
Description     Expiration     Strike Price     Contracts     Amount     Value  
Put Options                                      
S&P 500® Mini Index     4/10/2029     $ 328.73     24     $ (1,068,096 )   $ (56,737 )
TOTAL OPTIONS WRITTEN (Premiums Received $74,238)               $ (56,737 )

 

The accompanying notes are an integral part of these financial statements.

 

126

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)

 

Schedule of Investments (Concluded)

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                                
Exchange Traded Funds   $ 553,551     $ —     $ —     $ 553,551  
U.S. Treasury Note     —       186,508       —       186,508  
Purchased Options     —       359,260       —       359,260  
Total Assets   $ 553,551     $ 545,768     $ —     $ 1,099,319  
                                 
Liabilities                                
Options Written   $ —     $ 56,737     $ —     $ 56,737  
Total Liabilities   $ —     $ 56,737     $ —     $ 56,737  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund's results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

              Interest Rate        
    Location   Equity Risk     Risk     Total  
Assets - Purchased options   Investments, at value   $ 359,260     $ —     $ 359,260  
Liabilities - Written options   Options written, at value   $ 56,737     $ —     $ 56,737  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statements of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
              Interest Rate        
    Location   Equity Risk     Risk     Total  
Purchased options   Investments   $ 56,643     $ —     $ 56,643  
Written options   Written Options     17,501       —       17,501  
        $ 74,144     $ —     $ 74,144  

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Exchange Traded Funds     52.12 %
U.S. Treasury Note     17.56  
Purchased Options     33.83  
Total Investments     103.51  
Written Options     (5.34 )
Assets in Excess of Other Liabilities     1.83  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

127

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman     Milliman     Milliman     Milliman  
        6-Month     6-Month     6-Month     6-Month  
        Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
        500 with Par Up     500 with Par Up     500 with Par Up     500 with Par Up  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – Jan/Jul     – Feb/Aug     – Mar/Sep     – Apr/Oct  
    Assets:                                
    Investments, at value (a)   $ 1,700,250     $ 2,486,502     $ 1,805,315     $ 1,989,432  
    Cash and cash equivalents     24,429       26,731       34,912       25,755  
    Dividends and interest receivable     255       303       348       358  
    Due from Advisor     3,626       3,623       3,407       3,394  
    Deposits at broker for written options     499       499       494       500  
    Prepaid expenses     248       420       261       303  
    Total Assets     1,729,307       2,518,078       1,844,737       2,019,742  
                                     
    Liabilities:                                
    Options written, at value (b)     690,230       985,196       727,504       790,549  
    Payable for fund shares redeemed     5       22       4       9  
    Distribution fees payable     618       917       663       734  
    Payable to Trustees     405       282       580       631  
    Other liabilities     10,819       11,930       11,652       12,193  
    Total Liabilities     702,077       998,347       740,403       804,116  
    Net Assets   $ 1,027,230     $ 1,519,731     $ 1,104,334     $ 1,215,626  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,157,058     $ 1,701,997     $ 1,137,773     $ 1,263,822  
    Total distributable earnings/(accumulated deficit)     (129,828 )     (182,266 )     (33,439 )     (48,196 )
    Net Assets   $ 1,027,230     $ 1,519,731     $ 1,104,334     $ 1,215,626  
                                     
    Class 3                                
    Net assets   $ 1,027,230     $ 1,519,731     $ 1,104,334     $ 1,215,626  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     118,374       172,317       113,423       126,250  
    Net asset value, offering price and redemption price  per share   $ 8.68     $ 8.82     $ 9.74     $ 9.63  
                                     
(a)   Cost of investments   $ 1,527,212     $ 2,328,819     $ 1,587,629     $ 1,865,181  
(b)   Premiums received     586,717       892,763       604,713       719,642  

 

The accompanying notes are an integral part of these financial statements.

 

128 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman     Milliman     Milliman     Milliman  
        6-Month     6-Month     6-Month Parred     6-Month Parred  
        Buffered S&P     Buffered S&P     Down S&P 500     Down S&P 500  
        500 with Par Up     500 with Par Up     with Par Up     with Par Up  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – May/Nov     – Jun/Dec     – Jan/Jul     – Feb/Aug  
    Assets:                                
    Investments, at value (a)   $ 2,776,988     $ 1,943,559     $ 1,418,516     $ 2,024,136  
    Cash and cash equivalents     28,710       9,100       24,250       44,347  
    Dividends and interest receivable     270       74       230       350  
    Due from Advisor     3,575       3,283       3,661       3,741  
    Deposits at broker for written options     499       500       500       499  
    Prepaid expenses     463       288       190       336  
    Total Assets     2,810,505       1,956,804       1,447,347       2,073,409  
                                     
    Liabilities:                                
    Options written, at value (b)     1,101,495       746,872       575,152       788,584  
    Payable for fund shares redeemed     24       5       —       1,018  
    Distribution fees payable     1,022       714       516       767  
    Payable to Trustees     844       637       247       276  
    Other liabilities     11,959       12,618       11,042       11,717  
    Total Liabilities     1,115,344       760,846       586,957       802,362  
    Net Assets   $ 1,695,161     $ 1,195,958     $ 860,390     $ 1,271,047  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,679,081     $ 1,125,923     $ 997,961     $ 1,452,593  
    Total distributable earnings/(accumulated deficit)     16,080       70,035       (137,571 )     (181,546 )
    Net Assets   $ 1,695,161     $ 1,195,958     $ 860,390     $ 1,271,047  
                                     
    Class 3                                
    Net assets   $ 1,695,161     $ 1,195,958     $ 860,390     $ 1,271,047  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     171,076       113,135       100,001       150,816  
    Net asset value, offering price and redemption price per share   $ 9.91     $ 10.57     $ 8.60     $ 8.43  
                                     
(a)   Cost of investments   $ 2,603,038     $ 1,882,911     $ 1,273,217     $ 1,896,533  
(b)   Premiums received     1,004,621       712,436       490,928       716,222  

 

The accompanying notes are an integral part of these financial statements. 

 

129 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities 

June 30, 2023 (Unaudited)

 

        Milliman     Milliman     Milliman     Milliman  
        6-Month Parred     6-Month Parred     6-Month Parred     6-Month Parred  
        Down S&P 500     Down S&P 500     Down S&P 500     Down S&P 500  
        with Par Up     with Par Up     with Par Up     with Par Up  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – Mar/Sep     – Apr/Oct     – May/Nov     - Jun/Dec  
    Assets:                                
    Investments, at value (a)   $ 1,474,321     $ 1,564,594     $ 1,583,720     $ 1,616,422  
    Cash and cash equivalents     40,211       18,479       33,247       60,868  
    Dividends and interest receivable     341       275       224       250  
    Due from Advisor     3,645       3,657       3,571       3,592  
    Deposits at broker for written options     500       500       500       500  
    Prepaid expenses     211       217       228       244  
    Total Assets     1,519,229       1,587,722       1,621,490       1,681,876  
                                     
    Liabilities:                                
    Options written, at value (b)     582,145       622,067       622,203       610,340  
    Distribution fees payable     556       575       594       631  
    Payable to Trustees     196       159       157       194  
    Other liabilities     11,126       10,810       11,852       12,078  
    Total Liabilities     594,023       633,611       634,806       623,243  
    Net Assets   $ 925,206     $ 954,111     $ 986,684     $ 1,058,633  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 999,711     $ 1,001,580     $ 1,001,990     $ 1,002,395  
    Total distributable earnings/(accumulated deficit)     (74,505 )     (47,469 )     (15,306 )     56,238  
    Net Assets   $ 925,206     $ 954,111     $ 986,684     $ 1,058,633  
                                     
    Class 3                                
    Net assets   $ 925,206     $ 954,111     $ 986,684     $ 1,058,633  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     100,001       100,182       100,221       100,289  
    Net asset value, offering price and redemption price per share   $ 9.25     $ 9.52     $ 9.85     $ 10.56  
                                     
(a)   Cost of investments   $ 1,298,060     $ 1,465,694     $ 1,484,576     $ 1,566,001  
(b)   Premiums received     484,568       566,926       567,432       582,931  

 

The accompanying notes are an integral part of these financial statements. 

 

130 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman     Milliman     Milliman     Milliman  
        6-Month     6-Month     6-Month     6-Month  
        Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
        500 with Trigger     500 with Trigger     500 with Trigger     500 with Trigger  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        - Jan/Jul     - Feb/Aug     - Mar/Sep     –Apr/Oct  
    Assets:                                
    Investments, at value (a)   $ 2,538,587     $ 2,271,818     $ 3,010,085     $ 2,429,907  
    Cash and cash equivalents     7,584       12,327       17,163       20,033  
    Dividends and interest receivable     188       176       258       317  
    Due from Advisor     5,340       5,426       5,471       5,611  
    Deposits at broker for written options     500       500       500       500  
    Prepaid expenses     —       —       —       265  
    Deferred offering costs     9,636       10,241       11,748       7,025  
    Total Assets     2,561,835       2,300,488       3,045,225       2,463,658  
                                     
    Liabilities:                                
    Options written, at value (b)     1,498,278       1,244,996       1,975,429       1,326,811  
    Distribution fees payable     647       638       650       688  
    Payable to Trustees     156       197       249       92  
    Other liabilities     10,314       10,451       10,391       12,203  
    Total Liabilities     1,509,395       1,256,282       1,986,719       1,339,794  
    Net Assets   $ 1,052,440     $ 1,044,206     $ 1,058,506     $ 1,123,864  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,000,010     $ 1,000,010     $ 1,000,010     $ 1,034,204  
    Total distributable earnings/(accumulated deficit)     52,430       44,196       58,496       89,660  
    Net Assets   $ 1,052,440     $ 1,044,206     $ 1,058,506     $ 1,123,864  
                                     
    Class 3                                
    Net assets   $ 1,052,440     $ 1,044,206     $ 1,058,506     $ 1,123,864  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per  share)     100,001       100,001       100,001       103,366  
    Net asset value, offering price and redemption price per share   $ 10.52     $ 10.44     $ 10.58     $ 10.87  
                                     
(a)   Cost of investments   $ 2,033,081     $ 1,980,438     $ 2,114,232     $ 2,106,271  
(b)   Premiums received     1,038,754       992,425       1,133,818       1,039,186  

 

The accompanying notes are an integral part of these financial statements.

 

131 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman     Milliman              
        6-Month     6-Month     Milliman 1-Year     Milliman 1-Year  
        Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
        500 with Trigger     500 with Trigger     500 with Spread     500 with Spread  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – May/Nov     – Jun/Dec     – Jan     – Feb  
    Assets:                                
    Investments, at value (a)   $ 3,705,807     $ 2,143,257     $ 1,531,664     $ 1,594,266  
    Cash and cash equivalents     1,896       19,388       35,884       28,170  
    Dividends and interest receivable     154       105       286       239  
    Due from Advisor     5,414       4,927       3,732       3,715  
    Deposits at broker for written options     499       500       500       500  
    Prepaid expenses     452       323       208       212  
    Deferred offering costs     7,393       8,400       —       —  
    Total Assets     3,721,615       2,176,900       1,572,274       1,627,102  
                                     
    Liabilities:                                
    Options written, at value (b)     2,077,325       1,076,001       613,950       632,921  
    Payable for fund shares redeemed     18       —       —       —  
    Distribution fees payable     996       664       564       586  
    Payable to Trustees     55       152       191       169  
    Other liabilities     11,820       13,187       10,818       10,904  
    Total Liabilities     2,090,214       1,090,004       625,523       644,580  
    Net Assets   $ 1,631,401     $ 1,086,896     $ 946,751     $ 982,522  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,481,061     $ 1,001,003     $ 998,636     $ 999,439  
    Total distributable earnings/(accumulated deficit)     150,340       85,893       (51,885 )     (16,917 )
    Net Assets   $ 1,631,401     $ 1,086,896     $ 946,751     $ 982,522  
                                     
    Class 3                                
    Net assets   $ 1,631,401     $ 1,086,896     $ 946,751     $ 982,522  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     147,292       100,102       100,001       100,001  
    Net asset value, offering price and redemption price per share   $ 11.08     $ 10.86     $ 9.47     $ 9.83  
                                     
(a)   Cost of investments   $ 3,172,708     $ 1,976,599     $ 1,374,058     $ 1,489,626  
(b)   Premiums received     1,585,958       920,623       531,605       579,491  

 

The accompanying notes are an integral part of these financial statements.

 

132 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
        Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
        500 with Spread     500 with Spread     500 with Spread     500 with Spread  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – Mar     – Apr     – May     – Jun  
    Assets:                                
    Investments, at value (a)   $ 1,688,392     $ 1,658,858     $ 1,665,422     $ 1,679,840  
    Cash and cash equivalents     31,704       8,799       17,817       28,885  
    Dividends and interest receivable     313       236       166       578  
    Due from Advisor     3,707       3,722       3,662       3,434  
    Deposits at broker for written options     464       500       500       500  
    Prepaid expenses     219       228       245       255  
    Total Assets     1,724,799       1,672,343       1,687,812       1,713,492  
                                     
    Liabilities:                                
    Options written, at value (b)     680,804       664,475       664,925       654,075  
    Distribution fees payable     614       598       606       631  
    Payable to Trustees     137       166       129       125  
    Other liabilities     10,801       10,912       11,388       12,223  
    Total Liabilities     692,356       676,151       677,048       667,054  
    Net Assets   $ 1,032,443     $ 996,192     $ 1,010,764     $ 1,046,438  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,000,011     $ 1,016,617     $ 1,001,316     $ 1,001,747  
    Total distributable earnings/(accumulated deficit)     32,432       (20,425 )     9,448       44,691  
    Net Assets   $ 1,032,443     $ 996,192     $ 1,010,764     $ 1,046,438  
                                     
    Class 3                                
    Net assets   $ 1,032,443     $ 996,192     $ 1,010,764     $ 1,046,438  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per  share)     100,001       101,620       100,140       100,181  
    Net asset value, offering price and redemption price per share   $ 10.32     $ 9.80     $ 10.09     $ 10.45  
                                     
(a)   Cost of investments   $ 1,474,798     $ 1,543,061     $ 1,554,873     $ 1,638,364  
(b)   Premiums received     574,229       606,913       611,053       634,605  

 

The accompanying notes are an integral part of these financial statements.

 

133 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities 

June 30, 2023 (Unaudited)

 

        Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
        Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
        500 with Spread     500 with Spread     500 with Spread     500 with Spread  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – Jul     – Aug     – Sep     – Oct  
    Assets:                                
    Investments, at value (a)   $ 1,677,104     $ 1,533,485     $ 1,496,667     $ 1,986,913  
    Cash and cash equivalents     291,979       286,556       292,215       29,526  
    Dividends and interest receivable     1,233       1,176       1,234       475  
    Due from Advisor     4,090       4,412       4,080       4,119  
    Deposits at broker for written options     500       500       500       500  
    Prepaid expenses     260       234       244       280  
    Deferred offering costs     264       580       689       1,409  
    Total Assets     1,975,430       1,826,943       1,795,629       2,023,222  
                                     
    Liabilities:                                
    Options written, at value (b)     885,704       839,849       747,148       813,655  
    Distribution fees payable     645       594       622       710  
    Payable to Trustees     143       185       195       182  
    Other liabilities     12,233       12,357       12,818       12,525  
    Total Liabilities     898,725       852,985       760,783       827,072  
    Net Assets   $ 1,076,705     $ 973,958     $ 1,034,846     $ 1,196,150  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,014,339     $ 1,007,810     $ 1,001,895     $ 1,065,502  
    Total distributable earnings/(accumulated deficit)     62,366       (33,852 )     32,951       130,648  
    Net Assets   $ 1,076,705     $ 973,958     $ 1,034,846     $ 1,196,150  
                                     
    Class 3                                
    Net assets   $ 1,076,705     $ 973,958     $ 1,034,846     $ 1,196,150  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     101,436       100,800       100,202       106,590  
    Net asset value, offering price and redemption price  per share   $ 10.61     $ 9.66     $ 10.33     $ 11.22  
                                     
(a)   Cost of investments   $ 1,516,879     $ 1,504,108     $ 1,484,217     $ 1,631,214  
(b)   Premiums received     787,421       769,764       760,575       645,557  

 

The accompanying notes are an integral part of these financial statements. 

 

134 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
        Buffered S&P     Buffered S&P     Floored S&P     Floored S&P  
        500 with Spread     500 with Spread     500 with Par Up     500 with Par Up  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – Nov     – Dec     – Jan     – Feb  
    Assets:                                
    Investments, at value (a)   $ 1,798,363     $ 1,788,380     $ 1,442,907     $ 1,438,617  
    Cash and cash equivalents     23,155       20,423       34,061       18,835  
    Dividends and interest receivable     448       100       272       190  
    Due from Advisor     4,012       3,833       3,813       3,746  
    Deposits at broker for written options     499       500       500       500  
    Prepaid expenses     284       323       192       199  
    Deferred offering costs     1,649       2,221       —       —  
    Total Assets     1,828,410       1,815,780       1,481,745       1,462,087  
                                     
    Liabilities:                                
    Options written, at value (b)     722,954       721,660       589,562       583,228  
    Distribution fees payable     652       644       530       522  
    Payable to Trustees     193       211       186       173  
    Other liabilities     12,080       13,060       10,853       10,882  
    Total Liabilities     735,879       735,575       601,131       594,805  
    Net Assets   $ 1,092,531     $ 1,080,205     $ 880,614     $ 867,282  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,001,851     $ 1,000,928     $ 998,706     $ 999,432  
    Total distributable earnings/(accumulated deficit)     90,680       79,277       (118,092 )     (132,150 )
    Net Assets   $ 1,092,531     $ 1,080,205     $ 880,614     $ 867,282  
                                     
    Class 3                                
    Net assets   $ 1,092,531     $ 1,080,205     $ 880,614     $ 867,282  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     100,189       100,096       100,001       100,001  
    Net asset value, offering price and redemption price per share   $ 10.90     $ 10.79     $ 8.81     $ 8.67  
                                     
(a)   Cost of investments   $ 1,637,549     $ 1,644,476     $ 1,333,043     $ 1,374,742  
(b)   Premiums received     646,863       650,763       528,970       547,470  

 

The accompanying notes are an integral part of these financial statements. 

135 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
        Floored S&P     Floored S&P     Floored S&P     Floored S&P  
        500 with Par Up     500 with Par Up     500 with Par Up     500 with Par Up  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – Mar     – Apr     – May     – Jun  
    Assets:                                
    Investments, at value (a)   $ 1,527,133     $ 1,576,212     $ 1,662,512     $ 1,687,555  
    Cash and cash equivalents     15,082       14,022       19,386       20,415  
    Dividends and interest receivable     229       251       174       564  
    Due from Advisor     3,755       3,747       3,660       3,474  
    Deposits at broker for written options     486       500       500       500  
    Prepaid expenses     213       231       239       248  
    Total Assets     1,546,898       1,594,963       1,686,471       1,712,756  
                                     
    Liabilities:                                
    Options written, at value (b)     627,531       645,949       676,943       671,043  
    Payable for fund shares redeemed     —       2       —       —  
    Distribution fees payable     545       566       604       624  
    Payable to Trustees     142       142       133       133  
    Other liabilities     10,681       11,016       11,418       12,320  
    Total Liabilities     638,899       657,675       689,098       684,120  
    Net Assets   $ 907,999     $ 937,288     $ 997,373     $ 1,028,636  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,000,010     $ 1,062,233     $ 1,001,389     $ 1,001,879  
    Total distributable earnings/(accumulated deficit)     (92,011 )     (124,945 )     (4,016 )     26,757  
    Net Assets   $ 907,999     $ 937,288     $ 997,373     $ 1,028,636  
                                     
    Class 3                                
    Net assets   $ 907,999     $ 937,288     $ 997,373     $ 1,028,636  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     100,001       106,223       100,150       100,197  
    Net asset value, offering price and redemption price per share   $ 9.08     $ 8.82     $ 9.96     $ 10.27  
                                     
(a)   Cost of investments   $ 1,369,501     $ 1,502,782     $ 1,582,968     $ 1,641,251  
(b)   Premiums received     545,948       603,427       634,167       649,072  

 

The accompanying notes are an integral part of these financial statements. 

 

136 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
        Floored S&P     Floored S&P     Floored S&P     Floored S&P  
        500 with Par Up     500 with Par Up     500 with Par Up     500 with Par Up  
        Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
        – Jul     – Aug     – Sep     – Oct  
    Assets:                                
    Investments, at value (a)   $ 1,640,234     $ 1,527,813     $ 1,492,028     $ 1,925,445  
    Cash and cash equivalents     285,029       284,766       294,505       30,982  
    Dividends and interest receivable     1,204       1,147       1,244       481  
    Due from Advisor     4,116       4,453       4,096       4,126  
    Deposits at broker for written options     500       500       500       500  
    Prepaid expenses     249       233       245       268  
    Deferred offering costs     264       579       689       1,409  
    Total Assets     1,931,596       1,819,491       1,793,307       1,963,211  
                                     
    Liabilities:                                
    Options written, at value (b)     885,423       841,549       750,702       815,198  
    Distribution fees payable     626       586       620       683  
    Payable to Trustees     149       186       192       185  
    Other liabilities     12,542       12,410       12,855       12,627  
    Total Liabilities     898,740       854,731       764,369       828,693  
    Net Assets   $ 1,032,856     $ 964,760     $ 1,028,938     $ 1,134,518  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,001,907     $ 1,001,949     $ 1,002,004     $ 1,038,122  
    Total distributable earnings/(accumulated deficit)     30,949       (37,189 )     26,934       96,396  
    Net Assets   $ 1,032,856     $ 964,760     $ 1,028,938     $ 1,134,518  
                                     
    Class 3                                
    Net assets   $ 1,032,856     $ 964,760     $ 1,028,938     $ 1,134,518  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     100,199       100,214       100,212       103,828  
    Net asset value, offering price and redemption price per share   $ 10.31     $ 9.63     $ 10.27     $ 10.93  
                                     
(a)   Cost of investments   $ 1,548,773     $ 1,529,571     $ 1,509,045     $ 1,661,149  
(b)   Premiums received     818,010       799,436       787,511       676,579  

 

The accompanying notes are an integral part of these financial statements.

137 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

                    Milliman 1-Year     Milliman 1-Year  
        Milliman 1-Year     Milliman 1-Year     Buffered S&P     Buffered S&P  
        Floored S&P     Floored S&P     500 & Nasdaq     500 & Nasdaq  
        500 with Par Up     500 with Par Up     with Stacker     with Stacker  
        Outcome Fund     Outcome Fund     Cap Outcome     Cap Outcome  
        – Nov     – Dec     Fund - Jan     Fund - Feb  
    Assets:                                
    Investments, at value (a)   $ 1,793,237     $ 2,218,401     $ 1,867,110     $ 1,943,145  
    Cash and cash equivalents     23,302       28,133       36,814       18,489  
    Dividends and interest receivable     448       135       290       202  
    Due from Advisor     4,069       4,074       3,863       3,829  
    Deposits at broker for written options     500       571       122       500  
    Prepaid expenses     286       414       208       212  
    Deferred offering costs     1,653       2,221       —       —  
    Total Assets     1,823,495       2,253,949       1,908,407       1,966,377  
                                     
    Liabilities:                                
    Options written, at value (b)     727,670       902,590       958,493       936,228  
    Payable for fund shares redeemed     —       9       —       1  
    Distribution fees payable     650       803       570       614  
    Payable to Trustees     199       201       185       175  
    Other liabilities     12,223       13,122       10,640       10,915  
    Total Liabilities     740,742       916,725       969,888       947,933  
    Net Assets   $ 1,082,753     $ 1,337,224     $ 938,519     $ 1,018,444  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,001,846     $ 1,249,495     $ 998,673     $ 1,026,097  
    Total distributable earnings/(accumulated deficit)     80,907       87,729       (60,154 )     (7,653 )
    Net Assets   $ 1,082,753     $ 1,337,224     $ 938,519     $ 1,018,444  
                                     
    Class 3                                
    Net assets   $ 1,082,753     $ 1,337,224     $ 938,519     $ 1,018,444  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     100,187       124,954       100,001       102,905  
    Net asset value, offering price and redemption price per share   $ 10.81     $ 10.70     $ 9.39     $ 9.90  
                                     
(a)   Cost of investments   $ 1,658,197     $ 2,069,143     $ 1,491,758     $ 1,620,892  
(b)   Premiums received     667,881       833,141       638,434       682,593  

 

The accompanying notes are an integral part of these financial statements. 

138 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
        Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
        500 & Nasdaq     500 & Nasdaq     500 & Nasdaq     500 & Nasdaq  
        with Stacker     with Stacker     with Stacker     with Stacker  
        Cap Outcome     Cap Outcome     Cap Outcome     Cap Outcome  
        Fund - Mar     Fund - Apr     Fund - May     Fund - Jun  
    Assets:                                
    Investments, at value (a)   $ 1,991,144     $ 1,890,256     $ 2,039,940     $ 1,971,017  
    Cash and cash equivalents     31,815       16,963       31,982       24,936  
    Dividends and interest receivable     315       274       234       573  
    Due from Advisor     3,842       3,777       3,724       3,476  
    Deposits at broker for written options     467       492       500       500  
    Prepaid expenses     223       231       251       260  
    Total Assets     2,027,806       1,911,993       2,076,631       2,000,762  
                                     
    Liabilities:                                
    Options written, at value (b)     1,030,865       909,392       979,330       865,223  
    Payable for fund shares redeemed     —       1       —       —  
    Distribution fees payable     599       600       657       684  
    Payable to Trustees     133       156       124       127  
    Other liabilities     10,832       10,991       11,440       12,227  
    Total Liabilities     1,042,429       921,140       991,551       878,261  
    Net Assets   $ 985,377     $ 990,853     $ 1,085,080     $ 1,122,501  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,000,010     $ 1,035,400     $ 1,001,381     $ 1,001,800  
    Total distributable earnings/(accumulated deficit)     (14,633 )     (44,547 )     83,699       120,701  
    Net Assets   $ 985,377     $ 990,853     $ 1,085,080     $ 1,122,501  
                                     
    Class 3                                
    Net assets   $ 985,377     $ 990,853     $ 1,085,080     $ 1,122,501  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     100,001       103,621       100,144       100,183  
    Net asset value, offering price and redemption price per share   $ 9.85     $ 9.56     $ 10.84     $ 11.20  
                                     
(a)   Cost of investments   $ 1,594,723     $ 1,671,894     $ 1,822,254     $ 1,909,598  
(b)   Premiums received     693,288       725,749       789,751       816,981  

 

The accompanying notes are an integral part of these financial statements. 

139 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
        Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
        500 & Nasdaq     500 & Nasdaq     500 & Nasdaq     500 & Nasdaq  
        with Stacker     with Stacker     with Stacker     with Stacker  
        Cap Outcome     Cap Outcome     Cap Outcome     Cap Outcome  
        Fund - Jul     Fund - Aug     Fund - Sep     Fund - Oct  
    Assets:                                
    Investments, at value (a)   $ 1,969,417     $ 1,692,741     $ 1,715,568     $ 2,392,994  
    Cash and cash equivalents     292,594       283,805       291,564       30,667  
    Dividends and interest receivable     1,236       1,199       1,233       480  
    Due from Advisor     4,160       4,483       4,136       4,179  
    Deposits at broker for written options     500       500       500       500  
    Prepaid expenses     259       234       246       268  
    Deferred offering costs     270       581       691       1,417  
    Total Assets     2,268,436       1,983,543       2,013,938       2,430,505  
                                     
    Liabilities:                                
    Options written, at value (b)     1,144,371       914,228       892,421       1,247,083  
    Distribution fees payable     680       626       661       714  
    Payable to Trustees     147       188       193       190  
    Other liabilities     12,360       12,444       12,836       12,474  
    Total Liabilities     1,157,558       927,486       906,111       1,260,461  
    Net Assets   $ 1,110,878     $ 1,056,057     $ 1,107,827     $ 1,170,044  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,004,871     $ 1,004,278     $ 1,001,934     $ 1,002,862  
    Total distributable earnings/(accumulated deficit)     106,007       51,779       105,893       167,182  
    Net Assets   $ 1,110,878     $ 1,056,057     $ 1,107,827     $ 1,170,044  
                                     
    Class 3                                
    Net assets   $ 1,110,878     $ 1,056,057     $ 1,107,827     $ 1,170,044  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     100,483       100,448       100,205       100,274  
    Net asset value, offering price and redemption price per share   $ 11.06     $ 10.51     $ 11.06     $ 11.67  
                                     
(a)   Cost of investments   $ 1,645,587     $ 1,635,544     $ 1,620,443     $ 1,778,436  
(b)   Premiums received     919,804       901,951       896,303       793,928  

 

The accompanying notes are an integral part of these financial statements. 

140 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities 

June 30, 2023 (Unaudited)

 

        Milliman 1-Year     Milliman 1-Year              
        Buffered S&P     Buffered S&P     Milliman 6-Year     Milliman 6-Year  
        500 & Nasdaq     500 & Nasdaq     Buffered S&P     Buffered S&P  
        with Stacker     with Stacker     500 with Par Up     500 with Par Up  
        Cap Outcome     Cap Outcome     Outcome Fund –     Outcome Fund –  
        Fund - Nov     Fund - Dec     Jan (I)     Apr (I)  
    Assets:                                
    Investments, at value (a)   $ 2,147,475     $ 2,128,400     $ 968,220     $ 1,875,386  
    Cash and cash equivalents     23,292       20,031       23,034       45,527  
    Dividends and interest receivable     449       99       827       1,043  
    Due from Advisor     4,188       3,912       3,696       3,360  
    Deposits at broker for written options     500       428       500       499  
    Prepaid expenses     284       322       201       482  
    Deferred offering costs     1,818       2,224       —       —  
    Total Assets     2,178,006       2,155,416       996,478       1,926,297  
                                     
    Liabilities:                                
    Options written, at value (b)     1,034,444       1,025,977       59,901       101,207  
    Payable for fund shares redeemed     —       —       —       28  
    Distribution fees payable     683       672       551       1,071  
    Payable to Trustees     199       209       335       159  
    Other liabilities     12,201       13,058       9,562       12,865  
    Total Liabilities     1,047,527       1,039,916       70,349       115,330  
    Net Assets   $ 1,130,479     $ 1,115,500     $ 926,129     $ 1,810,967  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 1,001,860     $ 1,000,935     $ 1,012,832     $ 1,819,802  
    Total distributable earnings/(accumulated deficit)     128,619       114,565       (86,703 )     (8,835 )
    Net Assets   $ 1,130,479     $ 1,115,500     $ 926,129     $ 1,810,967  
                                     
    Class 3                                
    Net assets   $ 1,130,479     $ 1,115,500     $ 926,129     $ 1,810,967  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     100,188       100,096       101,596       181,684  
    Net asset value, offering price and redemption price per share   $ 11.28     $ 11.14     $ 9.12     $ 9.97  
                                     
(a)   Cost of investments   $ 1,783,250     $ 1,789,680     $ 1,090,251     $ 1,871,883  
(b)   Premiums received     793,056       795,729       86,357       147,666  

 

The accompanying notes are an integral part of these financial statements.

 

141 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

        Milliman 6-Year     Milliman 6-Year     Milliman 6-Year     Milliman 6-Year  
        Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
        500 with Par Up     500 with Par Up     500 with Par Up     500 with Par Up  
        Outcome Fund –     Outcome Fund –     Outcome Fund -     Outcome Fund -  
        Jul (I)     Oct (I)     Jan (II)     Apr (II)  
    Assets:                        
    Investments, at value (a)   $ 3,090,264     $ 1,155,041     $ 1,098,066     $ 1,099,319  
    Cash and cash equivalents     63,348       35,920       13,365       23,149  
    Dividends and interest receivable     2,747       666       1,614       1,052  
    Due from Advisor     4,123       3,734       5,383       —  
    Deposits at broker for written options     499       500       500       717  
    Prepaid expenses     865       260       —       —  
    Deferred offering costs     670       1,527       10,807       8,155  
    Total Assets     3,162,516       1,197,648       1,129,735       1,132,392  
                                     
    Liabilities:                                
    Options written, at value (b)     125,239       42,965       53,029       56,737  
    Payable for fund shares redeemed     64       —       —       —  
    Payable to Adviser     —       —       —       4,726  
    Distribution fees payable     1,785       678       631       553  
    Payable to Trustees     39       257       181       174  
    Other liabilities     15,575       12,564       9,928       8,174  
    Total Liabilities     142,702       56,464       63,769       70,364  
    Net Assets   $ 3,019,814     $ 1,141,184     $ 1,065,966     $ 1,062,028  
                                     
    Net Assets Consist of:                                
    Paid-in capital   $ 2,763,820     $ 1,011,927     $ 1,000,010     $ 1,000,010  
    Total distributable earnings/(accumulated deficit)     255,994       129,257       65,956       62,018  
    Net Assets   $ 3,019,814     $ 1,141,184     $ 1,065,966     $ 1,062,028  
                                     
    Class 3                                
    Net assets   $ 3,019,814     $ 1,141,184     $ 1,065,966     $ 1,062,028  
    Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     270,292       101,204       100,001       100,001  
    Net asset value, offering price and redemption price per share   $ 11.17     $ 11.28     $ 10.66     $ 10.62  
                                     
(a)   Cost of investments   $ 2,894,656     $ 1,063,989     $ 1,052,384     $ 1,059,550  
(b)   Premiums received     187,123       77,470       63,381       74,238  

 

The accompanying notes are an integral part of these financial statements. 

 

142 

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman     Milliman     Milliman     Milliman  
    6-Month     6-Month     6-Month     6-Month  
    Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
    500 with Par Up     500 with Par Up     500 with Par Up     500 with Par Up  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – Jan/Jul     – Feb/Aug     – Mar/Sep     – Apr/Oct  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 4,927     $ 7,537     $ 5,128     $ 5,867  
Interest     6,113       9,376       6,830       6,599  
Total Investment Income     11,040       16,913       11,958       12,466  
                                 
Expenses:                                
Investment advisory fees     2,373       3,545       2,530       2,818  
Accounting and administration fees     10,996       12,536       11,002       11,107  
Custody fees     1,060       765       905       911  
Transfer agent fees     2,932       2,942       2,951       2,955  
Distribution service fees     1,211       1,809       1,290       1,438  
Professional fees and expenses     8,122       10,096       8,759       9,037  
Trustees fees and expenses     287       465       547       616  
Pricing fees     999       1,051       1,102       807  
Licensing fees     277       412       290       319  
Offering costs     519       2,100       1,367       2,236  
Other expenses     177       362       321       451  
Total Expenses     28,953       36,083       31,064       32,695  
Waivers/expense reimbursement by Advisor     (24,157 )     (28,919 )     (25,954 )     (27,001 )
Acquired fund fees and expenses waiver     (88 )     (133 )     (88 )     (107 )
Net Expenses     4,708       7,031       5,022       5,587  
Net Investment Income/(Loss)     6,332       9,882       6,936       6,879  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     (49,529 )     (86,826 )     (166,718 )     214,524  
Options written     (5,259 )     (60,276 )     119,770       (115,318 )
Net realized gain/(loss)     (54,788 )     (147,102 )     (46,948 )     99,206  
Net change in unrealized appreciation/(depreciation) on:                                
Investments     203,624       246,674       319,425       23,940  
Options written     (56,469 )     (2,228 )     (155,263 )     (24,356 )
Net change in unrealized appreciation/(depreciation)     147,155       244,446       164,162       (416 )
Net realized and unrealized gain/(loss)     92,367       97,344       117,214       98,790  
Net Increase/(Decrease) in Net Assets From Operations   $ 98,699     $ 107,226     $ 124,150     $ 105,669  

 

The accompanying notes are an integral part of these financial statements.

 

143 

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman     Milliman     Milliman     Milliman  
    6-Month     6-Month     6-Month Parred     6-Month Parred  
    Buffered S&P     Buffered S&P     Down S&P 500     Down S&P 500  
    500 with Par Up     500 with Par Up     with Par Up     with Par Up  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – May/Nov     – Jun/Dec     – Jan/Jul     – Feb/Aug  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 8,339     $ 5,815     $ 4,088     $ 6,336  
Interest     8,821       6,779       4,973       8,377  
Total Investment Income     17,160       12,594       9,061       14,713  
                                 
Expenses:                                
Investment advisory fees     3,936       2,739       1,978       2,965  
Accounting and administration fees     11,321       10,731       10,851       10,851  
Custody fees     923       978       1,122       872  
Transfer agent fees     2,906       2,914       2,929       2,941  
Distribution service fees     2,008       1,397       1,009       1,513  
Professional fees and expenses     9,386       8,850       8,625       9,464  
Trustees fees and expenses     969       706       370       447  
Pricing fees     859       916       999       1,051  
Licensing fees     430       304       234       336  
Offering costs     2,851       3,274       518       2,099  
Other expenses     318       185       131       283  
Total Expenses     35,907       32,994       28,766       32,822  
Waivers/expense reimbursement by Advisor     (27,955 )     (27,460 )     (24,769 )     (26,831 )
Acquired fund fees and expenses waiver     (150 )     (105 )     (72 )     (112 )
Net Expenses     7,802       5,429       3,925       5,879  
Net Investment Income/(Loss)     9,358       7,165       5,136       8,834  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     60,747       139,919       (43,459 )     (71,890 )
Options written     (32,141 )     (76,089 )     (384 )     (70,439 )
Net realized gain/(loss)     28,606       63,830       (43,843 )     (142,329 )
Net change in unrealized appreciation/(depreciation) on:                                
Investments     244,091       107,351       174,155       200,244  
Options written     (140,510 )     (59,637 )     (44,594 )     36,021  
Net change in unrealized appreciation/(depreciation)     103,581       47,714       129,561       236,265  
Net realized and unrealized gain/(loss)     132,187       111,544       85,718       93,936  
Net Increase/(Decrease) in Net Assets From Operations   $ 141,545     $ 118,709     $ 90,854     $ 102,770  

 

The accompanying notes are an integral part of these financial statements. 

144 

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman     Milliman     Milliman     Milliman  
    6-Month Parred     6-Month Parred     6-Month Parred     6-Month Parred  
    Down S&P 500     Down S&P 500     Down S&P 500     Down S&P 500  
    with Par Up     with Par Up     with Par Up     with Par Up  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – Mar/Sep     – Apr/Oct     – May/Nov     - Jun/Dec  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 4,382     $ 4,595     $ 4,828     $ 4,977  
Interest     5,504       5,347       5,887       6,629  
Total Investment Income     9,886       9,942       10,715       11,606  
                                 
Expenses:                                
Investment advisory fees     2,135       2,206       2,283       2,420  
Accounting and administration fees     11,011       11,077       10,730       10,808  
Custody fees     1,077       1,033       1,030       1,189  
Transfer agent fees     2,949       2,954       2,904       2,913  
Distribution service fees     1,089       1,126       1,165       1,235  
Professional fees and expenses     8,939       8,885       8,873       9,045  
Trustees fees and expenses     377       393       408       408  
Pricing fees     1,102       807       859       916  
Licensing fees     246       251       257       268  
Offering costs     1,367       2,236       2,901       3,261  
Other expenses     270       370       473       576  
Total Expenses     30,562       31,338       31,883       33,039  
Waivers/expense reimbursement by Advisor     (26,249 )     (26,881 )     (27,270 )     (28,148 )
Acquired fund fees and expenses waiver     (76 )     (83 )     (87 )     (89 )
Net Expenses     4,237       4,374       4,526       4,802  
Net Investment Income/(Loss)     5,649       5,568       6,189       6,804  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     (145,126 )     161,095       46,140       119,167  
Options written     77,970       (89,675 )     (23,927 )     (64,983 )
Net realized gain/(loss)     (67,156 )     71,420       22,213       54,184  
Net change in unrealized appreciation/(depreciation) on:                                
Investments     265,291       23,286       124,467       90,025  
Options written     (114,313 )     (14,315 )     (67,969 )     (46,658 )
Net change in unrealized appreciation/(depreciation)     150,978       8,971       56,498       43,367  
Net realized and unrealized gain/(loss)     83,822       80,391       78,711       97,551  
Net Increase/(Decrease) in Net Assets From Operations   $ 89,471     $ 85,959     $ 84,900     $ 104,355  

 

The accompanying notes are an integral part of these financial statements.  

145 

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman     Milliman     Milliman     Milliman  
    6-Month     6-Month     6-Month     6-Month  
    Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
    500 with Trigger     500 with Trigger     500 with Trigger     500 with Trigger  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    - Jan/Jul     - Feb/Aug     - Mar/Sep     – Apr/Oct  
    Period January     Period February     Period March     Six Months  
    10, 2023(a) to     10, 2023(a) to     10, 2023(a) to     Ended June  
    June 30, 2023     June 30, 2023     June 30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 5,153     $ 4,166     $ 3,234     $ 5,528  
Interest     5,922       4,910       4,030       6,375  
Total Investment Income     11,075       9,076       7,264       11,903  
                                 
Expenses:                                
Investment advisory fees     2,332       1,861       1,518       2,653  
Accounting and administration fees     10,439       8,739       7,013       10,977  
Custody fees     845       757       591       939  
Transfer agent fees     2,827       2,310       1,842       2,963  
Distribution service fees     1,190       950       775       1,354  
Professional fees and expenses     7,447       6,495       5,546       8,756  
Trustees fees and expenses     386       339       297       424  
Pricing fees     1,040       855       681       1,008  
Licensing fees     238       190       155       271  
Offering costs     8,357       7,182       5,766       8,395  
Other expenses     683       575       478       482  
Total Expenses     35,784       30,253       24,662       38,222  
Waivers/expense reimbursement by Advisor     (31,072 )     (26,493 )     (21,595 )     (32,861 )
Acquired fund fees and expenses waiver     (85 )     (71 )     (57 )     (99 )
Net Expenses     4,627       3,689       3,010       5,262  
Net Investment Income/(Loss)     6,448       5,387       4,254       6,641  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     —       —       —       696,365  
Options written     —       —       —       (618,331 )
Net realized gain/(loss)     —       —       —       78,034  
Net change in unrealized appreciation/(depreciation) on:                                
Investments     505,506       291,380       895,853       100,933  
Options written     (459,524 )     (252,571 )     (841,611 )     (114,260 )
Net change in unrealized appreciation/(depreciation)     45,982       38,809       54,242       (13,327 )
Net realized and unrealized gain/(loss)     45,982       38,809       54,242       64,707  
Net Increase/(Decrease) in Net Assets From Operations   $ 52,430     $ 44,196     $ 58,496     $ 71,348  

                               

(a) Commencement of Operations

 

The accompanying notes are an integral part of these financial statements.

