LVIP JPMorgan Retirement Income Fund
Schedule of Investments
September 30, 2021 (unaudited)
Number of Shares | Value (U.S. $) | ||
INVESTMENT COMPANIES–59.94% | |||
Equity Funds–18.76% | |||
JPMorgan BetaBuilders Mid Cap Equity ETF | 53,555 | $ 4,697,309 | |
✧JPMorgan Equity Index Fund | 509,890 | 33,402,896 | |
✧JPMorgan Realty Income Fund | 195,257 | 3,114,352 | |
✧JPMorgan Small Cap Equity Fund | 20,196 | 1,537,305 | |
✧JPMorgan Small Cap Growth Fund | 23,998 | 704,592 | |
✧JPMorgan Small Cap Value Fund | 18,651 | 628,524 | |
44,084,978 | |||
Fixed Income Funds–24.93% | |||
JPMorgan BetaBuilders MSCI US REIT ETF | 14,353 | 1,380,256 | |
✧JPMorgan Floating Rate Income Fund | 1,441,081 | 12,912,086 | |
✧JPMorgan High Yield Fund | 2,052,474 | 15,003,588 | |
JPMorgan High Yield Research Enhanced ETF | 224,098 | 11,668,783 | |
✧JPMorgan Inflation Managed Bond Fund | 1,609,189 | 17,636,708 | |
58,601,421 | |||
International Equity Funds–10.06% | |||
✧JPMorgan Emerging Markets Equity Fund | 183,291 | 7,621,258 | |
✧JPMorgan International Equity Fund | 263,035 | 5,592,121 | |
✧JPMorgan International Research Enhanced Equity Fund | 506,707 | 10,443,222 | |
23,656,601 | |||
Money Market Funds–6.19% | |||
JPMorgan Prime Money Market Fund - IM Shares (seven-day effective yield 0.03%) | 12,702,029 | 12,708,380 | |
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%) | 1,835,814 | 1,835,814 | |
14,544,194 | |||
Total Investment Companies (Cost $117,893,725) | 140,887,194 |
Principal Amount° | Value (U.S. $) | ||
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.61% | |||
Fannie Mae REMICs | |||
Series 1991-141 PZ 8.00% 10/25/21 | 65 | $ 65 | |
Series 2009-100 PN 5.00% 11/25/39 | 190,116 | 201,251 | |
Series 2009-20 DT 4.50% 4/25/39 | 673,604 | 764,461 | |
Series 2011-112 PB 4.00% 11/25/41 | 683,586 | 746,470 | |
Series 2011-52 KB 5.50% 6/25/41 | 581,997 | 665,418 | |
Series 2011-55 BZ 3.50% 6/25/41 | 419,846 | 452,392 | |
•Series 2011-86 NF 0.64% (LIBOR01M + 0.55%) 9/25/41 | 122,199 | 123,785 | |
*•Series 2012-122 SD 6.01% (6.10% minus LIBOR01M) 11/25/42 | 99,827 | 18,291 | |
Series 2012-14 Z 4.00% 3/25/42 | 502,680 | 547,348 | |
Series 2012-54 WG 3.50% 1/25/41 | 14,784 | 14,836 | |
*Series 2012-98 MI 3.00% 8/25/31 | 66,216 | 2,624 | |
*Series 2013-55 AI 3.00% 6/25/33 | 126,529 | 13,729 | |
•Series 2013-57 FN 0.44% (LIBOR01M + 0.35%) 6/25/43 | 53,498 | 53,877 | |
*Series 2013-7 EI 3.00% 10/25/40 | 39,149 | 1,425 | |
Series 2014-19 Z 4.50% 4/25/44 | 623,247 | 704,494 | |
Series 2015-40 GZ 3.50% 5/25/45 | 84,847 | 90,306 | |
Series 2015-89 AZ 3.50% 12/25/45 | 29,427 | 31,907 | |
*•Series 2015-95 SH 5.91% (6.00% minus LIBOR01M) 1/25/46 | 96,270 | 17,845 | |
*Series 2016-50 IB 3.00% 2/25/46 | 41,314 | 3,974 | |
*•Series 2016-55 SK 5.91% (6.00% minus LIBOR01M) 8/25/46 | 96,521 | 21,072 | |
*•Series 2016-62 SA 5.91% (6.00% minus LIBOR01M) 9/25/46 | 198,263 | 44,198 | |
*•Series 2016-74 GS 5.91% (6.00% minus LIBOR01M) 10/25/46 | 47,190 | 10,401 | |
*Series 2017-12 JI 3.50% 5/25/40 | 33,753 | 1,495 | |
Series 2019-65 PA 2.50% 5/25/48 | 477,520 | 493,641 |
LVIP JPMorgan Retirement Income Fund–1
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||
Freddie Mac REMICs | |||
Series 2893 PE 5.00% 11/15/34 | 119,270 | $ 133,596 | |
Series 3843 PZ 5.00% 4/15/41 | 1,008,966 | 1,158,818 | |
Series 3893 PU 4.00% 7/15/41 | 439,646 | 478,391 | |
Series 3939 BZ 4.50% 6/15/41 | 395,000 | 431,180 | |
•Series 3984 DF 0.63% (LIBOR01M + 0.55%) 1/15/42 | 101,306 | 103,210 | |
Series 4065 DE 3.00% 6/15/32 | 40,000 | 42,265 | |
*Series 4109 AI 3.00% 7/15/31 | 133,391 | 5,666 | |
*Series 4161 IM 3.50% 2/15/43 | 36,557 | 6,090 | |
*Series 4181 DI 2.50% 3/15/33 | 52,548 | 4,430 | |
*•Series 4184 GS 6.04% (6.12% minus LIBOR01M) 3/15/43 | 96,407 | 20,525 | |
Series 4219 AB 3.50% 1/15/43 | 140,783 | 144,802 | |
