LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments
September 30, 2021 (unaudited)
Principal Amount° | Value (U.S. $) | ||
ΔCORPORATE BOND–0.03% | |||
Saudi Arabia–0.03% | |||
SA Global Sukuk 2.69% 6/17/31 | 480,000 | $ 484,132 | |
Total Corporate Bond (Cost $479,967) | 484,132 | ||
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.01% | |||
ABN Amro Mortgage Series 2003-4 A4 5.50% 3/25/33 | 14,567 | 14,564 | |
♦CHL Mortgage Pass-Through Trust Series 2004-5 2A4 5.50% 5/25/34 | 39,149 | 40,278 | |
♦WaMu Mortgage Pass-Through Certificates Trust Series 2003-S11 3A5 5.95% 11/25/33 | 61,795 | 62,507 | |
Total Non-Agency Collateralized Mortgage Obligations (Cost $118,793) | 117,349 | ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES–0.24% | |||
BAMLL Commercial Mortgage Securities Trust Series 2012-PARK A 2.96% 12/10/30 | 1,014,000 | 1,044,657 | |
BB-UBS Trust Series 2012-SHOW A 3.43% 11/5/36 | 930,000 | 980,363 | |
Goldman Sachs Mortgage Securities Trust Series 2012-ALOH A 3.55% 4/10/34 | 883,000 | 882,476 | |
•Irvine Core Office Trust Series 2013-IRV A2 3.28% 5/15/48 | 798,000 | 821,171 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7 A4 2.92% 2/15/46 | 357,000 | 362,801 | |
Total Non-Agency Commercial Mortgage-Backed Securities (Cost $4,042,511) | 4,091,468 | ||
ΔSOVEREIGN BONDS–43.03% | |||
Australia–1.12% | |||
Australia Government Bonds | |||
0.75% 11/21/27 | AUD | 2,730,000 | 2,328,437 |
1.25% 2/21/22 | AUD | 5,255,000 | 4,568,989 |
1.25% 8/21/40 | AUD | 490,000 | 472,648 |
2.50% 9/20/30 | AUD | 4,245,000 | 4,880,537 |
3.00% 9/20/25 | AUD | 6,115,000 | 6,634,926 |
18,885,537 |
Principal Amount° | Value (U.S. $) | ||
ΔSOVEREIGN BONDS (continued) | |||
Canada–1.73% | |||
Canadian Government Real Return Bonds | |||
4.25% 12/1/21 | CAD | 5,103,250 | $ 4,055,484 |
4.25% 12/1/26 | CAD | 6,269,052 | 6,305,579 |
Canadian When Issued Government Bond 0.25% 5/1/23 | CAD | 23,700,000 | 18,648,828 |
29,009,891 | |||
Chile–0.11% | |||
Chile Government International Bond 2.55% 7/27/33 | 1,835,000 | 1,788,831 | |
1,788,831 | |||
Colombia–0.18% | |||
Colombia Government International Bond | |||
3.00% 1/30/30 | 2,490,000 | 2,353,149 | |
3.25% 4/22/32 | 765,000 | 713,378 | |
3,066,527 | |||
Denmark–0.36% | |||
Denmark Inflation Linked Government Bond | |||
0.10% 11/15/23 | DKK | 27,344,068 | 4,446,137 |
0.10% 11/15/30 | DKK | 9,223,034 | 1,681,322 |
6,127,459 | |||
France–8.55% | |||
French Republic Government Bond O.A.T | |||
0.10% 3/1/25 | EUR | 14,473,150 | 17,913,238 |
0.10% 3/1/26 | EUR | 1,630,944 | 2,089,323 |
0.10% 3/1/28 | EUR | 10,854,354 | 14,050,660 |
0.10% 7/25/31 | EUR | 4,191,072 | 5,738,075 |
0.25% 7/25/24 | EUR | 14,522,293 | 18,219,561 |
0.70% 7/25/30 | EUR | 24,625,748 | 35,200,423 |
1.85% 7/25/27 | EUR | 11,765,277 | 16,975,638 |
2.10% 7/25/23 | EUR | 16,440,717 | 20,534,343 |
3.40% 7/25/29 | EUR | 779,833 | 1,289,036 |
3.40% 7/25/29 | EUR | 7,071,362 | 11,688,717 |
143,699,014 | |||
Germany–5.43% | |||
Bundesrepublik Deutschland Bundesanleihe 0.01% 8/15/26 | EUR | 28,490,000 | 33,949,321 |
Deutsche Bundesrepublik Inflation Linked Bonds | |||
0.10% 4/15/23 | EUR | 13,167,818 | 15,829,319 |
0.10% 4/15/26 | EUR | 13,964,195 | 18,011,690 |
0.50% 4/15/30 | EUR | 16,362,706 | 23,401,992 |
91,192,322 | |||
Italy–5.36% | |||
Italy Buoni Poliennali Del Tesoro | |||
0.40% 4/11/24 | EUR | 11,199,772 | 13,562,759 |