 

146 

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman     Milliman              
    6-Month     6-Month     Milliman 1-Year     Milliman 1-Year  
    Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
    500 with Trigger     500 with Trigger     500 with Spread     500 with Spread  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – May/Nov     – Jun/Dec     – Jan     – Feb  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 7,916     $ 5,216     $ 4,199     $ 4,564  
Interest     8,431       6,172       5,628       5,800  
Total Investment Income     16,347       11,388       9,827       10,364  
                                 
Expenses:                                
Investment advisory fees     3,798       2,534       2,158       2,237  
Accounting and administration fees     11,892       11,088       11,101       11,050  
Custody fees     963       988       1,032       1,022  
Transfer agent fees     3,030       3,022       2,932       2,941  
Distribution service fees     1,938       1,293       1,101       1,141  
Professional fees and expenses     9,772       10,440       8,560       8,680  
Trustees fees and expenses     526       403       410       400  
Pricing fees     1,077       1,095       999       1,051  
Licensing fees     388       259       252       258  
Offering costs     8,271       8,473       486       1,991  
Other expenses     1,018       1,046       146       155  
Total Expenses     42,673       40,641       29,177       30,926  
Waivers/expense reimbursement by Advisor     (34,999 )     (35,522 )     (24,817 )     (26,407 )
Acquired fund fees and expenses waiver     (143 )     (94 )     (77 )     (81 )
Net Expenses     7,531       5,025       4,283       4,438  
Net Investment Income/(Loss)     8,816       6,363       5,544       5,926  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     (167,764 )     329,762       27,011       51,151  
Options written     267,557       (261,736 )     (159,702 )     (125,204 )
Net realized gain/(loss)     99,793       68,026       (132,691 )     (74,053 )
Net change in unrealized appreciation/(depreciation) on:                                
Investments     926,061       367,602       102,954       65,512  
Options written     (878,699 )     (341,915 )     129,741       112,877  
Net change in unrealized appreciation/(depreciation)     47,362       25,687       232,695       178,389  
Net realized and unrealized gain/(loss)     147,155       93,713       100,004       104,336  
Net Increase/(Decrease) in Net Assets From Operations   $ 155,971     $ 100,076     $ 105,548     $ 110,262  

 

The accompanying notes are an integral part of these financial statements.  

147 

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 1-Year
Buffered S&P
500 with Spread
Outcome Fund
– Mar		     Milliman 1-Year
Buffered S&P
500 with Spread
Outcome Fund
– Apr		     Milliman 1-Year
Buffered S&P
500 with Spread
Outcome Fund
– May		     Milliman 1-Year
Buffered S&P
500 with Spread
Outcome Fund
– Jun		  
    Six Months
Ended June
30, 2023
(Unaudited)		     Six Months
Ended June
30, 2023
(Unaudited)		     Six Months
Ended June
30, 2023
(Unaudited)		     Six Months
Ended June
30, 2023
(Unaudited)		  
Investment Income:                                
Dividends   $ 4,557     $ 4,822     $ 4,825     $ 4,951  
Interest     5,838       5,546       6,135       6,326  
Total Investment Income     10,395       10,368       10,960       11,277  
                                 
Expenses:                                
Investment advisory fees     2,309       2,296       2,352       2,438  
Accounting and administration fees     11,097       10,925       10,656       10,802  
Custody fees     1,013       1,065       969       913  
Transfer agent fees     2,949       2,955       2,904       2,914  
Distribution service fees     1,178       1,171       1,200       1,244  
Professional fees and expenses     8,695       8,779       8,839       9,038  
Trustees fees and expenses     419       400       423       427  
Pricing fees     1,102       1,153       1,205       1,262  
Licensing fees     264       260       264       269  
Offering costs     1,251       1,952       2,629       2,851  
Other expenses     280       384       492       588  
Total Expenses     30,557       31,340       31,933       32,746  
Waivers/expense reimbursement by Advisor     (25,893 )     (26,701 )     (27,181 )     (27,821 )
Acquired fund fees and expenses waiver     (80 )     (82 )     (80 )     (80 )
Net Expenses     4,584       4,557       4,672       4,845  
Net Investment Income/(Loss)     5,811       5,811       6,288       6,432  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     (38,222 )     (140,131 )     (76,065 )     82,190  
Options written     (42,369 )     55,319       22,196       (66,297 )
Net realized gain/(loss)     (80,591 )     (84,812 )     (53,869 )     15,893  
Net change in unrealized appreciation/(depreciation) on:                                
Investments     213,072       223,778       179,332       71,613  
Options written     11,477       (36,334 )     (56,899 )     (5,609 )
Net change in unrealized appreciation/(depreciation)     224,549       187,444       122,433       66,004  
Net realized and unrealized gain/(loss)     143,958       102,632       68,564       81,897  
Net Increase/(Decrease) in Net Assets From Operations   $ 149,769     $ 108,443     $ 74,852     $ 88,329  

 

The accompanying notes are an integral part of these financial statements.

 

148

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
    Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
    500 with Spread     500 with Spread     500 with Spread     500 with Spread  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – Jul     – Aug     – Sep     – Oct  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 4,932     $ 4,945     $ 4,926     $ 5,111  
Interest     6,566       6,134       6,547       5,917  
Total Investment Income     11,498       11,079       11,473       11,028  
                                 
Expenses:                                
Investment advisory fees     2,482       2,295       2,388       2,715  
Accounting and administration fees     10,625       10,670       10,702       10,920  
Custody fees     918       1,070       1,040       939  
Transfer agent fees     2,915       2,956       2,946       2,963  
Distribution service fees     1,266       1,171       1,219       1,385  
Professional fees and expenses     8,877       8,960       9,371       9,168  
Trustees fees and expenses     430       398       397       436  
Pricing fees     1,321       1,379       1,438       747  
Licensing fees     253       234       244       277  
Offering costs     3,482       3,660       2,599       2,716  
Other expenses     695       745       898       613  
Total Expenses     33,264       33,538       33,242       32,879  
Waivers/expense reimbursement by Advisor     (28,249 )     (28,901 )     (28,417 )     (27,393 )
Acquired fund fees and expenses waiver     (78 )     (79 )     (77 )     (95 )
Net Expenses     4,937       4,558       4,748       5,391  
Net Investment Income/(Loss)     6,561       6,521       6,725       5,637  
                                 
Realized and Unrealized Gain/(Loss):                                
Net change in unrealized appreciation/(depreciation) on:                                
Investments     158,817       98,446       108,139       262,406  
Options written     (64,964 )     (39,681 )     (14,584 )     (134,380 )
Net change in unrealized appreciation/(depreciation)     93,853       58,765       93,555       128,026  
Net realized and unrealized gain/(loss)     93,853       58,765       93,555       128,026  
Net Increase/(Decrease) in Net Assets From Operations   $ 100,414     $ 65,286     $ 100,280     $ 133,663  

 

The accompanying notes are an integral part of these financial statements.

 

149

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
    Buffered S&P     Buffered S&P     Floored S&P     Floored S&P  
    500 with Spread     500 with Spread     500 with Par Up     500 with Par Up  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – Nov     – Dec     – Jan     – Feb  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 5,028     $ 4,949     $ 4,015     $ 4,234  
Interest     5,767       6,063       5,356       4,996  
Total Investment Income     10,795       11,012       9,371       9,230  
                                 
Expenses:                                
Investment advisory fees     2,499       2,465       2,036       2,018  
Accounting and administration fees     10,906       11,079       10,967       10,989  
Custody fees     945       980       1,184       1,123  
Transfer agent fees     3,029       3,022       2,929       2,942  
Distribution service fees     1,275       1,258       1,039       1,030  
Professional fees and expenses     9,065       10,420       8,513       8,524  
Trustees fees and expenses     415       421       395       385  
Pricing fees     898       909       1,180       1,231  
Licensing fees     255       252       240       236  
Offering costs     2,628       2,659       486       1,990  
Other expenses     900       1,079       127       140  
Total Expenses     32,815       34,544       29,096       30,608  
Waivers/expense reimbursement by Advisor     (27,766 )     (29,562 )     (24,983 )     (26,531 )
Acquired fund fees and expenses waiver     (93 )     (91 )     (74 )     (77 )
Net Expenses     4,956       4,891       4,039       4,000  
Net Investment Income/(Loss)     5,839       6,121       5,332       5,230  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     —       —       59,807       27,599  
Options written     —       —       (232,503 )     (193,096 )
Net realized gain/(loss)     —       —       (172,696 )     (165,497 )
Net change in unrealized appreciation/(depreciation) on:                                
Investments     211,146       209,343       5,092       (2,066 )
Options written     (106,483 )     (103,505 )     224,168       199,118  
Net change in unrealized appreciation/(depreciation)     104,663       105,838       229,260       197,052  
Net realized and unrealized gain/(loss)     104,663       105,838       56,564       31,555  
Net Increase/(Decrease) in Net Assets From Operations   $ 110,502     $ 111,959     $ 61,896     $ 36,785  

 

The accompanying notes are an integral part of these financial statements.

 

150

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
    Floored S&P     Floored S&P     Floored S&P     Floored S&P  
    500 with Par Up     500 with Par Up     500 with Par Up     500 with Par Up  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – Mar     – Apr     – May     – Jun  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 4,316     $ 4,845     $ 4,834     $ 4,951  
Interest     4,970       5,147       5,971       6,385  
Total Investment Income     9,286       9,992       10,805       11,336  
                                 
Expenses:                                
Investment advisory fees     2,111       2,207       2,325       2,402  
Accounting and administration fees     11,040       10,828       10,592       10,716  
Custody fees     1,061       1,046       1,006       913  
Transfer agent fees     2,949       2,955       2,904       2,912  
Distribution service fees     1,077       1,126       1,186       1,226  
Professional fees and expenses     8,583       8,756       8,778       9,060  
Trustees fees and expenses     400       401       412       425  
Pricing fees     1,282       1,331       1,384       1,449  
Licensing fees     244       252       261       266  
Offering costs     1,251       1,952       2,629       2,851  
Other expenses     272       390       483       580  
Total Expenses     30,270       31,244       31,960       32,800  
Waivers/expense reimbursement by Advisor     (26,005 )     (26,785 )     (27,263 )     (27,946 )
Acquired fund fees and expenses waiver     (76 )     (80 )     (80 )     (80 )
Net Expenses     4,189       4,379       4,617       4,774  
Net Investment Income/(Loss)     5,097       5,613       6,188       6,562  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     (61,875 )     (179,491 )     (97,562 )     29,382  
Options written     (111,505 )     17,679       50,252       (33,880 )
Net realized gain/(loss)     (173,380 )     (161,812 )     (47,310 )     (4,498 )
Net change in unrealized appreciation/(depreciation) on:                                
Investments     148,838       166,979       156,072       90,118  
Options written     76,618       22,958       (36,384 )     (7,834 )
Net change in unrealized appreciation/(depreciation)     225,456       189,937       119,688       82,284  
Net realized and unrealized gain/(loss)     52,076       28,125       72,378       77,786  
Net Increase/(Decrease) in Net Assets From Operations   $ 57,173     $ 33,738     $ 78,566     $ 84,348  

 

The accompanying notes are an integral part of these financial statements.

 

151 

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
    Floored S&P     Floored S&P     Floored S&P     Floored S&P  
    500 with Par Up     500 with Par Up     500 with Par Up     500 with Par Up  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – Jul     – Aug     – Sep     – Oct  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 4,932     $ 4,916     $ 4,926     $ 5,111  
Interest     6,405       5,933       6,596       5,947  
Total Investment Income     11,337       10,849       11,522       11,058  
                                 
Expenses:                                
Investment advisory fees     2,411       2,266       2,383       2,620  
Accounting and administration fees     10,686       10,671       10,656       10,907  
Custody fees     936       1,089       1,040       945  
Transfer agent fees     2,913       2,959       2,946       2,976  
Distribution service fees     1,230       1,156       1,216       1,337  
Professional fees and expenses     8,916       8,954       9,362       9,076  
Trustees fees and expenses     418       399       398       427  
Pricing fees     1,500       1,558       1,618       926  
Licensing fees     246       231       243       267  
Offering costs     3,482       3,656       2,599       2,716  
Other expenses     687       743       899       597  
Total Expenses     33,425       33,682       33,360       32,794  
Waivers/expense reimbursement by Advisor     (28,554 )     (29,105 )     (28,546 )     (27,500 )
Acquired fund fees and expenses waiver     (78 )     (76 )     (77 )     (95 )
Net Expenses     4,793       4,501       4,737       5,199  
Net Investment Income/(Loss)     6,544       6,348       6,785       5,859  
                                 
Realized and Unrealized Gain/(Loss):                                
Net change in unrealized appreciation/(depreciation) on:                                
Investments     108,813       47,113       58,877       206,368  
Options written     (34,677 )     4,144       21,595       (113,075 )
Net change in unrealized appreciation/(depreciation)     74,136       51,257       80,472       93,293  
Net realized and unrealized gain/(loss)     74,136       51,257       80,472       93,293  
Net Increase/(Decrease) in Net Assets From Operations   $ 80,680     $ 57,605     $ 87,257     $ 99,152  

 

The accompanying notes are an integral part of these financial statements.

 

152

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

                Milliman 1-Year     Milliman 1-Year  
    Milliman 1-Year     Milliman 1-Year     Buffered S&P     Buffered S&P  
    Floored S&P     Floored S&P     500 & Nasdaq     500 & Nasdaq  
    500 with Par Up     500 with Par Up     with Stacker Cap     with Stacker Cap  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    – Nov     – Dec     - Jan     - Feb  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 5,028     $ 6,185     $ 4,208     $ 4,688  
Interest     5,701       7,535       5,661       5,796  
Total Investment Income     10,729       13,720       9,869       10,484  
                                 
Expenses:                                
Investment advisory fees     2,496       3,084       2,170       2,308  
Accounting and administration fees     10,910       11,325       11,030       11,060  
Custody fees     950       998       1,038       1,044  
Transfer agent fees     3,041       3,033       2,930       2,940  
Distribution service fees     1,273       1,573       1,107       1,178  
Professional fees and expenses     9,112       10,936       8,515       8,726  
Trustees fees and expenses     423       484       404       408  
Pricing fees     1,077       1,091       1,691       1,594  
Licensing fees     255       315       368       369  
Offering costs     2,624       2,659       486       1,991  
Other expenses     903       1,200       147       155  
Total Expenses     33,064       36,698       29,886       31,773  
Waivers/expense reimbursement by Advisor     (28,022 )     (30,466 )     (25,501 )     (27,110 )
Acquired fund fees and expenses waiver     (93 )     (112 )     (77 )     (84 )
Net Expenses     4,949       6,120       4,308       4,579  
Net Investment Income/(Loss)     5,780       7,600       5,561       5,905  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     —       —       (72,071 )     (112,843 )
Options written     —       —       (48,937 )     30,667  
Net realized gain/(loss)     —       —       (121,008 )     (82,176 )
Net change in unrealized appreciation/(depreciation) on:                                
Investments     163,807       197,102       432,028       403,257  
Options written     (77,547 )     (92,722 )     (220,723 )     (206,868 )
Net change in unrealized appreciation/(depreciation)     86,260       104,380       211,305       196,389  
Net realized and unrealized gain/(loss)     86,260       104,380       90,297       114,213  
Net Increase/(Decrease) in Net Assets From Operations   $ 92,040     $ 111,980     $ 95,858     $ 120,118  

 

The accompanying notes are an integral part of these financial statements.

 

153

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
    Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
    500 & Nasdaq     500 & Nasdaq     500 & Nasdaq     500 & Nasdaq  
    with Stacker Cap     with Stacker Cap     with Stacker Cap     with Stacker Cap  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    - Mar     - Apr     - May     - Jun  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 4,560     $ 4,867     $ 4,923     $ 4,951  
Interest     5,873       5,712       6,440       6,408  
Total Investment Income     10,433       10,579       11,363       11,359  
                                 
Expenses:                                
Investment advisory fees     2,280       2,305       2,492       2,590  
Accounting and administration fees     11,191       10,807       10,671       10,819  
Custody fees     1,063       1,060       908       877  
Transfer agent fees     2,949       2,955       2,904       2,912  
Distribution service fees     1,164       1,176       1,272       1,321  
Professional fees and expenses     8,705       8,735       8,885       9,041  
Trustees fees and expenses     412       394       423       435  
Pricing fees     1,642       1,692       1,741       1,822  
Licensing fees     363       359       363       362  
Offering costs     1,254       1,952       2,624       2,847  
Other expenses     286       389       499       595  
Total Expenses     31,309       31,824       32,782       33,621  
Waivers/expense reimbursement by Advisor     (26,702 )     (27,168 )     (27,747 )     (28,389 )
Acquired fund fees and expenses waiver     (80 )     (83 )     (83 )     (81 )
Net Expenses     4,527       4,573       4,952       5,151  
Net Investment Income/(Loss)     5,906       6,006       6,411       6,208  
                                 
Realized and Unrealized Gain/(Loss):                                
Net realized gain/(loss) on:                                
Investments     (165,244 )     (268,819 )     (108,537 )     215,895  
Options written     85,586       183,203       157,374       (114,940 )
Net realized gain/(loss)     (79,658 )     (85,616 )     48,837       100,955  
Net change in unrealized appreciation/(depreciation) on:                                
Investments     521,077       454,024       393,759       178,393  
Options written     (344,931 )     (286,451 )     (312,587 )     (136,369 )
Net change in unrealized appreciation/(depreciation)     176,146       167,573       81,172       42,024  
Net realized and unrealized gain/(loss)     96,488       81,957       130,009       142,979  
Net Increase/(Decrease) in Net Assets From Operations   $ 102,394     $ 87,963     $ 136,420     $ 149,187  

 

The accompanying notes are an integral part of these financial statements.

 

154

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 1-Year     Milliman 1-Year     Milliman 1-Year     Milliman 1-Year  
    Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
    500 & Nasdaq     500 & Nasdaq     500 & Nasdaq     500 & Nasdaq  
    with Stacker Cap     with Stacker Cap     with Stacker Cap     with Stacker Cap  
    Outcome Fund     Outcome Fund     Outcome Fund     Outcome Fund  
    - Jul     - Aug     - Sep     - Oct  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 4,932     $ 4,928     $ 4,929     $ 5,111  
Interest     6,586       6,310       6,561       5,953  
Total Investment Income     11,518       11,238       11,490       11,064  
                                 
Expenses:                                
Investment advisory fees     2,580       2,373       2,496       2,721  
Accounting and administration fees     10,706       10,676       10,715       10,918  
Custody fees     932       1,093       1,020       939  
Transfer agent fees     2,915       2,956       2,948       2,963  
Distribution service fees     1,317       1,211       1,274       1,388  
Professional fees and expenses     8,913       8,971       9,373       9,079  
Trustees fees and expenses     426       397       397       434  
Pricing fees     1,857       1,916       1,976       1,285  
Licensing fees     358       346       353       364  
Offering costs     3,556       3,662       2,600       2,719  
Other expenses     698       745       901       600  
Total Expenses     34,258       34,346       34,053       33,410  
Waivers/expense reimbursement by Advisor     (29,044 )     (29,551 )     (29,010 )     (27,912 )
Acquired fund fees and expenses waiver     (78 )     (77 )     (77 )     (95 )
Net Expenses     5,136       4,718       4,966       5,403  
Net Investment Income/(Loss)     6,382       6,520       6,524       5,661  
                                 
Realized and Unrealized Gain/(Loss):                                
Net change in unrealized appreciation/(depreciation) on:                                
Investments     400,140       242,548       288,857       549,556  
Options written     (272,139 )     (96,783 )     (128,847 )     (436,154 )
Net change in unrealized appreciation/(depreciation)     128,001       145,765       160,010       113,402  
Net realized and unrealized gain/(loss)     128,001       145,765       160,010       113,402  
Net Increase/(Decrease) in Net Assets From Operations   $ 134,383     $ 152,285     $ 166,534     $ 119,063  

 

The accompanying notes are an integral part of these financial statements.

 

155

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 1-Year     Milliman 1-Year              
    Buffered S&P     Buffered S&P     Milliman 6-Year     Milliman 6-Year  
    500 & Nasdaq     500 & Nasdaq     Buffered S&P     Buffered S&P  
    with Stacker Cap     with Stacker Cap     500 with Par Up     500 with Par Up  
    Outcome Fund     Outcome Fund     Outcome Fund –     Outcome Fund –  
    - Nov     - Dec     Jan (I)     Apr (I)  
    Six Months     Six Months     Six Months     Six Months  
    Ended June     Ended June     Ended June     Ended June  
    30, 2023     30, 2023     30, 2023     30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 5,028     $ 4,950     $ 10,393     $ 18,438  
Interest     5,783       6,063       2,381       6,428  
Total Investment Income     10,811       11,013       12,774       24,866  
                                 
Expenses:                                
Investment advisory fees     2,591       2,550       2,105       4,092  
Accounting and administration fees     10,969       11,088       10,979       11,844  
Custody fees     945       980       597       527  
Transfer agent fees     3,029       3,022       2,830       2,855  
Distribution service fees     1,322       1,301       1,074       2,088  
Professional fees and expenses     9,171       10,421       7,052       9,835  
Trustees fees and expenses     422       421       221       439  
Pricing fees     1,436       1,455       660       648  
Licensing fees     358       367       247       462  
Offering costs     2,720       2,646       486       1,952  
Other expenses     899       1,076       642       1,330  
Total Expenses     33,862       35,327       26,893       36,072  
Waivers/expense reimbursement by Advisor     (28,627 )     (30,176 )     (22,640 )     (27,805 )
Acquired fund fees and expenses waiver     (93 )     (91 )     (289 )     (513 )
Net Expenses     5,142       5,060       3,964       7,754  
Net Investment Income/(Loss)     5,669       5,953       8,810       17,112  
                                 
Realized and Unrealized Gain/(Loss):                                
Net change in unrealized appreciation/(depreciation) on:                                
Investments     468,030       454,456       58,948       141,010  
Options written     (331,480 )     (317,750 )     36,857       60,933  
Net change in unrealized appreciation/(depreciation)     136,550       136,706       95,805       201,943  
Net realized and unrealized gain/(loss)     136,550       136,706       95,805       201,943  
Net Increase/(Decrease) in Net Assets From Operations   $ 142,219     $ 142,659     $ 104,615     $ 219,055  

 

The accompanying notes are an integral part of these financial statements.

 

156

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

    Milliman 6-Year     Milliman 6-Year     Milliman 6-Year     Milliman 6-Year  
    Buffered S&P     Buffered S&P     Buffered S&P     Buffered S&P  
    500 with Par Up     500 with Par Up     500 with Par Up     500 with Par Up  
    Outcome Fund –     Outcome Fund –     Outcome Fund -     Outcome Fund -  
    Jul (I)     Oct (I)     Jan (II)     Apr (II)  
    Six Months     Six Months     Period January     Period April  
    Ended June     Ended June     10, 2023(a) to     10, 2023(a) to  
    30, 2023     30, 2023     June 30, 2023     June 30, 2023  
    (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  
Investment Income:                                
Dividends   $ 26,669     $ 9,967     $ 10,365     $ 5,022  
Interest     10,035       4,643       3,885       1,792  
Total Investment Income     36,704       14,610       14,250       6,814  
                                 
Expenses:                                
Investment advisory fees     6,812       2,587       2,269       1,084  
Accounting and administration fees     13,207       10,894       10,384       4,903  
Custody fees     719       1,067       845       495  
Transfer agent fees     2,913       3,772       2,827       1,331  
Distribution service fees     3,476       1,320       1,157       553  
Professional fees and expenses     11,684       8,609       7,072       4,027  
Trustees fees and expenses     657       317       334       174  
Pricing fees     637       636       129       101  
Licensing fees     695       264       231       111  
Offering costs     9,020       2,759       9,000       3,329  
Other expenses     1,602       587       683       305  
Total Expenses     51,422       32,812       34,931       16,413  
Waivers/expense reimbursement by Advisor     (37,659 )     (27,586 )     (30,347 )     (14,224 )
Acquired fund fees and expenses waiver     (742 )     (278 )     (256 )     (123 )
Net Expenses     13,021       4,948       4,328       2,066  
Net Investment Income/(Loss)     23,683       9,662       9,922       4,748  
                                 
Realized and Unrealized Gain/(Loss):                                
Net change in unrealized appreciation/(depreciation) on:                                
Investments     275,126       96,921       45,682       39,769  
Options written     78,366       26,717       10,352       17,501  
Net change in unrealized appreciation/(depreciation)     353,492       123,638       56,034       57,270  
Net realized and unrealized gain/(loss)     353,492       123,638       56,034       57,270  
Net Increase/(Decrease) in Net Assets From Operations   $ 377,175     $ 133,300     $ 65,956     $ 62,018  

 


 (a) Commencement of Operations

 

The accompanying notes are an integral part of these financial statements.

 

157

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Month Buffered     Milliman 6-Month Buffered  
    S&P 500 with Par Up     S&P 500 with Par Up  
    Outcome Fund – Jan/Jul     Outcome Fund – Feb/Aug  
          Period           Period  
    Six Months     January 10,     Six Months     February 10,  
    Ended June     2022(a) to     Ended June     2022(a) to  
    30, 2023     December 31,     30, 2023     December 31,  
    (Unaudited)     2022     (Unaudited)     2022  
Operations:                        
Net Investment Income/(Loss)   $ 6,332     $ (836 )   $ 9,882     $ 387  
Net realized gain/(loss)     (54,788 )     (150,897 )     (147,102 )     (110,683 )
Net change in unrealized appreciation/(depreciation)     147,155       (77,630 )     244,446       (179,196 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     98,699       (229,363 )     107,226       (289,492 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,160,309       —       1,712,362  
Cost of Shares redeemed     (1,318 )     (1,097 )     (3,824 )     (6,541 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (1,318 )     1,159,212       (3,824 )     1,705,821  
Total Increase/(Decrease) in Net Assets     97,381       929,849       103,402       1,416,329  
                                 
Net Assets:                                
Beginning of the period     929,849       —       1,416,329       —  
End of the period   $ 1,027,230     $ 929,849     $ 1,519,731     $ 1,416,329  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       118,663       —       173,519  
Shares redeemed     (160 )     (129 )     (452 )     (750 )
Net Increase/(Decrease)     (160 )     118,534       (452 )     172,769  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

158

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Month Buffered     Milliman 6-Month Buffered  
    S&P 500 with Par Up     S&P 500 with Par Up  
    Outcome Fund – Mar/Sep     Outcome Fund – Apr/Oct  
    Six Months     Period March     Six Months     Period April  
    Ended June     10, 2022(a)     Ended June     11, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment Income/(Loss)   $ 6,936     $ 477     $ 6,879     $ 2,544  
Net realized gain/(loss)     (46,948 )     (88,704 )     99,206       (207,737 )
Net change in unrealized appreciation/(depreciation)     164,162       (69,267 )     (416 )     53,760  
Net Increase/(Decrease) in Net Assets Resulting from Operations     124,150       (157,494 )     105,669       (151,433 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (95 )     —       (2,432 )
Total distributions to shareholders     —       (95 )     —       (2,432 )
                                 
Capital Share Transactions:(b)                                
Proceeds from Shares sold     —       1,139,619       —       1,265,014  
ReInvestments     —       95       —       2,432  
Cost of Shares redeemed     (769 )     (1,172 )     (1,498 )     (2,126 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (769 )     1,138,542       (1,498 )     1,265,320  
Total Increase/(Decrease) in Net Assets     123,381       980,953       104,171       1,111,455  
                                 
Net Assets:                                
Beginning of the period     980,953       —       1,111,455       —  
End of the period   $ 1,104,334     $ 980,953     $ 1,215,626     $ 1,111,455  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       113,625       —       126,371  
Shares reinvested     —       11       —       277  
Shares redeemed     (84 )     (129 )     (163 )     (235 )
Net Increase/(Decrease)     (84 )     113,507       (163 )     126,413  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

159

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Month Buffered     Milliman 6-Month Buffered  
    S&P 500 with Par Up     S&P 500 with Par Up  
    Outcome Fund – May/Nov     Outcome Fund – Jun/Dec  
    Six Months     Period May     Six Months     Period June  
    Ended June     10, 2022(a)     Ended June     10, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment Income/(Loss)   $ 9,358     $ 4,022     $ 7,165     $ 2,788  
Net realized gain/(loss)     28,606       (98,960 )     63,830       (24,627 )
Net change in unrealized appreciation/(depreciation)     103,581       (26,505 )     47,714       (21,503 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     141,545       (121,443 )     118,709       (43,342 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (4,022 )     —       (5,332 )
Tax return of capital to shareholders     —       (319 )     —       (453 )
Total distributions to shareholders     —       (4,341 )     —       (5,785 )
                                 
Capital Share Transactions:(b)                                
Proceeds from Shares sold     —       1,681,374       —       1,122,205  
ReInvestments     —       4,341       —       5,785  
Cost of Shares redeemed     (4,185 )     (2,130 )     (783 )     (831 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (4,185 )     1,683,585       (783 )     1,127,159  
Total Increase/(Decrease) in Net Assets     137,360       1,557,801       117,926       1,078,032  
                                 
Net Assets:                                
Beginning of the period     1,557,801       —       1,078,032       —  
End of the period   $ 1,695,161     $ 1,557,801     $ 1,195,958     $ 1,078,032  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       171,264       —       112,690  
Shares reinvested     —       479       —       609  
Shares redeemed     (443 )     (224 )     (79 )     (85 )
Net Increase/(Decrease)     (443 )     171,519       (79 )     113,214  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

160

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Month Parred     Milliman 6-Month Parred  
    Down S&P 500 with Par Up     Down S&P 500 with Par Up  
    Outcome Fund – Jan/Jul     Outcome Fund – Feb/Aug  
          Period           Period  
    Six Months     January 10,     Six Months     February 10,  
    Ended June     2022(a) to     Ended June     2022(a) to  
    30, 2023     December 31,     30, 2023     December 31,  
    (Unaudited)     2022     (Unaudited)     2022  
Operations:                        
Net Investment Income/(Loss)   $ 5,136     $ (2,049 )   $ 8,834     $ 1,152  
Net realized gain/(loss)     (43,843 )     (159,939 )     (142,329 )     (103,781 )
Net change in unrealized appreciation/(depreciation)     129,561       (68,486 )     236,265       (181,024 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     90,854       (230,474 )     102,770       (283,653 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       —       —       (663 )
Total distributions to shareholders     —       —       —       (663 )
                                 
Capital Share Transactions:(b)                                
Proceeds from Shares sold     —       1,000,010       —       1,461,555  
ReInvestments     —       —       —       663  
Cost of Shares redeemed     —       —       (7,592 )     (2,033 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,000,010       (7,592 )     1,460,185  
Total Increase/(Decrease) in Net Assets     90,854       769,536       95,178       1,175,869  
                                 
Net Assets:                                
Beginning of the period     769,536       —       1,175,869       —  
End of the period   $ 860,390     $ 769,536     $ 1,271,047     $ 1,175,869  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       151,918  
Shares reinvested     —       —       —       84  
Shares redeemed     —       —       (934 )     (252 )
Net Increase/(Decrease)     —       100,001       (934 )     151,750  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

161 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Month Parred Down     Milliman 6-Month Parred Down  
    S&P 500 with Par Up     S&P 500 with Par Up  
    Outcome Fund – Mar/Sep     Outcome Fund – Apr/Oct  
    Six Months     Period March     Six Months     Period April  
    Ended June     10, 2022(a)     Ended June     11, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment Income/(Loss)   $ 5,649     $ (299 )   $ 5,568     $ 1,661  
Net realized gain/(loss)     (67,156 )     (91,682 )     71,420       (168,307 )
Net change in unrealized appreciation/(depreciation)     150,978       (72,294 )     8,971       34,788  
Net Increase/(Decrease) in Net Assets Resulting from Operations     89,471       (164,275 )     85,959       (131,858 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       —       —       (1,570 )
Total distributions to shareholders     —       —       —       (1,570 )
                                 
Capital Share Transactions:(b)                                
Proceeds from Shares sold     —       1,000,010       —       1,000,010  
ReInvestments     —       —       —       1,570  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,000,010       —       1,001,580  
Total Increase/(Decrease) in Net Assets     89,471       835,735       85,959       868,152  
                                 
Net Assets:                                
Beginning of the period     835,735       —       868,152       —  
End of the period   $ 925,206     $ 835,735     $ 954,111     $ 868,152  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       —       —       181  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       100,001       —       100,182  

 


 (a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

162

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Month Parred     Milliman 6-Month Parred  
    Down S&P 500 with Par Up     Down S&P 500 with Par Up  
    Outcome Fund – May/Nov     Outcome Fund - Jun/Dec  
    Six Months     Period May     Six Months     Period June  
    Ended June     10, 2022(a)     Ended June     10, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment Income/(Loss)   $ 6,189     $ 2,079     $ 6,804     $ 2,385  
Net realized gain/(loss)     22,213       (88,179 )     54,184       (27,762 )
Net change in unrealized appreciation/(depreciation)     56,498       (12,126 )     43,367       (20,355 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     84,900       (98,226 )     104,355       (45,732 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,980 )     —       (2,385 )
Tax return of capital to shareholders     —       —       —       (358 )
Total distributions to shareholders     —       (1,980 )     —       (2,743 )
                                 
Capital Share Transactions:(b)                                
Proceeds from Shares sold     —       1,000,010       —       1,000,010  
ReInvestments     —       1,980       —       2,743  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,001,990       —       1,002,753  
Total Increase/(Decrease) in Net Assets     84,900       901,784       104,355       954,278  
                                 
Net Assets:                                
Beginning of the period     901,784       —       954,278       —  
End of the period   $ 986,684     $ 901,784     $ 1,058,633     $ 954,278  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       220       —       288  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       100,221       —       100,289  

 


 (a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

163

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman     Milliman     Milliman  
    6-Month     6-Month     6-Month  
    Buffered     Buffered     Buffered  
    S&P 500     S&P 500     S&P 500  
    with Trigger     with Trigger     with Trigger  
    Outcome     Outcome     Outcome  
    Fund - Jan/     Fund - Feb/     Fund - Mar/  
    Jul     Aug     Sep  
    Period     Period        
    January 10,     February     Period March  
    2023(a)     10, 2023(a)     10, 2023(a)
    to June     to June 30,     to June 30,  
    30, 2023     2023     2023  
    (Unaudited)     (Unaudited)     (Unaudited)  
                         
Operations:                        
Net Investment Income/(Loss)   $ 6,448     $ 5,387     $ 4,254  
Net change in unrealized appreciation/(depreciation)     45,982       38,809       54,242  
Net Increase/(Decrease) in Net Assets Resulting from Operations     52,430       44,196       58,496  
                         
Capital Share Transactions:(b)                        
Proceeds from Shares sold     1,000,011       1,000,010       1,000,010  
Cost of Shares redeemed     (1 )     —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     1,000,010       1,000,010       1,000,010  
Total Increase/(Decrease) in Net Assets     1,052,440       1,044,206       1,058,506  
                         
Net Assets:                        
Beginning of the period     —       —       —  
End of the period   $ 1,052,440     $ 1,044,206     $ 1,058,506  
                         
Change in Shares Outstanding:(b)                        
Shares sold     100,001       100,001       100,001  
Shares redeemed     —       —       —  
Net Increase/(Decrease)     100,001       100,001       100,001  

 


 (a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

164

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Month Buffered     Milliman 6-Month Buffered  
    S&P 500 with Trigger     S&P 500 with Trigger  
    Outcome Fund – Apr/Oct     Outcome Fund – May/Nov  
          Period           Period  
    Six Months     October 10,     Six Months     November  
    Ended June     2022(a) to     Ended June     10, 2022(a)  
    30, 2023     December 31,     30, 2023     to December  
    (Unaudited)     2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment Income/(Loss)   $ 6,641     $ 3,169     $ 8,816     $ 3,384  
Net realized gain/(loss)     78,034       —       99,793       —  
Net change in unrealized appreciation/(depreciation)     (13,327 )     49,337       47,362       (5,631 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     71,348       52,506       155,971       (2,247 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (34,194 )     —       (3,384 )
Tax return of capital to shareholders     —       —       —       (182 )
Total distributions to shareholders     —       (34,194 )     —       (3,566 )
                                 
Capital Share Transactions:(b)                                
Proceeds from Shares sold     —       1,000,016       —       1,481,406  
ReInvestments     —       34,194       —       3,566  
Cost of Shares redeemed     (6 )     —       (3,122 )     (607 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (6 )     1,034,210       (3,122 )     1,484,365  
Total Increase/(Decrease) in Net Assets     71,342       1,052,522       152,849       1,478,552  
                                 
Net Assets:                                
Beginning of the period     1,052,522       —       1,478,552       —  
End of the period   $ 1,123,864     $ 1,052,522     $ 1,631,401     $ 1,478,552  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       147,289  
Shares reinvested     —       3,366       —       357  
Shares redeemed     (1 )     —       (294 )     (60 )
Net Increase/(Decrease)     (1 )     103,367       (294 )     147,586  

 


 (a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

165

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Month Buffered     Milliman 1-Year Buffered  
    S&P 500 with Trigger     S&P 500 with Spread  
    Outcome Fund – Jun/Dec     Outcome Fund – Jan  
          Period           Period  
    Six Months     December     Six Months     January 10,  
    Ended June     12, 2022(a)     Ended June     2022(a) to  
    30, 2023     to December     30, 2023     December 31,  
    (Unaudited)     31, 2022     (Unaudited)     2022  
Operations:                        
Net Investment income/(loss)   $ 6,363     $ 1,218     $ 5,544     $ (1,375 )
Net realized gain/(loss)     68,026       —       (132,691 )     —  
Net change in unrealized appreciation/(depreciation)     25,687       (14,408 )     232,695       (157,433 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     100,076       (13,190 )     105,548       (158,808 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (993 )     —       —  
Total distributions to shareholders     —       (993 )     —       —  
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,000,151  
Reinvestments     —       993       —       —  
Cost of shares redeemed     —       —       —       (140 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,001,003       —       1,000,011  
Total Increase/(Decrease) in Net Assets     100,076       986,820       105,548       841,203  
                                 
Net Assets:                                
Beginning of the period     986,820       —       841,203       —  
End of the period   $ 1,086,896     $ 986,820     $ 946,751     $ 841,203  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,015  
Shares reinvested     —       101       —       —  
Shares redeemed     —       —       —       (14 )
Net Increase/(Decrease)     —       100,102       —       100,001  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

166

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 with Spread     S&P 500 with Spread  
    Outcome Fund – Feb     Outcome Fund – Mar  
          Period              
    Six Months     February 10,     Six Months     Period March  
    Ended June     2022(a) to     Ended June     10, 2022(a)  
    30, 2023     December 31,     30, 2023     to December  
    (Unaudited)     2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 5,926     $ (571 )   $ 5,811     $ 194  
Net realized gain/(loss)     (74,053 )     —       (80,591 )     —  
Net change in unrealized appreciation/(depreciation)     178,389       (127,179 )     224,549       (117,531 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     110,262       (127,750 )     149,769       (117,337 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,014       —       1,000,022  
Cost of shares redeemed     —       (4 )     —       (11 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,000,010       —       1,000,011  
Total Increase/(Decrease) in Net Assets     110,262       872,260       149,769       882,674  
                                 
Net Assets:                                
Beginning of the period     872,260       —       882,674       —  
End of the period   $ 982,522     $ 872,260     $ 1,032,443     $ 882,674  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,002  
Shares redeemed     —       —       —       (1 )
Net Increase/(Decrease)     —       100,001       —       100,001  

 


 (a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

167

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

                         
    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 with Spread     S&P 500 with Spread  
    Outcome Fund – Apr     Outcome Fund – May  
    Six Months     Period April     Six Months     Period May  
    Ended June     11, 2022(a)     Ended June     10, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                                
Net Investment income/(loss)   $ 5,811     $ 1,090     $ 6,288     $ 1,659  
Net realized gain/(loss)     (84,812 )     —       (53,869 )     —  
Net change in unrealized appreciation/(depreciation)     187,444       (129,209 )     122,433       (65,757 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     108,443       (128,119 )     74,852       (64,098 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (749 )     —       (1,306 )
Total distributions to shareholders     —       (749 )     —       (1,306 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,030,010       —       1,000,010  
Reinvestments     —       749       —       1,306  
Cost of shares redeemed     (13,904 )     (238 )     —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (13,904 )     1,030,521       —       1,001,316  
Total Increase/(Decrease) in Net Assets     94,539       901,653       74,852       935,912  
                                 
Net Assets:                                
Beginning of the period     901,653       —       935,912       —  
End of the period   $ 996,192     $ 901,653     $ 1,010,764     $ 935,912  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       103,071       —       100,001  
Shares reinvested     —       86       —       139  
Shares redeemed     (1,510 )     (27 )     —       —  
Net Increase/(Decrease)     (1,510 )     103,130       —       100,140  
                                 
(a) Commencement of Operations                                
(b) Class 3                                
                                 

The accompanying notes are an integral part of these financial statements.

 

168 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 with Spread     S&P 500 with Spread  
    Outcome Fund – Jun     Outcome Fund – Jul  
    Six Months     Period June     Six Months     Period July  
    Ended June     10, 2022(a)     Ended June     11, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                                
Net Investment income/(loss)   $ 6,432
  $ 2,098     $ 6,561     $ 2,129  
Net realized gain/(loss)     15,893       —       —       —  
Net change in unrealized appreciation/(depreciation)     66,004       (43,999 )     93,853       (31,912 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     88,329       (41,901 )     100,414       (29,783 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,737 )     —       (8,265 )
Total distributions to shareholders     —       (1,737 )     —       (8,265 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,006,374  
Reinvestments     —       1,737       —       8,265  
Cost of shares redeemed     —       —       (266 )     (34 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions..     —       1,001,747       (266 )     1,014,605  
Total Increase/(Decrease) in Net Assets     88,329       958,109       100,148       976,557  
                                 
Net Assets:                                
Beginning of the period     958,109       —       976,557       —  
End of the period   $ 1,046,438     $ 958,109     $ 1,076,705     $ 976,557  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,610  
Shares reinvested     —       180       —       856  
Shares redeemed     —       —       (26 )     (4 )
Net Increase/(Decrease)     —       100,181       (26 )     101,462  
                                 
(a) Commencement of Operations                                
(b) Class 3                                
                                 

The accompanying notes are an integral part of these financial statements.