•Series 4286 VF 0.53% (LIBOR01M + 0.45%) 12/15/43 | 71,384 | 72,114 | |
*Series 4342 CI 3.00% 11/15/33 | 26,455 | 1,861 | |
Series 4457 KZ 3.00% 4/15/45 | 111,508 | 117,228 | |
*•Series 4494 SA 6.10% (6.18% minus LIBOR01M) 7/15/45 | 29,179 | 5,640 | |
*Series 4543 HI 3.00% 4/15/44 | 38,263 | 2,383 | |
*•Series 4594 SG 5.92% (6.00% minus LIBOR01M) 6/15/46 | 279,956 | 62,451 | |
Series 4614 HB 2.50% 9/15/46 | 101,000 | 99,740 | |
*•Series 4618 SA 5.92% (6.00% minus LIBOR01M) 9/15/46 | 62,223 | 13,233 | |
Series 4623 LZ 2.50% 10/15/46 | 98,366 | 100,095 | |
Series 4623 MW 2.50% 10/15/46 | 105,000 | 108,812 | |
*Series 4625 BI 3.50% 6/15/46 | 97,128 | 12,818 | |
*•Series 4631 GS 5.92% (6.00% minus LIBOR01M) 11/15/46 | 149,424 | 28,139 | |
*•Series 4648 SA 5.92% (6.00% minus LIBOR01M) 1/15/47 | 114,371 | 22,708 | |
Series 4657 VZ 3.00% 2/15/47 | 573,602 | 593,632 |
Principal Amount° | Value (U.S. $) | ||
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||
Freddie Mac REMICs (continued) | |||
Series 4739 PA 3.00% 11/15/46 | 369,689 | $ 388,111 | |
*•Freddie Mac Strips | |||
Series 267 S5 5.92% (6.00% minus LIBOR01M) 8/15/42 | 83,169 | 13,766 | |
Series 299 S1 5.92% (6.00% minus LIBOR01M) 1/15/43 | 61,053 | 10,724 | |
Series 326 S2 5.87% (5.95% minus LIBOR01M) 3/15/44 | 47,800 | 8,557 | |
♦Freddie Mac Structured Pass-Through Certificates Series T-58 2A 6.50% 9/25/43 | 36,900 | 42,907 | |
GNMA | |||
Series 2012-136 MX 2.00% 11/20/42 | 40,000 | 39,993 | |
Series 2013-113 AZ 3.00% 8/20/43 | 315,963 | 329,249 | |
Series 2013-113 LY 3.00% 5/20/43 | 29,000 | 30,571 | |
*Series 2015-142 AI 4.00% 2/20/44 | 10,631 | 294 | |
Series 2015-64 GZ 2.00% 5/20/45 | 116,897 | 111,152 | |
*Series 2015-74 CI 3.00% 10/16/39 | 72,296 | 3,614 | |
*•Series 2016-108 SK 5.96% (6.05% minus LIBOR01M) 8/20/46 | 138,742 | 27,777 | |
Series 2016-111 PB 2.50% 8/20/46 | 97,000 | 100,701 | |
*Series 2016-116 GI 3.50% 11/20/44 | 159,894 | 14,336 | |
*Series 2016-118 DI 3.50% 3/20/43 | 198,040 | 15,573 | |
*•Series 2016-120 AS 6.01% (6.10% minus LIBOR01M) 9/20/46 | 154,811 | 32,384 | |
*•Series 2016-120 NS 6.01% (6.10% minus LIBOR01M) 9/20/46 | 218,860 | 46,651 | |
*•Series 2016-121 JS 6.01% (6.10% minus LIBOR01M) 9/20/46 | 147,049 | 28,786 | |
Series 2016-134 MW 3.00% 10/20/46 | 9,653 | 10,123 | |
Series 2016-156 PB 2.00% 11/20/46 | 61,000 | 57,960 | |
*Series 2016-160 GI 3.50% 11/20/46 | 127,244 | 19,461 | |
*Series 2016-163 MI 3.50% 11/20/46 | 7,911 | 171 | |
*Series 2016-163 XI 3.00% 10/20/46 | 33,606 | 2,681 |
LVIP JPMorgan Retirement Income Fund–2
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||
GNMA REMIC | |||
Series 2010-29 AG 4.00% 10/20/39 | 488,775 | $ 535,042 | |
Series 2012-117 BC 1.25% 9/20/27 | 160,119 | 161,617 | |
Total Agency Collateralized Mortgage Obligations (Cost $10,766,163) | 10,827,333 | ||
AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES–1.88% | |||
Fannie Mae-Aces | |||
Series 2017-M11 A2 2.98% 8/25/29 | 275,000 | 301,183 | |
•Series 2017-M8 A2 3.06% 5/25/27 | 555,000 | 602,070 | |
Freddie Mac Multifamily Structured Pass Through Certificates | |||
♦Series K066 A2 3.12% 6/25/27 | 340,000 | 373,287 | |
♦Series K067 A2 3.19% 7/25/27 | 637,000 | 702,372 | |
♦Series K725 A2 3.00% 1/25/24 | 185,000 | 193,870 | |
♦•Series K731 AM 3.60% 2/25/25 | 1,200,000 | 1,300,780 | |
♦•Series KS03 A4 3.16% 5/25/25 | 150,000 | 160,428 | |
•FREMF Mortgage Trust | |||
Series 2012-K18 B 4.32% 1/25/45 | 85,000 | 85,787 | |
Series 2012-K22 B 3.81% 8/25/45 | 150,000 | 153,736 | |
Series 2013-K29 C 3.60% 5/25/46 | 295,000 | 304,710 | |
Series 2013-K32 B 3.64% 10/25/46 | 110,000 | 115,094 | |
Series 2013-K33 B 3.61% 8/25/46 | 120,000 | 125,850 | |
Total Agency Commercial Mortgage-Backed Securities (Cost $4,153,466) | 4,419,167 | ||
AGENCY MORTGAGE-BACKED SECURITIES–3.69% | |||