0.45% 5/22/23 | EUR | 2,181,594 | 2,615,203 |
LVIP BlackRock Inflation Protected Bond Fund–1
LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
ΔSOVEREIGN BONDS (continued) | |||
Italy (continued) | |||
Italy Buoni Poliennali Del Tesoro Inflation Linked Bonds | |||
0.10% 5/15/23 | EUR | 4,238,728 | $ 5,098,068 |
0.15% 5/15/51 | EUR | 46,150 | 53,817 |
0.40% 5/15/30 | EUR | 9,497,409 | 12,177,365 |
0.65% 5/15/26 | EUR | 3,325,885 | 4,237,300 |
1.25% 9/15/32 | EUR | 373,944 | 524,228 |
1.30% 5/15/28 | EUR | 12,021,916 | 16,183,897 |
2.35% 9/15/24 | EUR | 12,167,528 | 15,978,375 |
2.60% 9/15/23 | EUR | 3,652,340 | 4,662,218 |
3.10% 9/15/26 | EUR | 10,419,496 | 14,977,526 |
90,070,756 | |||
Japan–4.81% | |||
Japanese Government CPI Linked Bonds | |||
0.01% 3/10/31 | JPY | 255,517,860 | 2,344,763 |
0.10% 9/10/23 | JPY | 678,434,800 | 6,187,262 |
0.10% 3/10/24 | JPY | 458,964,000 | 4,193,132 |
0.10% 9/10/24 | JPY | 873,196,200 | 8,008,973 |
0.10% 3/10/25 | JPY | 1,436,993,800 | 13,134,946 |
0.10% 3/10/26 | JPY | 999,081,156 | 9,168,081 |
0.10% 3/10/27 | JPY | 1,094,914,807 | 10,105,544 |
0.10% 3/10/28 | JPY | 2,778,943,356 | 25,640,837 |
0.10% 3/10/29 | JPY | 226,017,753 | 2,090,504 |
80,874,042 | |||
Mexico–0.11% | |||
Mexico Government International Bond | |||
1.45% 10/25/33 | EUR | 1,300,000 | 1,421,376 |
2.13% 10/25/51 | EUR | 449,000 | 430,382 |
1,851,758 | |||
New Zealand–1.06% | |||
New Zealand Government Bonds 1.75% 5/15/41 | NZD | 1,782,000 | 1,068,714 |
New Zealand Government Inflation Linked Bond | |||
2.00% 9/20/25 | NZD | 13,674,000 | 11,664,248 |
2.50% 9/20/40 | NZD | 2,012,000 | 1,946,383 |
3.00% 9/20/30 | NZD | 3,195,000 | 3,112,484 |
17,791,829 | |||
Panama–0.07% | |||
Panama Government International Bond 4.50% 4/1/56 | 1,135,000 | 1,234,823 | |
1,234,823 | |||
Romania–0.11% | |||
Romanian Government International Bond 3.62% 5/26/30 | EUR | 1,440,000 | 1,876,594 |
1,876,594 |
Principal Amount° | Value (U.S. $) | ||
ΔSOVEREIGN BONDS (continued) | |||
Spain–2.85% | |||
Spain Government Bond | |||
1.00% 10/31/50 | EUR | 1,105,000 | $ 1,175,136 |
3.45% 7/30/66 | EUR | 1,015,000 | 1,802,838 |
Spain Government Inflation Linked Bonds | |||
0.15% 11/30/23 | EUR | 1,066,115 | 1,308,673 |
0.65% 11/30/27 | EUR | 9,530,219 | 12,777,536 |
0.70% 11/30/33 | EUR | 467,410 | 667,217 |
1.00% 11/30/30 | EUR | 11,081,226 | 15,820,550 |
1.80% 11/30/24 | EUR | 10,969,285 | 14,425,428 |
47,977,378 | |||
Sweden–0.96% | |||
Sweden Inflation Linked Bonds | |||
0.13% 6/1/26 | SEK | 12,325,000 | 1,691,122 |
0.13% 12/1/27 | SEK | 4,090,000 | 567,150 |
0.13% 6/1/30 | SEK | 8,700,000 | 1,180,796 |
0.25% 6/1/22 | SEK | 22,950,000 | 2,928,112 |
1.00% 6/1/25 | SEK | 31,395,000 | 4,353,883 |
3.50% 12/1/28 | SEK | 25,000,000 | 5,364,576 |
16,085,639 | |||
United Kingdom–10.22% | |||
United Kingdom Gilt Inflation Linked Bonds | |||
0.13% 3/22/24 | GBP | 20,657,864 | 30,696,344 |
0.13% 3/22/26 | GBP | 16,399,660 | 25,777,588 |
0.13% 8/10/28 | GBP | 14,422,940 | 24,194,295 |
0.13% 3/22/29 | GBP | 9,977,118 | 16,907,131 |
0.13% 8/10/31 | GBP | 3,927,837 | 7,032,500 |
1.25% 11/22/27 | GBP | 16,636,546 | 29,198,246 |
1.88% 11/22/22 | GBP | 17,822,760 | 26,072,279 |
2.50% 7/17/24 | GBP | 1,115,000 | 5,479,601 |
4.13% 7/22/30 | GBP | 1,255,000 | 6,418,556 |
171,776,540 | |||
Total Sovereign Bonds (Cost $697,424,892) | 723,308,940 | ||
U.S. TREASURY OBLIGATIONS–53.01% | |||