 

 

169 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

                         
    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 with Spread     S&P 500 with Spread  
    Outcome Fund – Aug     Outcome Fund – Sep  
                      Period  
    Six Months     Period August     Six Months     September  
    Ended June     10, 2022(a)     Ended June     12, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 6,521     $ 2,195     $ 6,725     $ 2,236  
Net change in unrealized appreciation/(depreciation)     58,765       (99,473 )     93,555       (67,680 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     65,286       (97,278 )     100,280       (65,444 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,860 )     —       (1,885 )
Total distributions to shareholders     —       (1,860 )     —       (1,885 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,006,012       —       1,000,010  
Reinvestments     —       1,860       —       1,885  
Cost of shares redeemed     (35 )     (27 )     —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (35 )     1,007,845       —       1,001,895  
Total Increase/(Decrease) in Net Assets     65,251       908,707       100,280       934,566  
                                 
Net Assets:                                
Beginning of the period     908,707       —       934,566       —  
End of the period   $ 973,958     $ 908,707     $ 1,034,846     $ 934,566  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,601       —       100,001  
Shares reinvested     —       206       —       201  
Shares redeemed     (4 )     (3 )     —       —  
Net Increase/(Decrease)     (4 )     100,804       —       100,202  
                                 
(a) Commencement of Operations                                
(b) Class 3                                
                                 

The accompanying notes are an integral part of these financial statements.

 

 

170 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

                         
    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 with Spread     S&P 500 with Spread  
    Outcome Fund – Oct     Outcome Fund – Nov  
          Period           Period  
    Six Months     October 10,     Six Months     November  
    Ended June     2022(a) to     Ended June     10, 2022(a)  
    30, 2023     December 31,     30, 2023     to December  
    (Unaudited)     2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 5,637     $ 2,903     $ 5,839     $ 1,957  
Net change in unrealized appreciation/(depreciation)     128,026       59,574       104,663       (19,938 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     133,663       62,477       110,502       (17,981 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (65,492 )     —       (1,841 )
Total distributions to shareholders     —       (65,492 )     —       (1,841 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,000,010  
Reinvestments     —       65,492       —       1,841  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,065,502       —       1,001,851  
Total Increase/(Decrease) in Net Assets     133,663       1,062,487       110,502       982,029  
                                 
Net Assets:                                
Beginning of the period     1,062,487       —       982,029       —  
End of the period   $ 1,196,150     $ 1,062,487     $ 1,092,531     $ 982,029  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       6,589       —       188  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       106,590       —       100,189  
                                 
(a) Commencement of Operations                                
(b) Class 3                                
                                 

The accompanying notes are an integral part of these financial statements.

 

 

171 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

                         
    Milliman 1-Year Buffered     Milliman 1-Year Floored S&P  
    S&P 500 with Spread     500 with Par Up Outcome  
    Outcome Fund – Dec     Fund – Jan  
          Period           Period  
    Six Months     December     Six Months     January 10,  
    Ended June     12, 2022(a)     Ended June     2022(a) to  
    30, 2023     to December     30, 2023     December 31,  
    (Unaudited)     31, 2022     (Unaudited)     2022  
Operations:                        
Net Investment income/(loss)   $ 6,121     $ 1,067     $ 5,332     $ (1,304 )
Net realized gain/(loss)     —       —       (172,696 )     —  
Net change in unrealized appreciation/(depreciation)     105,838       (32,831 )     229,260       (179,988 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     111,959       (31,764 )     61,896       (181,292 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (918 )     —       —  
Total distributions to shareholders     —       (918 )     —       —  
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,000,010  
Reinvestments     —       918       —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,000,928       —       1,000,010  
Total Increase/(Decrease) in Net Assets     111,959       968,246       61,896       818,718  
                                 
Net Assets:                                
Beginning of the period     968,246       —       818,718       —  
End of the period   $ 1,080,205     $ 968,246     $ 880,614     $ 818,718  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       95       —       —  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       100,096       —       100,001  
                                 
(a) Commencement of Operations                                
(b) Class 3                                
                                 

The accompanying notes are an integral part of these financial statements.

 

 

172 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Floored S&P     Milliman 1-Year Floored S&P  
    500 with Par Up Outcome     500 with Par Up Outcome  
    Fund – Feb     Fund – Mar  
          Period              
    Six Months     February 10,     Six Months     Period March  
    Ended June     2022(a) to     Ended June     10, 2022(a)  
    30, 2023     December 31,     30, 2023     to December  
    (Unaudited)     2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 5,230     $ (578 )   $ 5,097     $ 224  
Net realized gain/(loss)     (165,497 )     —       (173,380 )     —  
Net change in unrealized appreciation/(depreciation)     197,052       (168,935 )     225,456       (149,408 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     36,785       (169,513 )     57,173       (149,184 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,012       —       1,000,010  
Cost of shares redeemed     (2 )     —       —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (2 )     1,000,012       —       1,000,010  
Total Increase/(Decrease) in Net Assets     36,783       830,499       57,173       850,826  
                                 
Net Assets:                                
Beginning of the period     830,499       —       850,826       —  
End of the period   $ 867,282     $ 830,499     $ 907,999     $ 850,826  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       100,001       —       100,001  
                                 
(a) Commencement of Operations                                
(b) Class 3                                
                                 

The accompanying notes are an integral part of these financial statements.

 

 

173 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

                         
    Milliman 1-Year Floored S&P   Milliman 1-Year Floored S&P  
    500 with Par Up Outcome     500 with Par Up Outcome  
    Fund – Apr     Fund – May  
    Six Months     Period April     Six Months     Period May  
    Ended June     11, 2022(a)     Ended June     10, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 5,613     $ 1,383     $ 6,188     $ 1,715  
Net realized gain/(loss)     (161,812 )     —       (47,310 )     —  
Net change in unrealized appreciation/(depreciation)     189,937       (159,029 )     119,688       (82,919 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     33,738       (157,646 )     78,566       (81,204 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,037 )     —       (1,378 )
Total distributions to shareholders     —       (1,037 )     —       (1,378 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,062,469       —       1,000,011  
Reinvestments     —       1,037       —       1,378  
Cost of shares redeemed     (498 )     (775 )     —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (498 )     1,062,731       —       1,001,389  
Total Increase/(Decrease) in Net Assets     33,240       904,048       78,566       918,807  
                                 
Net Assets:                                
Beginning of the period     904,048       —       918,807       —  
End of the period   $ 937,288     $ 904,048     $ 997,373     $ 918,807  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       106,247       —       100,001  
Shares reinvested     —       121       —       149  
Shares redeemed     (59 )     (86 )     —       —  
Net Increase/(Decrease)     (59 )     106,282       —       100,150  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

 

174 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

                         
    Milliman 1-Year Floored S&P     Milliman 1-Year Floored S&P  
    500 with Par Up Outcome     500 with Par Up Outcome  
    Fund – Jun     Fund – Jul  
    Six Months     Period June     Six Months     Period July  
    Ended June     10, 2022(a)     Ended June     11, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 6,562     $ 2,228     $ 6,544     $ 2,255  
Net realized gain/(loss)     (4,498 )     —       —       —  
Net change in unrealized appreciation/(depreciation)     82,284       (57,950 )     74,136       (50,089 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     84,348       (55,722 )     80,680       (47,834 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,869 )     —       (1,897 )
Total distributions to shareholders     —       (1,869 )     —       (1,897 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,000,010  
Reinvestments     —       1,869       —       1,897  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,001,879       —       1,001,907  
Total Increase/(Decrease) in Net Assets     84,348       944,288       80,680       952,176  
                                 
Net Assets:                                
Beginning of the period     944,288       —       952,176       —  
End of the period   $ 1,028,636     $ 944,288     $ 1,032,856     $ 952,176  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       196       —       198  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       100,197       —       100,199  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

 

175 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

                         
    Milliman 1-Year Floored S&P     Milliman 1-Year Floored S&P  
    500 with Par Up Outcome     500 with Par Up Outcome  
    Fund – Aug     Fund  – Sep  
                      Period  
    Six Months     Period August     Six Months     September  
    Ended June     10, 2022(a)     Ended June     12, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 6,348     $ 2,273     $ 6,785     $ 2,351  
Net change in unrealized appreciation/(depreciation)     51,257       (95,129 )     80,472       (60,680 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     57,605       (92,856 )     87,257       (58,329 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,938 )     —       (1,994 )
Total distributions to shareholders     —       (1,938 )     —       (1,994 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,011       —       1,000,010  
Reinvestments     —       1,938       —       1,994  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,001,949       —       1,002,004  
Total Increase/(Decrease) in Net Assets     57,605       907,155       87,257       941,681  
                                 
Net Assets:                                
Beginning of the period     907,155       —       941,681       —  
End of the period   $ 964,760     $ 907,155     $ 1,028,938     $ 941,681  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       213       —       211  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       100,214       —       100,212  
                                 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

176 

 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

                         
    Milliman 1-Year Floored S&P     Milliman 1-Year Floored S&P  
    500 with Par Up Outcome     500 with Par Up Outcome  
    Fund – Oct     Fund – Nov  
          Period           Period  
    Six Months     October 10,     Six Months     November  
    Ended June     2022(a) to     Ended June     10, 2022(a)  
    30, 2023     December 31,     30, 2023     to December  
    (Unaudited)     2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 5,859     $ 2,971     $ 5,780     $ 1,950  
Net realized gain/(loss)     —       —       —       (238 )
Net change in unrealized appreciation/(depreciation)     93,293       32,385       86,260       (11,009 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     99,152       35,356       92,040       (9,297 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (38,112 )     —       (1,836 )
Total distributions to shareholders     —       (38,112 )     —       (1,836 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,000,010  
Reinvestments     —       38,112       —       1,836  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,038,122       —       1,001,846  
Total Increase/(Decrease) in Net Assets     99,152       1,035,366       92,040       990,713  
                                 
Net Assets:                                
Beginning of the period     1,035,366       —       990,713       —  
End of the period   $ 1,134,518     $ 1,035,366     $ 1,082,753     $ 990,713  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       3,827       —       186  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       103,828       —       100,187  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

 

177 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

          Milliman 1-Year Buffered  
    Milliman 1-Year Floored S&P     S&P 500 & Nasdaq with  
    500 with Par Up Outcome     Stacker Cap Outcome Fund  
    Fund – Dec     - Jan  
          Period           Period  
    Six Months     December     Six Months     January 10,  
    Ended June     12, 2022(a)     Ended June     2022(a) to  
    30, 2023     to December     30, 2023     December 31,  
    (Unaudited)     31, 2022     (Unaudited)     2022  
Operations:                        
Net Investment income/(loss)   $ 7,600     $ 1,464     $ 5,561     $ (1,339 )
Net realized gain/(loss)     —       —       (121,008 )     —  
Net change in unrealized appreciation/(depreciation)     104,380       (24,571 )     211,305       (156,012 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     111,980       (23,107 )     95,858       (157,351 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,144 )     —       —  
Total distributions to shareholders     —       (1,144 )     —       —  
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,250,080       —       1,000,159  
Reinvestments     —       1,144       —       —  
Cost of shares redeemed     (1,577 )     (152 )     —       (147 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (1,577 )     1,251,072       —       1,000,012  
Total Increase/(Decrease) in Net Assets     110,403       1,226,821       95,858       842,661  
                                 
Net Assets:                                
Beginning of the period     1,226,821       —       842,661       —  
End of the period   $ 1,337,224     $ 1,226,821     $ 938,519     $ 842,661  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       125,008       —       100,016  
Shares reinvested     —       116       —       —  
Shares redeemed     (155 )     (15 )     —       (15 )
Net Increase/(Decrease)     (155 )     125,109       —       100,001  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

178

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 & Nasdaq with     S&P 500 & Nasdaq with  
    Stacker Cap Outcome Fund     Stacker Cap Outcome Fund  
    - Feb     - Mar  
          Period              
    Six Months     February 10,     Six Months     Period March  
    Ended June     2022(a) to     Ended June     10, 2022(a)  
    30, 2023     December 31,     30, 2023     to December  
    (Unaudited)     2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 5,905     $ (544 )   $ 5,906     $ 274  
Net realized gain/(loss)     (82,176 )     —       (79,658 )     —  
Net change in unrealized appreciation/(depreciation)     196,389       (127,771 )     176,146       (117,301 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     120,118       (128,315 )     102,394       (117,027 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     26,750       1,000,015       —       1,000,010  
Cost of Shares redeemed     (120 )     (4 )     —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     26,630       1,000,011       —       1,000,010  
Total Increase/(Decrease) in Net Assets     146,748       871,696       102,394       882,983  
                                 
Net Assets:                                
Beginning of the period     871,696       —       882,983       —  
End of the period   $ 1,018,444     $ 871,696     $ 985,377     $ 882,983  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     2,917       100,002       —       100,001  
Shares redeemed     (13 )     (1 )     —       —  
Net Increase/(Decrease)     2,904       100,001       —       100,001  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

179

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 & Nasdaq with     S&P 500 & Nasdaq with  
    Stacker Cap Outcome Fund     Stacker Cap Outcome Fund  
    - Apr     - May  
    Six Months     Period April     Six Months     Period May  
    Ended June     11, 2022(a)     Ended June     10, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 6,006     $ 1,214     $ 6,411     $ 1,715  
Net realized gain/(loss)     (85,616 )     —       48,837       —  
Net change in unrealized appreciation/(depreciation)     167,573       (132,853 )     81,172       (53,065 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     87,963       (131,639 )     136,420       (51,350 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (871 )     —       (1,371 )
Total distributions to shareholders     —       (871 )     —       (1,371 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,035,010       —       1,000,010  
Reinvestments     —       871       —       1,371  
Cost of shares redeemed     (202 )     (279 )     —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (202 )     1,035,602       —       1,001,381  
Total Increase/(Decrease) in Net Assets     87,761       903,092       136,420       948,660  
                                 
Net Assets:                                
Beginning of the period     903,092       —       948,660       —  
End of the period   $ 990,853     $ 903,092     $ 1,085,080     $ 948,660  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       103,574       —       100,001  
Shares reinvested     —       100       —       143  
Shares redeemed     (22 )     (31 )     —       —  
Net Increase/(Decrease)     (22 )     103,643       —       100,144  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

180

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 & Nasdaq with     S&P 500 & Nasdaq with  
    Stacker Cap Outcome Fund     Stacker Cap Outcome Fund  
    - Jun     - Jul  
    Six Months     Period June     Six Months     Period July  
    Ended June     10, 2022(a)     Ended June     11, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 6,208     $ 2,151     $ 6,382     $ 2,203  
Net realized gain/(loss)     100,955       —       —       —  
Net change in unrealized appreciation/(depreciation)     42,024       (28,847 )     128,001       (28,738 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     149,187       (26,696 )     134,383       (26,535 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,790 )     —       (1,841 )
Total distributions to shareholders     —       (1,790 )     —       (1,841 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,003,182  
Reinvestments     —       1,790       —       1,841  
Cost of shares redeemed     —       —       (136 )     (16 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,001,800       (136 )     1,005,007  
Total Increase/(Decrease) in Net Assets     149,187       973,314       134,247       976,631  
                                 
Net Assets:                                
Beginning of the period     973,314       —       976,631       —  
End of the period   $ 1,122,501     $ 973,314     $ 1,110,878     $ 976,631  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,310  
Shares reinvested     —       182       —       188  
Shares redeemed     —       —       (13 )     (2 )
Net Increase/(Decrease)     —       100,183       (13 )     100,496  

 

(a) Commencement of Operations

(b) Class 3

  

The accompanying notes are an integral part of these financial statements.

 

181

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 & Nasdaq with     S&P 500 & Nasdaq with  
    Stacker Cap Outcome Fund     Stacker Cap Outcome Fund  
    - Aug     - Sep  
                      Period  
    Six Months     Period August     Six Months     September  
    Ended June     10, 2022(a)     Ended June     12, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 6,520     $ 2,231     $ 6,524     $ 2,286  
Net change in unrealized appreciation/(depreciation)     145,765       (100,845 )     160,010       (61,003 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     152,285       (98,614 )     166,534       (58,717 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (1,892 )     —       (1,924 )
Total distributions to shareholders     —       (1,892 )     —       (1,924 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,002,411       —       1,000,013  
Reinvestments     —       1,892       —       1,924  
Cost of Shares redeemed     (14 )     (11 )     (3 )     —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (14 )     1,004,292       (3 )     1,001,937  
Total Increase/(Decrease) in Net Assets     152,271       903,786       166,531       941,296  
                                 
Net Assets:                                
Beginning of the period     903,786       —       941,296       —  
End of the period   $ 1,056,057     $ 903,786     $ 1,107,827     $ 941,296  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,241       —       100,001  
Shares reinvested     —       209       —       204  
Shares redeemed     (1 )     (1 )     —       —  
Net Increase/(Decrease)     (1 )     100,449       —       100,205  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

182

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Buffered     Milliman 1-Year Buffered  
    S&P 500 & Nasdaq with     S&P 500 & Nasdaq with  
    Stacker Cap Outcome Fund     Stacker Cap Outcome Fund  
    - Oct     - Nov  
          Period           Period  
    Six Months     October 10,     Six Months     November  
    Ended June     2022(a) to     Ended June     10, 2022(a)  
    30, 2023     December 31,     30, 2023     to December  
    (Unaudited)     2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 5,661     $ 2,970     $ 5,669     $ 1,964  
Net change in unrealized appreciation/(depreciation)     113,402       48,001       136,550       (13,714 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     119,063       50,971       142,219       (11,750 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (2,852 )     —       (1,850 )
Total distributions to shareholders     —       (2,852 )     —       (1,850 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,000,010  
Reinvestments     —       2,852       —       1,850  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,002,862       —       1,001,860  
Total Increase/(Decrease) in Net Assets     119,063       1,050,981       142,219       988,260  
                                 
Net Assets:                                
Beginning of the period     1,050,981       —       988,260       —  
End of the period   $ 1,170,044     $ 1,050,981     $ 1,130,479     $ 988,260  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       273       —       187  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       100,274       —       100,188  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

183

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 1-Year Buffered              
    S&P 500 & Nasdaq with     Milliman 6-Year Buffered  
    Stacker Cap Outcome Fund     S&P 500 with Par Up  
    - Dec     Outcome Fund – Jan (I)  
          Period           Period  
    Six Months     December     Six Months     January 10,  
    Ended June     12, 2022(a)     Ended June     2022(a) to  
    30, 2023     to December     30, 2023     December 31,  
    (Unaudited)     31, 2022     (Unaudited)     2022  
Operations:                        
Net Investment income/(loss)   $ 5,953     $ 1,066     $ 8,810     $ 12,884  
Net change in unrealized appreciation/(depreciation)     136,706       (28,235 )     95,805       (191,380 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     142,659       (27,169 )     104,615       (178,496 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (925 )     —       (12,822 )
Total distributions to shareholders     —       (925 )     —       (12,822 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,000,010       —       1,000,010  
Reinvestments     —       925       —       12,822  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     —       1,000,935       —       1,012,832  
Total Increase/(Decrease) in Net Assets     142,659       972,841       104,615       821,514  
                                 
Net Assets:                                
Beginning of the period     972,841       —       821,514       —  
End of the period   $ 1,115,500     $ 972,841     $ 926,129     $ 821,514  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,001       —       100,001  
Shares reinvested     —       95       —       1,595  
Shares redeemed     —       —       —       —  
Net Increase/(Decrease)     —       100,096       —       101,596  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

184

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman 6-Year Buffered     Milliman 6-Year Buffered  
    S&P 500 with Par Up     S&P 500 with Par Up  
    Outcome Fund – Apr (I)     Outcome Fund – Jul (I)  
    Six Months     Period April     Six Months     Period July  
    Ended June     11, 2022(a)     Ended June     11, 2022(a)  
    30, 2023     to December     30, 2023     to December  
    (Unaudited)     31, 2022     (Unaudited)     31, 2022  
Operations:                        
Net Investment income/(loss)   $ 17,112     $ 20,778     $ 23,683     $ 19,269  
Net realized gain/(loss)     —       (76,076 )     —       138  
Net change in unrealized appreciation/(depreciation)     201,943       (151,981 )     353,492       (96,000 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     219,055       (207,279 )     377,175       (76,593 )
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (20,611 )     —       (44,588 )
Total distributions to shareholders     —       (20,611 )     —       (44,588 )
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       2,674,530       —       2,800,000  
Reinvestments     —       20,611       —       44,588  
Cost of Shares redeemed     (4,841 )     (870,498 )     (11,472 )     (69,296 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (4,841 )     1,824,643       (11,472 )     2,775,292  
Total Increase/(Decrease) in Net Assets     214,214       1,596,753       365,703       2,654,111  
                                 
Net Assets:                                
Beginning of the period     1,596,753       —       2,654,111       —  
End of the period   $ 1,810,967     $ 1,596,753     $ 3,019,814     $ 2,654,111  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       281,814       —       273,662  
Shares reinvested     —       2,366       —       4,597  
Shares redeemed     (523 )     (101,973 )     (1,110 )     (6,857 )
Net Increase/(Decrease)     (523 )     182,207       (1,110 )     271,402  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

185

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

                Milliman     Milliman  
                6-Year     6-Year  
                Buffered S&P     Buffered S&P  
    Milliman 6-Year Buffered     500 with Par     500 with Par  
    S&P 500 with Par Up     Up Outcome     Up Outcome  
    Outcome Fund — Oct (I)     Fund - Jan (II)     Fund - Apr (II)  
                Period        
          Period     January 10,     Period April  
    Six Months     October 10,     2023(a)     10, 2023(a)  
    Ended June     2022(a) to     to June     to June 30,  
    30, 2023     December 31,     30, 2023     2023  
    (Unaudited)     2022     (Unaudited)     (Unaudited)  
Operations:                                
Net Investment income/(loss)   $ 9,662     $ 4,855     $ 9,922     $ 4,748  
Net change in unrealized appreciation/(depreciation)     123,638       1,918       56,034       57,270  
Net Increase/(Decrease) in Net Assets Resulting from Operations     133,300       6,773       65,956       62,018  
                                 
Distributions to Shareholders:                                
Distributions to shareholders     —       (10,816 )     —       —  
Total distributions to shareholders     —       (10,816 )     —       —  
                                 
Capital Share Transactions:(b)                                
Proceeds from shares sold     —       1,001,121       1,000,010       1,000,010  
Reinvestments     —       10,816       —       —  
Cost of Shares redeemed     (7 )     (3 )     —       —  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (7 )     1,011,934       1,000,010       1,000,010  
Total Increase/(Decrease) in Net Assets     133,293       1,007,891       1,065,966       1,062,028  
                                 
Net Assets:                                
Beginning of the period     1,007,891       —       —       —  
End of the period   $ 1,141,184     $ 1,007,891     $ 1,065,966     $ 1,062,028  
                                 
Change in Shares Outstanding:(b)                                
Shares sold     —       100,112       100,001       100,001  
Shares reinvested     —       1,094       —       —  
Shares redeemed     (1 )     (1 )     —       —  
Net Increase/(Decrease)     (1 )     101,205       100,001       100,001  

 

(a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

 

186

Milliman Variable Insurance Trust

 

Financial Highlights

 

    Per Share Operating Performance (for a share outstanding throughout each period)   Ratios/Supplemental Data:  
          Investment Operations:     Distributions:                       Ratio to Average Net Assets of: (a)        
    Net Asset Value, Beginning of Period   Net investment income/ (loss) (b)     Net realized and unrealized gain/(loss)     Total From Investment Operations     From net investment income     From realized gains     Total Distributions     Net Asset Value, End of Period     Total return (c)     Net assets, end of period (000)   Expenses, gross (d)     Expenses, net (d)(e)     Net investment income/ (loss)     Portfolio turnover rate (f)  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul                
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 7.84‌   0.05     0.79‌     0.84     —     —‌     —     $ 8.68‌     10.71 %   $ 1,027‌     5.97 %   0.97 %     1.31 %   50 %
For the period 1/10/22 (g) - 12/31/22   $ 10.00‌   (0.01 )   (2.15 )   (2.16 )   —     —‌     —     $ 7.84‌     (21.60 )%   $ 930‌     12.96 %   0.97 %     (0.09 )%   15 %
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug                            
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.20‌   0.06     0.56‌     0.62     —     —‌     —     $ 8.82‌     7.56 %   $ 1,520‌     4.98 %   0.97 %     1.37 %   55 %
For the period 2/10/22 (g) - 12/31/22   $ 10.00‌   0.00 (h)   (1.80 )   (1.80 )   —     —‌     —     $ 8.20‌     (18.00 )%   $ 1,416‌     8.78 %   0.97 %     0.03 %   7 %
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.64‌   0.06     1.04‌     1.10     —     —‌     —     $ 9.74‌     12.73 %   $ 1,104‌     6.01 %   0.97 %     1.34 %   56 %
For the period 3/10/22 (g) - 12/31/22   $ 10.00‌   0.00 (h)   (1.36 )   (1.36 )   (0.00 )(h)   —‌     (0.00 )   $ 8.64‌     (13.59 )%   $ 981‌     7.76 %   0.97 %     0.06 %   7 %
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.79‌   0.05     0.79‌     0.84     —     —‌     —     $ 9.63‌     9.56 %   $ 1,216‌     5.68 %   0.97 %     1.20 %   41 %
For the period 4/11/22 (g) - 12/31/22   $ 10.00‌   0.02     (1.21 )   (1.19 )   (0.02 )   —‌     (0.02 )   $ 8.79‌     (11.91 )%   $ 1,111‌     7.08 %   0.97 %     0.31 %   67 %
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.08‌   0.05     0.78‌     0.83     —     —‌     —     $ 9.91‌     9.14 %   $ 1,695‌     4.47 %   0.97 %     1.17 %   42 %
For the period 5/10/22 (g) - 12/31/22   $ 10.00‌   0.03     (0.93 )   (0.90 )   (0.02 )   —‌     (0.02 )(i)   $ 9.08‌     (8.95 )%   $ 1,558‌     6.79 %   0.97 %     0.51 %   58 %
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.52‌   0.06     0.99‌     1.05     —     —‌     —     $ 10.57‌     11.03 %   $ 1,196‌     5.90 %   0.97 %     1.28 %   42 %
For the period 6/10/22 (g) - 12/31/22   $ 10.00‌   0.03     (0.47 )   (0.44 )   (0.02 )   (0.02 )   (0.04 )(i)   $ 9.52‌     (4.29 )%   $ 1,078‌     7.74 %   0.97 %     0.46 %   68 %
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ $7.70‌   0.05     0.85‌     0.90     —     —‌     —     $ 8.60‌     11.69 %   $ 860‌     7.13 %   0.97 %     1.27 %   50 %
For the period 1/10/22 (g) - 12/31/22   $ 10.00‌   (0.02 )   (2.28 )   (2.30 )   —     —‌     —     $ 7.70‌     (23.00 )%   $ 770‌     14.17 %   0.97 %     (0.25 )%   17 %
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 7.75‌   0.06     0.62‌     0.68     —     —‌     —     $ 8.43‌     8.77 %   $ 1,271‌     5.42 %   0.97 %     1.46 %   56 %
For the period 2/10/22 (g) - 12/31/22   $ 10.00‌   0.01     (2.26 )   (2.25 )   (0.00 )(h)   —‌     (0.00 )   $ 7.75‌     (22.46 )%   $ 1,176‌     11.74 %   0.97 %     0.12 %   0 %
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.36‌   0.06     0.83‌     0.89     —     —‌     —     $ 9.25‌     10.65 %   $ 925‌     7.01 %   0.97 %     1.30 %   57 %
For the period 3/10/22 (g) - 12/31/22   $ 10.00‌   (0.00 )(h)   (1.64 )   (1.64 )   —     —‌     —     $ 8.36‌     (16.40 )%   $ 836‌     8.73 %   0.97 %     (0.04 )%   8 %
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.67‌   0.06     0.79‌     0.85     —     —‌     —     $ 9.52‌     9.80 %   $ 954‌     6.96 %   0.97 %     1.24 %   41 %
For the period 4/11/22 (g) - 12/31/22   $ 10.00‌   0.02     (1.33 )   (1.31 )   (0.02 )   —‌     (0.02 )   $ 8.67‌     (13.14 )%   $ 868‌     8.52 %   0.97 %     0.26 %   68 %

 

The accompanying notes are an integral part of these financial statements.

 

187 

 

Milliman Variable Insurance Trust

 

Financial Highlights 

 

    Per Share Operating Performance (for a share outstanding throughout each period)   Ratios/Supplemental Data:  
          Investment Operations:     Distributions:                       Ratio to Average Net Assets of: (a)        
    Net Asset Value, Beginning of Period   Net investment income/ (loss) (b)     Net realized and unrealized gain/(loss)     Total From Investment Operations     From net investment income     From realized gains     Total Distributions     Net Asset Value, End of Period     Total return (c)     Net assets, end of period (000)   Expenses, gross (d)     Expenses, net (d)(e)     Net investment income/ (loss)     Portfolio turnover rate (f)  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.00‌   0.06     0.79‌     0.85     —     —‌     —     $ 9.85‌     9.44 %   $ 987‌     6.85 %   0.97 %     1.33 %   42 %
For the period 5/10/22 (g) - 12/31/22   $ 10.00‌   0.02     (1.00 )   (0.98 )   (0.02 )   —‌     (0.02 )   $ 9.00‌     (9.80 )%   $ 902‌     8.30 %   0.97 %     0.34 %   67 %
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.52‌   0.07     0.97‌     1.04     —     —‌     —     $ 10.56‌     10.92 %   $ 1,059‌     6.68 %   0.97 %     1.38 %   42 %
For the period 6/10/22 (g) - 12/31/22   $ 10.00‌   0.02     (0.48 )   (0.46 )   (0.02 )   —‌     (0.02 )   $ 9.52‌     (4.53 )%   $ 954‌     8.37 %   0.97 %     0.45 %   69 %
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul          
For the period 1/10/23 (g) - 6/30/23 (Unaudited)   $ 10.00‌   0.06     0.46‌     0.52     —     —‌     —     $ 10.52‌     5.20 %   $ 1,052‌     7.52 %   0.97 %     1.35 %   0 %
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug            
For the period 2/10/23 (g) - 6/30/23 (Unaudited)   $ 10.00‌   0.05     0.39‌     0.44     —     —‌     —     $ 10.44‌     4.40 %   $ 1,044‌     7.97 %   0.97 %     1.42 %   0 %
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep          
For the period 3/10/23 (g) - 6/30/23 (Unaudited)   $  10.00‌   0.04     0.54‌     0.58     —     —‌     —     $  10.58‌     5.80 %   $ 1,059‌     7.96 %   0.97 %     1.37 %   0 %
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct            
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 10.18‌   0.06     0.63‌     0.69     —     —‌     —     $  10.87‌     6.78 %   $ 1,124‌     7.06 %   0.97 %     1.23 %   41 %
For the period 10/10/22 (g) - 12/31/22   $  10.00‌   0.03     0.49‌     0.52     (0.03 )   (0.31 )   (0.34 )   $ 10.18‌     5.23 %   $ 1,053‌     11.13 %   0.97 %     1.38 %   0 %
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 10.02‌   0.06     1.00‌     1.06     —     —‌     —     $ 11.08‌     10.58 %   $ 1,631‌     5.50 %   0.97 %     1.14 %   42 %
For the period 11/10/22 (g) - 12/31/22   $ 10.00‌   0.03     0.01 (j)   0.04     (0.02 )   —‌     (0.02 )(i)   $ 10.02‌     0.44 %   $ 1,479‌     10.30 %   0.97 %     1.82 %   0 %
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.86‌   0.06     0.94‌     1.00     —     —‌     —     $  10.86‌     10.14 %   $ 1,087‌     7.85 %   0.97 %     1.23 %   42 %
For the period 12/12/22 (g) - 12/31/22   $ 10.00‌   0.01     (0.14 )   (0.13 )   (0.01 )   —‌     (0.01 )   $ 9.86‌     (1.30 )%   $ 987‌     25.36 %   0.97 %     2.49 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.41‌   0.06     1.00‌     1.06     —     —‌     —     $ 9.47‌     12.60 %   $ 947‌     6.63 %   0.97 %     1.26 %   58 %
For the period 1/10/22 (g) - 12/31/22   $ 10.00‌   (0.01 )   (1.58 )   (1.59 )   —     —‌     —     $ 8.41‌     (15.90 )%   $ 841‌     13.72 %   0.97 %     (0.16 )%   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.72‌   0.06     1.05‌     1.11     —     —‌     —     $ 9.83‌     12.73 %   $ 983‌     6.77 %   0.97 %     1.30 %   35 %
For the period 2/10/22 (g) - 12/31/22   $ 10.00‌   (0.01 )   (1.27 )   (1.28 )   —     —‌     —     $ 8.72‌     (12.80 )%   $ 872‌     13.23 %   0.97 %     (0.07 )%   0 %

 

The accompanying notes are an integral part of these financial statements.

 

188 

 

Milliman Variable Insurance Trust

 

Financial Highlights 

 

    Per Share Operating Performance (for a share outstanding throughout each period)   Ratios/Supplemental Data:  
          Investment Operations:     Distributions:                       Ratio to Average Net Assets of: (a)        
    Net Asset Value, Beginning of Period   Net investment income/ (loss) (b)     Net realized and unrealized gain/(loss)     Total From Investment Operations     From net investment income     From realized gains     Total Distributions     Net Asset Value, End of Period     Total return (c)     Net assets, end of period (000)   Expenses, gross (d)     Expenses, net (d)(e)     Net investment income/ (loss)     Portfolio turnover rate (f)  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.83   0.06     1.43     1.49     –     –     –     $ 10.32     16.87 %   $ 1,032     6.48 %   0.97 %     1.23 %   37 %
For the period 3/10/22 (g) - 12/31/22   $ 10.00   0.00 (h)   (1.17 )   (1.17 )   –     –     –     $ 8.83     (11.70 )%   $ 883     8.47 %   0.97 %     0.03 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr              
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.74   0.06     1.00     1.06     –     –     –     $ 9.80     12.13 %   $ 996     6.69 %   0.97 %     1.24 %   45 %
For the period 4/11/22 (g) - 12/31/22   $ 10.00   0.01     (1.26 )   (1.25 )   (0.01 )   –     (0.01 )   $ 8.74     (12.53 )%   $ 902     8.27 %   0.97 %     0.16 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.35   0.06     0.68     0.74     –     –     –     $ 10.09     7.91 %   $ 1,011     6.65 %   0.97 %     1.31 %   35 %
For the period 5/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.66 )   (0.64 )   (0.01 )   –     (0.01 )   $ 9.35     (6.37 )%   $ 936     8.08 %   0.97 %     0.27 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.56   0.06     0.83     0.89     –     –     –     $ 10.45     9.31 %   $ 1,046     6.58 %   0.97 %     1.29 %   36 %
For the period 6/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.44 )   (0.42 )   (0.02 )   –     (0.02 )   $ 9.56     (4.23 )%   $ 958     8.17 %   0.97 %     0.38 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.62   0.06     0.93     0.99     –     –     –     $ 10.61     10.29 %   $ 1,077     6.56 %   0.97 %     1.30 %   0 %
For the period 7/11/22 (g) - 12/31/22   $ 10.00   0.02     (0.32 )   (0.30 )   (0.02 )   (0.06 )   (0.08 )   $ 9.62     (2.98 )%   $ 977     8.46 %   0.97 %     0.45 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.01   0.06     0.59     0.65     –     –     –     $ 9.66     7.21 %   $ 974     7.16 %   0.97 %     1.39 %   0 %
For the period 8/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.99 )   (0.97 )   (0.02 )   –     (0.02 )   $ 9.01     (9.72 )%   $ 909     9.59 %   0.97 %     0.61 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.33   0.07     0.93     1.00     –     –     –     $ 10.33     10.72 %   $ 1,035     6.83 %   0.97 %     1.38 %   0 %
For the period 9/12/22 (g) - 12/31/22   $ 10.00   0.02     (0.67 )   (0.65 )   (0.02 )   –     (0.02 )   $ 9.33     (6.51 )%   $ 935     10.22 %   0.97 %     0.80 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct              
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.97   0.05     1.20     1.25     –     –     –     $ 11.22     12.54 %   $ 1,196     5.94 %   0.97 %     1.02 %   0 %
For the period 10/10/22 (g) - 12/31/22   $ 10.00   0.03     0.60     0.63     (0.03 )   (0.63 )   (0.66 )   $ 9.97     6.27 %   $ 1,062     10.69 %   0.97 %     1.22 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov            
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.80   0.06     1.04     1.10     –     –     –     $ 10.90     11.22 %   $ 1,093     6.44 %   0.97 %     1.14 %   0 %
For the period 11/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.20 )   (0.18 )   (0.02 )   –     (0.02 )   $ 9.80     (1.82 )%   $ 982     14.13 %   0.97 %     1.42 %   0 %
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.67   0.06     1.06     1.12     –     –     –     $ 10.79     11.58 %   $ 1,080     6.86 %   0.97 %     1.22 %   0 %
For the period 12/12/22 (g) - 12/31/22   $ 10.00   0.01     (0.33 )   (0.32 )   (0.01 )   –     (0.01 )   $ 9.67     (3.21 )%   $ 968     29.72 %   0.97 %     2.22 %   0 %

 

The accompanying notes are an integral part of these financial statements.

 

189 

 

Milliman Variable Insurance Trust

 

Financial Highlights

 

    Per Share Operating Performance (for a share outstanding throughout each period)   Ratios/Supplemental Data:  
          Investment Operations:     Distributions:                       Ratio to Average Net Assets of: (a)        
    Net Asset Value, Beginning of Period   Net investment income/ (loss) (b)     Net realized and unrealized gain/(loss)     Total From Investment Operations     From net investment income     From realized gains     Total Distributions     Net Asset Value, End of Period     Total return (c)     Net assets, end of period (000)   Expenses, gross (d)     Expenses, net (d)(e)     Net investment income/ (loss)     Portfolio turnover rate (f)  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan                
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.19   0.05     0.57     0.62     —     —     —     $ 8.81     7.57 %   $ 881     7.01 %   0.97 %     1.28 %   61 %
For the period 1/10/22 (g) - 12/31/22   $ 10.00   (0.01 )   (1.80 )   (1.81 )   —     —     —     $ 8.19     (18.10 )%   $ 819     13.76 %   0.97 %     (0.15 )%   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.30   0.05     0.32     0.37     —     —     —     $ 8.67     4.46 %   $ 867     7.43 %   0.97 %     1.27 %   39 %
For the period 2/10/22 (g) - 12/31/22   $ 10.00   (0.01 )   (1.69 )   (1.70 )   —     —     —     $ 8.30     (17.00 )%   $ 830     13.25 %   0.97 %     (0.07 )%   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.51   0.05     0.52     0.57     —     —     —     $ 9.08     6.70 %   $ 908     7.03 %   0.97 %     1.18 %   41 %
For the period 3/10/22 (g) - 12/31/22   $ 10.00   0.00 (h)   (1.49 )   (1.49 )   —     —     —     $ 8.51     (14.90 )%   $ 851     8.52 %   0.97 %     0.03 %   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr            
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.51   0.05     0.26     0.31     —     —     —     $ 8.82     3.64 %   $ 937     6.94 %   0.97 %     1.25 %   48 %
For the period 4/11/22 (g) - 12/31/22   $ 10.00   0.01     (1.49 )   (1.48 )   (0.01 )   —     (0.01 )   $ 8.51     (14.80 )%   $ 904     8.11 %   0.97 %     0.20 %   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.17   0.06     0.73     0.79     —     —     —     $ 9.96     8.62 %   $ 997     6.74 %   0.97 %     1.30 %   35 %
For the period 5/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.84 )   (0.82 )   (0.01 )   —     (0.01 )   $ 9.17     (8.16 )%   $ 919     8.20 %   0.97 %     0.28 %   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.42   0.07     0.78     0.85     —     —     —     $ 10.27     9.02 %   $ 1,029     6.69 %   0.97 %     1.34 %   37 %
For the period 6/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.58 )   (0.56 )   (0.02 )   —     (0.02 )   $ 9.42     (5.62 )%   $ 944     8.29 %   0.97 %     0.41 %   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul            
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.50   0.07     0.74     0.81     —     —     —     $ 10.31     8.53 %   $ 1,033     6.79 %   0.97 %     1.33 %   0 %
For the period 7/11/22 (g) - 12/31/22   $ 10.00   0.02     (0.50 )   (0.48 )   (0.02 )   —     (0.02 )   $ 9.50     (4.81 )%   $ 952     8.67 %   0.97 %     0.49 %   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.05   0.06     0.52     0.58     —     —     —     $ 9.63     6.41 %   $ 965     7.28 %   0.97 %     1.37 %   0 %
For the period 8/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.95 )   (0.93 )   (0.02 )   —     (0.02 )   $ 9.05     (9.31 )%   $ 907     9.59 %   0.97 %     0.63 %   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.40   0.07     0.80     0.87     —     —     —     $ 10.27     9.26 %   $ 1,029     6.85 %   0.97 %     1.39 %   0 %
For the period 9/12/22 (g) - 12/31/22   $ 10.00   0.02     (0.60 )   (0.58 )   (0.02 )   —     (0.02 )   $ 9.40     (5.80 )%   $ 942     10.13 %   0.97 %     0.83 %   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.97   0.06     0.90     0.96     —     —     —     $ 10.93     9.63 %   $ 1,135     6.13 %   0.97 %     1.10 %   0 %
For the period 10/10/22 (g) - 12/31/22   $ 10.00   0.03     0.32     0.35     (0.03 )   (0.35 )   (0.38 )   $ 9.97     3.52 %   $ 1,035     10.98 %   0.97 %     1.29 %   0 %

 

The accompanying notes are an integral part of these financial statements.