Fannie Mae | |||
2.53% 7/1/26 | 130,338 | 137,400 | |
2.60% 9/1/28 | 289,707 | 309,719 | |
2.64% 2/1/23 | 450,000 | 459,195 | |
3.16% 12/1/26 | 477,394 | 520,214 | |
•3.18% 9/1/27 | 415,069 | 454,391 | |
3.77% 12/1/25 | 649,928 | 715,816 | |
3.88% 12/1/28 | 395,000 | 453,148 | |
•Fannie Mae ARM | |||
2.08% (LIBOR12M + 1.83%) 8/1/35 | 627 | 630 |
Principal Amount° | Value (U.S. $) | ||
AGENCY MORTGAGE-BACKED SECURITIES (continued) | |||
•Fannie Mae ARM (continued) | |||
2.87% (LIBOR12M + 1.60%) 7/1/45 | 15,713 | $ 16,354 | |
3.10% (LIBOR12M + 1.53%) 3/1/44 | 54,200 | 56,283 | |
Fannie Mae S.F. 15 yr 3.50% 2/1/35 | 706,241 | 759,113 | |
Fannie Mae S.F. 20 yr | |||
3.00% 8/1/32 | 385,430 | 411,380 | |
3.50% 4/1/35 | 301,881 | 326,770 | |
Fannie Mae S.F. 30 yr | |||
2.00% 8/1/50 | 672,624 | 674,939 | |
3.50% 7/1/42 | 477,752 | 521,810 | |
3.50% 7/1/46 | 354,124 | 386,850 | |
4.00% 7/1/45 | 186,642 | 205,423 | |
5.50% 11/1/34 | 2,216 | 2,549 | |
5.50% 4/1/37 | 55,528 | 64,628 | |
5.50% 8/1/37 | 8,748 | 10,098 | |
5.50% 3/1/38 | 11,234 | 13,114 | |
5.50% 6/1/39 | 20,227 | 23,534 | |
5.50% 7/1/40 | 23,564 | 27,466 | |
5.50% 5/1/44 | 515,666 | 597,192 | |
6.00% 9/1/36 | 11,897 | 14,052 | |
6.00% 12/1/36 | 2,661 | 3,142 | |
6.00% 6/1/37 | 1,406 | 1,662 | |
6.00% 9/1/38 | 7,524 | 8,878 | |
6.00% 11/1/38 | 5,457 | 6,550 | |
6.00% 10/1/39 | 78,243 | 92,307 | |
6.00% 11/1/40 | 3,872 | 4,676 | |
7.50% 6/1/31 | 2,988 | 3,466 | |
•Freddie Mac ARM | |||
2.62% (LIBOR12M + 1.63%) 10/1/46 | 34,763 | 36,099 | |
2.96% (LIBOR12M + 1.63%) 10/1/45 | 24,454 | 25,455 | |
3.09% (LIBOR12M + 1.62%) 3/1/46 | 28,133 | 29,300 | |
Freddie Mac S.F. 30 yr | |||
4.00% 4/1/45 | 99,884 | 109,570 | |
5.00% 6/1/36 | 41,705 | 47,547 | |
5.50% 3/1/34 | 3,038 | 3,513 | |
5.50% 12/1/34 | 2,737 | 3,167 | |
5.50% 12/1/35 | 2,655 | 3,084 | |
5.50% 8/1/40 | 6,275 | 7,225 | |
5.50% 6/1/41 | 30,957 | 35,573 | |
6.00% 2/1/36 | 5,828 | 6,888 | |
6.00% 3/1/36 | 8,587 | 10,149 | |
6.00% 8/1/38 | 8,829 | 10,437 | |
6.00% 5/1/40 | 14,500 | 17,110 | |
6.50% 4/1/39 | 14,874 | 17,381 | |
7.00% 11/1/33 | 517 | 596 | |
GNMA I S.F. 30 yr | |||
5.50% 2/15/41 | 16,786 | 19,388 | |
7.00% 12/15/34 | 25,969 | 30,118 |
LVIP JPMorgan Retirement Income Fund–3
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
AGENCY MORTGAGE-BACKED SECURITIES (continued) | |||
GNMA II S.F. 30 yr | |||
2.50% 1/20/51 | 775,630 | $ 799,359 | |
5.50% 5/20/37 | 10,168 | 11,809 | |
5.50% 4/20/40 | 5,282 | 6,078 | |
6.00% 2/20/39 | 16,657 | 19,096 | |
6.00% 10/20/39 | 43,520 | 50,982 | |
6.00% 2/20/40 | 42,143 | 49,375 | |
6.00% 4/20/46 | 14,539 | 16,939 | |
6.50% 10/20/39 | 19,806 | 22,778 | |
Total Agency Mortgage-Backed Securities (Cost $8,444,351) | 8,671,765 | ||
CORPORATE BONDS–13.29% | |||
Aerospace & Defense–0.36% | |||
Boeing | |||
2.75% 2/1/26 | 405,000 | 421,864 | |
4.88% 5/1/25 | 115,000 | 127,985 | |
Lockheed Martin 1.85% 6/15/30 | 80,000 | 79,604 | |
Raytheon Technologies 4.15% 5/15/45 | 175,000 | 205,881 | |
835,334 | |||
Agriculture–0.12% | |||
Bunge Limited Finance 1.63% 8/17/25 | 10,000 | 10,104 | |
Reynolds American | |||
4.45% 6/12/25 | 70,000 | 77,169 | |
5.85% 8/15/45 | 170,000 | 203,976 | |
291,249 | |||
Airlines–0.02% | |||
♦American Airlines Pass Through Trust 3.38% 11/1/28 | 56,131 | 56,750 | |
56,750 | |||
Auto Manufacturers–0.46% | |||
American Honda Finance 2.00% 3/24/28 | 170,000 | 172,839 | |
General Motors Financial 1.25% 1/8/26 | 175,000 | 172,780 | |
Hyundai Capital America 1.00% 9/17/24 | 320,000 | 318,867 | |
Nissan Motor Acceptance 2.00% 3/9/26 | 165,000 | 165,386 | |
Toyota Motor Credit 2.15% 2/13/30 | 240,000 | 243,785 | |
1,073,657 | |||
Banks–2.41% | |||
μBanco Santander 1.72% 9/14/27 | 200,000 | 199,071 | |
Bank of America | |||
μ1.66% 3/11/27 | 220,000 | 221,263 | |
μ2.09% 6/14/29 | 140,000 | 139,775 | |