U.S. Treasury Inflation Indexed Bonds | |||
∞0.13% 7/15/22 | 30,437 | 31,170 | |
0.13% 7/15/24 | 34,917,885 | 37,277,570 | |
0.13% 10/15/24 | 25,512,322 | 27,292,205 | |
0.13% 4/15/25 | 25,398,986 | 27,247,358 | |
0.13% 10/15/25 | 28,435,290 | 30,767,502 | |
0.13% 4/15/26 | 21,667,901 | 23,455,785 | |
0.13% 7/15/26 | 22,313,806 | 24,340,934 | |
0.13% 1/15/30 | 40,872,328 | 44,900,488 | |
0.13% 7/15/30 | 22,516,713 | 24,830,540 | |
0.13% 1/15/31 | 46,435,923 | 50,961,611 | |
0.13% 7/15/31 | 25,989,048 | 28,616,717 | |
0.13% 2/15/51 | 1,305,295 | 1,429,638 | |
0.25% 1/15/25 | 42,797,588 | 45,978,987 | |
0.25% 7/15/29 | 38,469,316 | 42,795,611 | |
∞0.38% 7/15/23 | 1 | 1 | |
0.38% 7/15/25 | 34,536,655 | 37,684,977 |
LVIP BlackRock Inflation Protected Bond Fund–2
LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
U.S. TREASURY OBLIGATIONS (continued) | |||
U.S. Treasury Inflation Indexed Bonds (continued) | |||
0.38% 1/15/27 | 42,798,258 | $ 47,249,166 | |
0.38% 7/15/27 | 35,305,810 | 39,273,577 | |
0.50% 4/15/24 | 44,005,505 | 46,994,785 | |
0.50% 1/15/28 | 48,736,877 | 54,561,822 | |
0.63% 1/15/24 | 34,908,026 | 37,243,863 | |
0.63% 1/15/26 | 47,601,743 | 52,538,564 | |
0.75% 7/15/28 | 46,949,359 | 53,753,959 | |
0.88% 1/15/29 | 45,075,831 | 52,078,432 | |
1.75% 1/15/28 | 13,921,807 | 16,750,943 | |
2.00% 1/15/26 | 5,728,000 | 6,679,683 | |
2.38% 1/15/25 | 13,703,565 | 15,730,016 | |
2.38% 1/15/27 | 615,856 | 749,191 | |
2.50% 1/15/29 | 5,878,850 | 7,529,367 | |
3.63% 4/15/28 | 1,240,415 | 1,658,305 | |
3.88% 4/15/29 | 7,629,538 | 10,641,517 | |
Total U.S. Treasury Obligations (Cost $836,256,235) | 891,044,284 |
Number of Shares | Value (U.S. $) | ||
MONEY MARKET FUND–3.31% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%) | 55,682,513 | $ 55,682,513 | |
Total Money Market Fund (Cost $55,682,513) | 55,682,513 |
TOTAL INVESTMENTS–99.63% (Cost $1,594,004,911) | 1,674,728,686 | ||
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.37% | 6,247,323 | ||
NET ASSETS APPLICABLE TO 155,804,530 SHARES OUTSTANDING –100.00% | $1,680,976,009 |
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
Δ Securities have been classified by country of origin. | |
♦ Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. | |
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps and/or floors. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions such as changes in current interest rate and prepayments on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above. | |
∞ Fully or partially pledged as collateral for futures contracts. |
LVIP BlackRock Inflation Protected Bond Fund–3
LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
The following foreign currency exchange contracts, futures contracts and swap contracts were outstanding at September 30, 2021: |
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BNP | AUD | (26,479,000) | USD | 19,446,813 | 10/5/21 | $303,429 | $— | |||||
BNP | SEK | (140,633,000) | USD | 16,298,786 | 10/5/21 | 233,864 | — | |||||
CITI | EUR | (779,000) | USD | 922,360 | 10/5/21 | 19,912 | — | |||||
CITI | GBP | (121,043,000) | USD | 166,791,286 | 10/5/21 | 3,697,320 | — | |||||
JPMC | EUR | (1,837,845) | USD | 2,131,147 | 11/3/21 | 912 | — | |||||
JPMC | GBP | (1,258,653) | USD | 1,697,158 | 11/3/21 | 1,183 | — | |||||
JPMC | JPY | (56,674,665) | USD | 508,052 | 11/4/21 | — | (1,297) | |||||