 

190 

 

Milliman Variable Insurance Trust

 

Financial Highlights

 

    Per Share Operating Performance (for a share outstanding throughout each period)   Ratios/Supplemental Data:  
          Investment Operations:     Distributions:                       Ratio to Average Net Assets of: (a)        
    Net Asset Value, Beginning of Period   Net investment income/ (loss) (b)     Net realized and unrealized gain/(loss)     Total From Investment Operations     From net investment income     From realized gains     Total Distributions     Net Asset Value, End of Period     Total return (c)     Net assets, end of period (000)   Expenses, gross (d)     Expenses, net (d)(e)     Net investment income/ (loss)     Portfolio turnover rate (f)  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov              
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.89   0.06     0.86     0.92     —     —     —     $ 10.81     9.30 %   $ 1,083     6.49 %   0.97 %     1.13 %   0 %
For the period 11/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.11 )   (0.09 )   (0.02 )   —     (0.02 )   $ 9.89     (0.92 )%   $ 991     14.08 %   0.97 %     1.41 %   0 %
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.81   0.06     0.83     0.89     —     —     —     $ 10.70     9.07 %   $ 1,337     5.83 %   0.97 %     1.21 %   0 %
For the period 12/12/22 (g) - 12/31/22   $ 10.00   0.01     (0.19 )   (0.18 )   (0.01 )   —     (0.01 )   $  9.81     (1.81 )%   $ 1,227     23.71 %   0.97 %     2.40 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.43   0.06     0.90     0.96     —     —     —     $ 9.39     11.39 %   $ 939     6.74 %   0.97 %     1.26 %   57 %
For the period 1/10/22 (g) - 12/31/22   $ 10.00   (0.01 )   (1.56 )   (1.57 )   —     —     —     $ 8.43     (15.70 )%   $ 843     13.86 %   0.97 %     (0.16 )%   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.72   0.06     1.12     1.18     —     —     —     $ 9.90     13.53 %   $ 1,018     6.75 %   0.97 %     1.25 %   47 %
For the period 2/10/22 (g) - 12/31/22   $ 10.00   (0.01 )   (1.27 )   (1.28 )   —     —     —     $ 8.72     (12.80 )%   $ 872     13.38 %   0.97 %     (0.07 )%   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.83   0.06     0.96     1.02     —     —     —     $ 9.85     11.55 %   $ 985     6.73 %   0.97 %     1.27 %   38 %
For the period 3/10/22 (g) - 12/31/22   $ 10.00   0.00 (h)   (1.17 )   (1.17 )   —     —     —     $ 8.83     (11.70 )%   $ 883     8.59 %   0.97 %     0.04 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr              
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.71   0.06     0.79     0.85     —     —     —     $ 9.56     9.76 %   $ 991     6.77 %   0.97 %     1.28 %   44 %
For the period 4/11/22 (g) - 12/31/22   $ 10.00   0.01     (1.29 )   (1.28 )   (0.01 )   —     (0.01 )   $ 8.71     (12.82 )%   $ 903     8.42 %   0.97 %     0.18 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May            
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.47   0.06     1.31     1.37     —     —     —     $ 10.84     14.47 %   $ 1,085     6.45 %   0.97 %     1.26 %   49 %
For the period 5/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.54 )   (0.52 )   (0.01 )   —     (0.01 )   $  9.47     (5.16 )%   $ 949     8.21 %   0.97 %     0.27 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun            
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.72   0.06     1.42     1.48     —     —     —     $ 11.20     15.23 %   $ 1,123     6.37 %   0.97 %     1.17 %   32 %
For the period 6/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.28 )   (0.26 )   (0.02 )   —     (0.02 )   $  9.72     (2.62 )%   $ 973     8.31 %   0.97 %     0.39 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.72   0.06     1.28     1.34     —     —     —     $ 11.06     13.79 %   $ 1,111     6.51 %   0.98 %     1.21 %   0 %
For the period 7/11/22 (g) - 12/31/22   $ 10.00   0.02     (0.28 )   (0.26 )   (0.02 )   —     (0.02 )   $ 9.72     (2.62 )%   $ 977     8.73 %   0.97 %     0.47 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug            
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.00   0.06     1.45     1.51     —     —     —     $ 10.51     16.78 %   $ 1,056     7.10 %   0.97 %     1.35 %   0 %
For the period 8/10/22 (g) - 12/31/22   $ 10.00   0.02     (1.00 )   (0.98 )   (0.02 )   —     (0.02 )   $ 9.00     (9.81 )%   $ 904     9.80 %   0.97 %     0.62 %   0 %

 

The accompanying notes are an integral part of these financial statements.

 

191 

 

Milliman Variable Insurance Trust

 

Financial Highlights 

 

    Per Share Operating Performance (for a share outstanding throughout each period)   Ratios/Supplemental Data:  
          Investment Operations:     Distributions:                       Ratio to Average Net Assets of: (a)        
    Net Asset Value, Beginning of Period   Net investment income/ (loss) (b)     Net realized and unrealized gain/(loss)     Total From Investment Operations     From net investment income     From realized gains     Total Distributions     Net Asset Value, End of Period     Total return (c)     Net assets, end of period (000)   Expenses, gross (d)     Expenses, net (d)(e)     Net investment income/ (loss)     Portfolio turnover rate (f)  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep              
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.39   0.07     1.60     1.67     —     —     —     $ 11.06     17.78 %   $ 1,108     6.69 %   0.97 %     1.28 %   0 %
For the period 9/12/22 (g) - 12/31/22   $ 10.00   0.02     (0.61 )   (0.59 )   (0.02 )   —     (0.02 )   $ 9.39     (5.91 )%   $ 941     10.36 %   0.97 %     0.81 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct                        
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 10.48   0.06     1.13     1.19     —     —     —     $ 11.67     11.35 %   $ 1,170     6.02 %   0.97 %     1.02 %   0 %
For the period 10/10/22 (g) - 12/31/22   $ 10.00   0.03     0.48     0.51     (0.03 )   —     (0.03 )   $ 10.48     5.09 %   $ 1,051     11.10 %   0.97 %     1.28 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.86   0.06     1.36     1.42     —     —     —     $ 11.28     14.40 %   $ 1,130     6.41 %   0.97 %     1.07 %   0 %
For the period 11/10/22 (g) - 12/31/22   $ 10.00   0.02     (0.14 )   (0.12 )   (0.02 )   —     (0.02 )   $ 9.86     (1.22 )%   $ 988     14.34 %   0.97 %     1.43 %   0 %
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec                    
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.72   0.06     1.36     1.42     —     —     —     $ 11.14     14.61 %   $ 1,116     6.79 %   0.97 %     1.14 %   0 %
For the period 12/12/22 (g) - 12/31/22   $ 10.00   0.01     (0.28 )   (0.27 )   (0.01 )   —     (0.01 )   $ 9.72     (2.71 )%   $ 973     29.94 %   0.97 %     2.21 %   0 %
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I)                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.09   0.09     0.94     1.03     —     —     —     $ 9.12     12.73 %   $ 926     6.26 %   0.92 %     2.05 %   0 %
For the period 1/10/22 (g) - 12/31/22   $ 10.00   0.13     (1.91 )   (1.78 )   (0.13 )   —     (0.13 )   $ 8.09     (17.81 )%   $ 822     13.45 %   0.92 %     1.53 %   10 %
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I)                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.76   0.09     1.12     1.21     —     —     —     $ 9.97     13.81 %   $ 1,811     4.32 %   0.93 %     2.05 %   0 %
For the period 4/11/22 (g) - 12/31/22   $ 10.00   0.12     (1.25 )   (1.13 )   (0.11 )   —     (0.11 )   $ 8.76     (11.25 )%   $ 1,597     5.37 %   0.93 %     1.81 %   38 %
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I)                  
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.78   0.09     1.30     1.39     —     —     —     $ 11.17     14.21 %   $ 3,020     3.71 %   0.94 %     1.70 %   0 %
For the period 7/11/22 (g) - 12/31/22   $ 10.00   0.08     (0.13 )   (0.05 )   (0.07 )   (0.10 )   (0.17 )   $ 9.78     (0.52 )%   $ 2,654     4.67 %   0.94 %     1.73 %   9 %
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I)              
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.96   0.10     1.22     1.32     —     —     —     $ 11.28     13.25 %   $ 1,141     6.21 %   0.94 %     1.83 %   0 %
For the period 10/10/22 (g) - 12/31/22   $ 10.00   0.05     0.02     0.07     (0.05 )   (0.06 )   (0.11 )   $ 9.96     0.69 %   $ 1,008     10.90 %   0.94 %     2.16 %   8 %
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)                  
For the period 1/10/23 (g) - 6/30/23 (Unaudited)   $ 10.00   0.10     0.56     0.66     —     —     —     $ 10.66     6.60 %   $ 1,066     7.54 %   0.93 %     2.14 %   6 %
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)              
For the period 4/10/23 (g) - 6/30/23 (Unaudited)   $ 10.00   0.05     0.57     0.62     —     —     —     $ 10.62     6.20 %   $ 1,062     7.42 %   0.93 %     2.15 %   7 %

 

(a) Annualized for periods less than one year.

 

The accompanying notes are an integral part of these financial statements.

 

192 

Milliman Variable Insurance Trust

 

Financial Highlights

 


 (b) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period.

(c) Total return is based on the change in net asset value of a share during the period, assumes reinvestment of dividends and distributions at net asset value and is not annualized for periods less than one year. Total return reflects waivers/reimbursements by the manager. Performance would have been lower had the waivers/reimbursements not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which the Funds serve as an underlying investment vehicle. If total return had taken these into account, performance would have been lower.

(d) Expense ratios do not include expenses of underlying funds in which the Funds invest.

(e) Net expenses reflect fee waivers and expense reimbursements by the Advisor.

(f) Not annualized for periods less than one year.

(g) Commencement of operations.

(h) Amount represents less than $0.005 per share.

(i) A portion of total distributions amounting to less than $0.005 per share is return of capital.

(j) Net realized and unrealized gain (loss) in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period and may not reconcile with the aggregate gain (loss) on the Statement of Operations due to share transactions for the period.

 

The accompanying notes are an integral part of these financial statements.

 

193 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

1. ORGANIZATION

 

Milliman Variable Insurance Trust (the “Trust”) was organized under the laws of the state of Delaware as a Delaware statutory trust on November 2, 2020, and is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2023, the Trust consisted of 66 operational series, 60 of which are presented herein (each, a “Fund” and collectively, the “Funds”). The remaining series are presented in separate reports. Each of the Funds is classified as non-diversified under the 1940 Act. Each Fund offers shares only to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. All shares of the Funds have equal rights and privileges. As of June 30, 2023, only Class 3 shares were offered, which have no front-end sales load, deferred sales charge, or redemption fee.

 

Each Fund utilizes options contracts, including FLexible EXchange® Options (“FLEX Options”), designed to produce certain pre-determined outcomes (“Outcomes”), over a six-month, one-year or six-year period (each, an “Outcome Period). The initial Outcome Period for each Fund began upon commencement of its operations. On the last business day of any stated Outcome Period, all of a Fund’s existing options contracts will expire and Milliman Financial Risk Management LLC (“Milliman”), the Funds’ investment adviser, will transact in a new set of options contracts on the same business day, which will commence a new Outcome Period.

 

The Funds and their respective commencement dates are as follows:

 

  Commencement of
Name   Operations
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul January 10, 2022
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug February 10, 2022
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep March 10, 2022
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct April 11, 2022
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov May 10, 2022
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec June 10, 2022
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul January 10, 2022
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug February 10, 2022
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep March 10, 2022
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct April 11, 2022
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov May 10, 2022
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jun/Dec June 10, 2022
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jan/Jul January 10, 2023
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Feb/Aug February 10, 2023
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Mar/Sep March 10, 2023
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct October 10, 2022
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov November 10, 2022
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec December 12, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan January 10, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb February 10, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar March 10, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr April 11, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May May 10, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun June 10, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul July 11, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug August 10, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep September 12, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct October 10, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov November 10, 2022
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec December 12, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan January 10, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb February 10, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar March 10, 2022

 

194 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

  Commencement of
Name   Operations
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr April 11, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May May 10, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun June 10, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul July 11, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug August 10, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep September 12, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct October 10, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov November 10, 2022
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec December 12, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jan January 10, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Feb February 10, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Mar March 10, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Apr April 11, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – May May 10, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jun June 10, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jul July 11, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Aug August 10, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Sep September 12, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Oct October 10, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Nov November 10, 2022
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Dec December 12, 2022
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I) January 10, 2022
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I) April 11, 2022
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I) July 11, 2022
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I) October 10, 2022
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (II) January 10, 2023
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (II) April 10, 2023

 

Each Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-month period.

 

Each Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while limiting losses to 50% of the losses associated with S&P 500 Index performance and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-month period.

 

Each Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and also producing a fixed rate of return if the value of the S&P 500 Index is unchanged or increases, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-month period.

 

Each Milliman 1- Year Buffered S&P 500 with Spread Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains that exceed a declared spread, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a one-year period.

 

Each Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while limiting losses associated with S&P 500 Index performance to 10% and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a one-year period. 

 

195 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

Each Milliman 1 -Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains up to a declared cap, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a one-year period. The Fund also seeks to provide upside exposure to the Nasdaq-100® Index up to a declared cap, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over the same period.

 

Each Milliman 6- Year Buffered S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 20% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-year period.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies.

 

Use of Estimates

 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

Computation of Net Asset Value

 

The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. ET) on each business day the NYSE is open for regular trading. If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time. If the NYSE closes early on a valuation day, a Fund shall determine NAV as of that time.

 

Valuation

 

The Board of Trustees of the Trust (the “Board”) has adopted Pricing and Valuation Procedures (“Valuation Procedures”) to be used for valuing all securities and other assets held by the Funds, including those for which market quotations are not readily available or are deemed not be reliable. The Board has designated Milliman as the valuation designee, which has established a pricing committee comprised of representatives of Milliman (the “Pricing Committee”) to provide input to Milliman in making fair value determinations in accordance with the Valuation Procedures.

 

Exchange-traded options, including FLEX Options, are valued at a market-based price provided by the exchange on which the options contract is traded at the official close of that exchange’s trading date. If the exchange on which the options contract is traded is unable to provide a market price, exchange -traded options prices will be provided by a model-pricing provider. Over- the-counter options, including certain binary options, are valued at the mean of the most recent bid and asked price, if available, or otherwise at their closing bid price. Otherwise, the value of an options contract will be determined by the Pricing Committee in accordance with the Valuation Procedures.

 

Equity securities, including shares of exchange-traded Funds (“ETFs”), listed on any national or foreign exchange (excluding the Nasdaq National Market (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) will be valued at the last sale price on the exchange on which they are principally traded, or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities.

 

Fixed income securities will generally be valued using a third-party pricing service vendor (a “Pricing Service”). Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination. 

 

196 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

Open-end investment companies, with the exception of ETFs, are valued at their respective NAVs.

 

The Funds’ accounting agent may obtain all market quotations used in valuing securities from Pricing Service. If no quotation can be obtained from a Pricing Service, then the Funds’ accounting agent will contact the Pricing Committee. The Pricing Committee will then attempt to obtain one or more broker quotes for the security or other asset daily and will value the security or other asset accordingly. If no quotation is available from either a Pricing Service, or one or more brokers, or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security or other asset held by a Fund for which reliable market quotations are not readily available will be determined by Milliman in a manner that most appropriately reflects fair market value of the security or other asset on the valuation date.

 

The Trust follows the authoritative guidance (GAAP) for fair value measurements, which established a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance established three tiers of inputs that may be used to measure fair value as follows:

 

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have 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 Funds’ 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.

 

The inputs used to value the Funds’ investments at June 30, 2023, are summarized at the end of each Fund’s Schedule of Investments. The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

Cash and cash equivalents

 

Cash and cash equivalents include amounts held in interest-bearing demand deposit accounts with the Funds’ custodian.

 

Offering Costs

 

Offering costs directly attributable to a series of the Trust are charged to that series, such as certain registration fees, while expenses which are attributable to more than one series are allocated among the respective series on a pro rata basis.

 

Offering costs are recorded as a deferred asset and amortized on a straight-line basis for a period of twelve months upon commencement of operations of each Fund. Offering costs include legal fees pertaining to the preparation, review and filing of each Fund’s initial registration statement with the SEC, and printing, mailing or other distribution charges related to each Fund’s prospectus and statement of additional information. Offering costs are subject to the Funds’ Expense Limitation Agreement (See Note 5).

 

Investment Transactions, Investment Income and Expenses

 

Investment transactions are accounted for on a trade date basis for financial reporting purposes. Realized gains and losses from investment transactions are recorded on an identified cost basis. Dividend income, if any, is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recognized on an accrual basis using the effective yield method.

 

Expenses are accrued daily. Expenses of the Trust, which are directly identifiable to a specific series, are applied to that series. Expenses which are not identifiable to a specific series are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.

 

 

197 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

In addition to the advisory fees and other expenses of the Funds, the Funds indirectly bear the investment management fees and other expenses of investment companies (underlying funds) in which they invest. The amount of these fees and expenses incurred indirectly by the Funds (“acquired fund fees and expenses”) will vary based upon the expense and fee levels of the underlying funds and the number of shares that are owned of the underlying funds at different times.

 

Distributions to Shareholders

 

Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to pay out dividends from their net investment income, if any, annually. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from GAAP. Distributions that exceed earnings and profits for tax purposes are reported as a return of capital.

 

3. DERIVATIVES

 

Disclosures about derivative instruments are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.

 

Each Fund seeks to achieve its investment objective and Outcomes by transacting in options contracts, including FLEX Options, to create layers within its portfolio. There is no guarantee that a Fund will be successful in its attempt to achieve its investment objective and/or Outcomes. FLEX Options are options contracts that trade on an exchange, but provide an investor with the ability to customize key contract terms like strike price, style and expiration date, while achieving price discovery (i.e., determining market prices) in competitive, transparent auctions markets and avoiding the counterparty exposure of over-the-counter options positions. Like traditional exchange-traded options, FLEX Options are guaranteed for settlement by the Options Clearing Corporation (“OCC”), a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts. While the Funds will primarily transact in FLEX Options, each Fund may utilize OTC options if no FLEX Options are available or appropriate for use in that Fund. OTC options are traded and privately negotiated in the OTC market and are subject to counterparty risk of the writer of the options contract. Many counterparties to OTC options are financial institutions, such as banks and broker-dealers, and their creditworthiness (and ability to pay or perform) may be negatively impacted by factors affecting financial institutions generally. The reference assets for each Fund’s options position will be a reference index or an ETF, including an ETF that seeks to track the performance of a reference index.

 

During the period ended June 30, 2023, certain Funds with six-month and one-year Outcome Periods transacted in options contracts on ETFs that provide exposure to fixed income securities to create a put spread (i.e., writing and purchasing options contracts on the same underlying asset) (the “Put Spread Strategy”). The Put Spread Strategy was used to seek to enhance the Fund's upside S&P 500 Index and/or secondary Reference Index options' exposure.

 

The Funds will purchase and sell call and put options. In general, put options give the holder (i.e., the buyer) the right to sell an asset (or deliver the cash value of the index, in case of an index put option) and the seller (i.e., the writer) of the put has the obligation to buy the asset (or receive cash value of the index, in case of an index put option) at a certain defined price. Call options give the holder (i.e., the buyer) the right to buy an asset (or receive cash value of the index, in case of an index call option) and the seller (i.e., the writer) the obligation to sell the asset (or deliver cash value of the index, in case of an index call option) at a certain defined price.

 

When a Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call or, if cash-settled, a gain or loss is realized. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, or the transfer of the relative cash amount if cash-settled, and the proceeds are decreased by the premium originally paid. Purchased options are non-income producing securities. 

 

198 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option written by the Fund is exercised, the premium received is added to the proceeds from the sale of the underlying security, or the transfer of the relevant cash amount if cash-settled, in determining whether the Fund has a realized a gain or loss. If a put option written by the Fund is exercised, the premium received reduces the cost basis of the securities purchased by the Fund if physical delivery is required, or the corresponding cash amount if cash-settled. The Fund, as a writer of an option, bears the market risk of an unfavorable change in the price of the asset underlying the written option. Risk of loss on written options may exceed amounts recognized on the Statements of Assets and Liabilities.

 

As of June 30, 2023, as collateral for its written options, the Funds pledged assets consisting of cash, cash equivalents, or liquid securities. Cash pledged is included as “Deposits at broker for written options” in the Statements of Assets and Liabilities. Securities pledged for written options are identified in each Fund’s Schedule of Investments.

 

In order to better define its contractual rights and to secure rights to help the Funds mitigate their counterparty risk, the Funds may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign currency exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of an ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

 

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

 

As of June 30, 2023, all of the FLEX Option contracts held by the Funds are fully funded and cash settled, therefore balance sheet offsetting under FASB ASC 210, Balance Sheet - Offsetting does not apply.

 

The Funds bear the risk that the OCC will be unable or unwilling to perform its obligations under the FLEX Options contracts. In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Funds could suffer significant losses. Additionally, FLEX Options may be less liquid than certain other securities such as standardized options. In less liquid markets for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices. The Funds may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The value of the underlying FLEX Options will be affected by, among others, changes in the value of the exchange, changes in interest rates, changes in the actual and implied volatility of the underlying asset and the remaining time to until the FLEX Options expire. The value of the FLEX Options does not increase or decrease at the same rate as the level of the underlying asset (although they generally move in the same direction). However, as a FLEX Option approaches its expiration date, its value typically increasingly moves with the value of the underlying asset.

 

The location and fair value amounts of derivatives on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in each Fund’s Schedule of Investments. The notional amounts of derivative instruments outstanding relative to each Fund’s net assets as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds. 

 

199 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

4. FEDERAL TAXES INFORMATION

 

No provision for federal income taxes has been made, as it is each Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986, as amended, and to distribute to shareholders each year, all of its taxable income and realized gains.

 

Each Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the tax returns are filed. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. The Funds do not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Funds did not incur any interest or penalties for the period ended June 30, 2023.

 

The amount and character of tax-basis distributions and composition of distributable earnings are finalized at fiscal year-end. Accordingly, tax-basis balances have not been determined as of the date of this report.

 

At June 30, 2023, the estimated cost of investments, including derivatives, and unrealized appreciation/depreciation for federal income tax purposes for each Fund were as follows:

 

        Gross   Gross     Net Unrealized  
    Cost of   Unrealized   Unrealized     Appreciation/  
    Investments   Appreciation     Depreciation     (Depreciation)  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul   $ 940,495   $    174,917   $ (105,392 )   $ 69,525  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug     1,436,056     160,238     (94,988 )     65,250  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep     982,916     218,269     (123,374 )     94,895  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct     1,145,539     126,148     (72,804 )     53,344  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov     1,598,417     176,642     (99,566 )     77,076  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec     1,170,475     61,279     (35,067)       26,212  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul     782,289     147,289     (86,214 )     61,075  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug     1,180,311     129,211     (73,970 )     55,241  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep     813,492     176,755     (98,071 )     78,684  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct     898,768     100,384     (56,625 )     43,759  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov     917,144     100,710     (56,337 )     44,373  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec     983,070     50,962     (27,950 )     23,012  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul     994,327     510,462     (464,480 )     45,982  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug     988,013     292,483     (253,674 )     38,809  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep     980,414     896,434     (842,192 )     54,242  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct     1,067,085     325,422     (289,411 )     36,011  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov     1,586,750     535,762     (494,030 )     41,732  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec     1,055,976     167,232     (155,952)       11,280  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan     842,453     166,233     (90,972)       75,261  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb     910,135     111,402     (60,192 )     51,210  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar     900,569     216,290     (109,271 )     107,019  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr     936,148     121,012     (62,777 )     58,235  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May     943,820     115,116     (58,439 )     56,677  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun     1,003,759     42,008     (20,002 )     22,006  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul     729,458     164,580     (102,638)       61,942  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug     734,344     33,762     (74,470 )     (40,708 )
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep     723,642     28,682     (2,805 )     25,877  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct     985,657     358,724     (171,123 )     187,601  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov     990,686     163,752     (79,029)       84,723  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec     993,713     144,695     (71,688 )     73,007  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan     804,073     118,111     (68,839 )     49,272  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb     827,272     70,019     (41,903 )     28,116  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar     823,553     160,093     (84,044 )     76,049  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr     899,355     78,456     (47,548 )     30,908  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May     948,801     84,151     (47,383)       36,768  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun     992,179     46,826     (22,493 )     24,333  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul     730,763     95,816     (71,768 )     24,048  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug     730,135     2,603     (46,474 )     (43,871 )

 

200 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

          Gross     Gross     Net Unrealized  
    Cost of     Unrealized     Unrealized     Appreciation/  
    Investments     Appreciation     Depreciation     (Depreciation)  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep   $ 721,534     $ 36,809     $ (17,017 )   $ 19,792  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct     984,570       267,320       (141,643 )     125,677  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov     990,316       137,979       (62,728 )     75,251  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec     1,236,002       150,248       (70,439 )     79,809  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan     853,324       383,993       (328,700 )     55,293  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb     938,299       328,952       (260,334 )     68,618  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar     901,435       399,111       (340,267 )     58,844  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr     946,145       223,670       (188,951 )     34,719  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May     1,032,503       222,705       (194,598 )     28,107  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun     1,092,617       61,997       (48,820 )     13,177  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul     725,783       328,186       (228,922 )     99,264  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug     733,593       61,566       (16,646 )     44,920  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep     724,140       101,813       (2,806 )     99,007  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct     984,508       617,583       (456,180 )     161,403  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov     990,194       367,164       (244,327 )     122,837  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec     993,951       339,512       (231,040 )     108,472  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I)     1,003,894       26,455       (122,032 )     (95,577 )
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I)     1,724,217       107,089       (57,126 )     49,963  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I)     2,707,533       303,624       (46,132 )     257,492  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I)     986,519       125,557       —       125,557  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)     989,003       74,996       (18,962 )     56,034  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)     985,312       74,144       (16,874 )     57,270  

 

For the period ended December 31, 2022, the tax character of distributions by the applicable Funds was as follows:

 

    Distributions paid from:          
            Net Long-              
    Net     Term           Total  
    Ordinary     Capital     Net Return     Distributions  
    Income     Gains     of Capital     Paid  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep   $ 95     $ —     $ —     $ 95  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct     2,432       —       —       2,432  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov     4,022       —       319       4,341  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec     3,806       1,526       453       5,785  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug     663       —       —       663  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct     1,570       —       —       1,570  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov     1,980       —       —       1,980  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec     2,385       —       358       2,743  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct     15,517       18,677       —       34,194  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov     3,384       —       182       3,566  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec     993       —       —       993  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr     749       —       —       749  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May     1,306       —       —       1,306  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun     1,737       —       —       1,737  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul     4,367       3,898       —       8,265  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug     1,860       —       —       1,860  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep     1,885       —       —       1,885  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct     27,861       37,631       —       65,492  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov     1,841       —       —       1,841  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec     918       —       —       918  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr     1,037       —       —       1,037  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May     1,378       —       —       1,378  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun     1,869       —       —       1,869  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul     1,897       —       —       1,897  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug     1,938       —       —       1,938  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep     1,994       —       —       1,994  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct     16,952       21,160       —       38,112  

 

201 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

    Distributions paid from:          
            Net Long-                  
    Net     Term             Total  
    Ordinary     Capital     Net Return     Distributions  
    Income     Gains     of Capital     Paid  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov   $ 1,836     $ —     $ —     $ 1,836  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec     1,144       —       —       1,144  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr     871       —       —       871  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May     1,371       —       —       1,371  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun     1,790       —       —       1,790  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul     1,841       —       —       1,841  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug     1,892       —       —       1,892  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep     1,924       —       —       1,924  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct     2,852       —       —       2,852  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov     1,850       —       —       1,850  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec     925       —       —       925  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I)     12,822       —       —       12,822  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I)     20,611       —       —       20,611  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I)     29,330       15,258       —       44,588  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I)     7,172       3,644       —       10,816  

 

5. ADVISORY FEES AND OTHER AGREEMENTS

 

The Trust has an Investment Advisory Agreement with Milliman to furnish investment advisory services to the Funds. Pursuant to the Investment Advisory Agreement, Milliman is entitled to receive, on a monthly basis, an annual advisory fee equal to 0.49% of each Fund's average daily net assets.

 

Milliman has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit each Fund’s total annual Fund operating expenses (which include any offering and organizational expenses, but exclude taxes, interest, brokerage fees and commissions, Rule 12b-1 fees, acquired fund fees and expenses, short-sale dividend expenses, and extraordinary or non-routine expenses not incurred in the ordinary course of each Fund’s business) to 0.74% of each Fund's average daily net assets (the “Expense Limitation Agreement”) until at least April 29, 2024. During its term, the Expense Limitation Agreement cannot be terminated or amended to increase the applicable limit without approval of the Board. Milliman may recoup from each Fund any advisory fees waived or expenses reimbursed pursuant to the applicable Expense Limitation Agreement for a period of three years from the date on which such waiver or reimbursement occurred; provided, however, that such recoupment shall not be made if it would cause the Fund’s total annual Fund operating expenses to exceed the lesser of (a) the expense limitation in effect at the time of the reimbursement, or (b) the expense limitation in effect at the time of recoupment, if any. No amounts were recouped during the period ended June 30, 2023. As of June 30, 2023, the amounts eligible for recoupment and the year of expiration are as follows:

 

    Recovery Expiring in:  
    2024     2025     2026     Total  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul   $ —     $ 108,417     $ 24,157     $ 132,574  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug     —       101,038       28,919       129,957  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep     —       56,262       25,954       82,216  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct     —       50,213       27,001       77,214  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov     —       45,493       27,955       73,448  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec     —       40,793       27,460       68,253  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul     —       109,230       24,769       133,999  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug     —       99,593       26,831       126,424  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep     —       56,173       26,249       82,422  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct     —       48,749       26,881       75,630  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov     —       44,544       27,270       71,814  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund - Jun/Dec     —       39,554       28,148       67,702  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul     —       —       31,072       31,072  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug     —       —       26,493       26,493  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep     —       —       21,595       21,595  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct     —       23,378       32,861       56,239  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov     —       17,299       34,999       52,298  

 

202 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

 

    Recovery Expiring in:  
    2024     2025     2026     Total  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec   $ —     $ 11,904     $ 35,522     $ 47,426  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan     —       107,952       24,817       132,769  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb     —       96,560       26,407       122,967  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar     —       55,673       25,893       81,566  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr     —       48,598       26,701       75,299  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May     —       44,120       27,181       71,301  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun     —       39,123       27,821       66,944  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jul     —       35,416       28,249       63,665  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Aug     —       30,913       28,901       59,814  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Sep     —       25,775       28,417       54,192  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Oct     —       22,984       27,393       50,377  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Nov     —       18,096       27,766       45,862  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Dec     —       13,816       29,562       43,378  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan     —       108,349       24,983       133,332  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb     —       96,862       26,531       123,393  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar     —       55,878       26,005       81,883  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr     —       49,250       26,785       76,035  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May     —       44,365       27,263       71,628  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun     —       39,316       27,946       67,262  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jul     —       35,558       28,554       64,112  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Aug     —       31,067       29,105       60,172  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Sep     —       25,894       28,546       54,440  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Oct     —       23,068       27,500       50,568  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Nov     —       18,159       28,022       46,181  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Dec     —       13,852       30,466       44,318  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jan     —       109,311       25,501       134,812  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Feb     —       98,075       27,110       125,185  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Mar     —       56,965       26,702       83,667  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Apr     —       50,149       27,168       77,317  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - May     —       45,195       27,747       72,942  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jun     —       40,075       28,389       68,464  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Jul     —       36,248       29,044       65,292  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Aug     —       31,577       29,551       61,128  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Sep     —       26,316       29,010       55,326  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Oct     —       23,377       27,912       51,289  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Nov     —       18,360       28,627       46,987  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund - Dec     —       13,969       30,176       44,145  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (I)     —       105,018       22,640       127,658  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (I)     —       50,214       27,805       78,019  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jul (I)     27,309       41,102       37,659       106,070  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Oct (I)     —       22,233       27,586       49,819  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)     —       —       30,347       30,347  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)     —       —       14,224       14,224  

 

In addition to the Expense Limitation Agreement, Milliman has contractually agreed to waive its advisory fees in an amount equal to each Fund’s acquired fund fees and expenses until at least April 29, 2024. Amounts waived under this agreement are separately shown on each Fund’s Statement of Operations and may not be recouped by Milliman. This contract cannot be terminated or modified for a Fund without the consent of the Board.

 

U.S. Bancorp Fund Services, LLC d/b/a U.S. Bank Global Fund Services, a subsidiary of U.S. Bancorp, serves as each Fund’s fund accountant, administrator, and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp, serves as the Funds’ custodian pursuant to a custody agreement. Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ distributor pursuant to a distribution agreement. 

 

203 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

The Trust has adopted a Distribution Plan under Rule 12b-1 (“Rule 12b -1 Plan”) of the 1940 Act with respect to each Fund’s Class 3 shares. The Rule 12b-1 Plan permits each Fund to pay the Distributor, as the Funds’ principal underwriter, for expenses associated with the distribution of Class 3 shares of the Funds. Under the Rule 12b-1 Plan, the Distributor is paid an annual fee of 0.25% of the average daily net assets of Class 3 shares. All Rule 12b-1 Plan payments received by the Distributor shall be used solely for distribution-related expenses and shall not be retained as profit by the Distributor. Accordingly, no compensation is payable by the Funds to the Distributor for such distribution services. However, Milliman has entered into an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the distribution agreement. The payments made by Milliman to the Distributor do not represent an additional expense to the Funds or their shareholders.

 

Certain employees of Foreside Fund Officer Services, LLC, an affiliate of the Distributor, serve as Treasurer and Principal Financial Officer and Chief Compliance Officer and Anti-Money Laundering Officer to the Trust.

 

Certain Trustees and Officers of the Trust are also Officers or employees of Milliman, and during their terms of office, receive no compensation from the Funds.

 

6. INVESTMENT TRANSACTIONS

 

Purchases and sales of investments, excluding short-term obligations and U.S. Government Securities, for the period ended June 30, 2023, by the applicable Funds were as follows:

 

    Purchases     Sales  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul   $ 230,994     $ 260,559  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug     353,557       417,236  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep     244,806       271,420  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct     21,879       —  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov     5,942       109  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec     25,031       —  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul     191,657       215,283  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug     296,321       357,001  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep     206,901       238,667  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct     16,829       —  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov     5,240       —  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jun/Dec     22,127       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jan/Jul     331,952       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Feb/Aug     331,833       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Mar/Sep     331,314       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct     20,190       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov     32,548       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec     27,511       —  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan     202,401       265,419  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb     217,804       261,461  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar     216,349       258,666  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr     227,188       270,574  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May     226,341       259,075  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun     242,875       250,590  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan     193,514       268,649  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb     197,953       268,715  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar     197,702       265,427  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr     216,018       283,792  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May     228,355       258,423  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun     238,710       252,045  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jan     202.797       265,261  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Feb     227.879       261,461  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Mar     216.633       258,608  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Apr     228.231       269,462  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – May     248.686       250,692  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jun     264,520       242,741  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (II)     858,641       63,382  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (II)     867,414       74,238  

 

204 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

Purchases and sales of investments of U.S. Government Securities, for the period ended June 30, 2023, by the applicable Funds were as follows:

 

    Purchases     Sales  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jan/Jul   $ 231,196     $ —  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Feb/Aug     353,793       —  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Mar/Sep     245,069       —  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Apr/Oct     286,429       264,305  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – May/Nov     396,787       390,732  
Milliman 6-Month Buffered S&P 500 with Par Up Outcome Fund – Jun/Dec     288,645       275,622  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jan/Jul     191,931       —  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Feb/Aug     296,496       —  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Mar/Sep     207,132       —  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Apr/Oct     224,120       207,106  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – May/Nov     230,837       225,853  
Milliman 6-Month Parred Down S&P 500 with Par Up Outcome Fund – Jun/Dec     247,519       235,830  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jan/Jul     244,217       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Feb/Aug     243,870       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Mar/Sep     243,735       —  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Apr/Oct     269,749       248,300  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – May/Nov     392,384       366,703  
Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund – Jun/Dec     262,656       247,241  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jan     203,108       —  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Feb     218,129       —  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Mar     216,950       —  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Apr     227,571       3,450  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – May     226,817       —  
Milliman 1-Year Buffered S&P 500 with Spread Outcome Fund – Jun     242,759       —  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jan     194,033       —  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Feb     198,204       —  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Mar     198,267       —  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Apr     216,355       —  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – May     228,731       —  
Milliman 1-Year Floored S&P 500 with Par Up Outcome Fund – Jun     238,570       —  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jan     203,395       —  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Feb     218,304       —  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Mar     217,236       —  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Apr     228,625       —  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – May     249,212       —  
Milliman 1-Year Buffered S&P 500 & Nasdaq with Stacker Cap Outcome Fund – Jun     264,464       —  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Jan (II)     192,301       —  
Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund – Apr (II)     191,900       —  

 

7. BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of that Fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, American General Life Insurance Company directly owned greater than 25% of the outstanding shares of each Fund.

 

8. RISKS

 

The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Assets may decline in value due to factors affecting financial markets generally or particular asset classes or industries represented in the markets. The value of a FLEX Option or other asset may also decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or due to factors that affect a particular issuer, country, region, market, industry, sector or asset class.

 

The principal risks of investing in the Funds are described more fully in the Funds’ prospectus. 

 

205 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

9. GUARANTEES AND INDEMNIFICATIONS

 

In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred.

 

10. SUBSEQUENT EVENTS

 

Management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that no additional items require recognition or disclosure. 

 

206 

 

Milliman Variable Insurance Trust

 

Additional Information (Unaudited)

June 30, 2023

 

1. INFORMATION ABOUT PROSPECTUS

 

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–855–700–7959 or visiting www.millimanfunds.com.

 

2. PROXY VOTING POLICIES AND PROCEDURE

 

The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–855–700–7959 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.

 

3. INFORMATION ABOUT PORTFOLIO SECURITIES

 

Each Fund’s complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Part F of Form N-PORT. The Trust’s Part F of Form N-PORT is available without charge, upon request, by calling 1-855-700-7959, or on the SEC’s website at www.sec.gov. The Trust’s Part F of Form N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. 

 

207 

 

Statement Regarding the Funds’ Liquidity Risk Management Program (Unaudited)

June 30, 2023

 

Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires each registered open-end management investment company to adopt and implement a liquidity risk management program that is reasonably designed to assess and manage its liquidity risk. Milliman Variable Insurance Trust (the “Trust”) has adopted a liquidity risk management program (the “Program”), on behalf of each of its series (each, a “Fund,” and collectively, the “Funds”), which is designed to meet the requirements of the Liquidity Rule. The Board of Trustees of the Trust (the “Board”) has appointed Milliman Financial Risk Management LLC, investment adviser to the Funds (the “Program Administrator”), to serve as the administrator for the Program.

 

As required by the Liquidity Rule, the Program includes policies and procedures providing for an assessment, no less frequently than annually, of each Fund’s liquidity risk. The Liquidity Rule and the Program also requires that each of a Fund’s portfolio investments (including a Fund’s derivatives holdings) be classified as a highly liquid investment, moderately liquid investment, less liquid investment, or illiquid investment. In accordance with the Liquidity Rule and the Program, any Fund that does not primarily hold assets that are highly liquid investments must determine a highly liquid investment minimum (“HLIM”), which is the minimum percentage of net assets that such Fund must invest in highly liquid investments. In addition, under the Liquidity Rule and the Program, no Fund may acquire any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments (including derivatives holdings) that are assets.

 

Pursuant to the Liquidity Rule and the Program, the Program Administrator is required to provide an annual report to the Board on the adequacy of the Program and the effectiveness of its implementation, including, if applicable, the operation of the HLIM, and any material changes to the Program (the “Annual Report”). At a meeting of the Board held on May 9, 2023 (the “Meeting”), the Program Administrator presented the Annual Report to the Board, which covered the period ending March 31, 2023 (the “Reporting Period”). The Program Administrator reported that during the Reporting Period, the Program operated effectively in all material respects and that the existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with the Liquidity Rule. The Program Administrator also reported that there were no material changes to the Program during the Reporting Period, and none were being proposed to the Board at the Meeting. Further, the Annual Report stated that the Program Administrator was comfortable with the liquidity levels for all Funds and believed that the securities (including derivatives holdings) in which the Program Administrator trades on behalf of the Funds, as investment adviser to the Funds, can be classified as highly liquid. 

 

208 

 

Milliman Variable Insurance Trust

 

Board Considerations Regarding Approval of Investment Management Agreements

June 30, 2023 (Unaudited)

 

At a meeting held on August 9, 2022 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of the Milliman Variable Insurance Trust (the “Trust”), including the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Trust (the “Independent Trustees”), voting separately, reviewed and unanimously approved the Investment Advisory Agreement (the “Investment Advisory Agreement”) between Milliman Financial Risk Management LLC (the “Adviser”) and the Trust, on behalf of the series of the Trust identified on Appendix A (each, a “Fund,” and collectively, the “Funds”).

 

During the Meeting, the Independent Trustees had met in executive session with counsel and had discussed the proposed Investment Advisory Agreement and the requirements under the 1940 Act that apply to the Board’s consideration and approval of that agreement. In considering the Investment Advisory Agreement, the Board, including the Independent Trustees, reviewed the Board materials and other information from counsel and from the Adviser, including: (i) a copy of the form of Investment Advisory Agreement; (ii) information describing the nature, quality and extent of the services proposed to be provided by the Adviser to the Funds; (iii) information concerning the financial condition, business, operations, and compliance programs of the Adviser, as well as the portfolio management team of the Adviser proposed to manage each Fund’s portfolio; (iv) information describing each Fund’s proposed investment advisory fee and operating expenses; (v) a copy of the current Form ADV for the Adviser; and (vi) a memorandum from Trust counsel regarding the responsibilities of the Trustees in considering investment advisory arrangements under the 1940 Act. The Board also considered presentations made by, and discussions held with, representatives of the Adviser. The Board also received information comparing the proposed advisory fees and expenses of each Fund to other investment companies being offered to insurance company separate accounts that also utilize similar investment strategies, although management stated that they did not view these other investment companies as being an appropriate peer comparison because those other investment companies utilize simpler strategies with larger options components.