4.18% 11/25/27 | 275,000 | 306,557 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Banks (continued) | |||
Bank of America (continued) | |||
μ4.44% 1/20/48 | 240,000 | $ 296,239 | |
Bank of Montreal 1.25% 9/15/26 | 185,000 | 183,615 | |
Bank of Nova Scotia 3.40% 2/11/24 | 125,000 | 132,847 | |
Citigroup | |||
3.20% 10/21/26 | 49,000 | 52,831 | |
8.13% 7/15/39 | 150,000 | 256,340 | |
Cooperatieve Rabobank 3.75% 7/21/26 | 250,000 | 275,526 | |
Credit Suisse Group 4.28% 1/9/28 | 250,000 | 277,870 | |
Fifth Third Bancorp 3.65% 1/25/24 | 50,000 | 53,348 | |
Goldman Sachs Group | |||
3.85% 1/26/27 | 80,000 | 87,898 | |
5.15% 5/22/45 | 200,000 | 262,254 | |
μHSBC Holdings 0.98% 5/24/25 | 210,000 | 209,630 | |
μMacquarie Group 2.69% 6/23/32 | 275,000 | 274,589 | |
Morgan Stanley | |||
μ1.59% 5/4/27 | 60,000 | 60,179 | |
μ3.22% 4/22/42 | 25,000 | 26,153 | |
3.95% 4/23/27 | 265,000 | 294,708 | |
4.00% 7/23/25 | 170,000 | 187,289 | |
Northern Trust 1.95% 5/1/30 | 60,000 | 60,182 | |
Regions Financial 1.80% 8/12/28 | 185,000 | 182,806 | |
Societe Generale 2.63% 1/22/25 | 200,000 | 207,664 | |
Sumitomo Mitsui Financial Group 3.78% 3/9/26 | 265,000 | 292,311 | |
Toronto-Dominion Bank 2.00% 9/10/31 | 320,000 | 314,489 | |
μUBS Group 2.10% 2/11/32 | 226,000 | 219,886 | |
Wells Fargo & Co. | |||
μ3.07% 4/30/41 | 105,000 | 107,897 | |
4.75% 12/7/46 | 175,000 | 219,172 | |
Westpac Banking 2.35% 2/19/25 | 260,000 | 271,989 | |
5,674,378 | |||
Beverages–0.32% | |||
Anheuser-Busch InBev Worldwide | |||
4.70% 2/1/36 | 260,000 | 314,194 | |
4.95% 1/15/42 | 105,000 | 129,716 | |
Constellation Brands 3.60% 2/15/28 | 165,000 | 181,294 | |
Keurig Dr Pepper 3.35% 3/15/51 | 125,000 | 129,757 | |
754,961 |
LVIP JPMorgan Retirement Income Fund–4
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Biotechnology–0.13% | |||
Biogen 2.25% 5/1/30 | 165,000 | $ 164,114 | |
Royalty Pharma 3.35% 9/2/51 | 140,000 | 132,643 | |
296,757 | |||
Building Materials–0.13% | |||
Eagle Materials 2.50% 7/1/31 | 140,000 | 139,123 | |
Martin Marietta Materials | |||
3.45% 6/1/27 | 75,000 | 81,673 | |
3.50% 12/15/27 | 75,000 | 82,496 | |
303,292 | |||
Chemicals–0.25% | |||
Celanese US Holdings 3.50% 5/8/24 | 5,000 | 5,329 | |
DuPont de Nemours 5.32% 11/15/38 | 125,000 | 161,084 | |
International Flavors & Fragrances 1.83% 10/15/27 | 35,000 | 35,051 | |
Mosaic 4.25% 11/15/23 | 70,000 | 74,642 | |
Nutrien 3.38% 3/15/25 | 145,000 | 155,318 | |
Sherwin-Williams 2.30% 5/15/30 | 165,000 | 166,553 | |
597,977 | |||
Commercial Services–0.36% | |||
Element Fleet Management 3.85% 6/15/25 | 145,000 | 156,127 | |
Element Fleet Management 1.60% 4/6/24 | 20,000 | 20,288 | |
Global Payments 2.65% 2/15/25 | 160,000 | 167,233 | |
Moody's 3.25% 5/20/50 | 60,000 | 61,448 | |
Quanta Services 0.95% 10/1/24 | 155,000 | 155,071 | |
Triton Container International | |||
0.80% 8/1/23 | 110,000 | 109,912 | |
2.05% 4/15/26 | 170,000 | 170,551 | |
840,630 | |||
Computers–0.13% | |||
Apple | |||
3.45% 2/9/45 | 130,000 | 143,949 | |
3.85% 5/4/43 | 135,000 | 157,726 | |
301,675 | |||
Diversified Financial Services–0.88% | |||
AerCap Ireland Capital 3.15% 2/15/24 | 180,000 | 187,696 | |
Air Lease | |||
1.88% 8/15/26 | 250,000 | 249,127 | |
2.88% 1/15/26 | 76,000 | 79,412 | |
3.25% 3/1/25 | 185,000 | 195,321 | |
Aviation Capital Group | |||
1.95% 9/20/26 | 140,000 | 138,516 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Diversified Financial Services (continued) | |||
Aviation Capital Group (continued) | |||
4.88% 10/1/25 | 80,000 | $ 88,164 | |
Avolon Holdings Funding | |||
2.53% 11/18/27 | 47,000 | 46,225 | |
2.88% 2/15/25 | 235,000 | 241,795 | |
3.63% 5/1/22 | 110,000 | 111,645 | |
5.50% 1/15/26 | 220,000 | 246,622 | |
Capital One Financial 3.75% 3/9/27 | 80,000 | 88,506 | |
GE Capital International Funding Unlimited 4.42% 11/15/35 | 200,000 | 240,010 | |