JPMC | NZD | 502,842 | USD | (346,833) | 11/3/21 | 235 | — | |||||
MSC | CAD | (43,000) | USD | 33,914 | 10/5/21 | — | (34) | |||||
MSC | CNY | (26,469,600) | USD | 4,035,000 | 12/15/21 | — | (44,024) | |||||
MSC | DKK | (38,938,000) | USD | 6,190,564 | 10/5/21 | 124,891 | — | |||||
MSC | EUR | (330,254,663) | USD | 390,579,913 | 10/5/21 | 7,989,825 | — | |||||
MSC | EUR | 167,462,663 | USD | (195,017,072) | 10/5/21 | — | (1,016,617) | |||||
MSC | EUR | (142,443,663) | USD | 165,659,117 | 11/3/21 | 553,569 | — | |||||
MSC | JPY | (116,743,000) | USD | 1,058,149 | 10/5/21 | 9,161 | — | |||||
MSC | NZD | (26,395,000) | USD | 18,597,310 | 10/5/21 | 376,017 | — | |||||
RBC | EUR | (2,166,000) | USD | 2,573,178 | 10/5/21 | 63,932 | — | |||||
SCB | CAD | (36,967,000) | USD | 29,371,197 | 10/5/21 | 185,517 | — | |||||
SCB | GBP | (4,026,000) | USD | 5,538,326 | 10/5/21 | 113,672 | — | |||||
UBS | EUR | (1,809,334) | USD | 2,137,163 | 10/5/21 | 41,105 | — | |||||
UBS | GBP | (977,254) | USD | 1,345,030 | 10/5/21 | 28,273 | — | |||||
UBS | JPY | (8,848,058,000) | USD | 80,551,494 | 10/5/21 | 1,047,688 | — | |||||
Total Foreign Currency Exchange Contracts | $14,790,505 | $(1,061,972) |
Futures Contracts
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
Interest Rate Contracts: | |||||||||||
(217) | Euro-BOBL | $(33,916,265) | $(33,893,449) | 12/8/21 | $— | $(22,816) | |||||
(24) | Euro-Bund | (4,721,064) | (4,800,274) | 12/8/21 | 79,210 | — | |||||
(33) | Euro-Buxl | (7,772,783) | (8,055,617) | 12/8/21 | 282,834 | — | |||||
112 | Long Gilt | 18,886,239 | 19,223,055 | 12/29/21 | — | (336,816) | |||||
(164) | U.S. Treasury 10 yr Notes | (21,583,937) | (21,849,934) | 12/21/21 | 265,997 | — | |||||
(353) | U.S. Treasury 10 yr Ultra Notes | (51,273,250) | (52,246,441) | 12/21/21 | 973,191 | — | |||||
274 | U.S. Treasury 2 yr Notes | 60,294,985 | 60,354,311 | 12/31/21 | — | (59,326) | |||||
209 | U.S. Treasury 5 yr Notes | 25,653,117 | 25,719,658 | 12/31/21 | — | (66,541) | |||||
(40) | U.S. Treasury Ultra Bonds | (7,642,500) | (7,848,699) | 12/21/21 | 206,199 | — | |||||
Total Futures Contracts | $1,807,431 | $(485,499) |
LVIP BlackRock Inflation Protected Bond Fund–4
LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
Swap Contracts
Inflation Swap Contracts
Notional Amount2 | Fixed Interest Rate Paid (Received) | Termination Date | Value | Unrealized Appreciation (Depreciation)1 | ||||||
Centrally Cleared: | ||||||||||
Receive amounts based on Inflation EU-CPI-U Index and pay fixed rate coupon at maturity | EUR 5,800,000 | 1.65% | 8/15/31 | $(15,218) | $(15,218) | |||||
Receive amounts based on Inflation EU-CPI-U Index and pay fixed rate coupon at maturity | EUR 32,800,000 | 1.63% | 8/15/26 | 671,780 | 671,780 | |||||
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity | 34,000,000 | 2.50% | 8/27/31 | 524,876 | 524,876 | |||||
Receive amounts based on Inflation EU-CPI-U Index and pay fixed rate coupon at maturity | EUR 11,030,000 | 1.78% | 9/15/26 | 107,962 | 107,962 | |||||
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity | 11,390,000 | 2.54% | 9/9/31 | 89,633 | 89,633 | |||||
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity | 40,000,000 | 2.95% | 9/13/23 | 54,154 | 54,154 | |||||
Receive amounts based on Inflation UK-RPI-U Index and pay fixed rate coupon at maturity | GBP 4,225,000 | 4.01% | 9/15/31 | 0 | 0 | |||||