 

During its review of this information, the Board focused on and analyzed the factors that the Board deemed relevant, including: (i) the nature, extent and quality of the services expected to be provided to each Fund by the Adviser; (ii) the Adviser’s personnel and operations; (iii) the Funds’ proposed expense levels; (iv) any “fall- out” benefits to the Adviser (i.e., the ancillary benefits that would be realized by the Adviser from its relationship with the Trust); (v) the effect of asset growth on a Fund’s expenses; and (vi) possible conflicts of interest.

 

The Board, including the Independent Trustees, considered the following in respect of the Funds:

 

(a)        The nature, extent and quality of services proposed to be provided to the Funds by the Adviser, including personnel and operations of the Adviser. The Board reviewed the services that the Adviser proposed to provide to the Funds. The Board noted the responsibilities that the Adviser would have as each Fund’s investment adviser, including: the responsibility for the management and investment of the Fund’s portfolio; executing portfolio security and other asset trades; monitoring compliance with the Fund’s investment objective, policies and limitations; the responsibility for quarterly reporting to the Board; the oversight of general portfolio compliance with relevant law; and the implementation of Board directives as they relate to the Funds.

 

The Board reviewed the Adviser’s experience in managing other portfolios, including other series of the Trust. Based on its consideration and review of the foregoing information, the Board determined that the Funds were likely to benefit from the nature, quality and extent of the services proposed to be provided by the Adviser.

 

(b)        Comparison of services expected to be provided and fees to be paid, and the cost of the services to be provided and profits to be realized by the Adviser from its relationship with the Funds; “fall -out” benefits. The Board compared both the services proposed to be provided to the Funds by the Adviser, and the related fees to those of other investment advisers with respect to similar funds. In particular, the Board considered each Fund’s proposed advisory fee and projected expense ratio to other investment companies that the Adviser considered to be similar to the Funds, even if not necessarily in the same peer group due to the unique strategies proposed to be implemented by the Adviser in managing the Funds. The Board noted that the Adviser proposed to enter into

 

209 

 

Milliman Variable Insurance Trust

 

Board Considerations Regarding Approval of Investment Management Agreements

June 30, 2023 (Unaudited)

 

Expense Limitation Agreements whereby the Adviser would waive its advisory fees and/or reimburses expenses to keep each Fund’s expenses from exceeding certain levels. The Board also considered the additional fee waiver agreement, pursuant to which the Adviser would waive its advisory fee in an amount equal to the acquired fund fees and expenses incurred by each Fund. The Board noted that because of the Expense Limitation Agreements and fee waiver agreement, the Adviser would likely supplement a portion of each Fund’s operating expenses for a period of time and considered the resulting benefits that would accrue to the Funds. After considering each Fund’s proposed fees, and in light of the nature, quality and extent of services proposed to be provided by the Adviser, and the costs expected to be incurred by the Adviser in providing those services, the Board concluded that the level of fees proposed to be paid to the Adviser with respect to the Funds was fair and reasonable. Because the Funds were not yet operational, the Board did not consider the Adviser’s projected profitability. 

 

The Board considered that the Adviser may experience certain “fall-out” benefits based on the potential success of the Funds and/or the Trust, but that such benefits are not presently quantifiable. The Board noted that the Trust’s service providers are not affiliated with the Adviser, so that such services do not give rise to “fall-out” benefits for the Adviser.

 

(c)           The extent to which economies of scale would be realized as the Funds grow, and whether fee levels would reflect such economies of scale. The Board discussed potential economies of scale. Because the Funds had not commenced operations, and the eventual amount of Fund assets was uncertain, the Adviser was not able to provide the Board with specific information concerning the extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale, if any. The Board recognized the uncertainty in launching new investment products and estimating future asset levels.

 

(d)           Investment performance of the Funds and of the Adviser. Because the Funds were newly formed and had not commenced operations, the Board did not consider the investment performance of the Funds. The Board considered the performance of the Adviser and its portfolio managers in managing the existing series of the Trust. The Board specifically took into consideration information provided by the Adviser relating to other investment companies that the Adviser manages, and the performance of those funds.

 

Conclusion. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board concluded that the proposed advisory fees and projected total expense ratios for the Funds were reasonable in relation to the services proposed to be provided by the Adviser to the Funds, as well as the costs to be incurred and benefits to be gained by the Adviser in providing such services. The Board also found the proposed advisory fees to be reasonable in comparison to the fees charged by advisers to other similar funds, as well as other series of the Trust. After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the Investment Advisory Agreement on behalf of each Fund. 

 

210 

 

Milliman Variable Insurance Trust

 

Board Considerations Regarding Approval of Investment Management Agreements

June 30, 2023 (Unaudited)

 

Appendix A

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Jan (II)

 

Milliman 6-Year Buffered S&P 500 with Par Up Outcome Fund - Apr (II)

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Jan/Jul

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Feb/Aug

 

Milliman 6-Month Buffered S&P 500 with Trigger Outcome Fund - Mar/Sep 

 

211 

 

INVESTMENT ADVISER

Milliman Financial Risk Management LLC 

71 S. Wacker Drive, 31st Floor 

Chicago, IL 60606

 

ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT 

U.S. Bancorp Fund Services, LLC 

615 East Michigan Street 

Milwaukee, WI 53202

 

DISTRIBUTOR 

Foreside Fund Services, LLC 

Three Canal Plaza 

Portland, ME 04101

 

CUSTODIAN 

U.S. Bank, N.A. 

1555 North RiverCenter Drive, Suite 302 

Milwaukee, WI 53212

 

LEGAL COUNSEL 

Stradley Ronon Stevens & Young LLP 

191 North Wacker Drive, Suite 1601 

Chicago, IL 60606 

and 

2005 Market Street, Suite 2600 

Philadelphia, PA 19103

 

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 

Cohen  & Company, Ltd. 

1350 Euclid Avenue, Suite 800 

Cleveland, Ohio 44115

 

 


 

 

Milliman Variable Insurance Trust

 

Structured Outcome Funds

 

Semi-Annual Report

 

June 30, 2023

The following series of Milliman Variable Insurance Trust are presented in this semi-annual report:

 

Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb 

Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I) 

Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)

TABLE OF CONTENTS

 

Expense Example 1
Schedules of Investments 3
Statements of Assets and Liabilities 9
Statements of Operations 10
Statements of Changes in Net Assets 11
Financial Highlights 14
Notes to Financial Statements 15
Additional Information 23
Statement Regarding the Funds’ Liquidity Risk Management Program 24

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended 

June 30, 2023 (Unaudited)

 

Each Fund sells its shares to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. The tables below do not include any fees or sales charges imposed by your variable product.

 

As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service (“12b-1”) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023.

 

Actual Expenses 

The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Actual
Expenses
Paid During
the Period (a)		  
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb#   $ 1,000.00     $ 1,108.90    
0.97 %   $ 5.07‌  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)#     1,000.00       1,119.70       0.93 %     4.89‌  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)#     1,000.00       1,130.60       0.94‌ %     4.97‌  

 

# Class 3 shares
* Expense ratio does not reflect the indirect expenses of underlying funds in which the Funds invest.
(a) Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (181) divided by the number of days in the fiscal year (365) to reflect the period from January 1, 2023 to June 30, 2023.

 

Hypothetical Example for Comparison Purposes 

The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. 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 the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. The Funds do not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table below is useful in comparing the ongoing costs only and will not help you determine the relative total costs of owning different funds. The Funds' expenses shown in the tables reflect fee waivers and reimbursements in effect.

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Hypothetical
Expenses
Paid During
the Period (a)		  
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb#   $ 1,000.00     $ 1,019.98       0.97 %   $ 4.86‌  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)#     1,000.00       1,020.18       0.93 %     4.66‌  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)#     1,000.00       1,020.13       0.94 %     4.71‌  
1

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended 

June 30, 2023 (Unaudited)

 


 # Class 3 shares

* Expense ratio does not reflect the indirect expenses of underlying funds in which the Funds invest.

(a) Expenses are equal to the Funds’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period).
2

Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 30.41%                
iShares 0-3 Month Treasury Bond ETF (a)     403     $ 40,554  
iShares iBoxx $ Investment Grade Corporate Bond ETF (a)     412       44,553  
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)     2,759       88,591  
Vanguard Intermediate-Term Corporate Bond ETF (a)     1,125       88,909  
Vanguard Short-Term Treasury ETF (a)     697       40,238  
TOTAL EXCHANGE TRADED FUNDS (Cost $309,071)             302,845  

 

    Principal        
    Amount        
U.S. TREASURY NOTE - 22.72%            
United States Treasury Note, 0.125%, 2/15/2024 (a)   $ 233,800       226,318  
TOTAL U.S. TREASURY NOTE (Cost $226,980)             226,318  

 

          Notional        
    Contracts     Amount        
PURCHASED OPTIONS - 116.76% (b)(c)                        
CALL OPTIONS - 116.70%                        
iShares MSCI EAFE ETF, Expires 2/12/2024, Strike Price $70.67     127     $ 920,750       70,756  
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $409.03     22       979,088       120,204  
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $0.39     22       979,088       971,562  
                      1,162,522  
PUT OPTIONS - 0.06%                        
S&P 500® Mini Index, Expires 2/12/2024, Strike Price $164.01     22       979,088       574  
TOTAL PURCHASED OPTIONS (Cost $994,808)                     1,163,096  
                         
Total Investments (Cost $1,530,859) - 169.89%                     1,692,259  
Liabilities in Excess of Other Assets - (69.89)%                     (696,220 )
TOTAL NET ASSETS - 100.00%                   $ 996,039  

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 $529,163.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN 

June 30, 2023 (Unaudited)

 

                    Notional        
Description   Expiration   Strike Price     Contracts     Amount     Value  
Call Options                                    
iShares MSCI EAFE ETF   2/12/2024   $ 75.69       127     $ (920,750 )   $ (30,890 )
S&P 500® Mini Index   2/12/2024     438.13       22       (979,088 )     (69,749 )
S&P 500® Mini Index   2/12/2024     164.01       22       (979,088 )     (624,338 )
                                  (724,977 )
Put Options                                    
S&P 500® Mini Index   2/12/2024     368.12       22       (979,088 )     (8,662 )
TOTAL OPTIONS WRITTEN (Premiums Received $616,237)     $ (733,639 )

 

The accompanying notes are an integral part of these financial statements.

3

 

Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

    Level 1     Level 2     Level 3     Total  
Assets                  
Exchange Traded Funds   $ 302,845     $ —     $ —     $ 302,845  
U.S. Treasury Note     —       226,318       —       226,318  
Purchased Options     —       1,163,096       —       1,163,096  
Total Assets   $ 302,845     $ 1,389,414     $ —     $ 1,692,259  
                                 
Liabilities                                
Options Written   $ —     $ 733,639     $ —     $ 733,639  
Total Liabilities   $ —     $ 733,639     $ —     $ 733,639  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 1,163,096     $ —     $ 1,163,096  
Liabilities - Written options   Options written, at value   $ 733,639     $ —     $ 733,639  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Realized Gain/(Loss) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ (265,305 )   $ 211,745     $ (53,560 )
Written options   Written Options   $ 247,271     $ (273,734 )   $ (26,463 )
        $ (18,034 )   $ (61,989 )   $ (80,023 )

  

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 440,826     $ (263,371 )   $ 177,455  
Written options   Written Options     (325,545 )     320,591       (4,954 )
        $ 115,281     $ 57,220     $ 172,501  

 

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     30.41 %
U.S. Treasury Note     22.72  
Purchased Options     116.76  
Total Investments     169.89  
Written Options     (73.65 )
Assets in Excess of Other Liabilities     3.76  
Net Assets     100.00 %

 

 The accompanying notes are an integral part of these financial statements.

 

4 

 

Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund - Apr (I)

 

Schedule of Investments 

June 30, 2023 (Unaudited) 

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 59.39%            
Invesco BulletShares 2028 Corporate Bond ETF (a)     3,783     $ 74,695  
Invesco BulletShares 2029 Corporate Bond ETF (a)     12,148       218,000  
iShares iBonds Dec 2028 Term Corporate ETF (a)     3,043       74,554  
iShares iBonds Dec 2029 Term Corporate ETF (a)     9,715       218,101  
TOTAL EXCHANGE TRADED FUNDS (Cost $616,654)             585,350  

  

    Principal
Amount		        
U.S. TREASURY NOTE - 19.88%            
United States Treasury Note, 1.250%, 4/30/2028 (a)   $ 224,400       195,969  
TOTAL U.S. TREASURY NOTE (Cost $208,336)             195,969  

  

    Contracts    

Notional

Amount

        
PURCHASED OPTIONS - 25.41% (b)(c)                        
CALL OPTIONS - 25.41%                        
S&P 500® Mini Index, Expires 4/10/2028, Strike Price $441.30     25     $ 1,112,600       250,492  
TOTAL PURCHASED OPTIONS (Cost $258,855)                     250,492  
                         
Total Investments (Cost $1,083,845) - 104.68%                     1,031,811  
Liabilities in Excess of Other Assets - (4.68)%                     (46,060 )
TOTAL NET ASSETS - 100.00%                   $ 985,751  

 

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 $781,319.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited) 

Description   Expiration     Strike Price     Contracts     Notional
Amount		     Value  
Put Options                                        
S&P 500® Mini Index     4/10/2028      $ 441.30       11     $ (489,544 )   $ (52,019 )
TOTAL OPTIONS WRITTEN (Premiums Received $68,775)                                   $ (52,019 )

  

The accompanying notes are an integral part of these financial statements.

 

5 

 

Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund - Apr (I)

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements): 

 

    Level 1     Level 2     Level 3     Total  
Assets                        
Exchange Traded Funds   $ 585,350     $ —     $ —     $ 585,350  
U.S. Treasury Note     —       195,969       —       195,969  
Purchased Options     —       250,492       —       250,492  
Total Assets   $ 585,350     $ 446,461     $ —     $ 1,031,811  
                                 
Liabilities                                
Options Written   $ —     $ 52,019     $ —     $ 52,019  
Total Liabilities   $ —     $ 52,019     $ —     $ 52,019  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 250,492     $ —     $ 250,492  
Liabilities - Written options   Options written, at value   $ 52,019     $ —     $ 52,019  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 66,057     $ —     $ 66,057  
Written options   Written Options  
25,703    
—    
25,703  
        $ 91,760     $ —     $ 91,760  

 

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     59.39 %
U.S. Treasury Note     19.88  
Purchased Options     25.41  
Total Investments     104.68  
Written Options     (5.28 )
Assets in Excess of Other Liabilities     0.60  
Net Assets     100.00 %

 

 The accompanying notes are an integral part of these financial statements.

 

6 

 

Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund - Jul (I)

 

Schedule of Investments 

June 30, 2023 (Unaudited) 

 

    Shares     Value  
EXCHANGE TRADED FUNDS - 50.35%                
Invesco BulletShares 2028 Corporate Bond ETF (a)     4,350     $ 85,891  
Invesco BulletShares 2029 Corporate Bond ETF (a)     14,051       252,149  
iShares iBonds Dec 2028 Term Corporate ETF (a)     3,489       85,480  
iShares iBonds Dec 2029 Term Corporate ETF (a)     11,160       250,542  
TOTAL EXCHANGE TRADED FUNDS (Cost $686,271)             674,062  

  

    Principal
Amount		        
U.S. TREASURY NOTE - 17.26%            
United States Treasury Note, 1.000%, 7/31/2028 (a)   $ 269,600       231,182  
TOTAL U.S. TREASURY NOTE (Cost $242,662)             231,182  

  

    Contracts     Notional
Amount		        
PURCHASED OPTIONS - 34.04% (b)(c)                        
CALL OPTIONS - 34.04%                        
S&P 500® Mini Index, Expires 7/10/2028, Strike Price $385.46     34     $ 1,513,136       455,835  
TOTAL PURCHASED OPTIONS (Cost $338,198)                     455,835  
                         
Total Investments (Cost $1,267,131) - 101.65%                     1,361,079  
Liabilities in Excess of Other Assets - (1.65)%                     (22,032 )
TOTAL NET ASSETS - 100.00%                   $ 1,339,047  

 

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 $905,244.

(b) Exchange-Traded.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited) 

Description   Expiration     Strike Price     Contracts    

Notional

Amount

     Value  
Put Options                                        
S&P 500® Mini Index     7/10/2028     $ 385.46       16     $ (712,064 )   $ (52,879 )
TOTAL OPTIONS WRITTEN (Premiums Received $78,708)                                   $ (52,879 )

  

The accompanying notes are an integral part of these financial statements.

 

7 

 

Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund - Jul (I)

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements): 

 

    Level 1     Level 2     Level 3     Total  
Assets                        
Exchange Traded Funds   $ 674,062     $ —     $ —     $ 674,062  
U.S. Treasury Note     —       231,182       —       231,182  
Purchased Options     —       455,835       —       455,835  
Total Assets   $ 674,062     $ 687,017     $ —     $ 1,361,079  
                                 
Liabilities                                
Options Written   $ —     $ 52,879     $ —     $ 52,879  
Total Liabilities   $ —     $ 52,879     $ —     $ 52,879  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

The location and value of derivative instruments (categorized by risk exposure) on the Statement of Assets and Liabilities as of June 30, 2023, was as follows:

 

    Location   Equity Risk     Interest Rate
Risk		     Total  
Assets - Purchased options   Investments, at value   $ 455,835     $ —     $ 455,835  
Liabilities - Written options   Options written, at value   $ 52,879     $ —     $ 52,879  

 

The location and effect of derivative instruments (categorized by risk exposure) on the Statement of Operations for the period ended June 30, 2023, was as follows:

 

    Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income  
    Location   Equity Risk     Interest Rate
Risk		     Total  
Purchased options   Investments   $ 108,766     $ —     $ 108,766  
Written options   Written Options  
28,991    
—    
28,991  
        $ 137,757     $ —     $ 137,757  

 

Portfolio Holdings Summary

 

Asset Type   % of Net
Assets		  
Exchange Traded Funds     50.35 %
U.S. Treasury Note     17.26  
Purchased Options     34.04  
Total Investments     101.65  
Written Options     (3.95 )
Assets in Excess of Other Liabilities     2.30  
Net Assets     100.00 %

 

 The accompanying notes are an integral part of these financial statements.

 

8 

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities

 June 30, 2023 (Unaudited)

 

    Milliman 1-Year
Buffered S&P
500 & MSCI
EAFE with
Stacker Cap
Outcome Fund
- Feb		     Milliman 6-Year
Parred Down
S&P 500 with
Par Up Outcome
Fund – Apr (I)		     Milliman 6-Year
Parred Down
S&P 500 with
Par Up Outcome
Fund – Jul (I)		  
Assets:                  
Investments, at value (a)   $ 1,692,259     $ 1,031,811     $ 1,361,079  
Cash and cash equivalents     44,010       10,909       35,494  
Dividends and interest receivable     309       554       1,282  
Due from Advisor     3,559       3,359       417  
Deposits at broker for written options     500       500       500  
Deferred offering costs     —       —       721  
Total Assets     1,740,637       1,047,133       1,399,493  
                         
Liabilities:                        
Options written, at value (b)     733,639       52,019       52,879  
Payable for fund shares redeemed     1       288       8  
Distribution fees payable     606       597       795  
Other liabilities     10,352       8,478       6,764  
Total Liabilities     744,598       61,382       60,446  
Net Assets   $ 996,039     $ 985,751     $ 1,339,047  
                         
Net Assets Consist of:                        
Paid-in capital   $ 1,029,323     $ 1,011,550     $ 1,240,888  
Total distributable earnings/(accumulated deficit)     (33,284 )     (25,799 )     98,159  
Net Assets   $ 996,039     $ 985,751     $ 1,339,047  
                         
Class 3                        
Net assets   $ 996,039     $ 985,751     $ 1,339,047  
Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     103,033       101,342       123,732  
Net asset value, offering price and redemption price per share   $ 9.67     $ 9.73     $ 10.82  
                         
(a) Cost of investments   $ 1,530,859     $ 1,083,845     $ 1,267,131  
(b) Premiums received     616,237       68,775       78,708  

 

The accompanying notes are an integral part of these financial statements.

 

9 

 

Milliman Variable Insurance Trust

 

Statements of Operations 

June 30, 2023

 

    Milliman 1-Year
Buffered S&P
500 & MSCI
EAFE with
Stacker Cap
Outcome Fund
- Feb		     Milliman 6-Year
Parred Down
S&P 500 with
Par Up Outcome
Fund – Apr (I)		     Milliman 6-Year
Parred Down
S&P 500 with
Par Up Outcome
Fund – Jul (I)		  
    Six Months
Ended June
30, 2023
(Unaudited)		     Six Months
Ended June
30, 2023
(Unaudited)		     Six Months
Ended June
30, 2023
(Unaudited)		  
Investment Income:                  
Dividends   $ 4,679     $ 10,567     $ 12,122  
Interest     6,285       3,509       4,694  
Total Investment Income     10,964       14,076       16,816  
                         
Expenses:                        
Investment advisory fees     2,310       2,289       3,035  
Accounting and administration fees     11,810       11,226       9,638  
Custody fees     894       453       128  
Transfer agent fees     3,197       3,189       2,744  
Distribution service fees     1,179       1,168       1,548  
Professional fees and expenses     5,518       5,631       6,205  
Trustees fees and expenses     237       152       210  
Pricing fees     2,292       1,424       1,421  
Licensing fees     1,763       259       310  
Offering costs     720       1,952       8,969  
Other expenses     300       706       1,708  
Total Expenses     30,220       28,449       35,916  
Waivers/expense reimbursement by Advisor     (25,552 )     (23,824 )     (29,785 )
Acquired fund fees and expenses waiver     (84 )     (294 )     (337 )
Net Expenses     4,584       4,331       5,794  
Net Investment Income/(Loss)     6,380       9,745       11,022  
                         
Realized and Unrealized Gain/(Loss):                        
Net realized gain/(loss) on:                        
Investments     (57,199 )     (360 )     —  
Options written     (26,463 )     —       —  
Net realized gain/(loss)     (83,662 )     (360 )     —  
Net change in unrealized appreciation/(depreciation) on:                        
Investments     180,272       71,694       114,671  
Options written     (4,954 )     25,703       28,991  
Net change in unrealized appreciation/(depreciation)     175,318       97,397       143,662  
Net realized and unrealized gain/(loss)     91,656       97,037       143,662  
Net Increase/(Decrease) in Net Assets From Operations   $ 98,036     $ 106,782     $ 154,684  

 

The accompanying notes are an integral part of these financial statements.

 

10 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets 

June 30, 2023

  

    Milliman 1-Year Buffered
S&P 500 & MSCI EAFE with
Stacker Cap Outcome Fund
- Feb		  
    Six Months
Ended June
30, 2023
(Unaudited)		     Period
February 10,
2022(a) to
December 31,
2022		  
Operations:            
Net Investment income/(loss)   $ 6,380     $ (223 )
Net realized gain/(loss)     (83,662 )     —  
Net change in unrealized appreciation/(depreciation)     175,318       (131,320 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     98,036       (131,543 )
                 
Capital Share Transactions:(b)                
Proceeds from shares sold     —       1,030,010  
Cost of shares redeemed     (175 )     (289 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (175 )     1,029,721  
Total Increase/(Decrease) in Net Assets     97,861       898,178  
                 
Net Assets:                
Beginning of the period     898,178       —  
End of the period   $ 996,039     $ 898,178  
                 
Change in Shares Outstanding:(b)                
Shares sold     —       103,084  
Shares redeemed     (19 )     (32 )
Net Increase/(Decrease)     (19 )     103,052  
                 
(a) Commencement of Operations                
(b) Class 3                

  

The accompanying notes are an integral part of these financial statements.

 

11 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets 

June 30, 2023

 

    Milliman 6-Year Parred
Down S&P 500 with Par Up
Outcome Fund – Apr (I)		  
    Six Months
Ended June
30, 2023
(Unaudited)		     Period April
11, 2022(a)
to December
31, 2022		  
Operations:            
Net Investment income/(loss)   $ 9,745     $ 11,941  
Net realized gain/(loss)     (360 )     —  
Net change in unrealized appreciation/(depreciation)     97,397       (132,675 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     106,782       (120,734 )
                 
Distributions to Shareholders:                
Distributions to shareholders     —       (11,847 )
Total distributions to shareholders     —       (11,847 )
                 
Capital Share Transactions:(b)                
Proceeds from shares sold     —       1,020,014  
Reinvestments     —       11,847  
Cost of shares redeemed     (20,148 )     (163 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (20,148 )     1,031,698  
Total Increase/(Decrease) in Net Assets     86,634       899,117  
                 
Net Assets:                
Beginning of the period     899,117       —  
End of the period   $ 985,751     $ 899,117  
                 
Change in Shares Outstanding:(b)                
Shares sold     —       102,061  
Shares reinvested     —       1,368  
Shares redeemed     (2,069 )     (18 )
Net Increase/(Decrease)     (2,069 )     103,411  
                 
(a) Commencement of Operations                
(b) Class 3                

 

The accompanying notes are an integral part of these financial statements.

 

12 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets 

June 30, 2023

 

    Milliman 6-Year Parred
Down S&P 500 with Par Up
Outcome Fund – Jul (I)		  
    Six Months
Ended June
30, 2023
(Unaudited)		     Period July
11, 2022(a)
to December
31, 2022		  
Operations:            
Net Investment income/(loss)   $ 11,022     $ 9,302  
Net realized gain/(loss)     —       5  
Net change in unrealized appreciation/(depreciation)     143,662       (23,885 )
Net Increase/(Decrease) in Net Assets Resulting from Operations     154,684       (14,578 )
                 
Distributions to Shareholders:                
Distributions to shareholders     —       (41,947 )
Total distributions to shareholders     —       (41,947 )
                 
Capital Share Transactions:(b)                
Proceeds from shares sold     —       1,250,000  
Reinvestments     —       41,947  
Cost of shares redeemed     (1,264 )     (49,795 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     (1,264 )     1,242,152  
Total Increase/(Decrease) in Net Assets     153,420       1,185,627  
                 
Net Assets:                
Beginning of the period     1,185,627       —  
End of the period   $ 1,339,047     $ 1,185,627  
                 
Change in Shares Outstanding:(b)                
Shares sold     —       124,531  
Shares reinvested     —       4,406  
Shares redeemed     (125 )     (5,080 )
Net Increase/(Decrease)     (125 )     123,857  
(a) Commencement of Operations                
(b) Class 3                

 

The accompanying notes are an integral part of these financial statements.

 

13 

 

Milliman Variable Insurance Trust

 

Financial Highlights

  

    Per Share Operating Performance (for a share outstanding throughout each period)   Ratios/Supplemental Data:  
        Investment Operations:   Distributions:               Ratio to Average Net Assets of: (a)      
    Net Asset
Value,
Beginning
of Period		   Net
investment
income/
(loss) (b)		   Net realized
and
unrealized
gain/(loss)		   Total From
Investment
Operations		   From net
investment
income		   From
realized
gains		   Total
Distributions		   Net Asset
Value, End
of Period		   Total
return (c)		   Net assets,
end of
period
(000)		   Expenses,
gross (d)		   Expenses,
net (d)(e)		   Net
investment
income/
(loss)		   Portfolio
turnover
rate (f)		  
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb          
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.72     0.06     0.89     0.95     —     —     —   $ 9.67     10.89 % $ 996     6.40 %   0.97 %   1.35 %   49 %
For the period 2/10/22 (g) - 12/31/22   $ 10.00     (0.00 )(h)   (1.28 )   (1.28 )   —     —     —   $ 8.72     (12.80 )% $ 898     8.72 %   0.97 %   (0.03 )%   0 %
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)    
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 8.69     0.09     0.95     1.04     —     —     —   $ 9.73     11.97 % $ 986     6.09 %   0.93 %   2.09 %   0 %
For the period 4/11/22 (g) - 12/31/22   $ 10.00     0.12     (1.31 )   (1.19 )   (0.12 )   —     (0.12 ) $ 8.69     (11.94 )% $ 899     8.12 %   0.93 %   1.80 %   8 %
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)    
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 9.57     0.09     1.16     1.25     —     —     —   $ 10.82     13.06 % $ 1,339     5.80 %   0.94 %   1.78 %   0 %
For the period 7/11/22 (g) - 12/31/22   $ 10.00     0.08     (0.16 )   (0.08 )   (0.08 )   (0.27 )   (0.35 ) $ 9.57     (0.77 )% $ 1,186     7.99 %   0.93 %   1.73 %   7 %

 


 (a) Annualized for periods less than one year.

(b) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period.

(c) Total return is based on the change in net asset value of a share during the period, assumes reinvestment of dividends and distributions at net asset value and is not annualized for periods less than one year. Total return reflects waivers/reimbursements by the manager. Performance would have been lower had the waivers/reimbursements not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which the Funds serve as an underlying investment vehicle. If total return had taken these into account, performance would have been lower.

(d) Expense ratios do not include expenses of underlying funds in which the Funds invest.

(e) Net expenses reflect fee waivers and expense reimbursements by the Advisor.

(f) Not annualized for periods less than one year.

(g) Commencement of operations.

(h) Amount represents less than $0.005 per share.

 

The accompanying notes are an integral part of these financial statements.

 

14 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023 

 


 1. ORGANIZATION

 

Milliman Variable Insurance Trust (the “Trust”) was organized under the laws of the state of Delaware as a Delaware statutory trust on November 2, 2020, and is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2023, the Trust consisted of 66 operational series, 3 of which are presented herein (each, a “Fund” and collectively, the “Funds”). The remaining series are presented in separate reports. Each of the Funds is classified as non-diversified under the 1940 Act. Each Fund offers shares only to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. All shares of the Funds have equal rights and privileges. As of June 30, 2023, only Class 3 shares were offered, which have no front-end sales load, deferred sales charge, or redemption fee.

 

Each Fund utilizes options contracts, including FLexible EXchange® Options (“FLEX Options”), designed to produce certain pre-determined outcomes (“Outcomes”), over a one-year or six-year period (an “Outcome Period”). The initial Outcome Period for each Fund began upon commencement of its operations. On the last business day of any stated Outcome Period, all of a Fund’s existing options contracts will expire and Milliman Financial Risk Management LLC (“Milliman”), the Funds’ investment adviser, will transact in a new set of options contracts on the same business day, which will commence a new Outcome Period.

 

The Funds and their respective commencement dates are as follows:

 

    Commencement of
Name   Operations
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb   February 10, 2022
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)   April 11, 2022
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)   July 11, 2022

 

The Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb seeks to provide exposure to the S&P 500 Index, while providing a buffer against the first 10% of losses associated with S&P 500 Index performance and participating in S&P 500 Index gains up to a declared cap, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a one-year period. The Fund also seeks to provide upside exposure to the MSCI EAFE Index up to a declared cap, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over the same period.

 

Each Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund seeks to provide exposure to the S&P 500 Index, while limiting losses to 50% of the losses associated with S&P 500 Index performance and participating in S&P 500 Index gains at a declared rate, prior to taking into account any fees or expenses or the performance of any fixed income exposure included in the Fund’s portfolio, over a six-year period.

 

At a meeting held on March 29, 2023, the Board of Trustees of the Trust (the “Board”) approved a Plan of Liquidation for the Funds, which provided for the complete liquidation of the Funds and the redemption of the Funds’ outstanding shares. Effective upon the open of business on May 31, 2023, the Funds were closed to new investments, including from new insurance company separate accounts or other qualified investors and additional purchases from existing insurance company separate accounts or other qualified investors. The liquidations were completed on August 1, 2023.

 


 2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies.

  

15 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

  

Use of Estimates

 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

Computation of Net Asset Value

 

The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. ET) on each business day the NYSE is open for regular trading. If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time. If the NYSE closes early on a valuation day, a Fund shall determine NAV as of that time.

 

Valuation

 

The Board has adopted Pricing and Valuation Procedures (“Valuation Procedures”) to be used for valuing all securities and other assets held by the Funds, including those for which market quotations are not readily available or are deemed not be reliable. The Board has designated Milliman as the valuation designee, which has established a pricing committee comprised of representatives of Milliman (the “Pricing Committee”) to provide input to Milliman in making fair value determinations in accordance with the Valuation Procedures.

 

Exchange-traded options, including FLEX Options, are valued at a market-based price provided by the exchange on which the options contract is traded at the official close of that exchange’s trading date. If the exchange on which the options contract is traded is unable to provide a market price, exchange-traded options prices will be provided by a model-pricing provider. Over-the-counter options, including certain binary options, are valued at the mean of the most recent bid and asked price, if available, or otherwise at their closing bid price. Otherwise, the value of an options contract will be determined by the Pricing Committee in accordance with the Valuation Procedures.

 

Equity securities, including shares of exchange-traded Funds (“ETFs”), listed on any national or foreign exchange (excluding the Nasdaq National Market (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) will be valued at the last sale price on the exchange on which they are principally traded, or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities.

 

Fixed income securities will generally be valued using a third-party pricing service vendor (a “Pricing Service”). Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination.

 

Open-end investment companies, with the exception of ETFs, are valued at their respective NAVs.

 

The Funds’ accounting agent may obtain all market quotations used in valuing securities from Pricing Service. If no quotation can be obtained from a Pricing Service, then the Funds’ accounting agent will contact the Pricing Committee. The Pricing Committee will then attempt to obtain one or more broker quotes for the security or other asset daily and will value the security or other asset accordingly. If no quotation is available from either a Pricing Service, or one or more brokers, or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security or other asset held by a Fund for which reliable market quotations are not readily available will be determined by Milliman in a manner that most appropriately reflects fair market value of the security or other asset on the valuation date.

 

The Trust follows the authoritative guidance (GAAP) for fair value measurements, which established a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of

 

16 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

  

observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance established three tiers of inputs that may be used to measure fair value as follows:

 


 Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have 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 Funds’ 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.

 

The inputs used to value the Funds’ investments at June 30, 2023, are summarized at the end of each Fund’s Schedule of Investments. The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

Cash and cash equivalents

 

Cash and cash equivalents include amounts held in interest-bearing demand deposit accounts with the Funds’ custodian.

 

Offering Costs

 

Offering costs directly attributable to a series of the Trust are charged to that series, such as certain registration fees, while expenses which are attributable to more than one series are allocated among the respective series on a pro rata basis.

 

Offering costs are recorded as a deferred asset and amortized on a straight-line basis for a period of twelve months upon commencement of operations of each Fund. Offering costs include legal fees pertaining to the preparation, review and filing of each Fund’s initial registration statement with the SEC, and printing, mailing or other distribution charges related to each Fund’s prospectus and statement of additional information. Offering costs are subject to the Funds’ Expense Limitation Agreement (See Note 5).

 

Investment Transactions, Investment Income and Expenses

 

Investment transactions are accounted for on a trade date basis for financial reporting purposes. Realized gains and losses from investment transactions are recorded on an identified cost basis. Dividend income, if any, is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recognized on an accrual basis using the effective yield method.

 

Expenses are accrued daily. Expenses of the Trust, which are directly identifiable to a specific series, are applied to that series. Expenses which are not identifiable to a specific series are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.

 

In addition to the advisory fees and other expenses of the Funds, the Funds indirectly bear the investment management fees and other expenses of investment companies (underlying funds) in which they invest. The amount of these fees and expenses incurred indirectly by the Funds (“acquired fund fees and expenses”) will vary based upon the expense and fee levels of the underlying funds and the number of shares that are owned of the underlying funds at different times.

 

17 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023 

 

Distributions to Shareholders

 

Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to pay out dividends from their net investment income, if any, annually. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from GAAP. Distributions that exceed earnings and profits for tax purposes are reported as a return of capital.

 


 3. DERIVATIVES

 

Disclosures about derivative instruments are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.

 

Each Fund seeks to achieve its investment objective and Outcomes by transacting in options contracts, including FLEX Options, to create layers within its portfolio. There is no guarantee that a Fund will be successful in its attempt to achieve its investment objective and/or Outcomes. FLEX Options are options contracts that trade on an exchange, but provide an investor with the ability to customize key contract terms like strike price, style and expiration date, while achieving price discovery (i.e., determining market prices) in competitive, transparent auctions markets and avoiding the counterparty exposure of over-the-counter options positions. Like traditional exchange-traded options, FLEX Options are guaranteed for settlement by the Options Clearing Corporation (“OCC”), a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts. While the Funds will primarily transact in FLEX Options, each Fund may utilize OTC options if no FLEX Options are available or appropriate for use in that Fund. OTC options are traded and privately negotiated in the OTC market and are subject to counterparty risk of the writer of the options contract. Many counterparties to OTC options are financial institutions, such as banks and broker-dealers, and their creditworthiness (and ability to pay or perform) may be negatively impacted by factors affecting financial institutions generally. The reference assets for each Fund’s options position will be a reference index or an ETF, including an ETF that seeks to track the performance of a reference index.

 

During the period ended June 30, 2023, the Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb transacted in options contracts on ETFs that provide exposure to fixed income securities to create a put spread (i.e., writing and purchasing options contracts on the same underlying asset) (the “Put Spread Strategy”). The Put Spread Strategy was used to seek to enhance the Fund’s upside S&P 500 Index and/or secondary Reference Index options’ exposure.

 

The Funds will purchase and sell call and put options. In general, put options give the holder (i.e., the buyer) the right to sell an asset (or deliver the cash value of the index, in case of an index put option) and the seller (i.e., the writer) of the put has the obligation to buy the asset (or receive cash value of the index, in case of an index put option) at a certain defined price. Call options give the holder (i.e., the buyer) the right to buy an asset (or receive cash value of the index, in case of an index call option) and the seller (i.e., the writer) the obligation to sell the asset (or deliver cash value of the index, in case of an index call option) at a certain defined price.

 

When a Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call or, if cash-settled, a gain or loss is realized. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, or the transfer of the relative cash amount if cash-settled, and the proceeds are decreased by the premium originally paid. Purchased options are non-income producing securities.

 

When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability

 

18 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

  

and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option written by the Fund is exercised, the premium received is added to the proceeds from the sale of the underlying security, or the transfer of the relevant cash amount if cash-settled, in determining whether the Fund has a realized a gain or loss. If a put option written by the Fund is exercised, the premium received reduces the cost basis of the securities purchased by the Fund if physical delivery is required, or the corresponding cash amount if cash-settled. The Fund, as a writer of an option, bears the market risk of an unfavorable change in the price of the asset underlying the written option. Risk of loss on written options may exceed amounts recognized on the Statements of Assets and Liabilities.

 

As of June 30, 2023, as collateral for its written options, the Funds pledged assets consisting of cash, cash equivalents, or liquid securities. Cash pledged is included as “Deposits at broken for written options” in the Statements of Assets and Liabilities. Securities pledged for written options are identified in each Fund’s Schedule of Investments.

 

In order to better define its contractual rights and to secure rights to help the Funds mitigate their counterparty risk, the Funds may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign currency exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of an ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

 

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

 

As of June 30, 2023, all of the FLEX Option contracts held by the Funds are fully funded and cash settled, therefore balance sheet offsetting under FASB ASC 210, Balance Sheet - Offsetting does not apply.

 

The Funds bear the risk that the OCC will be unable or unwilling to perform its obligations under the FLEX Options contracts. In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Funds could suffer significant losses. Additionally, FLEX Options may be less liquid than certain other securities such as standardized options. In less liquid markets for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices. The Funds may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The value of the underlying FLEX Options will be affected by, among others, changes in the value of the exchange, changes in interest rates, changes in the actual and implied volatility of the underlying asset and the remaining time to until the FLEX Options expire. The value of the FLEX Options does not increase or decrease at the same rate as the level of the underlying asset (although they generally move in the same direction). However, as a FLEX Option approaches its expiration date, its value typically increasingly moves with the value of the underlying asset.

 

The location and fair value amounts of derivatives on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in each Fund’s Schedule of Investments. The notional amounts of derivative instruments outstanding relative to each Fund’s net assets as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative

 

19 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

 

instruments during the period, as disclosed in the Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.

 


 4. FEDERAL TAXES INFORMATION

 

No provision for federal income taxes has been made, as it is each Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986, as amended, and to distribute to shareholders each year, all of its taxable income and realized gains.

 

Each Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the tax returns are filed. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. The Funds do not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Funds did not incur any interest or penalties for the period ended June 30, 2023.

 

The amount and character of tax-basis distributions and composition of distributable earnings are finalized at fiscal year-end. Accordingly, tax-basis balances have not been determined as of the date of this report.

 

At June 30, 2023, the estimated cost of investments, including derivatives, and unrealized appreciation/depreciation for federal income tax purposes for each Fund were as follows:

 

          Gross     Gross     Net Unrealized  
    Cost of     Unrealized     Unrealized     Appreciation/  
    Investments     Appreciation     Depreciation     (Depreciation)  
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb   $ 914,622     $ ‌168,289     $ (124,291 )   $ 43,998‌  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)     1,015,070‌       16,756‌       (52,034 )     (35,278 )
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)     1,188,423‌       143,465‌       (23,688 )     119,777‌  

 

For the period ended December 31, 2022, the tax character of distributions by the applicable Funds was as follows:

 

    Distributions paid from:        
          Net Long-              
    Net     Term           Total  
    Ordinary     Capital     Net Return     Distributions  
    Income     Gains     of Capital     Paid  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)   $ 11,847‌       —‌       —‌     $ 11,847‌  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)     22,292‌       19,655‌       —       41,947‌  

 


 5. ADVISORY FEES AND OTHER AGREEMENTS

 

The Trust has an Investment Advisory Agreement with Milliman to furnish investment advisory services to the Funds. Pursuant to the Investment Advisory Agreement, Milliman is entitled to receive, on a monthly basis, an annual advisory fee equal to 0.49% of each Fund’s average daily net assets.