ORIX | |||
3.25% 12/4/24 | 30,000 | 32,126 | |
3.70% 7/18/27 | 110,000 | 121,661 | |
2,066,826 | |||
Electric–1.05% | |||
AEP Texas 3.45% 1/15/50 | 170,000 | 175,453 | |
Ameren 1.75% 3/15/28 | 25,000 | 24,501 | |
Avangrid 3.80% 6/1/29 | 85,000 | 94,644 | |
Berkshire Hathaway Energy 3.70% 7/15/30 | 155,000 | 174,641 | |
CenterPoint Energy | |||
2.65% 6/1/31 | 15,000 | 15,317 | |
2.95% 3/1/30 | 95,000 | 99,395 | |
Duke Energy 2.55% 6/15/31 | 55,000 | 55,727 | |
Duke Energy Indiana 3.25% 10/1/49 | 10,000 | 10,348 | |
Duquesne Light Holdings | |||
2.78% 1/7/32 | 90,000 | 89,918 | |
3.62% 8/1/27 | 95,000 | 101,900 | |
Emera US Finance 3.55% 6/15/26 | 155,000 | 167,538 | |
Entergy Louisiana | |||
0.95% 10/1/24 | 220,000 | 220,055 | |
2.90% 3/15/51 | 5,000 | 4,880 | |
Entergy Texas 4.00% 3/30/29 | 20,000 | 22,383 | |
Evergy 2.90% 9/15/29 | 160,000 | 167,915 | |
Exelon 3.50% 6/1/22 | 150,000 | 152,618 | |
Fortis 3.06% 10/4/26 | 50,000 | 53,647 | |
ITC Holdings 2.95% 5/14/30 | 80,000 | 83,956 | |
Metropolitan Edison 4.00% 4/15/25 | 125,000 | 131,767 | |
NextEra Energy Capital Holdings 2.25% 6/1/30 | 65,000 | 65,371 | |
Pacific Gas and Electric 1.37% 3/10/23 | 250,000 | 249,127 | |
Pennsylvania Electric 3.60% 6/1/29 | 85,000 | 91,315 | |
Public Service Enterprise Group 1.60% 8/15/30 | 60,000 | 56,773 | |
Public Serviceof Oklahoma 3.15% 8/15/51 | 35,000 | 34,847 |
LVIP JPMorgan Retirement Income Fund–5
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Electric (continued) | |||
Puget Energy 2.38% 6/15/28 | 30,000 | $ 30,007 | |
Wisconsin Public Service 3.30% 9/1/49 | 90,000 | 94,522 | |
2,468,565 | |||
Electronics–0.04% | |||
Arrow Electronics 3.25% 9/8/24 | 96,000 | 101,813 | |
101,813 | |||
Environmental Control–0.03% | |||
Republic Services 1.45% 2/15/31 | 85,000 | 79,651 | |
79,651 | |||
Food–0.17% | |||
Kroger 4.45% 2/1/47 | 170,000 | 203,237 | |
Sysco 5.65% 4/1/25 | 170,000 | 195,523 | |
398,760 | |||
Gas–0.22% | |||
APT Pipelines 4.20% 3/23/25 | 90,000 | 97,895 | |
Atmos Energy 4.15% 1/15/43 | 100,000 | 115,176 | |
NiSource 3.95% 3/30/48 | 150,000 | 169,739 | |
Southern California Gas 4.30% 1/15/49 | 85,000 | 105,062 | |
SouthernGas Capital 3.15% 9/30/51 | 25,000 | 25,041 | |
512,913 | |||
Health Care Products–0.04% | |||
Abbott Laboratories 4.90% 11/30/46 | 65,000 | 88,009 | |
88,009 | |||
Health Care Services–0.14% | |||
HCA | |||
3.50% 7/15/51 | 205,000 | 203,213 | |
4.75% 5/1/23 | 85,000 | 90,315 | |
Quest Diagnostics 2.95% 6/30/30 | 40,000 | 42,240 | |
335,768 | |||
Insurance–0.50% | |||
American Financial Group 3.50% 8/15/26 | 95,000 | 103,675 | |
American International Group | |||
3.40% 6/30/30 | 115,000 | 125,487 | |
3.88% 1/15/35 | 45,000 | 50,845 | |
Athene Global Funding | |||
2.75% 6/25/24 | 75,000 | 78,706 | |
3.00% 7/1/22 | 105,000 | 107,103 | |
Berkshire Hathaway Finance 4.30% 5/15/43 | 175,000 | 212,686 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Insurance (continued) | |||
F&G Global Funding 1.75% 6/30/26 | 70,000 | $ 70,429 | |
μManulife Financial 4.06% 2/24/32 | 90,000 | 98,667 | |
Principal Financial Group 2.13% 6/15/30 | 185,000 | 183,248 | |
μPrudential Financial 5.38% 5/15/45 | 140,000 | 154,430 | |
1,185,276 | |||
Machinery Diversified–0.01% | |||
Xylem 2.25% 1/30/31 | 20,000 | 20,016 | |
20,016 | |||
Media–0.43% | |||
Charter Communications Operating | |||
3.70% 4/1/51 | 35,000 | 34,077 | |
3.75% 2/15/28 | 165,000 | 180,700 | |
4.80% 3/1/50 | 150,000 | 168,331 | |
Comcast | |||
3.25% 11/1/39 | 85,000 | 89,743 | |
3.90% 3/1/38 | 115,000 | 130,587 | |
Discovery Communications | |||
2.95% 3/20/23 | 22,000 | 22,759 | |
3.63% 5/15/30 | 155,000 | 168,100 | |
ViacomCBS | |||
4.20% 6/1/29 | 80,000 | 91,152 | |
4.95% 1/15/31 | 95,000 | 113,492 | |
998,941 | |||
Mining–0.18% | |||
Glencore Funding | |||