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity | 7,425,000 | 2.71% | 10/4/26 | 0 | 0 | |||||
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity | 14,000,000 | 2.73% | 10/4/26 | 0 | 0 | |||||
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity | EUR 1,370,000 | (1.86%) | 8/15/51 | (83,548) | (83,548) | |||||
Pay amounts based on Inflation UK-RPI-U Index and receive fixed rate coupon at maturity | GBP 3,300,000 | (3.73%) | 8/15/41 | (144,120) | (144,120) | |||||
Pay amounts based on Inflation UK-RPI-U Index and receive fixed rate coupon at maturity | GBP 6,500,000 | (3.88%) | 8/15/31 | (215,050) | (215,050) | |||||
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity | EUR 11,600,000 | (1.65%) | 8/15/31 | (346,397) | (346,397) | |||||
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity | EUR 5,800,000 | (1.65%) | 8/15/31 | (173,199) | (173,199) | |||||
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity | EUR 32,800,000 | (1.66%) | 8/15/31 | (931,756) | (931,756) | |||||
Pay amounts based on Inflation USA-CPI-U Index and receive fixed rate coupon at maturity | 34,000,000 | (2.65%) | 8/27/26 | (299,173) | (299,173) | |||||
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity | EUR 11,030,000 | (1.76%) | 9/15/31 | (142,462) | (142,462) |
LVIP BlackRock Inflation Protected Bond Fund–5
LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
Swap Contracts
Inflation Swap Contracts (continued)
Notional Amount2 | Fixed Interest Rate Paid (Received) | Termination Date | Value | Unrealized Appreciation (Depreciation)1 | ||||||
Centrally Cleared:(continued) | ||||||||||
Pay amounts based on Inflation USA-CPI-U Index and receive fixed rate coupon at maturity | 11,390,000 | (2.69%) | 9/9/26 | $(51,109) | $(51,109) | |||||
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity | EUR 1,450,000 | (1.96%) | 9/15/51 | (53,320) | (53,320) | |||||
Pay amounts based on Inflation UK-RPI-U Index and receive fixed rate coupon at maturity | GBP 4,225,000 | (4.23%) | 9/15/26 | 0 | 0 | |||||
Pay amounts based on Inflation USA-CPI-U Index and receive fixed rate coupon at maturity | 7,425,000 | (2.57%) | 10/4/31 | 0 | 0 | |||||
Total Inflation Swap Contracts | $(1,006,947) | $(1,006,947) |
The use of foreign currency exchange contracts, futures contracts and swap contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts and notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. |
1 Includes cumulative appreciation (depreciation) of futures and centrally cleared swap contracts from the date the contracts were opened through September 30, 2021. | |
2 Notional amount shown is stated in U.S. dollars unless noted that the swap is denominated in another currency. |
Summary of Abbreviations: |
AUD–Australian Dollar |
BAMLL–Bank of America Merrill Lynch Large Loan |
BB-UBS–Barclays Bank United Bank of Switzerland |
BNP–BNP Paribas |
BOBL–Bundesobligationen |
CAD–Canadian Dollar |
CITI–Citigroup Global Markets |
CNY–Chinese Yuan |
CPI–Consumer Price Index |
CPI-U–Consumer Price Index for All Urban Consumers |
DKK–Danish Krone |
EUR–Euro |
GBP–British Pound Sterling |
JPMC–JPMorgan Chase |
JPY–Japanese Yen |
MSC–Morgan Stanley & Co. |
NZD–New Zealand Dollar |
RBC–Royal Bank of Canada |
RPI-U–Retail Price Index for All Urban Consumers |
SCB–Standard Chartered Bank |
SEK–Swedish Krona |
USD–United States Dollar |
yr–Year |
See accompanying notes.
LVIP BlackRock Inflation Protected Bond Fund–6