 

Milliman has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit each Fund’s total annual Fund operating expenses (which include any offering and organizational expenses, but exclude taxes, interest, brokerage fees and commissions, Rule 12b-1 fees, acquired fund fees and expenses, short-sale dividend expenses, and extraordinary or non-routine expenses not incurred in the ordinary course of each Fund’s business) to 0.74% of each Fund’s average daily net assets (the “Expense Limitation Agreement”) until at least April 29, 2024. During its term, the Expense Limitation Agreement cannot be terminated or amended to increase the applicable limit without approval of the Board. Milliman may recoup from each Fund any advisory fees waived or expenses reimbursed pursuant to the applicable Expense Limitation Agreement for a period of three years from the date on which such waiver or reimbursement occurred; provided, however, that such recoupment shall not be made if it would cause the Fund’s total annual Fund operating expenses to exceed the lesser of (a) the expense limitation in effect at the time of the reimbursement, or (b) the expense limitation in effect at the time of recoupment, if any. No amounts were recouped

 

20 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

  

during the period ended June 30, 2023. As of June 30, 2023, the amounts eligible for recoupment and the year of expiration are as follows:

 

    Recovery Expiring in:  
    2024     2025     2026     Total  
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund - Feb   $ —     $ 62,527     $ 25,552     $ 88,079‌  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)     —‌       47,287‌       23,824‌       71,111‌  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)     27,309‌       37,740‌       29,785‌       94,834‌  

  

In addition to the Expense Limitation Agreement, Milliman has contractually agreed to waive its advisory fees in an amount equal to each Fund’s acquired fund fees and expenses until at least April 29, 2024. Amounts waived under this agreement are separately shown on each Fund’s Statement of Operations and may not be recouped by Milliman. This contract cannot be terminated or modified for a Fund without the consent of the Board.

 

U.S. Bancorp Fund Services, LLC d/b/a U.S. Bank Global Fund Services, a subsidiary of U.S. Bancorp, serves as each Fund’s fund accountant, administrator, and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp, serves as the Funds’ custodian pursuant to a custody agreement. Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ distributor pursuant to a distribution agreement.

 

The Trust has adopted a Distribution Plan under Rule 12b-1 (“Rule 12b-1 Plan”) of the 1940 Act with respect to each Fund’s Class 3 shares. The Rule 12b-1 Plan permits each Fund to pay the Distributor, as the Funds’ principal underwriter, for expenses associated with the distribution of Class 3 shares of the Funds. Under the Rule 12b-1 Plan, the Distributor is paid an annual fee of 0.25% of the average daily net assets of Class 3 shares. All Rule 12b-1 Plan payments received by the Distributor shall be used solely for distribution-related expenses and shall not be retained as profit by the Distributor. Accordingly, no compensation is payable by the Funds to the Distributor for such distribution services. However, Milliman has entered into an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the distribution agreement. The payments made by Milliman to the Distributor do not represent an additional expense to the Funds or their shareholders.

 

Certain employees of Foreside Fund Officer Services, LLC, an affiliate of the Distributor, serve as Treasurer and Principal Financial Officer and Chief Compliance Officer and Anti-Money Laundering Officer to the Trust.

 

Certain Trustees and Officers of the Trust are also Officers or employees of Milliman, and during their terms of office, receive no compensation from the Funds.

 


 6. INVESTMENT TRANSACTIONS

 

Purchases and sales of investments, excluding short-term obligations and U.S. Government Securities, for the period ended June 30, 2023, by the applicable Fund were as follows:

 

    Purchases     Sales  
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb   $ 222,583     $ 272,522  

  

Purchases and sales of investments of U.S. Government Securities, for the period ended June 30, 2023, by the applicable Fund were as follows:

 

    Purchases     Sales  
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb   $ 222,896     $ —  

 

21 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

 


 7. BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of that Fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, American General Life Insurance Company directly owned greater than 25% of the outstanding shares of each Fund.

 


 8. RISKS

 

The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Assets may decline in value due to factors affecting financial markets generally or particular asset classes or industries represented in the markets. The value of a FLEX Option or other asset may also decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or due to factors that affect a particular issuer, country, region, market, industry, sector or asset class.

 

The principal risks of investing in the Funds are described more fully in the Funds’ prospectus.

 


 9. GUARANTEES AND INDEMNIFICATIONS

 

In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred.

 


 10. SUBSEQUENT EVENTS

 

On July 26, 2023, each Fund paid income distributions in the amount as shown in the table:

 

    Amount     Per Share Amount  
Milliman 1-Year Buffered S&P 500 & MSCI EAFE with Stacker Cap Outcome Fund – Feb   $ 8,996     $ 0.08731436  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Apr (I)     11,913       0.11755288  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)     13,441       0.10864517  

  

On July 26, 2023, the following Fund paid short-term capital gain distributions in the amount as shown in the table:

 

    Amount     Per Share Amount  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)   $ 61,551     $ 0.49752  

 

On July 26, 2023, the following Fund paid long-term capital gain distributions in the amount as shown in the table:

 

    Amount     Per Share Amount  
Milliman 6-Year Parred Down S&P 500 with Par Up Outcome Fund – Jul (I)   $ 74,637     $ 0.60330  

  

As disclosed in Note 1, the Funds were liquidated on August 1, 2023.

 

Management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issues and has determined that no additional items require recognition or disclosure.

 

22 

 

Milliman Variable Insurance Trust

 

Additional Information (Unaudited)

June 30, 2023 

 

1. INFORMATION ABOUT PROSPECTUS

 

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–855–700–7959 or visiting www.millimanfunds.com.

 

2. PROXY VOTING POLICIES AND PROCEDURE

 

The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–855–700–7959 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.

 

3. INFORMATION ABOUT PORTFOLIO SECURITIES

 

Each Fund’s complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Part F of Form N-PORT. The Trust’s Part F of Form N-PORT is available without charge, upon request, by calling 1-855-700-7959, or on the SEC’s website at www.sec.gov. The Trust’s Part F of Form N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

  

23 

 

Statement Regarding the Funds’ Liquidity Risk Management Program (Unaudited) 

June 30, 2023

  

Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires each registered open-end management investment company to adopt and implement a liquidity risk management program that is reasonably designed to assess and manage its liquidity risk. Milliman Variable Insurance Trust (the “Trust”) has adopted a liquidity risk management program (the “Program”), on behalf of each of its series (each, a “Fund,” and collectively, the “Funds”), which is designed to meet the requirements of the Liquidity Rule. The Board of Trustees of the Trust (the “Board”) has appointed Milliman Financial Risk Management LLC, investment adviser to the Funds (the “Program Administrator”), to serve as the administrator for the Program.

 

As required by the Liquidity Rule, the Program includes policies and procedures providing for an assessment, no less frequently than annually, of each Fund’s liquidity risk. The Liquidity Rule and the Program also requires that each of a Fund’s portfolio investments (including a Fund’s derivatives holdings) be classified as a highly liquid investment, moderately liquid investment, less liquid investment, or illiquid investment. In accordance with the Liquidity Rule and the Program, any Fund that does not primarily hold assets that are highly liquid investments must determine a highly liquid investment minimum (“HLIM”), which is the minimum percentage of net assets that such Fund must invest in highly liquid investments. In addition, under the Liquidity Rule and the Program, no Fund may acquire any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments (including derivatives holdings) that are assets.

 

Pursuant to the Liquidity Rule and the Program, the Program Administrator is required to provide an annual report to the Board on the adequacy of the Program and the effectiveness of its implementation, including, if applicable, the operation of the HLIM, and any material changes to the Program (the “Annual Report”). At a meeting of the Board held on May 9, 2023 (the “Meeting”), the Program Administrator presented the Annual Report to the Board, which covered the period ending March 31, 2023 (the “Reporting Period”). The Program Administrator reported that during the Reporting Period, the Program operated effectively in all material respects and that the existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with the Liquidity Rule. The Program Administrator also reported that there were no material changes to the Program during the Reporting Period, and none were being proposed to the Board at the Meeting. Further, the Annual Report stated that the Program Administrator was comfortable with the liquidity levels for all Funds and believed that the securities (including derivatives holdings) in which the Program Administrator trades on behalf of the Funds, as investment adviser to the Funds, can be classified as highly liquid.

 

24 

 

INVESTMENT ADVISER

Milliman Financial Risk Management LLC

71 S. Wacker Drive, 31st Floor

Chicago, IL 60606

 

ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT 

U.S. Bancorp Fund Services, LLC

615 East Michigan Street

Milwaukee, WI 53202

 

DISTRIBUTOR

Foreside Fund Services, LLC

Three Canal Plaza

Portland, ME 04101

 

CUSTODIAN

U.S. Bank, N.A.

1555 North RiverCenter Drive, Suite 302

Milwaukee, WI 53212

 

LEGAL COUNSEL

Stradley Ronon Stevens & Young LLP

191 North Wacker Drive, Suite 1601

Chicago, IL 60606

and

2005 Market Street, Suite 2600 

Philadelphia, PA 19103

 

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 

Cohen & Company, Ltd.

1350 Euclid Avenue, Suite 800

Cleveland, Ohio 44115

 





 

 

 

Milliman Variable Insurance Trust

Milliman Money Market Fund

Semi-Annual Report

 

June 30, 2023

 

 

 

 

TABLE OF CONTENTS

 

Expense Example 1
Schedule of Investments 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
Additional Information 11

 

Attachment

 

Goldman Sachs Variable Insurance Trust – Goldman Sachs Government Money Market Fund Semi-Annual Report June 30, 2023

 

 

 

 

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended

June 30, 2023 (Unaudited)

 

The Milliman Money Market Fund (the “Fund”) sells its shares to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. The table below does not include any fees or sales charges imposed by your variable product.

 

As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service (“12b-1”) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023.

 

Actual Expenses

This section of the following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $ 8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.

 

Hypothetical Example for Comparison Purposes

This section of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. The Fund does not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table below is useful in comparing the ongoing costs only and will not help you determine the relative total costs of owning different funds. The Fund’s expenses shown in the table reflect fee waivers and reimbursements in effect.

 

    Beginning
Account
Value		     Ending
Account
Value		     Annualized
Expense
Ratio*		     Expenses
Paid
During the
Period(a)		  
                         
Milliman Money Market Fund#                                
Actual   $ 1,000.00     $ 1,024.90       0.43 %   $ 2.16  
Hypothetical (assuming a 5% return before expenses)   $ 1,000.00     $ 1,022.66       0.43 %   $ 2.16  

 


 # Class 3 shares

 


 * Expense ratio reflects the aggregate expenses of the Fund and the Master Fund in which the Fund invests.

 

(a) Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period).

 

1 

 

Milliman Money Market Fund

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Shares       Value  
INVESTMENT COMPANIES - 99.41%                
Goldman Sachs Variable Insurance Trust - Goldman Sachs Government Money Market Fund,                
Institutional Shares, 5.02% (a)(b)     207,080     $ 207,080  
TOTAL INVESTMENT COMPANIES (Cost $207,080)  
        207,080  
                 
Total Investments (Cost $207,080) - 99.41%             207,080  
Assets in Excess of Other Liabilities - 0.59%  
        1,235  
TOTAL NET ASSETS - 100.00%           $ 208,315  

 

Percentages are stated as a percent of net assets.

 


 (a) 7-day net yield

(b) The Milliman Money Market Fund (the "Fund") pursues its investment objective by investing all of its investable assets in Institutional Shares of the Goldman Sachs Government Money Market Fund (the "Portfolio"), a series of the Goldman Sachs Variable Insurance Trust (see Note 1 in Notes to Financial Statements).

 

The accompanying notes are an integral part of these financial statements.

 

2 

 

Milliman Variable Insurance Trust

 

Statement of Assets and Liabilities

June 30, 2023 (Unaudited)

 

    Milliman Money
Market Fund		  
Assets:        
Investment in Portfolio (cost $207,080)   $ 207,080  
Cash and cash equivalents     14,209  
Dividends and interest receivable     951  
Due from Advisor     6,697  
Total Assets     228,937  
         
Liabilities:        
Payable for fund shares redeemed     1  
Distributions payable     31  
Distribution fees payable     128  
Payable to Trustees     148  
Other liabilities     20,314  
Total Liabilities     20,622  
Net Assets   $ 208,315  
         
Net Assets Consist of:        
Paid-in capital   $ 208,316  
Total distributable earnings/(accumulated deficit)     (1 )
Net Assets   $ 208,315  
         
Class 3        
Net assets   $ 208,315  
Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     208,316  
Net asset value, offering price and redemption price per share   $ 1.00  

 

The accompanying notes are an integral part of these financial statements.

 

3 

 

Milliman Variable Insurance Trust

 

Statement of Operations

 

    Milliman Money
Market Fund		  
    Six Months
Ended June
30, 2023
(Unaudited)		  
Investment Income:    
Interest   $ 5,310‌  
Total Investment Income     5,310‌  
         
Expenses:        
Investment advisory fees     31‌  
Accounting and administration fees     26,540‌  
Custody fees     799‌  
Transfer agent fees     2,932‌  
Distribution service fees     254‌  
Professional fees and expenses     8,956‌  
Trustees fees and expenses     389‌  
Offering costs     261‌  
Other expenses     240‌  
Total Expenses     40,402‌  
Waivers/expense reimbursement by Advisor     (40,148 )
Net Expenses     254‌  
Net Investment Income     5,056‌  
         
Net Increase in Net Assets From Operations   $ 5,056‌  

 

The accompanying notes are an integral part of these financial statements.

 

 

4 

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

    Milliman Money Market Fund
    Six Months
Ended June
30, 2023
(Unaudited)		     Period
January 10,
2022(a) to
December 31,
2022		  
Operations:        
Net Investment income   $ 5,056‌     $ 3,943‌  
Net Increase in Net Assets Resulting from Operations     5,056‌       3,943‌  
                 
Distributions to Shareholders:(b)                
Distributions to shareholders     (5,059 )     (3,941 )
                 
Capital Share Transactions:(b)                
Proceeds from shares sold     —‌       1,903,069‌  
Reinvestments     5,071‌       3,891‌  
Cost of shares redeemed     (72 )     (1,703,643 )
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     4,999‌       203,317‌  
Total Increase/(Decrease) in Net Assets     4,996‌       203,319‌  
                 
Net Assets:                
Beginning of the period     203,319‌       —‌  
End of the period   $ 208,315‌     $ 203,319‌  
                 
Change in Shares Outstanding:(b)                
Shares sold     —‌       1,903,069‌  
Shares reinvested     5,071‌       3,891‌  
Shares redeemed     (72 )     (1,703,643 )
Net Increase /(Decrease)     4,999‌       203,317‌  

 


 (a) Commencement of Operations

(b) Class 3

 The accompanying notes are an integral part of these financial statements.

 

5 

 

Milliman Variable Insurance Trust

 

Financial Highlights

 

    Per Share Operating Performance (for a share
outstanding throughout each period)		   Ratios/Supplemental Data:
                                Ratio to Average Net Assets of: (a)
    Net Asset
Value,
Beginning
of Period		   Net
investment
income		   Distributions
from Net
Investment
Income		     Net Asset
Value, End
of Period		   Total
return (b)		     Net assets,
end of
period
(000)		   Expenses,
gross (c)		     Expenses,
net (c)(d)		     Net
investment
income		  
Milliman Money Market Fund                                                                
For the period 1/1/23 - 6/30/23 (Unaudited)   $ 1.00‌     0.02     (0.02 )   $ 1.00‌     2.49 %   $ 208‌     39.69 %     0.25 %     4.97 %
For the period 1/10/22 (e) - 12/31/22   $ 1.00‌     0.02     (0.02 )   $ 1.00‌     1.64 %   $ 203‌     47.12 %     0.21 %     1.93 %

 


 (a) Annualized for periods less than one year.

(b) Total return is based on the change in net asset value of a share during the period, assumes reinvestment of dividends and distributions at net asset value and is not annualized for periods less than one year. Total return reflects waivers/reimbursements by the Advisor. Performance would have been lower had the waivers/ reimbursements not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which the Fund serves as an underlying investment vehicle. If total return had taken these into account, performance would have been lower.

(c) Ratios of expenses to average net assets do not include expenses of the Portfolio in which the Fund invests. Including these expenses, the expense ratios before waivers/ reimbursements and net of waivers/reimbursements would be approximately 39.89% and 0.43%, and 47.32% and 0.38%, for the periods ended June 30, 2023 and December 31, 2022, respectively.

(d) Net expenses reflect fee waivers and expense reimbursements by the Advisor.

(e) Commencement of operations.

 

The accompanying notes are an integral part of these financial statements.

 

6 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

1. Organization

 

Milliman Variable Insurance Trust (the “Trust”) was organized under the laws of the state of Delaware as a Delaware statutory trust on November 2, 2020, and is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2023, the Trust consisted of 66 operational series. This report pertains to the Milliman Money Market Fund (the “Fund”). The remaining series are presented in separate reports. The Fund is classified as diversified under the 1940 Act. The Fund offers shares only to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. All shares of the Fund have equal rights and privileges. As of June 30, 2023, only Class 3 shares were offered, which have no front-end sales load, deferred sales charge, or redemption fee. The Fund commenced operations on January 10, 2022.

 

The Fund seeks to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments.

 

The Fund pursues its investment objective by investing all of its investable assets in Institutional Shares of the Goldman Sachs Government Money Market Fund (the “Portfolio”), a series of the Goldman Sachs Variable Insurance Trust, which is a Delaware statutory trust registered under the 1940 Act as an open-end management investment company. This structure is sometimes called a “master/feeder” structure. The Portfolio has the same investment objective and substantially similar investment policies as the Fund and, therefore, is subject generally to the same risks as the Fund. The Portfolio seeks to achieve its investment objective by investing only in “government securities,” as such term is defined or interpreted under the 1940 Act, and repurchase agreements collateralized by such securities. “Government securities” generally are securities issued or guaranteed by the United States or certain U.S. government agencies or instrumentalities. The percentage of the Portfolio owned by the Fund as of June 30, 2023 was 0.01%. The financial statements of the Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

 

2. Significant Accounting Policies

 

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies. For accounting and financial reporting purposes, the Fund is treated as a fund-of-funds.

 

Use of Estimates

 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

Computation of Net Asset Value

 

The Fund determines its NAV per share as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (generally 4:00 p.m., Eastern time) on each business day the Exchange is open for regular trading. If the Exchange closes early on a valuation day, the Fund shall determine NAV as of that time. The NAV per share of the Fund is calculated by dividing the value of the Fund’s total assets, less its liabilities (including accrued expenses), by the number of shares outstanding. Because the Fund currently invests all of its investable assets in the Portfolio, its assets consist primarily of an interest in the Portfolio. The value of this interest will depend on the value of the assets of the Portfolio and its liabilities and expenses. In accordance with Rule 2a-7 under the 1940 Act, each of the Fund and the Portfolio seeks to maintain a stable price of $1.00 per share by using the amortized cost method to value portfolio securities and rounding the share value to the nearest cent.

 

Valuation

 

Shares of the Portfolio held by the Fund are valued at NAV as reported by the Portfolio.

 

 

7 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

The Trust follows the authoritative guidance (GAAP) for fair value measurements, which established a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance established three tiers of inputs that may be used to measure fair value as follows:

 


 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.

 

As of June 30, 2023, the value of the Fund’s investment in the Portfolio was determined based on Level 1 inputs. The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

Cash and cash equivalents

 

Cash and cash equivalents include amounts held in an interest-bearing demand deposit account with the Fund’s custodian.

 

Offering Costs

 

Offering costs directly attributable to a series of the Trust are charged to that series, such as certain registration fees, while expenses which are attributable to more than one series are allocated among the respective series on a pro rata basis.

 

Offering costs are recorded as a deferred asset and are amortized on a straight-line basis for a period of twelve months upon commencement of operations of the Fund. Offering costs include legal fees pertaining to the preparation, review and filing of the Fund’s prospectus and statement of additional information. Offering costs are subject to the Fund’s Expense Limitation Agreement (See Note 4).

 

Investment Transactions, Investment Income and Expenses

 

Investment transactions are accounted for on a trade date basis for financial reporting purposes. Realized gains and losses from investment transactions are recorded on an identified cost basis. Dividend income is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recognized on an accrual basis using the effective yield method.

 

Expenses are accrued daily. Expenses of the Trust, which are directly identifiable to a specific series, are applied to that series. Expenses which are not identifiable to a specific series are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.

 

In addition to the advisory fees and other expenses reflected on the Statement of Operations, the Fund indirectly bears the investment management fees and other expenses of the Portfolio in which it invests.

 

Distributions to Shareholders

 

Distributions to shareholders are recorded on the ex-dividend date. All or substantially all of the Fund’s net investment income will be declared as a dividend daily. Dividends will normally be declared daily as of 4:00 p.m., Eastern time, as a dividend and distributed monthly. Distributions will be reinvested as of the last calendar day of each month. Cash distributions normally will be paid on or about the first business day of each month. Net short-term capital gains, if any, will be distributed in accordance with federal income tax requirements and may be reflected in the Fund’s daily distributions. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Fund.

 

 

8 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

3. Federal Taxes Information

 

There is no provision for federal income taxes, as it is the Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986, as amended, and to distribute to shareholders each year all of its taxable income and realized gains.

 

The Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the tax returns are filed. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. The Fund does not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Fund did not incur any interest or penalties for the period ended June 30, 2023.

 

The amount and character of tax-basis distributions and composition of distributable earnings are finalized at fiscal year-end. Accordingly, tax-basis balances have not been determined as of the date of this report.

 

As of June 30, 2023, the estimated cost of investments for federal tax purposes was $207,080 and there was no unrealized appreciation or depreciation.

 

For the period ended December 31, 2022, the tax character of distributions by the Fund was as follows:

 

Net
Ordinary
Income		   Total
Distributions
Paid
$ 3,941     $ 3,941  

 

4. Advisory Fees and Other Agreements

 

The Trust has an Investment Advisory Agreement with Milliman Financial Risk Management LLC (“Milliman”) to furnish investment advisory services to the Fund. Pursuant to the Investment Advisory Agreement, Milliman is entitled to receive, on a monthly basis, an annual advisory fee equal to 0.03% of the Fund's average daily net assets. However, Milliman has contractually agreed to waive its management fee until at least April 29, 2024. This contract cannot be terminated or modified without the consent of the Board of Trustees of the Trust (the “Board”).

 

Milliman has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit the Fund’s total annual Fund operating expenses (which include net expenses of the Portfolio and offering and organizational expenses of the Fund, but exclude taxes, interest, brokerage fees and commissions, acquired fund fees and expenses, and extraordinary or non-routine expenses not incurred in the ordinary course of the Fund’s business) to 0.43% of the Fund's average daily net assets (the “Expense Limitation Agreement”) until at least April 29, 2024. During its term, the Expense Limitation Agreement cannot be terminated or amended to increase the applicable limit without approval of the Board.

 

Milliman has also agreed to voluntarily waive fees and/or reimburse expenses of the Fund to avoid a negative yield. Such yield waivers and reimbursements are voluntary and could be modified or terminated at any time at the discretion of Milliman without notice.

 

Milliman may not recoup any advisory fees waived or expenses reimbursed pursuant to the above agreements.

 

U.S. Bancorp Fund Services, LLC d/b/a U.S. Bank Global Fund Services, a subsidiary of U.S. Bancorp, serves as the Fund’s fund accountant, administrator, and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp, serves as the Fund’s custodian pursuant to a custody agreement. Foreside Fund Services, LLC (the “Distributor”) serves as the Fund’s distributor pursuant to a distribution agreement.

 

The Trust has adopted a Distribution Plan under Rule 12b-1 (“Rule 12b-1 Plan”) of the 1940 Act with respect to the Fund’s Class 3 shares. The Rule 12b-1 Plan permits the Fund to pay the Distributor, as the Fund’s principal underwriter, for expenses associated with the distribution of Class 3 shares of the Fund. Under the Rule 12b-1 Plan, the Distributor is paid an annual fee of 0.25% of the average daily net assets of Class 3 shares. All Rule 12b-1 Plan payments received by the Distributor shall be used solely for distribution-related expenses and shall not be retained as profit by the Distributor.

 

 

9 

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

Accordingly, no compensation is payable by the Fund to the Distributor for such distribution services. However, Milliman has entered into an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the distribution agreement. The payments made by Milliman to the Distributor do not represent an additional expense to the Fund or its shareholders.

 

Certain employees of Foreside Fund Officer Services, LLC, an affiliate of the Distributor, serve as Treasurer and Principal Financial Officer and Chief Compliance Officer and Anti-Money Laundering Officer to the Trust.

 

Certain Trustees and Officers of the Trust are also Officers or employees of Milliman, and during their terms of office, receive no compensation from the Fund.

 

5. Beneficial Ownership

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of the Fund creates a presumption of control of the Fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, American International Group (AIG) and Milliman each directly owned greater than 25% of the outstanding shares of the Fund.

 

6. Risks

 

The Portfolio, and therefore the Fund, could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Assets may decline in value due to factors affecting financial markets generally or particular asset classes or industries represented in the markets. The value of a security or other asset may also decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or due to factors that affect a particular issuer, country, region, market, industry, sector or asset class.

 

The principal risks of investing in the Fund and the Portfolio are described more fully in the Fund’s prospectus.

 

7. Guarantees and Indemnifications

 

In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.

 

8. Subsequent Events

 

Management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that no additional items require recognition or disclosure.

 

10 

 

Milliman Variable Insurance Trust

 

Additional Information (Unaudited)

June 30, 2023

 

1. INFORMATION ABOUT PROSPECTUS

 

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–855–700–7959 or visiting www. millimanfunds.com.

 

2. PROXY VOTING POLICIES AND PROCEDURE

 

The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–855–700–7959 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’s website at www.sec.gov.

 

3. INFORMATION ABOUT PORTFOLIO SECURITIES

 

The Fund’s Form N-MFP, which had information about the Fund and its holdings, is available without charge: (i) upon request, by calling 1-855-700-7959; (ii) on the SEC’s website at www.sec.gov; and (iii) on the Fund’s website at www. millimanfunds.com.

 

11 

 

INVESTMENT ADVISER
Milliman Financial Risk Management LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606

 

ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202

 

DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza
Portland, ME 04101

 

CUSTODIAN
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212

 

LEGAL COUNSEL
Stradley Ronon Stevens & Young LLP
191 North Wacker Drive, Suite 1601
Chicago, IL 60606
and
2005 Market Street, Suite 2600
Philadelphia, PA 19103

 

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115

 

 

 

 

 

 

 

Goldman Sachs Government Money Market Fund

 

TABLE OF CONTENTS  
Market Review 1
Fund Basics 3
Schedule of Investments 5
Financial Statements 8
Financial Highlights 11
Notes to Financial Statements 13
Other Information 23

 

You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of the bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.

 

 

 

MARKET REVIEW

 

Goldman Sachs VIT Government Money Market Fund

 

The following are highlights both of key factors affecting the money markets and of any key changes made to the Goldman Sachs VIT Government Money Market Fund (the “Fund”) during the six months ended June 30, 2023 (the “Reporting Period”). A fuller review will appear in the Fund’s annual shareholder report covering the 12 months ended December 31, 2023.

 

Market and Economic Review

 


 ● U.S. Federal Reserve (“Fed”) policy had the greatest influence on the money markets during the Reporting Period.

 


 ● When the Reporting Period began in January 2023, money market yields rallied on prospects of the Fed nearing an end to its interest rate hiking cycle given evidence of reduced U.S. inflation levels and improved economic growth prospects.

 


 ● Two-year U.S. Treasury yields fell by approximately 20 basis points in January. (Remember, there is usually an inverse relationship between bond prices and yield movements, so that bond prices rise when yields decrease and vice versa. A basis point is 1/100th of a percentage point.)

 


 ● Money market volatility moderated amid a “Goldilocks” backdrop of easing inflation and rather steady economic growth and in anticipation of a slower pace of monetary policy tightening.

 


 ● In February 2023, this “Goldilocks” scenario was interrupted by strength in economic growth and labor market data, which, in turn, generated higher yield volatility as markets anticipated a bumpier path to lowered inflation and a higher-for-longer interest rate environment.

 


 ● The Fed stepped down its pace of interest rate increases from the 50 basis points it had hiked in December 2022 to 25 basis points, with Fed Chair Powell suggesting further rate hikes would be determined meeting by meeting.

 


 ● Still, money market yields sold off as concerns around the persistence of inflation led many market participants to anticipate further rate tightening by the Fed.

 


 ● Two-year U.S. Treasury yields rose to a high of 4.8% to end the month.

 


 ● In early March 2023, amid strong U.S. economic data, the Fed initially suggested it might tighten monetary policy more than it had previously anticipated, which caused two-year U.S. Treasury yields to breach 5% for the first time since 2007.

 


 ● However, yield momentum reversed sharply as the month progressed as investors sought “safe haven” securities amid banking stress in the U.S. and internationally. Short-term U.S. Treasury yields fell by more than 100 basis points from their cycle peak earlier in the month.

 


 ● At its late-March meeting, Fed policymakers grappled with a challenging trade-off given the firm macroeconomic backdrop, such as resilient labor markets, and yet still-elevated inflation—all set against rising financial stability concerns. Ultimately, the Fed implemented another 25 basis point interest rate hike, projected a weak economic outlook for the rest of 2023, and struck a more cautious tone on the forward path for the targeted federal funds (“fed funds”) rate.

 


 ● Although money market yields remained broadly unchanged during April 2023, sticky inflation data, ongoing banking sector stress, a looming U.S. debt ceiling deadline, signs of moderating economic growth and lingering investor concerns around credit tightening drove volatile swings within the money markets.

 


 ● In early May 2023, the Fed raised the fed funds rate by 25 basis points to a range between 5.00% and 5.25%.

 


 ● Policymakers signaled a willingness to pause future interest rate hikes given that inflation had begun to moderate and because tighter credit conditions driven by banking sector stress were “likely to weigh on economic activity, hiring and inflation.”

 


 ● Money market yields sold off in May on concerns surrounding resolution of the U.S. debt ceiling and amid banking sector stress. U.S./China tensions, speculation about Fed policy, corporate earnings and a growing focus on the rise of artificial intelligence (“AI”) also drove market volatility.

 

1 

 

 

MARKET REVIEW

 


 ● In early June 2023, resolution of U.S. debt ceiling negotiations led to risk relief and market optimism, with investor focus returning to the outlook of the economy and Fed monetary policy amid a persistently resilient U.S. labor market.

 


 ● At its June meeting, the Fed left the target range for the fed funds rate unchanged, but Fed officials suggested they were inclined to implement another interest rate hike in July 2023 if economic activity and inflation did not cool as much as they “need to see.”

 


 ● Fed Chair Powell noted the resilience in U.S. housing data and stated that a strong majority of Fed officials expected “two or more hikes” from that point — a sharpening of his language relative to “somewhat further” in his Congressional testimony given that same month.

 


 ● The money market yield curve inverted during the Reporting Period, as the Fed raised short-term interest rates, meaning shorter-maturity yields were higher than longer-maturity yields. The three-month node of the U.S. Treasury yield curve rose 90 basis points during the Reporting Period; the six-month node rose 70 basis points; and the one-year node rose 68 basis points. Two-year U.S. Treasury yields increased 47 basis points during the Reporting Period to close June 2023 at 4.87%.

 


 ● In this environment, the yields of money market funds increased.

 

Fund Changes and Highlights

 

No material changes were made to the Fund during the Reporting Period.

 

2 

 

FUND BASICS

 

Government Money Market Fund

as of June 30, 2023

 

PERFORMANCE REVIEW 1
       
January 1, 2023 – June 30, 2023 Fund Total Return (based on NAV)2 SEC 7-Day
Current Yield3		 iMoneyNet Institutional
Average4
Institutional Shares 2.33% 5.00% 4.45%
Service Shares 2.21    4.75    4.45   

 

The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment returns will fluctuate. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.


 1 The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The performance shown above reflects any waivers or reimbursements that were in effect for all or a portion of the periods shown. When waivers or reimbursements are in place, the Fund’s operating expenses are reduced and the Fund’s yield and total returns to the shareholder are increased.

2 The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s total return reflects the reinvestment of dividends and other distributions.

3 The SEC 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of the Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects the Fund’s current earnings than do the Fund Total Return figures.

4 Source: iMoneyNet, Inc. June 2023. The iMoneyNet Institutional Average represents total return. Government & Agencies Institutional — Category includes the most broadly based of the government institutional funds. These funds may generally invest in U.S. treasuries, U.S. agencies, repurchase agreements, or government-backed floating rate notes.

 

YIELD SUMMARY AS OF JUNE 30, 2023

 

Funds 7-Day
Dist.
Yield5		 SEC 7-Day
Effective
Yield6		 30-Day
Average
Yield7		 Weighted
Avg.
Maturity
(days)8		 Weighted
Avg. Life
(days)9
Institutional Shares 5.01% 5.12% 5.00% 30 78
Service Shares 4.76    4.86    4.75    30 78

 

The Yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.

Yields reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end performance.


 5 The 7-Day Distribution Yield is an annualized measure of the Fund’s dividends per share, divided by the price per share. This yield includes capital gain/loss distribution, if any. This is not an SEC Yield.

6 The SEC 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year.

7 The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. This is not an SEC Yield.

8 The Fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7.

9 The Fund’s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7.
 

 

For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.

 

3 

 

 

FUND BASICS

 

FUND COMPOSITION†

Security Type

(Percentage of Net Assets)

 

 

 


 † The Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above chart may not sum to 100% due to the exclusion of other assets and liabilities.

 

For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.

 

4 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Schedule of Investments

June 30, 2023 (Unaudited)

 

    Principal
Amount		     Interest
Rate		     Maturity
Date		     Amortized
Cost		  
U.S. Government Agency Obligations – 15.5%  
Federal Farm Credit Banks Funding Corp. (3 Mo. U.S. T-Bill MMY + 0.04%)  
    $ 1,500,000       5.284 %(a)     10/23/23     $ 1,499,981  
      3,000,000       5.289 (a)     10/30/23       2,999,970  
Federal Farm Credit Banks Funding Corp. (FEDL01 + 0.08%)  
      1,300,000       5.152 (a)     09/13/24       1,298,850  
Federal Farm Credit Banks Funding Corp. (FEDL01 + 0.14%)  
      700,000       5.210 (a)     09/17/24       699,992  
      200,000       5.212 (a)     11/14/24       199,947  
Federal Farm Credit Banks Funding Corp. (Prime Rate – 3.00%)  
      1,818,000       5.251 (a)     03/22/24       1,817,740  
      1,200,000       5.250 (a)     01/24/25       1,199,911  
Federal Farm Credit Banks Funding Corp. (Prime Rate – 3.01%)  
      1,585,000       5.245 (a)     02/10/25       1,584,926  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.06%)  
      500,000       5.127 (a)     04/29/24       499,629  
      500,000       5.129 (a)     07/22/24       499,477  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.11%)  
      3,838,000       5.165 (a)     06/07/24       3,837,831  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.14%)  
      1,781,000       5.203 (a)     11/26/24       1,780,280  
      1,978,000       5.202 (a)     11/26/24       1,977,200  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.15%)  
      1,173,000       5.210 (a)     01/03/25       1,173,000  
      807,000       5.210 (a)     02/14/25       807,000  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.16%)  
      2,100,000       5.215 (a)     04/05/24       2,099,969  
      476,000       5.220 (a)     01/30/25       476,000  
      2,482,000       5.215 (a)     02/10/25       2,482,000  
      768,000       5.220 (a)     04/10/25       768,000  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.17%)  
      4,300,000       5.225 (a)     06/27/24       4,299,833  
      1,909,000       5.230 (a)     01/23/25       1,909,000  
      3,442,000       5.225 (a)     02/06/25       3,442,000  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.18%)  
      4,300,000       5.240 (a)     10/16/24       4,300,000  
      2,100,000       5.240 (a)     12/19/24       2,100,255  
      2,350,000       5.238 (a)     12/19/24       2,350,285  
      2,500,000       5.240 (a)     01/03/25       2,500,000  
      5,337,000       5.240 (a)     01/17/25       5,337,000  
      4,794,000       5.240 (a)     03/07/25       4,794,000  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.19%)  
      2,400,000       5.250 (a)     11/25/24       2,400,000  
      5,300,000       5.250 (a)     12/27/24       5,300,000  
Federal Farm Credit Banks Funding Corp. (SOFR + 0.20%)  
      1,804,000       5.255 (a)     06/02/25       1,804,000  
Federal Farm Credit Discount Notes  
      400,000       4.947       01/12/24       389,925  
Federal Home Loan Bank Discount Notes  
      5,100,000       4.881       07/26/23       5,083,354  
      2,273,000       5.403       09/15/23       2,247,808  
      6,167,000       5.184       09/19/23       6,098,334  
      9,452,000       5.195       09/19/23       9,346,757  
      1,663,000       5.394       09/19/23       1,644,483  
      12,331,000       5.186       09/22/23       12,189,420  
      1,490,000       4.945 %     01/12/24       1,452,471  
      3,857,000       5.059       02/06/24       3,744,918  
      65,000       5.060       02/06/24       63,111  
      4,212,000       5.070       02/06/24       4,089,602  
      4,000,000       5.092       02/08/24       3,882,093  
      2,035,000       5.093       02/09/24       1,974,745  
Federal Home Loan Banks  
      5,230,000       4.667       11/14/23       5,229,866  
      2,400,000       4.692       11/15/23       2,399,721  
      2,400,000       4.697       11/17/23       2,399,764  
      1,800,000       4.742       11/24/23       1,799,711  
      2,100,000       4.690       11/29/23       2,099,912  
      18,400,000       5.340       04/23/24       18,400,000  
      20,990,000       5.330       04/26/24       20,990,000  
      19,510,000       5.340       04/26/24       19,510,000  
      13,150,000       5.370       05/21/24       13,150,000  
      6,905,000       5.300       05/22/24       6,905,000  
      15,210,000       5.360       06/11/24       15,210,000  
      9,505,000       5.375       06/11/24       9,505,000  
      6,595,000       5.490       07/15/24       6,595,000  
      6,620,000       5.520       07/15/24       6,620,000  
      10,305,000       5.500       07/19/24       10,305,000  
      9,800,000       5.620 (b)     07/30/24       9,800,000  
Federal Home Loan Banks (SOFR + 0.06%)  
      200,000       5.128 (a)     07/01/24       199,801  
Federal Home Loan Banks (SOFR + 0.08%)  
      11,500,000       5.140 (a)     07/20/23       11,500,000  
      400,000       5.140 (a)     03/01/24       399,813  
Federal Home Loan Banks (SOFR + 0.09%)  
      25,800,000       5.150 (a)     08/24/23       25,800,000  
Federal Home Loan Banks (SOFR + 0.11%)  
      11,760,000       5.165 (a)     07/21/23       11,760,000  
      11,760,000       5.170 (a)     08/18/23       11,760,000  
Federal Home Loan Banks (SOFR + 0.12%)  
      19,715,000       5.180 (a)     09/20/23       19,715,000  
Federal Home Loan Banks (SOFR + 0.15%)  
      3,600,000       5.210 (a)     02/23/24       3,600,000  
Federal Home Loan Banks (SOFR + 0.16%)  
      4,000,000       5.220 (a)     02/03/25       4,000,000  
Federal Home Loan Banks (SOFR + 0.17%)  
      4,010,000       5.225 (a)     01/17/25       4,010,000  
Federal Home Loan Banks (SOFR + 0.19%)  
      14,400,000       5.250 (a)     11/22/24       14,400,000  
Federal Home Loan Mortgage Corp.  
      7,387,000       5.400       06/11/24       7,387,000  
      7,387,000       5.380       06/12/24       7,387,000  
Federal National Mortgage Association  
      9,632,000       5.505       07/26/24       9,632,000  
      9,894,000       5.600 (b)     07/31/24       9,894,000  
U.S. International Development Finance Corp. (3 Mo. U.S. T-Bill + 0.00%)                                
      650,000       5.380 (a)     07/07/23       650,000  
      2,025,000       5.380 (a)     07/07/23       2,025,000  
      3,209,593       5.380 (a)     07/07/23       3,209,592  
TOTAL U . S . GOVERNMENT AGENCY OBLIGATIONS   $ 418,693,277  

 

The accompanying notes are an integral part of these financial statements. 5

 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Schedule of Investments (continued)

June 30, 2023 (Unaudited)

 

    Principal
Amount		     Interest
Rate		     Maturity
Date		   Amortized
Cost		  
U.S. Treasury Obligations – 13.9%
United States Treasury Bills  
    $ 3,849,100       5.353 %   07/13/23   $ 3,842,364  
      23,699,800       5.255     07/20/23     23,635,383  
      87,444,300       5.363     09/07/23     86,582,017  
      9,246,100       5.290     09/14/23     9,146,897  
      1,176,100       5.468     12/07/23     1,148,829  
      6,700,000       4.827     04/18/24     6,453,820  
United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill MMY + 0.03%)  
      80,554,600       5.277 (a)   07/31/23     80,558,740  
United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill MMY + 0.04%)  
      7,650,500       5.282 (a)   10/31/23     7,650,804  
      45,457,100       5.284 (a)   10/31/23     45,458,910  
      4,639,400       5.285 (a)   07/31/24     4,640,054  
United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill MMY + 0.17%)  
      27,003,000       5.415 (a)   04/30/25     27,010,107  
      26,357,700       5.418 (a)   04/30/25     26,364,637  
United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill MMY + 0.20%)  
      52,807,800       5.445 (a)   01/31/25     52,809,450  
TOTAL U . S . TREASURY OBLIGATIONS   $ 375,302,012  
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS   $ 793,995,289  
   
Repurchase Agreements(c) – 71.2%  
BNP Paribas                            
    $ 2,500,000       5.050 %   07/03/23   $ 2,500,000  
Maturity Value: $2,501,052                            
Collateralized by U.S. Treasury Bonds, 2.750% to 6.000%, due 02/15/26 to 05/15/44, U.S. Treasury Floating Rate Notes, 5.174% to 5.418%, due 04/30/24 to 04/30/25, U.S. Treasury Inflation-Indexed Bonds, 2.375% to 3.625%, due 01/15/27 to 04/15/28, a U.S. Treasury Inflation-Indexed Note, 0.125%, due 07/15/24, U.S. Treasury Interest-Only Stripped Securities, 0.000%, due 05/15/25 to 11/15/47, U.S. Treasury Notes, 0.375% to 4.000%, due 03/31/24 to 02/15/31 and U.S. Treasury Principal-Only Stripped Securities, 0.000%, due 11/15/42 to 05/15/51. The aggregate market value of the collateral, including accrued interest, was $2,550,044.  
Joint Account III  
      1,917,300,000       5.060     07/03/23     1,917,300,000  
Maturity Value: $1,918,108,462        
TOTAL REPURCHASE AGREEMENTS   $ 1,919,800,000  
TOTAL INVESTMENTS – 100.6%   $ 2,713,795,289  
LIABILITIES IN EXCESS OF  OTHER ASSETS – (0.6)%     (16,532,611 )
NET ASSETS – 100.0%   $ 2,697,262,678  

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.