1.63% 9/1/25 | 170,000 | 170,560 | |
2.63% 9/23/31 | 60,000 | 58,758 | |
Newcrest Finance Pty 3.25% 5/13/30 | 15,000 | 15,941 | |
Teck Resources 3.90% 7/15/30 | 170,000 | 184,584 | |
429,843 | |||
Miscellaneous Manufacturing–0.06% | |||
General Electric 6.75% 3/15/32 | 90,000 | 123,109 | |
Parker-Hannifin 3.30% 11/21/24 | 15,000 | 16,074 | |
139,183 | |||
Oil & Gas–0.71% | |||
BP Capital Markets America 3.63% 4/6/30 | 185,000 | 206,247 | |
Cenovus Energy 4.40% 4/15/29 | 85,000 | 95,308 | |
CNOOC Petroleum North America 5.88% 3/10/35 | 125,000 | 155,576 | |
ConocoPhillips 2.40% 2/15/31 | 85,000 | 86,438 |
LVIP JPMorgan Retirement Income Fund–6
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Oil & Gas (continued) | |||
Diamondback Energy 0.90% 3/24/23 | 250,000 | $ 249,924 | |
Exxon Mobil 3.00% 8/16/39 | 155,000 | 160,257 | |
Lundin Energy Finance 2.00% 7/15/26 | 200,000 | 201,207 | |
Marathon Petroleum | |||
3.63% 9/15/24 | 29,000 | 31,118 | |
4.70% 5/1/25 | 86,000 | 95,997 | |
Phillips 66 1.30% 2/15/26 | 45,000 | 44,743 | |
Pioneer Natural Resources 1.13% 1/15/26 | 125,000 | 123,397 | |
Shell International Finance 4.38% 5/11/45 | 100,000 | 122,756 | |
Suncor Energy 6.50% 6/15/38 | 65,000 | 90,306 | |
1,663,274 | |||
Oil & Gas Services–0.19% | |||
Baker Hughes 4.49% 5/1/30 | 145,000 | 169,626 | |
Halliburton 3.80% 11/15/25 | 11,000 | 12,047 | |
National Oilwell Varco 3.60% 12/1/29 | 165,000 | 173,473 | |
Schlumberger Holdings 4.30% 5/1/29 | 85,000 | 96,184 | |
451,330 | |||
Pharmaceuticals–0.41% | |||
AbbVie | |||
3.80% 3/15/25 | 85,000 | 92,298 | |
4.25% 11/21/49 | 120,000 | 142,134 | |
Becton Dickinson and Co. 2.82% 5/20/30 | 155,000 | 162,412 | |
Bristol-Myers Squibb 4.13% 6/15/39 | 155,000 | 186,155 | |
Cigna 3.40% 3/15/51 | 95,000 | 97,653 | |
Shire Acquisitions Investments Ireland | |||
2.88% 9/23/23 | 110,000 | 114,675 | |
3.20% 9/23/26 | 85,000 | 91,687 | |
Zoetis 2.00% 5/15/30 | 70,000 | 69,351 | |
956,365 | |||
Pipelines–0.57% | |||
Boardwalk Pipelines | |||
3.40% 2/15/31 | 15,000 | 15,763 | |
4.95% 12/15/24 | 75,000 | 82,986 | |
Cameron LNG 3.30% 1/15/35 | 15,000 | 16,021 | |
Cheniere Corpus Christi Holdings 2.74% 12/31/39 | 120,000 | 118,867 | |
Enterprise Products Operating 5.10% 2/15/45 | 185,000 | 230,188 | |
Gray Oak Pipeline 2.60% 10/15/25 | 265,000 | 271,647 | |
Kinder Morgan 3.25% 8/1/50 | 45,000 | 43,375 | |
MPLX 4.13% 3/1/27 | 135,000 | 150,736 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Pipelines (continued) | |||
ONEOK | |||
3.40% 9/1/29 | 125,000 | $ 133,310 | |
5.20% 7/15/48 | 45,000 | 54,489 | |
Sunoco Logistics Partners Operations | |||
3.90% 7/15/26 | 155,000 | 169,219 | |
5.35% 5/15/45 | 45,000 | 52,481 | |
1,339,082 | |||
Real Estate Investment Trusts–1.14% | |||
Alexandria Real Estate Equities 1.88% 2/1/33 | 205,000 | 192,898 | |
American Campus Communities Operating Partnership 2.85% 2/1/30 | 30,000 | 30,819 | |
American Tower | |||
3.80% 8/15/29 | 65,000 | 72,078 | |
4.40% 2/15/26 | 100,000 | 111,709 | |
Boston Properties | |||
2.55% 4/1/32 | 100,000 | 99,858 | |
3.40% 6/21/29 | 85,000 | 92,078 | |
Brixmor Operating Partnership 2.50% 8/16/31 | 80,000 | 78,822 | |
Duke Realty 4.00% 9/15/28 | 145,000 | 163,953 | |
Equinix 3.20% 11/18/29 | 90,000 | 95,484 | |
ERP Operating 3.00% 7/1/29 | 155,000 | 165,413 | |
Extra Space Storage 2.35% 3/15/32 | 140,000 | 136,766 | |
Healthcare Trust of America Holdings | |||
2.00% 3/15/31 | 45,000 | 43,144 | |
3.10% 2/15/30 | 153,000 | 160,885 | |
Healthpeak Properties 3.40% 2/1/25 | 5,000 | 5,332 | |
Host Hotels & Resorts | |||
3.75% 10/15/23 | 45,000 | 47,107 | |
3.88% 4/1/24 | 40,000 | 42,359 | |
Kilroy Realty 2.65% 11/15/33 | 140,000 | 138,069 | |
Kimco Realty 2.25% 12/1/31 | 165,000 | 161,188 | |
Life Storage | |||
2.40% 10/15/31 | 60,000 | 59,418 | |
4.00% 6/15/29 | 10,000 | 11,202 | |