LVIP BlackRock Inflation Protected Bond Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP BlackRock Inflation Protected Bond Fund (the “Fund”) is an investment company in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The following accounting policies are in accordance with U.S. GAAP and are consistently followed by the Fund.
Security Valuation–Securities listed on a foreign exchange are valued at the last quoted sale price on the valuation date. Open-end investment companies are valued at their published net asset value (“NAV”). Investments in government money market funds have a stable NAV. Foreign currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are used when the settlement date of the contract is an interim date for which quotations are not available. U.S. government and agency securities are valued at the evaluated bid price, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. Other securities and assets for which market quotations are not reliable or readily available are generally valued at fair value as determined in good faith under policies adopted by the Fund’s Board of Trustees. In determining whether market quotations are reliable or readily available, various factors are taken into consideration, such as market closures or suspension of trading in a security. Futures contracts are valued at the daily quoted settlement prices. Other debt securities and inflation swap contracts are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.
2. Investments
U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. Each investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
Level 1– | inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts) |
Level 2– | other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing) |
Level 3– | inputs are significant unobservable inputs (including the Fund's own assumptions used to determine the fair value of investments) (e.g., indicative quotes from brokers, fair valued securities) |
LVIP BlackRock Inflation Protected Bond Fund–7
LVIP BlackRock Inflation Protected Bond Fund
Notes (continued)
2. Investments (continued)
The following table summarizes the valuation of the Fund's investments by fair value hierarchy levels as of September 30, 2021:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments: | |||||||
Assets: | |||||||
Corporate Bond | $— | $484,132 | $— | $484,132 | |||
Non-Agency Collateralized Mortgage Obligations | — | 117,349 | — | 117,349 | |||
Non-Agency Commercial Mortgage-Backed Securities | — | 4,091,468 | — | 4,091,468 | |||
Sovereign Bonds | — | 723,308,940 | — | 723,308,940 | |||
U.S. Treasury Obligations | — | 891,044,284 | — | 891,044,284 | |||
Money Market Fund | 55,682,513 | — | — | 55,682,513 | |||
Total Investments | $55,682,513 | $1,619,046,173 | $— | $1,674,728,686 | |||
Derivatives: |
Assets: | |||||||
Foreign Currency Exchange Contracts | $— | $14,790,505 | $— | $14,790,505 | |||
Futures Contracts | $1,807,431 | $— | $— | $1,807,431 | |||
Swap Contracts | $— | $1,448,405 | $— | $1,448,405 | |||
Liabilities: | |||||||
Foreign Currency Exchange Contracts | $— | $(1,061,972) | $— | $(1,061,972) | |||
Futures Contracts | $(485,499) | $— | $— | $(485,499) | |||
Swap Contracts | $— | $(2,455,352) | $— | $(2,455,352) |
There were no Level 3 investments at the beginning or end of the period.
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