 (a) Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on June 30, 2023.

(b) All or a portion represents a forward commitment. Forward settling repurchase agreements will be collateralized at settlement.

(c) Unless noted, all repurchase agreements were entered into on June 30, 2023. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section.

 

Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.

 

Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.

 

 

Investment Abbreviations:

FEDL01 —US Federal Funds Effective Rate
MMY —Money Market Yield
Prime —Federal Reserve Bank Prime Loan Rate US
SOFR —Secured Overnight Financing Rate
T-Bill —Treasury Bill

 

6 The accompanying notes are an integral part of these financial statements.

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

ADDITIONAL INVESTMENT INFORMATION

 

JOINT REPURCHASE AGREEMENT ACCOUNT III — At June 30, 2023, the Fund had undivided interests in the Joint Repurchase Agreement Account III, with a maturity date of July 3, 2023, as follows:

 

Principal Amount Maturity Value Collateral Value
$1,917,300,000 $1,918,108,462 $1,973,405,069

 

REPURCHASE AGREEMENTS — At June 30, 2023, the Principal Amounts of the Fund’s interest in the Joint Repurchase Agreement Account III were as follows:

 

Counterparty   Interest
Rate		     Principal
Amount		  
ABN Amro Bank N.V.     5.060 %   $ 377,173,771  
Bank of America, N.A.     5.060       314,311,475  
Bank of Montreal     5.060       125,724,590  
BofA Securities, Inc.     5.060       314,311,475  
Credit Agricole Corporate and Investment Bank     5.060       282,880,328  
Wells Fargo Securities, LLC     5.060       502,898,361  
TOTAL           $ 1,917,300,000  

 

At June 30, 2023, the Joint Repurchase Agreement Account III was fully collateralized by $47,146,721 and the following:

 

Issuer   Interest
Rates		   Maturity
Dates
Federal Home Loan Mortgage Corp.   3.000 to 6.500%   08/01/46 to 02/01/53
Federal National Mortgage Association   1.500 to 7.000   01/01/24 to 02/01/57
Government National Mortgage Association   2.000 to 6.000   11/20/45 to 06/20/53

 

The accompanying notes are an integral part of these financial statements. 7

 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Statement of Assets and Liabilities

June 30, 2023 (Unaudited)

 

Assets:      
Investments based on amortized cost   $ 793,995,289  
Repurchase agreements based on amortized cost     1,919,800,000  
Cash     16,177  
Receivables:        
Interest     5,003,251  
Fund shares sold     913,195  
Investments sold     278,868  
Reimbursement from investment advisor     22,417  
Other assets     152,153  
Total assets     2,720,181,350  
         
Liabilities:        
Payables:        
Investments purchased     21,706,453  
Fund shares redeemed     560,827  
Management fees     338,307  
Distribution and Service fees and Transfer Agency fees     208,876  
Accrued expenses     104,209  
Total liabilities     22,918,672  
         
Net Assets:        
Paid-in capital     2,697,202,793  
Total distributable earnings (loss)     59,885  
NET ASSETS   $ 2,697,262,678  
Net asset value, offering and redemption price per share   $ 1.00  
Net Assets:        
Institutional Shares   $ 1,888,826,455  
Service Shares     808,436,223  
Total Net Assets   $ 2,697,262,678  
Shares outstanding $0.001 par value (unlimited number of shares authorized):        
Institutional Shares     1,888,784,512  
Service Shares     808,418,262  

 

8 The accompanying notes are an integral part of these financial statements.

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Statement of Operations

For the Six Months Ended June 30, 2023 (Unaudited)

 

Investment income:      
Interest income   $ 51,762,495  
         
Expenses:        
Management fees     1,701,925  
Distribution and Service fees — Service Shares     896,442  
Transfer Agency fees(a)     212,721  
Printing and mailing fees     77,758  
Professional fees     56,387  
Custody, accounting and administrative services     34,682  
Trustee fees     13,725  
Other     7,892  
Total expenses     3,001,532  
Less — expense reductions     (147,897 )
Net expenses     2,853,635  
NET INVESTMENT INCOME   $ 48,908,860  
Net realized gain from investment transactions     93,817  
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS   $ 49,002,677  

 

(a) Institutional and Service Shares incurred Transfer Agency fees of $141,011 and $71,710, respectively.

 

The accompanying notes are an integral part of these financial statements. 9

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Statements of Changes in Net Assets

 

    For the
Six Months Ended
June 30, 2023
(Unaudited)		     For the
Fiscal Year Ended
December 31, 2022		  
From operations:                
Net investment income   $ 48,908,860     $ 27,763,477  
Net realized gain (loss) from investment transactions     93,817       (219,781 )
Net increase in net assets resulting from operations     49,002,677       27,543,696  
                 
Distributions to shareholders:                
From distributable earnings:                
Institutional Shares     (33,048,518 )     (18,642,223 )
Service Shares     (15,884,420 )     (8,911,722 )
Total distributions to shareholders     (48,932,938 )     (27,553,945 )
                 
From share transactions (at $1.00 per share):                
Proceeds from sales of shares     1,596,108,738       2,307,084,458  
Reinvestment of distributions     48,690,001       27,550,932  
Cost of shares redeemed     (1,460,366,093 )     (846,623,441 )
Net increase in net assets resulting from share transactions     184,432,646       1,488,011,949  
TOTAL INCREASE     184,502,385       1,488,001,700  
                 
Net assets:                
Beginning of period     2,512,760,293       1,024,758,593  
End of period   $ 2,697,262,678     $ 2,512,760,293  

 

10 The accompanying notes are an integral part of these financial statements.

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

          Goldman Sachs Government Money Market Fund  
          Institutional Shares  
    Six Months Ended                                
    June 30, 2023     Year Ended December 31,  
    (Unaudited)     2022     2021     2020     2019     2018  
Per Share Data:                                    
Net asset value, beginning of period   $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00  
Net investment income(a)     0.023       0.016       — (b)     0.004       0.021       0.017  
Distributions to shareholders from net investment income(c)     (0.023 )     (0.016 )     — (b)     (0.004 )     (0.021 )     (0.017 )
Net asset value, end of period   $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00  
Total return(d)     2.33 %     1.58 %     0.01 %     0.43 %     2.11 %     1.74 %
Net assets, end of period (in 000’s)   $ 1,888,826     $ 1,834,293     $ 523,751     $ 582,216     $ 363,783     $ 411,447  
Ratio of net expenses to average net assets     0.18 %(e)     0.17 %     0.09 %     0.18 %     0.18 %     0.18 %
Ratio of total expenses to average net assets     0.20 %(e)     0.20 %     0.21 %     0.20 %     0.21 %     0.23 %
Ratio of net investment income to average net assets     4.68 %(e)     1.92 %     — %(f)     0.35 %     2.06 %     1.73 %

 


 (a) Calculated based on the average shares outstanding methodology.

(b) Amount is less than $0.0005 per share.

(c) Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings.

(d) Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized.

(e) Annualized.

(f) Amount is less than 0.005%.

 

The accompanying notes are an integral part of these financial statements. 11

 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Period

 

    Goldman Sachs Government Money Market Fund
    Service Shares  
    Six Months Ended                                
    June 30, 2023     Year Ended December 31,  
    (Unaudited)     2022     2021     2020     2019     2018  
Per Share Data:                                    
Net asset value, beginning of period   $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00  
Net investment income(a)     0.022       0.014       — (b)     0.003       0.018       0.015  
Distributions to shareholders from net investment income(c)     (0.022 )     (0.014 )     — (b)     (0.003 )     (0.018 )     (0.015 )
Net asset value, end of period   $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00  
Total return(d)     2.21 %     1.37 %     0.01 %     0.27 %     1.86 %     1.48 %
Net assets, end of period (in 000’s)   $ 808,436     $ 678,468     $ 501,008     $ 579,416     $ 350,112     $ 368,652  
Ratio of net expenses to average net assets     0.43 %(e)     0.38 %     0.09 %     0.33 %     0.43 %     0.43 %
Ratio of total expenses to average net assets     0.45 %(e)     0.45 %     0.46 %     0.45 %     0.46 %     0.48 %
Ratio of net investment income to average net assets     4.43 %(e)     1.48 %     — %(f)     0.19 %     1.81 %     1.48 %

 


 (a) Calculated based on the average shares outstanding methodology.

(b) Amount is less than $0.0005 per share.

(c) Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings.

(d) Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized.

(e) Annualized.

(f) Amount is less than 0.005%.

 

12 The accompanying notes are an integral part of these financial statements.

 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Notes to Financial Statements

June 30, 2023 (Unaudited)

 


 1. ORGANIZATION

Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Government Money Market Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.

 


 2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

 

A.   Investment Valuation — The investment valuation policy of the Fund is to use the amortized-cost method permitted by Rule 2a-7 under the Act for valuing portfolio securities. The amortized-cost method of valuation involves valuing a security at its cost and thereafter applying a constant accretion or amortization to maturity of any discount or premium. Normally, a security’s amortized cost will approximate its market value. Under procedures and tolerances approved by the Board of Trustees (“Trustees”), GSAM evaluates daily the difference between the Fund’s net asset value (“NAV”) per share using the amortized costs of its portfolio securities and the Fund’s NAV per share using market-based values of its portfolio securities. The market-based value of a portfolio security is determined, where readily available, on the basis of market quotations provided by pricing services or securities dealers, or, where accurate market quotations are not readily available, on the basis of the security’s fair value as determined in accordance with the Valuation Procedures. The pricing services may use valuation models or matrix pricing, which may consider (among other things): (i) yield or price with respect to debt securities that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value.

 

B.  Investment Income and Investments — Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost.

 

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses.

 

D.  Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable and tax-exempt income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Fund and may include short-term capital gains. Long-term capital gain distributions, if any, are declared and paid annually. The Fund may defer or accelerate the timing of the distribution of short-term capital gains (or any portion thereof).

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

 

13

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

 


 2. SIGNIFICANT ACCOUNTING POLICIES (continued )

As of the Fund’s most recent fiscal year end, December 31, 2022, the Fund’s capital loss carryforwards and certain timing differences, on a tax-basis were as follows:

Capital loss carryforward: Perpetual Short-Term   $ (210,225 )
Timing differences (Distributions Payable and Post-October Capital Loss Deferral)     (10,517 )

 

The amortized cost for the Fund stated in the accompanying Statement of Assets and Liabilities also represents aggregate cost for U.S. federal income tax purposes. 

GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

 

E.  Forward Commitments — A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Fund will generally purchase securities on a forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of forward commitments prior to settlement which may result in a realized gain or loss.

 

F.  Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. 

An MRA governs transactions between the Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default, and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. 

If the seller defaults, the Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that the Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund. 

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Fund, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Fund maintains pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Fund is not subject to any expenses in relation to these investments.

 


 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

 

U.S. GAAP defines the fair value of a financial instrument as the amount 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 (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

 

14

 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 


 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

 

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

 

The Trustees have approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. With respect to the Fund’s investments that do not have readily available market quotations, the Trustees have designated the Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation (including both the amortized cost and market-based methods of valuation) of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies related to the market-based method of valuation, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

As of June 30, 2023, all investments, including repurchase agreements, are classified as Level 2 of the fair value hierarchy. Please refer to the Schedule of Investments for further detail.

 


 4. AGREEMENTS AND AFFILIATED TRANSACTIONS

 

A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.

 

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.

 

B.  Distribution and Service (12b-1) Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.

 

C.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is accrued daily and paid monthly at an annual rate of 0.02% of the Fund’s average daily net assets of Institutional Shares and Service Shares.

 

D.  Other Expense Agreements — GSAM has agreed to limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent that such expenses exceed, on an annual basis, 0.004% of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition,

 

15

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

 


 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This Other Expense limitation will remain in place through at least April 28, 2024, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above. For the six months ended June 30, 2023, these expense reductions, including any fee waiver and Other Expense reimbursements, were as follows:

 

Other
Expense
Reimbursements		   Total
Expense
Reductions
$147,897   $147,897

 

E. Contractual and Net Fund Expenses — The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser or transfer agent may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The following table outlines such fees (net of waivers) and Other Expenses (net of reimbursements and custodian and transfer agency fee credit reductions) in order to determine the Fund’s net annualized expenses for the fiscal year. The Fund is not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers and/or expense reimbursements, if any.

 

    Institutional Shares     Service Shares  
Fee/Expense Type   Contractual rate,
if any		     Ratio of net expenses to
average net assets
    for the six months ended
June 30, 2023		     Contractual rate,
if any		     Ratio of net expenses to
average net assets
    for the six months ended
June 30, 2023		  
Management Fee     0.16 %     0.16 %     0.16 %     0.16 %
Distribution and Service Fees     N/A       N/A       0.25       0.25  
Transfer Agency Fees     0.02       0.02       0.02       0.02  
Other Expenses     —       0.02       —       0.02  
Total Annual Fund Operating Expenses             0.20               0.45  
Expense Reimbursements             (0.02 )             (0.02 )
Net Expenses             0.18 %             0.43 %

 

N/A - Fees not applicable to respective share class.

 

F. Other Transactions with Affiliates — The Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common Trustees. 

For the six months ended June 30, 2023, the purchase and sale transactions and related net realized gain (loss) for the Fund with affiliated funds in compliance with Rule 17a-7 under the Act were as follows:

 

Purchases Sales Net Realized
Gain (Loss)
$— $699,821 $(179)

 

G. Line of Credit Facility — As of June 30, 2023, the Fund participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having

 

16

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

 


 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2023, the Fund did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.

 


 5. OTHER RISKS

 

The Fund’s risks include, but are not limited to, the following:

 

Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily, monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. Such market rates are generally the Secured Overnight Financing Rate, the Prime Rate of a designated U.S. bank, the Federal Funds Rate, or another base lending rate used by commercial lenders. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.

 

Interest Rate Risk — When interest rates increase, the Fund’s yield will tend to be lower than prevailing market rates, and the market value of its investments will generally decline. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. Changing interest rates may have unpredictable effects on the markets, may result in heightened market volatility and may detract from the Fund’s performance. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Funds with longer average portfolio durations will generally be more sensitive to changes in interest rates than funds with a shorter average portfolio duration. Fluctuations in interest rates may also affect the liquidity of the Fund’s investments. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of the Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.

 

Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio.

 

Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate

 

17

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

 

 


 5. OTHER RISKS (continued)

 

changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

 


 6. INDEMNIFICATION

 

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

 


 7. SUBSEQUENT EVENTS

 

Subsequent events after the Statement of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

 


 8. SUMMARY OF SHARE TRANSACTIONS

 

Share activity is as follows:

 

    For the Six Months Ended
June 30, 2023
(Unaudited)		     For the Fiscal Year Ended
December 31, 2022		  
Institutional Shares*            
Shares sold     1,357,445,298       1,919,889,511  
Reinvestment of distributions     32,804,474       18,639,420  
Shares redeemed     (1,335,765,124 )     (627,979,771 )
      54,484,648       1,310,549,160  
Service Shares*                
Shares sold     238,663,440       387,194,947  
Reinvestment of distributions     15,885,527       8,911,512  
Shares redeemed     (124,600,969 )     (218,643,670 )
      129,947,998       177,462,789  
NET INCREASE IN SHARES     184,432,646       1,488,011,949  

 

* Valued at $1.00 per share.

 

18

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Statement Regarding Basis for Approval of Management Agreement (Unaudited)

 

Background

The Goldman Sachs Government Money Market Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.

The Management Agreement was most recently approved for continuation until June 30, 2024 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 13-14, 2023 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:


 (a) the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about:

(i) the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams;

(ii) the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training);

(iii) trends in employee headcount;

(iv) the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v) the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

(b) information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”); and information on general investment outlooks in the markets in which the Fund invests;

(c) the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund;

(d) fee and expense information for the Fund, including:

(i) the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii) the Fund’s expense trends over time; and

(iii) to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(e) with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund;

(f) the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations;

(g) information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates;

(h) whether the Fund’s existing management fee schedule adequately addressed any economies of scale;

(i) a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, distribution and other services;

(j) a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser;

 

19

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

 


 (k) information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution;

(l) the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and

(m) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports.

 

The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.

 

Nature, Extent, and Quality of the Services Provided Under the Management Agreement

As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.

 

Investment Performance

The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings compiled by the Outside Data Provider as of December 31, 2022. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates.

In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. 

The Trustees considered the performance of the Fund in light of its investment policies and strategies. The Trustees considered that, since March 2022, the Federal Reserve had implemented a series of interest rate increases in response to inflationary pressures

 

20

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

 

impacting the broader economy, and the Fund’s yield has improved compared to other recent periods as a result. They noted that the Investment Adviser had subsequently been able to reduce the amount of fees waived and/or reimbursed relative to such amounts waived and/or reimbursed during recent challenging yield environments, including the near-zero interest rate environment following the market disruptions related to the COVID-19 pandemic and related actions by the Federal Reserve. The Trustees acknowledged, however, that the interest rate environment remained uncertain in light of broader economic conditions. The Trustees considered that, during the relevant period, the Investment Adviser had voluntarily waived fees for the Fund in order to maintain a competitive yield. The Trustees also considered that the Fund had maintained a stable net asset value per share. In addition, the Trustees observed that the U.S. Securities and Exchange Commission (“SEC”) was likely to adopt certain reforms to the regulatory framework governing money market funds and that compliance with those reforms could require a significant investment of resources by the Investment Adviser. In light of these considerations, the Trustees believed that the Fund was providing investment performance within a competitive range for investors.

 

Costs of Services Provided and Competitive Information

The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.

In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They noted that the Investment Adviser and Goldman Sachs had waived fees and/or reimbursed expenses for the Fund for a portion of the year in order to maintain a competitive yield. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.

In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

 

Profitability

The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2022 and 2021, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.

 

Economies of Scale

The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund.

The Trustees noted that the Fund does not have management fee breakpoints. They considered the asset levels in the Fund; the Fund’s recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the

 

21

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

 

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

 

services provided by the Investment Adviser and its affiliates and their realized profits; information comparing the contractual fee rates charged by the Investment Adviser with fee rates charged to other money market funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. They considered a report prepared by the Outside Data Provider, which surveyed money market funds’ management fee arrangements and use of breakpoints. The Trustees also considered the competitive nature of the money market fund business and the competitiveness of the fees charged to the Fund by the Investment Adviser.

 

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (c) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (d) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (e) Goldman Sachs’ retention of certain fees as Fund Distributor; (f) Goldman Sachs’ ability to engage in principal transactions with the Fund under exemptive orders from the SEC permitting such trades; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; and (h) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

 

Other Benefits to the Fund and Its Shareholders

The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (e) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (f) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (g) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.

 

Conclusion

In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2024.

 

22

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND

           
Fund Expenses — Six Month Period Ended June 30, 2023 (Unaudited)      

 

As a shareholder of Institutional Shares and Service Shares of the Fund, you incur ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Service Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 through June 30, 2023, which represents a period of 181 days of a 365 day year.

 

Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the 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 these transactional costs were included, your costs would have been higher.
           
  Share Class Beginning
Account Value
1/1/23		 Ending
Account Value
6/30/23		 Expenses Paid
for the
6 Months
Ended
6/30/23*		  
  Institutional Shares        
  Actual $1,000.00 $1,023.32 $0.90  
  Hypothetical 5% return $1,000.00 $1,023.90+ $0.90  
  Service Shares        
  Actual $1,000.00 $1,022.06 $2.16  
  Hypothetical 5% return $1,000.00 $1,022.66+ $2.16  
   
* Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year (or, since inception, if shorter); and then dividing that result by the number of days in the period. The annualized net expense ratios for the period were 0.18% and 0.43% for Institutional Shares and Service Shares, respectively.
+ Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses.

 

23

 

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

 

     
     
  TRUSTEES
Gregory G. Weaver, Chair
Dwight L. Bush
Kathryn A. Cassidy
John G. Chou
Joaquin Delgado
Eileen H. Dowling
James A. McNamara
Paul C. Wirth		 OFFICERS
James A. McNamara, President
Joseph F. DiMaria, Principal Financial Officer,
Principal Accounting Officer and Treasurer
Caroline L. Kraus, Secretary
 

 

GOLDMAN SACHS & CO. LLC

Distributor and Transfer Agent

 

GOLDMAN SACHS ASSET MANAGEMENT, L.P.

Investment Adviser

200 West Street, New York,

New York 10282

 

Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

 

The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

 

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.

 

Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.

 

Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transactions or matters addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.

 

The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.

 

Fund holdings and allocations shown are as of June 30, 2023 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

 

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

 

Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Funds are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a Fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Funds.

 

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.

 

This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Government Money Market Fund.

 

© 2023 Goldman Sachs. All rights reserved.

 

VITMMSAR-23 330595-OTU-08/2023

 
     

 

 

 

 

Milliman Variable Insurance Trust

 

Milliman Hedged Equity Funds

 

Semi-Annual Report

 

June 30, 2023

 

 

The following series of Milliman Variable Insurance Trust are presented in this semi-annual report:

 

Milliman – Capital Group Hedged U.S. Growth Fund 

Milliman – Capital Group Hedged U.S. Income and Growth Fund

 

 

TABLE OF CONTENTS

 

Expense Example 1
Schedules of Investments 2
Statements of Assets and Liabilities 12
Statements of Operations 13
Statements of Changes in Net Assets 14
Financial Highlights 15
Notes to Financial Statements 16
Additional Information 24
Statement Regarding the Funds’ Liquidity Risk Management Program 25
Board Considerations Regarding Approval of Investment Management Agreements 26

 

 

Milliman Variable Insurance Trust

 

Expense Example For the Period Ended 

June 30, 2023 (Unaudited)

 

Each Fund sells its shares to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. The tables below do not include any fees or sales charges imposed by your variable product.

 

As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service (“12b-1”) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023.

 

Actual Expenses

The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.

 

   

Beginning

Account

Value

    

Ending

Account

Value

    

Annualized

Expense

Ratio

    

Actual

Expenses

Paid During

the Period (a)

  
Milliman - Capital Group Hedged U.S. Growth Fund#   $ 1,000.00     $ 1,040.00       1.09 %   $ 4.26  
Milliman - Capital Group Hedged U.S. Income and Growth Fund#     1,000.00       1,009.00       1.09 %     4.20‌  

  


 # Class 3 shares

(a) Actual expense is equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (140) divided by the number of days in the fiscal year (365) to reflect the period from February 10, 2023 (commencement of operations) to June 30, 2023.

 

Hypothetical Example for Comparison Purposes

The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. 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 the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. The Funds do not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table below is useful in comparing the ongoing costs only and will not help you determine the relative total costs of owning different funds. The Funds’ expenses shown in the tables reflect fee waivers and reimbursements in effect.

 

   

Beginning

Account

Value

    

Ending

Account

Value

    

Annualized

Expense

Ratio

    

Hypothetical

Expenses

Paid During

the Period

(a)

  
Milliman - Capital Group Hedged U.S. Growth Fund#   $ 1,000.00     $ 1,019.39       1.09 %   $ 5.46  
Milliman - Capital Group Hedged U.S. Income and Growth Fund#     1,000.00       1,019.39       1.09 %     5.46‌  

  


 # Class 3 shares

(a) Expenses are equal to the Funds’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period).

  

1

 

Milliman - Capital Group Hedged U.S. Growth Fund

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 


  

Shares 

    

Value 

  
COMMON STOCKS - 102.43%                
Communication Services - 11.63%                
Alphabet, Inc. - Class C (a)     1,023     $ 123,752  
Charter Communications, Inc. - Class A (a)     47       17,266  
Meta Platforms, Inc. - Class A (a)     243       69,736  
Netflix, Inc. (a)     316       139,196  
Take-Two Interactive Software, Inc. (a)     132       19,425  
              369,375  
Consumer Discretionary - 18.46%            
 
Airbnb, Inc. - Class A (a)     327       41,908  
Amazon.com, Inc. (a)     905       117,976  
Burlington Stores, Inc. (a)     211       33,209  
Caesars Entertainment, Inc. (a)     507       25,842  
CarMax, Inc. (a)     221       18,498  
Darden Restaurants, Inc.     188       31,411  
DoorDash, Inc. - Class A (a)     276       21,092  
DR Horton, Inc.     271       32,978  
Hilton Worldwide Holdings, Inc.     499       72,629  
Marriott International, Inc. - Class A     172       31,595  
NIKE, Inc. - Class B     189       20,860  
Starbucks Corp.     341       33,779  
Tesla, Inc. (a)     123       32,198  
TopBuild Corp. (a)     142       37,775  
Williams-Sonoma, Inc.     147       18,396  
YETI Holdings, Inc. (a)     416       16,157  
              586,303  
Consumer Staples - 3.69%            
 
Costco Wholesale Corp.     47       25,304  
Dollar Tree, Inc. (a)     187       26,835  
Philip Morris International, Inc.     667       65,112  
              117,251  
Financials - 3.57%            
 
First Republic Bank/CA     303       167  
LPL Financial Holdings, Inc.     96       20,873  
MSCI, Inc.     92       43,175  
S&P Global, Inc.     89       35,679  
Toast, Inc. - Class A (a)     595       13,429  
              113,323  
Health Care - 23.38%            
 
Abbott Laboratories     1,001       109,129  
agilon health, Inc. (a)     569       9,866  
Alnylam Pharmaceuticals, Inc. (a)     85       16,145  
BioMarin Pharmaceutical, Inc. (a)     392       33,979  
Dexcom, Inc. (a)     189       24,288  
Edwards Lifesciences Corp. (a)     272       25,658  
Humana, Inc.     46       20,568  
Insulet Corp. (a)     136       39,214  
IQVIA Holdings, Inc. (a)     136       30,569  
Penumbra, Inc. (a)     83       28,557  
Revvity, Inc.     374       44,427  
Seagen, Inc. (a)     186       35,798  
Stryker Corp.     241       73,527  
Thermo Fisher Scientific, Inc.     142       74,089  
UnitedHealth Group, Inc.     275       132,175  
Zoetis, Inc. - Class A     258       44,430  
              742,419  

  

The accompanying notes are an integral part of these financial statements.

 

2

 

Milliman - Capital Group Hedged U.S. Growth Fund

 

Schedule of Investments (Continued) 

June 30, 2023 (Unaudited)

 


  

Shares 

    

Value 

  
Industrials - 13.34%                
AMETEK, Inc.     170     $ 27,520  
Carrier Global Corp.     698       34,698  
Ceridian HCM Holding, Inc. (a)     572       38,307  
Copart, Inc. (a)     665       60,655  
Old Dominion Freight Line, Inc.     181       66,925  
Raytheon Technologies Corp.     917       89,828  
TransDigm Group, Inc.     86       76,899  
Woodward, Inc.     241       28,657  
              423,489  
Information Technology - 25.89% (b)                
Apple, Inc.     269       52,178  
Applied Materials, Inc.     275       39,749  
Autodesk, Inc. (a)     134       27,418  
Broadcom, Inc.     180       156,137  
EPAM Systems, Inc. (a)     115       25,846  
First Solar, Inc. (a)     104       19,769  
Micron Technology, Inc.     889       56,105  
Microsoft Corp.     758       258,129  
NVIDIA Corp.     87       36,803  
Palo Alto Networks, Inc. (a)     43       10,987  
Salesforce, Inc. (a)     269       56,829  
ServiceNow, Inc. (a)     94       52,825  
Snowflake, Inc. - Class A (a)     166       29,213  
              821,988  
Materials - 1.41%                
Albemarle Corp.     44       9,816  
Linde PLC     92       35,059  
              44,875  
Real Estate - 1.06%                
Equinix, Inc.     43       33,709  

               
TOTAL COMMON STOCKS (Cost $2,981,442)              3,252,732  

 

   

Contracts 

    

Notional 

Amount 

        
PURCHASED OPTIONS - 0.16% (c)                        
OVER-THE-COUNTER PUT OPTIONS - 0.16%                        
Milliman - Capital Group Growth Basket, Counterparty: Bank of America, Expires 8/10/2023, Strike Price $9,500.00 (d)     300     $ 3,255,610       5,313  
TOTAL PURCHASED OPTIONS (Cost $61,748)                     5,313  
                         
Total Investments (Cost $3,043,190) - 102.59%                     3,258,045  
Liabilities in Excess of Other Assets - (2.59)%                     (82,457 )
TOTAL NET ASSETS - 100.00%                   $ 3,175,588  

      

Percentages are stated as a percent of net assets. 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard  & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 


 (a) Non-income producing security.

(b) Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment.

(c) Purchased option contracts are held in connection with corresponding written option contracts.

 

The accompanying notes are an integral part of these financial statements.

  

3

 

Milliman - Capital Group Hedged U.S. Growth Fund

 

Schedule of Investments (Continued) 

June 30, 2023 (Unaudited)

 


 (d) Comprised of a proprietary basket of securities. The underlying components of the basket as of June 30, 2023 are shown below:

 

Security Name   Number of Shares     Notional Amount     % of Total Notional Amount  
Microsoft Corp.     759     $ 258,521       7.94 %
Broadcom, Inc.     180       156,516       4.82 %
Netflix, Inc.     316       139,399       4.28 %
UnitedHealth Group, Inc.     275       132,317       4.07 %
Alphabet, Inc. - Class C     1,024       123,846       3.80 %
Amazon.com, Inc.     906       118,132       3.63 %
Abbott Laboratories     1,002       109,231       3.36 %
Raytheon Technologies Corp.     918       89,879       2.76 %
TransDigm Group, Inc.     86       76,521       2.35 %
Thermo Fisher Scientific, Inc.     143       74,396       2.29 %
Stryker Corp.     241       73,460       2.26 %
Hilton Worldwide Holdings, Inc.     500       72,734       2.23 %
Meta Platforms, Inc. - Class A     243       69,774       2.14 %
Old Dominion Freight Line, Inc.     181       66,820       2.05 %
Philip Morris International, Inc.     667       65,130       2.00 %
Copart, Inc.     666       60,725       1.86 %
Salesforce, Inc.     269       56,859       1.75 %
Micron Technology, Inc.     890       56,149       1.72 %
ServiceNow, Inc.     94       52,605       1.62 %
Apple, Inc.     269       52,242       1.60 %
Zoetis, Inc. - Class A     258       44,444       1.37 %
Revvity, Inc.     374       44,439       1.36 %
MSCI, Inc.     92       43,309       1.33 %
Airbnb, Inc. - Class A     328       41,985       1.29 %
Applied Materials, Inc.     275       39,779       1.22 %
Insulet Corp.     136       39,339       1.21 %
Ceridian HCM Holding, Inc.     572       38,320       1.18 %
TopBuild Corp.     142       37,681       1.16 %
NVIDIA Corp.     87       36,697       1.13 %
S&P Global, Inc.     90       35,903       1.10 %
Seagen, Inc.     186       35,865       1.10 %
Linde PLC     92       34,939       1.08 %
Carrier Global Corp.     699       34,748       1.07 %
Starbucks Corp.     342       33,853       1.04 %
BioMarin Pharmaceutical, Inc.     392       33,988       1.04 %
Equinix, Inc.     43       33,969       1.04 %
Burlington Stores, Inc.     211       33,235       1.02 %
DR Horton, Inc.     271       32,979       1.01 %
Tesla, Inc.     123       32,228       0.99 %
Marriott International, Inc. - Class A     172       31,653       0.97 %
Darden Restaurants, Inc.     188       31,487       0.97 %
IQVIA Holdings, Inc.     137       30,706       0.94 %
Snowflake, Inc. - Class A     166       29,271       0.90 %
Penumbra, Inc.     83       28,512       0.88 %
Woodward, Inc.     241       28,681       0.88 %
AMETEK, Inc.     171       27,617       0.85 %
Autodesk, Inc.     134       27,404       0.84 %
Dollar Tree, Inc.     187       26,888       0.83 %
Edwards Lifesciences Corp.     272       25,688       0.79 %
EPAM Systems, Inc.     115       25,776       0.79 %
Top 50 Holdings             2,926,639       89.90 %
Other Securities             328,971       10.10 %
Total Underlying Positions           $ 3,255,610       100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

4

 

Milliman - Capital Group Hedged U.S. Growth Fund

 

Schedule of Investments (Continued) 

June 30, 2023 (Unaudited)

 

SCHEDULE OF OPTIONS WRITTEN  
June 30, 2023 (Unaudited)  

Description 

  

Expiration 

    

Strike Price 

    

Contracts 

    

Notional 

Amount 

    

Value 

  
Over-the-Counter Call Options                                        
Milliman - Capital Group Growth Basket, Counterparty: Bank of America (a)     8/10/2023     $ 10,490.00       300     $ (3,255,610 )   $ (156,327 )
Over-the-Counter Put Options                                        
Milliman - Capital Group Growth Basket, Counterparty: Bank of America (a)     8/10/2023       8,000.00       300       (3,255,610 )     (1,044 )
TOTAL OPTIONS WRITTEN (Premiums Received $62,707)                                   $ (157,371 )

  


 (a) Comprised of a proprietary basket of securities. The underlying components of the basket as of June 30, 2023 are shown in the Schedule of Investments.

 

The accompanying notes are an integral part of these financial statements.

  

5

 

Milliman - Capital Group Hedged U.S. Growth Fund

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 


  

Level 1 

    

Level 2 

     Level 3    

Total 

  
Assets                        
Common Stocks   $ 3,252,732     $ —     $ —       3,252,732  
Purchased Options     —       5,313       —       5,313  
Total Assets   $ 3,252,732     $ 5,313     $ —     $ 3,258,045  
                                 
Liabilities                                
Options Written   $ —     $ 157,371     $ —     $ 157,371  
Total Liabilities   $ —     $ 157,371     $ —     $ 157,371  

  

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

Portfolio Holdings Summary

 

Asset Type   % of Net Assets  
Common Stocks     102.43 %
Communication Services     11.63  
Consumer Discretionary     18.46  
Consumer Staples     3.69  
Financials     3.57  
Health Care     23.38  
Industrials     13.34  
Information Technology     25.89 (a)
Materials     1.41  
Real Estate     1.06  
Purchased Options     0.16  
Total Investments     102.59  
Written Options     (4.95 )
Assets in Excess of Other Liabilities     2.36  
Net Assets     100.00 %

 

(a) Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investments.

 

The accompanying notes are an integral part of these financial statements.

 

6

 

Milliman - Capital Group Hedged U.S. Income and Growth Fund

 

Schedule of Investments 

June 30, 2023 (Unaudited)

 

   

Shares 

    

Value 

  
COMMON STOCKS - 103.04%                
Communication Services - 7.25%                
Alphabet, Inc. - Class A (a)     610     $ 73,017  
Comcast Corp. - Class A     2,706       112,434  
Meta Platforms, Inc. - Class A (a)     119       34,151  
              219,602  
Consumer Discretionary - 9.43%                
Darden Restaurants, Inc.     327       54,634  
General Motors Co.     951       36,671  
Home Depot, Inc.     240       74,553  
Lennar Corp. - Class A     309       38,721  
Wynn Resorts Ltd.     291       30,733  
Yum! Brands, Inc.     363       50,294  
              285,606  
Consumer Staples - 5.28%                
Archer-Daniels-Midland Co.     725       54,781  
Philip Morris International, Inc.     814       79,462  
Target Corp.     194       25,589  
              159,832  
Energy - 6.54%                
Baker Hughes Co.     951       30,061  
Chevron Corp.     324       50,981  
ConocoPhillips     393       40,719  
EOG Resources, Inc.     287       32,844  
Pioneer Natural Resources Co.     209       43,301  
              197,906  
Financials - 14.35%                
BlackRock, Inc.     83       57,365  
Capital One Financial Corp.     298       32,592  
CME Group, Inc.     309       57,255  
Discover Financial Services     292       34,120  
Intercontinental Exchange, Inc.     231       26,121  
JPMorgan Chase & Co.     609       88,573  
Marsh & McLennan Cos., Inc.     594       111,720  
PNC Financial Services Group, Inc.     212       26,701  
              434,447  
Health Care - 20.24%                
Abbott Laboratories     308       33,578  
AbbVie, Inc.     285       38,398  
Danaher Corp.     125       30,000  
Elevance Health, Inc.     80       35,543  
Eli Lilly & Co.     180       84,417  
Gilead Sciences, Inc.     653       50,327  
Humana, Inc.     79       35,323  
Johnson & Johnson     427       70,677  
Pfizer, Inc.     1,838       67,418  
The Cigna Group     112       31,427  
UnitedHealth Group, Inc.     282       135,541  
              612,649  
Industrials - 11.25%                
Boeing Co. (a)     161       33,997  
Caterpillar, Inc.     165       40,598  
CSX Corp.     1,386       47,263  
Honeywell International, Inc.     158       32,785  
L3Harris Technologies, Inc.     157       30,736  
Lockheed Martin Corp.     120       55,246  
Norfolk Southern Corp.     117       26,531  

 

The accompanying notes are an integral part of these financial statements.

 

7

 

Milliman - Capital Group Hedged U.S. Income and Growth Fund

 

Schedule of Investments (Continued) 

June 30, 2023 (Unaudited)

 

    Shares     Value  
Northrop Grumman Corp     161     $ 73,383  

            340,539  
Information Technology - 21.80%                
Apple, Inc.     428       83,019  
Broadcom, Inc.     355       307,938  
Intel Corp.     1,042       34,844  
Microsoft Corp.     688       234,292  

            660,093  
Materials - 2.60%                
Linde PLC     119       45,349  
LyondellBasell Industries NV - Class A     362       33,242  

            78,591  
Real Estate - 2.14%                
Digital Realty Trust, Inc.     226       25,735  
Extra Space Storage, Inc.     263       39,147  

            64,882  
Utilities - 2.16%                
Constellation Energy Corp.     336       30,761  
Sempra Energy     237       34,505  
              65,266  
TOTAL COMMON STOCKS (Cost $2,962,727)             3,119,413  

 

 

   

Contracts 

    

Notional 

Amount 

        
PURCHASED OPTIONS - 0.25% (b)                        
OVER-THE-COUNTER PUT OPTIONS - 0.25%                        
Milliman - Capital Group Income and Growth Basket, Counterparty: Bank of America, Expires 8/10/2023, Strike Price $9,500.00 (c)     292     $ 3,121,328       7,615  
TOTAL PURCHASED OPTIONS (Cost $49,056)                     7,615  
                         
Total Investments (Cost $3,011,783) - 103.29%                     3,127,028  
Liabilities in Excess of Other Assets - (3.29)%                     (99,638 )
TOTAL NET ASSETS - 100.00%                   $ 3,027,390  

 

 

Percentages are stated as a percent of net assets. 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard  & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 


 (a) Non-income producing security.

(b) Purchased option contracts are held in connection with corresponding written option contracts.

 

The accompanying notes are an integral part of these financial statements.

 

8

 

Milliman - Capital Group Hedged U.S. Income and Growth Fund

 

Schedule of Investments (Continued) 

June 30, 2023 (Unaudited)

 


 (c) Comprised of a proprietary basket of securities. The underlying components of the basket as of June 30, 2023 are shown below:

 

Security Name   Number of Shares     Notional Amount     % of Total Notional Amount  
Broadcom, Inc.     355     $ 307,548       9.86 %
Microsoft Corp.     689       234,529       7.52 %
UnitedHealth Group, Inc.     282       135,717       4.35 %
Comcast Corp.     2,707       112,496       3.60 %
Marsh & McLennan Cos., Inc.     594       111,790       3.59 %
L3Harris Technologies, Inc.     608       88,458       2.83 %
EOG Resources, Inc.     181       84,855       2.72 %
Apple, Inc.     428       82,941       2.65 %
Philip Morris International, Inc.     814       79,480       2.55 %
Honeywell International, Inc.     240       74,576       2.38 %
Alphabet, Inc.     614       73,480       2.35 %
Northrop Grumman Corp.     161       73,312       2.35 %
JPMorgan Chase & Co.     428       70,880       2.27 %
Pfizer, Inc.     1,843       67,584       2.16 %
BlackRock, inc.     83       57,472       1.84 %
CME Group, Inc.     309       57,171       1.83 %
Lockheed Martin Corp.     120       55,121       1.77 %
Darden Restaurants, Inc.     328       54,855       1.76 %
Archer-Daniels-Midland Co.     727       54,925       1.76 %
Chevron Corp.     324       51,058       1.64 %
Home Depot, Inc.     654       50,424       1.61 %
Yum! Brands, Inc.     362       50,217       1.61 %
CSX Corp.     1,383       47,149       1.51 %
Linde PLC     119       45,163       1.45 %
Pioneer Natural Resources Co.     210       43,446       1.39 %
ConocoPhillips     394       40,821       1.31 %
Caterpillar, Inc.     164       40,310       1.29 %
General Motors Co.     263       39,197       1.26 %
Eli Lilly & Co.     310       38,809       1.24 %
AbbVie, Inc.     286       38,568       1.24 %
Gilead Sciences, Inc.     951       36,653       1.17 %
Intel Corp.     79       35,441       1.14 %
Elevance Health, Inc.     80       35,366       1.13 %
Intercontinental Exchange, Inc.     1,036       34,645       1.11 %
Sempra Energy     237       34,491       1.10 %
Meta Platforms, Inc.     120       34,351       1.10 %
Boeing Co.     161       33,957       1.09 %
Discover Financial Services     292       34,150       1.09 %
Abbott Laboratories     308       33,556       1.08 %
LyondellBasell Industries NV     363       33,324       1.07 %
Extra Space Storage, Inc.     289       33,088       1.06 %
Humana, Inc.     158       32,787       1.05 %
Capital One Finanial Corp.     298       32,582       1.04 %
The Cigna Group     113       31,638       1.01 %
Constellation Energy Corp.     337       30,860       0.99 %
Lennar Corp.     157       30,663       0.98 %
Wynn Resorts Ltd.     291       30,685       0.98 %
Baker Hughes Co.     954       30,170       0.97 %
Danaher Corp.     125       29,933       0.96 %
PNC Financial Services Group, Inc.     213       26,842       0.86 %
Top 50 Holdings             3,017,534       96.67 %
Other Securities             103,794       3.33 %
Total Underlying Positions           $ 3,121,328       100.00 %

 

The accompanying notes are an integral part of these financial statements.