Mid-America Apartments | |||
1.70% 2/15/31 | 25,000 | 23,722 | |
3.95% 3/15/29 | 40,000 | 45,022 | |
National Retail Properties 3.50% 10/15/27 | 125,000 | 135,596 | |
Office Properties Income Trust | |||
2.40% 2/1/27 | 30,000 | 29,645 | |
2.65% 6/15/26 | 40,000 | 40,351 | |
4.50% 2/1/25 | 5,000 | 5,360 | |
Realty Income 3.25% 1/15/31 | 20,000 | 21,703 | |
Scentre Group 3.63% 1/28/26 | 160,000 | 173,548 | |
SITE Centers 4.25% 2/1/26 | 75,000 | 81,164 | |
UDR | |||
3.10% 11/1/34 | 20,000 | 20,843 |
LVIP JPMorgan Retirement Income Fund–7
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Real Estate Investment Trusts (continued) | |||
UDR (continued) | |||
3.20% 1/15/30 | 22,000 | $ 23,557 | |
3.50% 7/1/27 | 28,000 | 30,625 | |
VEREIT Operating Partnership 4.60% 2/6/24 | 35,000 | 37,771 | |
Welltower 4.25% 4/15/28 | 90,000 | 102,162 | |
2,679,651 | |||
Retail–0.32% | |||
7-Eleven 1.30% 2/10/28 | 100,000 | 96,133 | |
Alimentation Couche-Tard 3.55% 7/26/27 | 85,000 | 93,605 | |
AutoZone 1.65% 1/15/31 | 105,000 | 99,736 | |
Kohl S Corporation 3.38% 5/1/31 | 85,000 | 87,472 | |
Lowe's Companies 2.80% 9/15/41 | 130,000 | 126,459 | |
McDonald's 4.70% 12/9/35 | 135,000 | 166,679 | |
O'Reilly Automotive 1.75% 3/15/31 | 75,000 | 71,849 | |
741,933 | |||
Semiconductors–0.22% | |||
Broadcom 3.88% 1/15/27 | 260,000 | 285,719 | |
Microchip Technology 0.97% 2/15/24 | 103,000 | 103,065 | |
QUALCOMM 4.65% 5/20/35 | 105,000 | 130,762 | |
519,546 | |||
Software–0.32% | |||
Fidelity National Information Services 3.10% 3/1/41 | 60,000 | 60,771 | |
Fiserv 2.65% 6/1/30 | 160,000 | 163,720 | |
Microsoft 3.50% 2/12/35 | 180,000 | 207,264 | |
Oracle | |||
1.65% 3/25/26 | 70,000 | 70,995 | |
4.50% 7/8/44 | 185,000 | 212,610 | |
VMware 1.80% 8/15/28 | 45,000 | 44,332 | |
759,692 | |||
Telecommunications–0.60% | |||
AT&T | |||
3.10% 2/1/43 | 55,000 | 52,731 | |
3.30% 2/1/52 | 140,000 | 135,556 | |
3.50% 9/15/53 | 310,000 | 306,813 | |
Telefonica Emisiones 5.21% 3/8/47 | 150,000 | 187,207 | |
T-Mobile USA 2.05% 2/15/28 | 210,000 | 211,680 | |
Verizon Communications | |||
2.10% 3/22/28 | 155,000 | 157,339 | |
2.99% 10/30/56 | 167,000 | 154,202 | |
4.27% 1/15/36 | 85,000 | 99,851 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Telecommunications (continued) | |||
Vodafone Group 5.00% 5/30/38 | 83,000 | $ 103,953 | |
1,409,332 | |||
Transportation–0.30% | |||
Burlington Northern Santa Fe 4.70% 9/1/45 | 135,000 | 174,540 | |
CSX 4.30% 3/1/48 | 140,000 | 169,819 | |
JB Hunt Transport Services 3.88% 3/1/26 | 85,000 | 94,108 | |
Norfolk Southern | |||
2.90% 8/25/51 | 120,000 | 116,659 | |
4.05% 8/15/52 | 130,000 | 152,647 | |
707,773 | |||
Trucking & Leasing–0.07% | |||
Penske Truck Leasing 4.20% 4/1/27 | 140,000 | 157,832 | |
157,832 | |||
Total Corporate Bonds (Cost $30,099,709) | 31,238,034 | ||
NON-AGENCY ASSET-BACKED SECURITIES–1.52% | |||
AmeriCredit Automobile Receivables Trust Series 2017-2 C 2.97% 3/20/23 | 68,453 | 68,545 | |
CarMax Auto Owner Trust Series 2018-2 A3 2.98% 1/17/23 | 15,252 | 15,271 | |
Carvana Auto Receivables Trust Series 2021-P3 A3 0.70% 11/10/26 | 475,000 | 474,619 | |
•Discover Card Execution Note Trust Series 2017-A1 A1 0.57% (LIBOR01M + 0.49%) 7/15/24 | 185,000 | 185,261 | |
Exeter Automobile Receivables Trust Series 2020-1A C 2.49% 1/15/25 | 460,000 | 465,849 | |
GLS Auto Receivables Issuer Trust | |||
Series 2020-1A A 2.17% 2/15/24 | 56,636 | 56,850 | |
Series 2021-3A B 0.78% 11/17/25 | 195,000 | 194,754 | |
HERO Funding Trust | |||
Series 2016-2A A 3.75% 9/20/41 | 47,160 | 49,036 | |
Series 2016-3A A1 3.08% 9/20/42 | 51,361 | 52,719 | |
Marlette Funding Trust Series 2021-1A A 0.60% 6/16/31 | 69,300 | 69,337 | |
NMEF Funding Series 2021-A A2 0.81% 12/15/27 | 565,000 | 565,045 |
LVIP JPMorgan Retirement Income Fund–8