  

9

 

Milliman - Capital Group Hedged U.S. Income and Growth Fund

 

Schedule of Investments (Continued) 

June 30, 2023 (Unaudited)

 

SCHEDULE OF OPTIONS WRITTEN

June 30, 2023 (Unaudited)   

 

                      Notional        
Description   Expiration     Strike Price     Contracts     Amount     Value  
Over-the-Counter Call Options                                        
Milliman - Capital Group Income and Growth Basket, Counterparty: Bank of America (a)     8/10/2023     $ 10,400.00       292     $ (3,121,328 )   $ (131,076 )
Over-the-Counter Put Options                                        
Milliman - Capital Group Income and Growth Basket, Counterparty: Bank of America (a)     8/10/2023       8,000.00       292       (3,121,328 )     (1,334 )
TOTAL OPTIONS WRITTEN (Premiums Received $49,056)                                   $ (132,410 )

 


 (a) Comprised of a proprietary basket of securities. The underlying components of the basket as of June 30, 2023 are shown in the Schedule of Investments.

 

The accompanying notes are an integral part of these financial statements.

 

10

 

Milliman - Capital Group Hedged U.S. Income and Growth Fund

 

Schedule of Investments (Concluded) 

June 30, 2023 (Unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the Fund’s assets and liabilities (see Note 2 in Notes to Financial Statements):

 

   

Level 1 

    

Level 2 

     Level 3    

Total 

  
Assets                        
Common Stocks   $ 3,119,413     $ —     $ —       3,119,413  
Purchased Options     —       7,615       —       7,615  
Total Assets   $ 3,119,413     $ 7,615     $ —     $ 3,127,028  
                                 
Liabilities                                
Options Written   $ —     $ 132,410     $ —     $ 132,410  
Total Liabilities   $ —     $ 132,410     $ —     $ 132,410  

 

The following tables summarize derivatives held by the Fund and their impact on the Fund’s results of operations (see Note 3 in Notes to Financial Statements).

 

Portfolio Holdings Summary

 

    % of Net  
Asset Type   Assets  
Common Stocks     103.04 %
Communication Services     7.25  
Consumer Discretionary     9.43  
Consumer Staples     5.28  
Energy     6.54  
Financials     14.35  
Health Care     20.24  
Industrials     11.25  
Information Technology     21.80  
Materials     2.60  
Real Estate     2.14  
Utilities     2.16  
Purchased Options     0.25  
Total Investments     103.29  
Written Options     (4.37 )
Assets in Excess of Other Liabilities     1.08  
Net Assets     100.00 %

 

The accompanying notes are an integral part of these financial statements.

 

11

 

Milliman Variable Insurance Trust

 

Statements of Assets and Liabilities 

June 30, 2023 (Unaudited)

 

     

 

Milliman -

Capital Group

Hedged U.S.

Growth Fund 

      

Milliman -

Capital Group

Hedged U.S.

Income and

Growth Fund  

  
  Assets:              
  Investments, at value (a)   $ 3,258,045     $ 3,127,028‌  
  Cash and cash equivalents     33,354‌       12,152‌  
  Dividends and interest receivable     1,445‌       1,418‌  
  Receivable for fund shares sold     20,107‌       —‌  
  Due from Advisor     12,373‌       12,349‌  
  Deferred offering costs     24,203‌       24,193‌  
  Total Assets     3,349,527‌       3,177,140‌  
                   
  Liabilities:                
  Options written, at value (b)     157,371‌       132,410‌  
  Distribution fees payable     1,899‌       1,852‌  
  Payable to Trustees     132‌       130‌  
  Other liabilities     14,537‌       15,358‌  
  Total Liabilities     173,939‌       149,750‌  
  Net Assets   $ 3,175,588     $ 3,027,390‌  
                   
  Net Assets Consist of:                
  Paid-in capital   $ 3,053,591     $ 3,000,010‌  
  Total distributable earnings/(accumulated deficit)     121,997‌       27,380‌  
  Net Assets   $ 3,175,588     $ 3,027,390‌  
                   
  Class 3                
  Net assets   $ 3,175,588     $ 3,027,390‌  
  Shares of beneficial interest outstanding (unlimited shares authorized with par value of $0.001 per share)     305,202‌       300,001‌  
  Net asset value, offering price and redemption price per share   $ 10.40     $ 10.09‌  
                   
(a) Cost of investments   $ 3,043,190‌     $ 3,011,783‌  
(b) Premiums received     62,707‌       49,056‌  

  

The accompanying notes are an integral part of these financial statements.

 

12

 

Milliman Variable Insurance Trust

 

Statements of Operations

 

   

Milliman -

Capital Group

Hedged U.S.

Growth Fund

    

Milliman -

Capital Group

Hedged U.S.

Income and

Growth Fund

  
   

Period February

10, 2023(a) to

June 30, 2023

(Unaudited)

    

  Period February

10, 2023(a) to

June 30, 2023

(Unaudited)

  
Investment Income:                
Dividends   $ 10,596     $ ‌29,607‌  
Interest     845‌       807‌  
Total Investment Income     11,441‌       30,414‌  
                 
Expenses:                
Investment advisory fees     8,731‌       8,551‌  
Accounting and administration fees     22,105‌       21,867‌  
Custody fees     1,901‌       1,663‌  
Transfer agent fees     2,309‌       2,310‌  
Distribution service fees     2,835‌       2,776‌  
Professional fees and expenses     6,762‌       6,761‌  
Trustees fees and expenses     362‌       362‌  
Organizational costs     3,573‌       3,573‌  
Offering costs     15,961‌       15,961‌  
Other expenses     514‌       514‌  
Total Expenses     65,053‌       64,338‌  
Waivers/expense reimbursement by Advisor     (52,693 )     (52,233 )
Net Expenses     12,360‌       12,105‌  
Net Investment Income/(Loss)     (919 )     18,309‌  
                 
Realized and Unrealized Gain/(Loss):                
Net realized gain/(loss) on:                
Investments     (68,121 )     (64,448 )
Options written     70,846‌       41,628‌  
Net realized gain/(loss)     2,725‌       (22,820 )
Net change in unrealized appreciation/(depreciation) on:                
Investments     214,855‌       115,245‌  
Options written     (94,664 )     (83,354 )
Net change in unrealized appreciation/(depreciation)     120,191‌       31,891‌  
Net realized and unrealized gain/(loss)     122,916‌       9,071‌  
Net Increase/(Decrease) in Net Assets From Operations   $ 121,997‌     $ 27,380‌  

 


 (a) Commencement of operations

 

The accompanying notes are an integral part of these financial statements.

 

13

 

Milliman Variable Insurance Trust

 

Statements of Changes in Net Assets

 

   

Milliman -

Capital Group

Hedged U.S.

Growth Fund 

  

Milliman -

Capital Group

Hedged U.S.

Income and

Growth Fund 
   

Period

February

10, 2023(a)

to June

30, 2023

(Unaudited) 

  

Period

February

10, 2023(a)

to June

30, 2023

(Unaudited) 
Operations:            
Net Investment income/(loss)   $ (919 )   $ 18,309‌  
Net realized gain/(loss)     2,725‌       (22,820 )
Net change in unrealized appreciation/(depreciation)     120,191‌       31,891‌  
Net Increase/(Decrease) in Net Assets Resulting from Operations     121,997‌       27,380‌  
                 
Capital Share Transactions:(b)                
Proceeds from shares sold     3,053,617‌       3,000,010‌  
Cost of shares redeemed     (26 )     —‌  
Net Increase/(Decrease) in Net Assets from Capital Share Transactions     3,053,591‌       3,000,010‌  
Total Increase/(Decrease) in Net Assets     3,175,588‌       3,027,390‌  
                 
Net Assets:                
Beginning of the period     —‌       —‌  
End of the period   $ 3,175,588‌     $ 3,027,390‌  

               
Change in Shares Outstanding:(b)                
Shares sold     305,205‌       300,001‌  
Shares redeemed     (3 )     —‌  
Net Increase/(Decrease)     305,202‌       300,001‌  

  


 (a) Commencement of Operations

(b) Class 3

 

The accompanying notes are an integral part of these financial statements.

  

14

 

Milliman Variable Insurance Trust

 

Financial Highlights

 

   

Per Share Operating Performance (for a share outstanding throughout each period) 

  

Ratios/Supplemental Data: 

  
        Investment Operations:     Distributions:                 Ratio to Average Net Assets of: (a)        
    Net Asset
Value,
Beginning
of Period		   Net
investment
income/
loss (b)		    

Net realized

and

unrealized

gain/(loss)

  

Total From

Investment

Operations

     From net
investment
income		    

Total

Distributions

     Net Asset
Value, End
of Period		  

Total

return (c)

   Net assets,
end of
Period
(000)		   Expenses,
gross (d)		     Expenses,
net (d)		     Net
investment
income/
(loss)		     Portfolio
turnover
rate (e)		  
Milliman - Capital Group Hedged U.S. Growth Fund                                              
For the period 2/10/23 (f) - 6/30/23 (Unaudited).   $ 10.00‌   (0.00 )(g)   0.40‌   0.40     —     —     $ 10.40‌   4.00 %   $ 3,176‌     5.74 %   1.09 %   (0.08 )%   10 %
Milliman - Capital Group Hedged U.S. Income and Growth Fund                                  
For the period 2/10/23 (f) - 6/30/23 (Unaudited).   $ 10.00‌   0.06     0.03‌   0.09     —     —     $ 10.09‌   0.90 %   $ 3,027‌     5.79 %   1.09 %   1.65 %   7 %

  


 (a) Annualized for periods less than one year.

(b) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period.

(c) Total return is based on the change in net asset value of a share during the period, assumes reinvestment of dividends and distributions at net asset value and is not annualized for periods less than one year. Total return reflects waivers/reimbursements by the manager. Performance would have been lower had the waivers/reimbursements not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which the Funds serve as an underlying investment vehicle. If total return had taken these into account, performance would have been lower.

(d) Net expenses reflect fee waivers and expense reimbursements by the Advisor.

(e) Not annualized for periods less than one year.

(f) Commencement of operations.

(g) Amount represents less than $0.005 per share.

 

The accompanying notes are an integral part of these financial statements.

  

15

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

 

1.       ORGANIZATION

 

Milliman Variable Insurance Trust (the “Trust”) was organized under the laws of the state of Delaware as a Delaware statutory trust on November 2, 2020, and is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2023, the Trust consisted of 66 operational series, two of which are presented herein (each, a “Fund” and together, the “Funds”). The remaining series are presented in separate reports. Each of the Funds is classified as non-diversified under the 1940 Act. Each Fund offers shares only to insurance company separate accounts funding variable annuity contracts and variable life insurance policies and other qualified investors. All shares of the Funds have equal rights and privileges. As of June 30, 2023, only Class 3 shares were offered, which have no front-end sales load, deferred sales charge, or redemption fee.

 

The Funds and their respective commencement dates are as follows:

 

Name   Commencement of
Operations
Milliman - Capital Group Hedged U.S. Growth Fund   February 10, 2023
Milliman - Capital Group Hedged U.S. Income and Growth Fund   February 10, 2023

 

The Milliman - Capital Group Hedged U.S. Growth Fund’s investment objective is to provide long-term growth of capital, while also seeking to provide a hedge against downside equity exposure.

 

The Milliman - Capital Group Hedged U.S. Income and Growth Fund’s investment objective is to produce income and provide long-term growth of capital, while also seeking to provide a hedge against downside equity exposure.

 

Each Fund seeks to achieve its investment objective by primarily investing its assets in a combination of common stocks (to provide long equity exposure) and derivatives (to create a hedge against the Fund’s downside equity exposure).

 

2.       SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies.

 

Use of Estimates

 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

Computation of Net Asset Value

 

The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. ET) on each business day the NYSE is open for regular trading. If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time. If the NYSE closes early on a valuation day, a Fund shall determine NAV as of that time.

 

Valuation

 

The Board of Trustees of the Trust (the “Board”) has adopted Pricing and Valuation Procedures (“Valuation Procedures”) to be used for valuing all securities and other assets held by the Funds, including those for which market quotations are not readily available or are deemed not be reliable. The Board has designated Milliman Financial Risk Management LLC (“Milliman”) as the valuation designee, which has established a pricing committee comprised of representatives of Milliman (the “Pricing Committee”) to provide input to Milliman in making fair value determinations in accordance with

  

16

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited)

June 30, 2023

 

the Valuation Procedures.

 

Equity securities, including shares of exchange-traded Funds (“ETFs”), listed on any national or foreign exchange (excluding the Nasdaq National Market (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) will be valued at the last sale price on the exchange on which they are principally traded, or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities.

 

Exchange-traded options, including FLexible EXchange® Options (“FLEX Options”), are valued at a market-based price provided by the exchange on which the options contract is traded at the official close of that exchange’s trading date. If the exchange on which the options contract is traded is unable to provide a market price, exchange-traded options prices will be provided by a model-pricing provider. Over-the-counter options (“OTC Options”), including certain binary options, are valued at the mean of the most recent bid and asked price, if available, or otherwise at their closing bid price. Otherwise, the value of an options contract will be determined by the Pricing Committee in accordance with the Valuation Procedures.

 

Fixed income securities will generally be valued using a third-party pricing service vendor (a “Pricing Service”). Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination.

 

Open-end investment companies, with the exception of ETFs, are valued at their respective NAVs.

 

The Funds’ accounting agent may obtain all market quotations used in valuing securities from a Pricing Service. If no quotation can be obtained from a Pricing Service, then the Funds’ accounting agent will contact the Pricing Committee. The Pricing Committee will then attempt to obtain one or more broker quotes for the security or other asset daily and will value the security or other asset accordingly. If no quotation is available from either a Pricing Service, or one or more brokers, or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security or other asset held by a Fund for which reliable market quotations are not readily available will be determined by Milliman in a manner that most appropriately reflects fair market value of the security or other asset on the valuation date.

 

The Trust follows the authoritative guidance (GAAP) for fair value measurements, which established a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance established three tiers of inputs that may be used to measure fair value as follows:

 

  Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have 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 Funds’ 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.

 

The inputs used to value the Funds’ investments at June 30, 2023, are summarized at the end of each Fund’s Schedule of

17

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

 

Investments. The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

Cash and cash equivalents

 

Cash and cash equivalents include amounts held in interest-bearing demand deposit accounts with the Funds’ custodian.

 

Organizational and Offering Costs

 

Organizational and offering costs directly attributable to a series of the Trust are charged to that series, such as certain registration fees, while expenses which are attributable to more than one series are allocated among the respective series on a pro rata basis.

 

Organizational costs are expensed as incurred and include costs of forming the Funds and servicing agreements. Offering costs are recorded as a deferred asset and will be amortized on a straight-line basis for a period of twelve months upon commencement of operations of each Fund. Offering costs include legal fees pertaining to the preparation, review and filing of each Fund’s initial registration statement with the SEC, and printing, mailing or other distribution charges related to each Fund’s prospectus and statement of additional information. Organizational costs and offering costs are subject to the Funds’ Expense Limitation Agreement (See Note 5).

 

Investment Transactions, Investment Income and Expenses

 

Investment transactions are accounted for on a trade date basis for financial reporting purposes. Realized gains and losses from investment transactions are recorded on an identified cost basis. Dividend income, if any, is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums, is recognized on an accrual basis using the effective yield method.

 

Expenses are accrued daily. Expenses of the Trust, which are directly identifiable to a specific series, are applied to that series. Expenses which are not identifiable to a specific series are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.

 

Distributions to Shareholders

 

Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to pay out dividends from their net investment income, if any, annually. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from GAAP. Distributions that exceed earnings and profits for tax purposes are reported as a return of capital.

 

3.       DERIVATIVES

 

Disclosures about derivative instruments are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.

 

In seeking to create a hedge against a Fund’s downside equity exposure, Milliman primarily intends to purchase and sell either OTC options and/or FLEX Options on common stocks and/or indices or ETFs representing those common stocks. OTC options are traded and privately negotiated in the OTC market and are subject to counterparty risk of the writer of the options contract. Many counterparties to OTC options are financial institutions, such as banks and broker-dealers, and their creditworthiness (and ability to pay or perform) may be negatively impacted by factors affecting financial institutions generally. FLEX Options are options contracts that trade on an exchange but provide an investor with the ability to customize key contract terms like strike price, style and expiration date, while achieving price discovery (i.e., determining market prices) in competitive, transparent auctions markets and avoiding the counterparty exposure of OTC options positions. Like traditional exchange-traded options, FLEX Options are guaranteed for settlement by the OCC, a market clearinghouse

  

18

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023 

 

that guarantees performance by counterparties to certain derivatives contracts. Milliman is not restricted in its use of OTC or exchange-traded options and may use either type to achieve the Funds’ principal investment strategies.

 

The Funds will purchase and sell call and put options. In general, put options give the holder (i.e., the buyer) the right to sell an asset (or deliver the cash value of the underlying asset) and the seller (i.e., the writer) of the put has the obligation to buy the asset (or receive cash value of the underlying asset) at a certain defined price. Call options give the holder (i.e., the buyer) the right to buy an asset (or receive cash value of the underlying asset) and the seller (i.e., the writer) the obligation to sell the asset (or deliver cash value of the underlying asset) at a certain defined price.

 

When a Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call or, if cash-settled, a gain or loss is realized. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, or the transfer of the relative cash amount if cash-settled, and the proceeds are decreased by the premium originally paid. Purchased options are non-income producing securities.

 

When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option written by the Fund is exercised, the premium received is added to the proceeds from the sale of the underlying security, or the transfer of the relevant cash amount if cash-settled, in determining whether the Fund has a realized a gain or loss. If a put option written by the Fund is exercised, the premium received reduces the cost basis of the securities purchased by the Fund if physical delivery is required, or the corresponding cash amount if cash-settled. The Fund, as a writer of an option, bears the market risk of an unfavorable change in the price of the asset underlying the written option. Risk of loss on written options may exceed amounts recognized on the Statements of Assets and Liabilities.

 

The following tables summarize derivatives held by the Fund and their impact on the Funds’ results of operations.

 

The location and value of derivative instruments on the Statements of Assets and Liabilities as of June 30, 2023, was as follows:

 

   

Location 

  

Equity Risk 

    

Total 

  
Milliman – Capital Group Hedged U.S. Growth Fund                    
Assets - Purchased options   Investments, at value   $ 5,313     $ 5,313  
Liabilities - Written options   Options written, at value   $ 157,371     $ 157,371  
                     
Milliman – Capital Group Hedged U.S. Income and Growth Fund                    
Assets - Purchased options   Investments, at value   $ 7,615     $ 7,615  
Liabilities - Written options   Options written, at value   $ 132,410     $ 132,410  

   

The location and effect of derivative instruments on the Statements of Operations for the period ended June 30, 2023, was as follows:

19

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023 

 

   

Realized Gain/(Loss) on Derivatives Recognized in Income 

          
   

 Location 

    

Equity Risk 

      

Total 

  
Milliman – Capital Group Hedged U.S. Growth Fund                    
Purchased options   Investments   $ (70,846 )   $ (70,846 )
Written options   Written Options     70,846       70,846  
        $ —     $ —  
                     
Milliman – Capital Group Hedged U.S. Income and Growth Fund                    
Purchased options   Investments   $ (41,628 )   $ (41,628 )
Written options   Written Options     41,628       41,628  
        $ —     $ —  

 

   

Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income

  
   

 Location 

    

Equity Risk 

      

Total 

  
Milliman – Capital Group Hedged U.S. Growth Fund                
Purchased options   Investments   $ (56,435 )   $ (56,435 )
Written options   Written Options     (94,664 )      (94,664 ) 
        $ (151,099 )    $ (151,099 ) 
Milliman – Capital Group Hedged U.S. Income and Growth Fund                    
Purchased options   Investments   $ (41,441 )   $ (41,441 )
Written options   Written Options     (83,354 )      (83,354 ) 
        $ (124,795 )    $ (124,795 ) 

    

The notional amounts of derivative instruments outstanding relative to each Fund’s net assets as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.

 

Because OTC options are not guaranteed for settlement by a clearing broker, they are generally considered to have greater counterparty risk than exchange-traded options, such as FLEX Options, which are issued and guaranteed for settlement by the Options Clearing Corporation (“OCC”) and their clearing houses (“clearing members”) rather than a bank or a broker. To the extent the Fund uses FLEX Options, although clearing members guarantee performance of their clients’ obligations to the clearing house, there is a risk that the assets of the Fund might not be fully protected in the event of the clearing member’s bankruptcy, as the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for the relevant account class. The use of certain derivatives involves leverage, which can cause the Fund’s portfolio to be more volatile than if the portfolio had not been leveraged. Leverage can significantly magnify the effect of price movements of the reference asset, disproportionately increasing the Fund’s losses and reducing the Fund’s opportunities for gains when the reference asset changes in unexpected ways. In some instances, such leverage could result in losses that exceed the original amount invested.

 

In order to better define its contractual rights and to secure rights to help the Funds mitigate their counterparty risk, the Funds may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign currency exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of an ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy

 

20

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023

  

or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

 

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

 

At June 30, 2023, derivative assets and liabilities subject to offsetting provisions were as follows:

 

Milliman - Capital Group Hedged U.S. Growth Fund

 

Counterparty

Gross Value of

Derivative Assets

Derivatives
Available for

Offset(1)

Non-Cash
Collateral

Received(1)

Cash Collateral

Received(1)

Net Exposure of

Derivative Assets(2)
Bank of America   $ 5,313     $ (5,313 )   $ —     $ —     $ —  

 

Counterparty

  

Gross Value of

Derivative Liabilities

    

Derivatives

Available for

Offset(1)

    

Non-Cash

Collateral

Received(1)

    

Cash Collateral

Received(1)

    

Net Exposure

of Derivative

Liabilities(2)

  
Bank of America   $ 157,371     $ (5,313 )   $ —     $ —     $ 152,058  

     

Milliman - Capital Group Hedged U.S. Income and Growth Fund 

 

Counterparty

Gross Value of

Derivative Assets

Derivatives
Available for

Offset(1)

Non-Cash
Collateral

Received(1)

Cash Collateral

Received(1)

Net Exposure of

Derivative Assets(2)

  
Bank of America   $ 7,615     $ (7,615 )   $ —     $ —     $ —  

  

Counterparty

  

Gross Value of

Derivative Liabilities

    

Derivatives

Available for

Offset(1)

    

Non-Cash

Collateral

Received(1)

    

Cash Collateral

Received(1)

    

Net Exposure

of Derivative

Liabilities(2)

  
Bank of America   $ 132,410     $ (7,615 )   $ —     $ —     $ 124,795  

 


 (1) Excess of collateral is not shown for financial reporting purposes.

(2) Net exposure represents the receivable due from or payable due to the counterparty in the event of default.

 

4.       FEDERAL TAXES INFORMATION

 

No provision for federal income taxes has been made, as it is each Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986, as amended, and to distribute to shareholders each year, all of its taxable income and realized gains.

 

Each Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the tax returns are filed. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. The Funds do not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Funds did not incur any interest or penalties for the period ended June 30, 2023.

 

The amount and character of tax-basis distributions and composition of distributable earnings are finalized at fiscal year-end. Accordingly, tax-basis balances have not been determined as of the date of this report. 

 

At June 30, 2023, the estimated cost of investments, including derivatives, and unrealized appreciation/depreciation for federal income tax purposes for each Fund were as follows:

 

21

 

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023 

 

Cost of

Investments

Gross

Unrealized

Appreciation

Gross

Unrealized

Depreciation


Net Unrealized

Appreciation/

(Depreciation)
Milliman - Capital Group Hedged U.S. Growth Fund   $ 2,980,483‌     $ 271,290‌     $ (151,099 )   $ 120,191‌  
Milliman - Capital Group Hedged U.S. Income and Growth Fund     2,962,727‌       156,686‌       (124,795 )     31,891‌  

  

5.       ADVISORY FEES AND OTHER AGREEMENTS

 

The Trust has an Investment Advisory Agreement with Milliman to furnish investment advisory services to the Funds. Pursuant to the Investment Advisory Agreement, Milliman is entitled to receive, on a monthly basis, an annual advisory fee equal to 0.77% of each Fund’s average daily net assets.

 

Capital International, Inc. (the “Sub-Adviser”) serves as investment sub-adviser to each Fund. Under the Investment Sub-Advisory Agreement (the “Sub-Advisory Agreement”) with Milliman, the Sub-Adviser provides to Milliman a list of securities that comprise a Fund’s Investable Universe. That list is comprised of a portfolio of securities representing the Sub-Adviser’s recommendations to Milliman as to the common stocks and/or cash or cash equivalents on which Milliman could purchase for a Fund. The Sub-Adviser does not have responsibility for the day-to-day management of the Funds’ portfolios nor review and oversight of the Funds’ investment strategies. Rather, Milliman will make determinations on which common stocks to purchase and derivatives to transact based upon industry weightings, market capitalizations, and other financial characteristics of the common stocks contained in the Investable Universe. Milliman will also make determinations on which common stocks to purchase and derivatives to transact based on Milliman’s evaluation of the market liquidity of those common stocks and derivatives. Pursuant to the terms of the Sub-Advisory Agreement, the Sub-Adviser may remove stocks from, and/or add stocks to, the list, which may result in Milliman selling stocks that have been removed or purchasing stocks that have been added to the list, as well as resetting some of the derivatives positions. For services provided under the Sub-Advisory Agreement, Milliman pays the Sub-Adviser a fee out of the advisory fee Milliman receives from each Fund.

 

Milliman has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit each Fund’s total annual Fund operating expenses (which include any offering and organizational expenses, but exclude taxes, interest, brokerage fees and commissions, Rule 12b-1 fees, acquired fund fees and expenses, short-sale dividend expenses, and extraordinary or non-routine expenses not incurred in the ordinary course of each Fund’s business) to 0.84% of each Fund’s average daily net assets (the “Expense Limitation Agreement”) until at least April 29, 2024. During its term, the Expense Limitation Agreement cannot be terminated or amended to increase the applicable limit without approval of the Board. Milliman may recoup from each Fund any advisory fees waived or expenses reimbursed pursuant to the applicable Expense Limitation Agreement for a period of three years from the date on which such waiver or reimbursement occurred; provided, however, that such recoupment shall not be made if it would cause the Fund’s total annual Fund operating expenses to exceed the lesser of (a) the expense limitation in effect at the time of the reimbursement, or (b) the expense limitation in effect at the time of recoupment, if any. No amounts were recouped during the period ended June 30, 2023. As of June 30, 2023, the amounts eligible for recoupment and the year of expiration are as follows:

 

    Recovery Expiring in:  
      2026       Total  
Milliman - Capital Group Hedged U.S. Growth Fund   $ 52,693‌     $ 52,693‌  
Milliman - Capital Group Hedged U.S. Income and Growth Fund     52,233‌       52,233‌  

 

U.S. Bancorp Fund Services, LLC d/b/a U.S. Bank Global Fund Services, a subsidiary of U.S. Bancorp, serves as each Fund’s fund accountant, administrator, and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp, serves as the Funds’ custodian pursuant to a custody agreement. Foreside Fund Services, LLC (the “Distributor”) serves as the

 

22

  

Milliman Variable Insurance Trust

 

Notes to Financial Statements (Unaudited) 

June 30, 2023 

 

Funds’ distributor pursuant to a distribution agreement.

 

The Trust has adopted a Distribution Plan under Rule 12b-1 (“Rule 12b-1 Plan”) of the 1940 Act with respect to each Fund’s Class 3 shares. The Rule 12b-1 Plan permits each Fund to pay the Distributor, as the Funds’ principal underwriter, for expenses associated with the distribution of Class 3 shares of the Funds. Under the Rule 12b-1 Plan, the Distributor is paid an annual fee of 0.25% of the average daily net assets of Class 3 shares. All Rule 12b-1 Plan payments received by the Distributor shall be used solely for distribution-related expenses and shall not be retained as profit by the Distributor.

 

Accordingly, no compensation is payable by the Funds to the Distributor for such distribution services. However, Milliman has entered into an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the distribution agreement. The payments made by Milliman to the Distributor do not represent an additional expense to the Funds or their shareholders.

 

Certain employees of Foreside Fund Officer Services, LLC, an affiliate of the Distributor, serve as Treasurer and Principal Financial Officer and Chief Compliance Officer and Anti-Money Laundering Officer to the Trust.

 

Certain Trustees and Officers of the Trust are also Officers or employees of Milliman, and during their terms of office, receive no compensation from the Funds.

 

6.       INVESTMENT TRANSACTIONS

 

Purchases and sales of investments, excluding short-term obligations and U.S. Government Securities, for the period ended June 30, 2023, were as follows:

 

    Purchases     Sales  
Milliman - Capital Group Hedged U.S. Growth Fund   $ 3,274,764     $ 296,047  
Milliman - Capital Group Hedged U.S. Income and Growth Fund     3,197,607       212,060  

 

7.       BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of that Fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, American General Life Insurance Company directly owned greater than 25% of the outstanding shares of each Fund.

 

8.       RISKS

 

The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Assets may decline in value due to factors affecting financial markets generally or particular asset classes or industries represented in the markets. The value of options or other assets may also decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or due to factors that affect a particular issuer, country, region, market, industry, sector or asset class.

 

The principal risks of investing in the Funds are described more fully in the Funds’ prospectus.

 

9.       GUARANTEES AND INDEMNIFICATIONS

 

In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred.

 

10.       SUBSEQUENT EVENTS

 

Management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that no additional items require recognition or disclosure.

 

23

 

Milliman Variable Insurance Trust

 

Additional Information (Unaudited) 

June 30, 2023

 

1. INFORMATION ABOUT PROSPECTUS

 

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–855–700–7959 or visiting www.millimanfunds.com.

 

2. PROXY VOTING POLICIES AND PROCEDURE

 

The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–855–700–7959 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.

 

3. INFORMATION ABOUT PORTFOLIO SECURITIES

 

Each Fund’s complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Part F of Form N-PORT. The Trust’s Part F of Form N-PORT is available without charge, upon request, by calling 1-855-700-7959, or on the SEC’s website at www.sec.gov. The Trust’s Part F of Form N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

 

24

  

Statement Regarding the Funds’ Liquidity Risk Management Program (Unaudited) 

June 30, 2023

 

Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires each registered open-end management investment company to adopt and implement a liquidity risk management program that is reasonably designed to assess and manage its liquidity risk. Milliman Variable Insurance Trust (the “Trust”) has adopted a liquidity risk management program (the “Program”), on behalf of each of its series (each, a “Fund,” and collectively, the “Funds”), which is designed to meet the requirements of the Liquidity Rule. The Board of Trustees of the Trust (the “Board”) has appointed Milliman Financial Risk Management LLC, investment adviser to the Funds (the “Program Administrator”), to serve as the administrator for the Program.

 

As required by the Liquidity Rule, the Program includes policies and procedures providing for an assessment, no less frequently than annually, of each Fund’s liquidity risk. The Liquidity Rule and the Program also requires that each of a Fund’s portfolio investments (including a Fund’s derivatives holdings) be classified as a highly liquid investment, moderately liquid investment, less liquid investment, or illiquid investment. In accordance with the Liquidity Rule and the Program, any Fund that does not primarily hold assets that are highly liquid investments must determine a highly liquid investment minimum (“HLIM”), which is the minimum percentage of net assets that such Fund must invest in highly liquid investments. In addition, under the Liquidity Rule and the Program, no Fund may acquire any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments (including derivatives holdings) that are assets.

 

Pursuant to the Liquidity Rule and the Program, the Program Administrator is required to provide an annual report to the Board on the adequacy of the Program and the effectiveness of its implementation, including, if applicable, the operation of the HLIM, and any material changes to the Program (the “Annual Report”). At a meeting of the Board held on May 9, 2023 (the “Meeting”), the Program Administrator presented the Annual Report to the Board, which covered the period ending March 31, 2023 (the “Reporting Period”). The Program Administrator reported that during the Reporting Period, the Program operated effectively in all material respects and that the existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with the Liquidity Rule. The Program Administrator also reported that there were no material changes to the Program during the Reporting Period, and none were being proposed to the Board at the Meeting. Further, the Annual Report stated that the Program Administrator was comfortable with the liquidity levels for all Funds and believed that the securities (including derivatives holdings) in which the Program Administrator trades on behalf of the Funds, as investment adviser to the Funds, can be classified as highly liquid.

 

25

  

Milliman Variable Insurance Trust

 

Board Considerations Regarding Approval of Investment Management Agreements 

June 30, 2023 (Unaudited)

 

At meetings held on August 9, 2022 (the “August 2022 Meeting”) and November 8, 2022 (the “November 2022 Meeting,” and together with the August 2022 Meeting, the “Meetings”), the Board of Trustees (the “Board” or the “Trustees”) of the Milliman Variable Insurance Trust (the “Trust”), including the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Trust (the “Independent Trustees”), voting separately, reviewed and unanimously approved (i) the Investment Advisory Agreement (the “Investment Advisory Agreement”) between Milliman Financial Risk Management LLC (the “Adviser”) and the Trust, on behalf of the series of the Trust identified on Appendix A (each, a “Fund,” and collectively, the “Funds”); and (ii) the Sub-Advisory Agreement between the Adviser and Capital International, Inc. (the “Sub-Adviser”) with respect to the Funds.

 

During the Meetings, the Independent Trustees had met in executive session with counsel and had discussed the proposed Investment Advisory Agreement and Sub-Advisory Agreement and the requirements under the 1940 Act that apply to the Board’s consideration and approval of those agreements. In considering the Investment Advisory Agreement and Sub-Advisory Agreement, the Board, including the Independent Trustees, reviewed the Board materials and other information from counsel and from the Adviser and Sub-Adviser, including: (i) copies of the forms of Investment Advisory Agreement and Sub-Advisory Agreement; (ii) information describing the nature, quality and extent of the services proposed to be provided by the Adviser and Sub-Adviser to the Funds; (iii) information concerning the financial condition, business, operations, and compliance programs of the Adviser and Sub- Adviser, as well as the portfolio management team of the Adviser proposed to manage each Fund’s portfolio; (iv) information describing each Fund’s proposed investment advisory fee and operating expenses; (v) information describing each Fund’s proposed sub-advisory fee; (vi) copies of the current Forms ADV for the Adviser and Sub-Adviser; and (vii) a memorandum from Trust counsel regarding the responsibilities of the Trustees in considering investment advisory arrangements under the 1940 Act. The Board also considered presentations made by, and discussions held with, representatives of both the Adviser and Sub-Adviser. The Board also received information comparing the proposed advisory fees and expenses of each Fund to other investment companies being offered to insurance company separate accounts that also utilize similar investment strategies, although management stated that they did not view these other investment companies as being an appropriate peer comparison because those other investment companies utilize simpler strategies with larger options components.

 

During its review of this information, the Board focused on and analyzed the factors that the Board deemed relevant, including: (i) the nature, extent and quality of the services expected to be provided to each Fund by the Adviser and Sub-Adviser; (ii) the Adviser’s and Sub-Adviser’s personnel and operations; (iii) the Funds’ proposed expense levels; (iv) any “fall-out” benefits to the Adviser and Sub-Adviser (i.e., the ancillary benefits that would be realized by the Adviser or Sub-Adviser from their relationships with the Trust); (v) the effect of asset growth on a Fund’s expenses; and (vi) possible conflicts of interest.

 

The Board, including the Independent Trustees, considered the following in respect of the Funds:

 

(a)       The nature, extent and quality of services proposed to be provided to the Funds by the Adviser and Sub-Adviser, including personnel and operations of the Adviser and Sub-Adviser. The Board reviewed the services that the Adviser and Sub-Adviser proposed to provide to the Funds. The Board noted the responsibilities that the Adviser would have as each Fund’s investment adviser, including: the responsibility for the management and investment of the Fund’s portfolio; executing portfolio security and other asset trades; monitoring compliance with the Fund’s investment objective, policies and limitations; the responsibility for quarterly reporting to the Board; the oversight of general portfolio compliance with relevant law; and the implementation of Board directives as they relate to the Funds. The Board then noted the responsibilities that the Sub-Adviser would have as each Fund’s non-discretionary sub-adviser, which would require the Sub-Adviser to design, monitor and provide one or more model portfolios (as updated from time to time) that would meet certain parameters, as agreed upon between the Adviser and Sub-Adviser.

 

26

 

Milliman Variable Insurance Trust

 

Board Considerations Regarding Approval of Investment Management Agreements 

June 30, 2023 (Unaudited)

 

The Board reviewed the Adviser’s and Sub-Adviser’s experience in managing other portfolios, including, with respect to the Adviser, other series of the Trust. Based on its consideration and review of the foregoing information, the Board determined that the Funds were likely to benefit from the nature, quality and extent of the services proposed to be provided by the Adviser and Sub-Adviser.

 

(b)        Comparison of services expected to be provided and fees to be paid, and the cost of the services to be provided and profits to be realized by the Adviser and Sub-Adviser from their relationships with the Funds; “fall-out” benefits. The Board compared both the services proposed to be provided to the Funds by the Adviser and Sub-Adviser, and the related fees to those of other investment advisers with respect to similar funds. In particular, the Board considered each Fund’s proposed advisory fee and projected expense ratio to other investment companies that the Adviser considered to be similar to the Funds, even if not necessarily in the same peer group due to the unique strategies proposed to be implemented by the Adviser in managing the Funds. The Board noted that the Adviser proposed to enter into Expense Limitation Agreements whereby the Adviser would waive its advisory fees and/or reimburses expenses to keep each Fund’s expenses from exceeding certain levels. The Board noted that because of the Expense Limitation Agreements, the Adviser would likely supplement a portion of each Fund’s operating expenses for a period of time and considered the resulting benefits that would accrue to the Funds. After considering each Fund’s proposed fees, and in light of the nature, quality and extent of services proposed to be provided by the Adviser and Sub-Adviser, and the costs expected to be incurred by the Adviser and Sub-Adviser in providing those services, the Board concluded that the level of fees proposed to be paid to the Adviser and Sub-Adviser with respect to the Funds was fair and reasonable. Because the Funds were not yet operational, the Board did not consider the Adviser’s projected profitability. In addition, because the proposed fee to be paid to the Sub-Adviser would be paid by the Adviser out of its investment advisory fee, and not directly by the Funds, the Board did not consider the Sub-Adviser’s profitability separately.

 

The Board considered that the Adviser and Sub-Adviser may experience certain “fall-out” benefits based on the potential success of the Funds and/or the Trust, but that such benefits are not presently quantifiable. The Board noted that the Trust’s service providers are not affiliated with the Adviser or Sub-Adviser, so that such services do not give rise to “fall-out” benefits for the Adviser or Sub-Adviser.

 

(c)            The extent to which economies of scale would be realized as the Funds grow, and whether fee levels would reflect such economies of scale. The Board discussed potential economies of scale. Because the Funds had not commenced operations, and the eventual amount of Fund assets was uncertain, neither the Adviser nor Sub-Adviser was able to provide the Board with specific information concerning the extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale, if any. The Board recognized the uncertainty in launching new investment products and estimating future asset levels.

 

(d)           Investment performance of the Funds and of the Adviser and Sub-Adviser. Because the Funds were newly formed and had not commenced operations, the Board did not consider the investment performance of the Funds. The Board considered the performance of the Adviser and its portfolio managers in managing the existing series of the Trust. With respect to the Sub-Adviser, the Board took into consideration the Sub-Adviser’s experience as an investment adviser and its prior relationship with the Adviser. The Board specifically took into consideration information provided by the Adviser relating to other investment companies that both the Sub-Adviser and Adviser manage, and the performance of those funds.

 

Conclusion. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board concluded that the proposed advisory fees and projected total expense ratios for the Funds were reasonable in relation to the services proposed to be provided by the Adviser and Sub-Adviser to the Funds, as well as the costs to be incurred and benefits to be gained by the Adviser and Sub-Adviser in providing such services. The Board also found the proposed advisory fees to be reasonable in comparison to the fees charged by advisers to other similar funds, as well as other series of the Trust. After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the Investment Advisory Agreement and Sub-Advisory Agreement on behalf of each Fund.

  

27

 

Milliman Variable Insurance Trust

 

Board Considerations Regarding Approval of Investment Management Agreements 

June 30, 2023 (Unaudited)

 

Appendix A

 

Milliman – Capital Group Hedged U.S. Growth Fund

 

Milliman – Capital Group Hedged U.S. Income and Growth Fund

 

28

 

INVESTMENT ADVISER 

Milliman Financial Risk Management LLC

71 S. Wacker Drive, 31st Floor 

Chicago, IL 60606

 

ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT

U.S. Bancorp Fund Services, LLC 

615 East Michigan Street

Milwaukee, WI 53202

 

DISTRIBUTOR 

Foreside Fund Services, LLC

Three Canal Plaza 

Portland, ME 04101

 

CUSTODIAN

U.S. Bank, N.A. 

1555 North RiverCenter Drive, Suite 302

Milwaukee, WI 53212

 

LEGAL COUNSEL 

Stradley Ronon Stevens & Young LLP

191 North Wacker Drive, Suite 1601 

Chicago, IL 60606

and 

2005 Market Street, Suite 2600

Philadelphia, PA 19103

 

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 

Cohen  & Company, Ltd.

1350 Euclid Avenue, Suite 800 

Cleveland, Ohio 44115

 



(b)
Not applicable.

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

Item 6. Investments.

(a) Schedule of Investments 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 to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.


Item 11. Controls and Procedures.

(a)
The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)(17 CFR 270.30a-3(c))  as of a date within 90 days of the filing of this report. Based on their evaluation of these controls and procedures as required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms and that the controls are designed to ensure that information required to be disclosed by an investment company in the reports that it files on Form N-CSR is accumulated and communicated to them to allow timely decisions regarding required disclosure.

(b)
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to open-end investment companies.

Item 13. Exhibits.

(a)
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the Registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable for semi-annual reports.


(3) Any written solicitation to purchase securities under Rule 23c-1 under the Investment Company Act of 1940 sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. Not applicable to open-end investment companies.

(4) Change in the Registrant’s independent public accountant.  There was no change in the Registrant’s independent public accountant for the period covered by this report.


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)  Milliman Variable Insurance Trust


By (Signature and Title)     /s/ Adam Schenck
Adam Schenck, President

Date  August 31, 2023



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/ Adam Schenck
Adam Schenck, President

Date  August 31, 2023


By (Signature and Title)    /s/ Arthur W. Jasion
Arthur W. Jasion, Treasurer and Principal Financial Officer

Date  September 1, 2023