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY ASSET-BACKED SECURITIES (continued) | |||
Octane Receivables Trust Series 2021-1A A 0.93% 3/22/27 | 148,482 | $ 148,546 | |
Santander Drive Auto Receivables Trust Series 2020-4 C 1.01% 1/15/26 | 420,000 | 422,714 | |
Tesla Auto Lease Trust Series 2021-B A4 0.63% 9/22/25 | 175,000 | 174,496 | |
•Towd Point Mortgage Trust | |||
Series 2015-6 A1B 2.75% 4/25/55 | 6,877 | 6,892 | |
Series 2016-1 A1B 2.75% 2/25/55 | 809 | 808 | |
Series 2016-2 A1 3.00% 8/25/55 | 10,370 | 10,428 | |
Series 2016-3 A1 2.25% 4/25/56 | 6,738 | 6,753 | |
Westgate Resorts | |||
Series 2018-1A A 3.38% 12/20/31 | 65,744 | 66,327 | |
Series 2018-1A B 3.58% 12/20/31 | 85,036 | 85,973 | |
Westlake Automobile Receivables Trust Series 2020-3A B 0.78% 11/17/25 | 465,000 | 467,077 | |
Total Non-Agency Asset-Backed Securities (Cost $3,583,820) | 3,587,300 | ||
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.25% | |||
•JP Morgan Mortgage Trust | |||
Series 2014-2 B1 3.42% 6/25/29 | 30,232 | 31,601 | |
Series 2014-2 B2 3.42% 6/25/29 | 30,232 | 31,326 | |
Series 2015-4 B1 3.58% 6/25/45 | 67,201 | 69,453 | |
Series 2015-4 B2 3.58% 6/25/45 | 67,201 | 69,132 | |
Series 2015-6 B1 3.53% 10/25/45 | 63,330 | 65,155 | |
Series 2015-6 B2 3.53% 10/25/45 | 63,330 | 64,911 | |
Series 2016-4 B1 3.82% 10/25/46 | 81,460 | 83,910 | |
Series 2016-4 B2 3.82% 10/25/46 | 87,362 | 89,696 | |
•JPMorgan Mortgage Trust Series 2014-IVR6 2A4 2.00% 7/25/44 | 48,688 | 48,662 | |
•New Residential Mortgage Loan Trust Series 2016-4A A1 3.75% 11/25/56 | 34,364 | 36,879 | |
Total Non-Agency Collateralized Mortgage Obligations (Cost $567,624) | 590,725 |
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES–3.27% | |||
•20 Times Square Trust Series 2018-20TS A 3.20% 5/15/35 | 388,000 | $ 396,248 | |
CD Mortgage Trust | |||
Series 2016-CD2 A3 3.25% 11/10/49 | 200,000 | 211,984 | |
•Series 2016-CD2 A4 3.53% 11/10/49 | 105,000 | 114,892 | |
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.84% 12/10/54 | 90,000 | 99,194 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.64% 10/10/47 | 195,000 | 209,669 | |
Series 2015-GC27 A5 3.14% 2/10/48 | 215,000 | 228,232 | |
Series 2016-P3 A4 3.33% 4/15/49 | 145,000 | 156,206 | |
Series 2016-P5 A4 2.94% 10/10/49 | 130,000 | 138,405 | |
COMM Mortgage Trust | |||
Series 2013-CR6 AM 3.15% 3/10/46 | 180,000 | 184,043 | |
Series 2013-WWP A2 3.42% 3/10/31 | 100,000 | 103,431 | |
Series 2014-CR19 A5 3.80% 8/10/47 | 100,000 | 107,586 | |
Series 2014-CR20 AM 3.94% 11/10/47 | 340,000 | 362,240 | |
Series 2015-3BP A 3.18% 2/10/35 | 400,000 | 422,515 | |
Series 2015-CR23 A4 3.50% 5/10/48 | 135,000 | 145,798 | |
DB-JPM Mortgage Trust | |||
Series 2016-C1 A4 3.28% 5/10/49 | 250,000 | 267,492 | |
Series 2016-C3 A5 2.89% 8/10/49 | 160,000 | 169,901 | |
GS Mortgage Securities Trust | |||
Series 2015-GC32 A4 3.76% 7/10/48 | 105,000 | 114,515 | |
Series 2017-GS5 A4 3.67% 3/10/50 | 210,000 | 231,712 | |
Houston Galleria Mall Trust Series 2015-HGLR A1A2 3.09% 3/5/37 | 160,000 | 165,462 | |
JPM-BB Commercial Mortgage Securities Trust | |||
Series 2015-C32 A5 3.60% 11/15/48 | 225,000 | 241,483 | |
Series 2015-C33 A4 3.77% 12/15/48 | 340,000 | 373,570 | |
JPM-DB Commercial Mortgage Securities Trust Series 2016-C2 A4 3.14% 6/15/49 | 275,000 | 292,300 |
LVIP JPMorgan Retirement Income Fund–9
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.50% 4/15/46 | 130,000 | $ 132,196 | |
Series 2015-JP1 A5 3.91% 1/15/49 | 130,000 | 143,360 | |
Series 2016-JP2 A4 2.82% 8/15/49 | 310,000 | 328,154 | |
Series 2016-JP2 AS 3.06% 8/15/49 | 210,000 | 218,433 | |
•Series 2016-JP3 B 3.40% 8/15/49 | 60,000 | 62,769 | |
Series 2016-WIKI A 2.80% 10/5/31 | 75,000 | 75,008 | |
Series 2016-WIKI B 3.20% 10/5/31 | 115,000 | 114,944 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2014-C17 A5 3.74% 8/15/47 | 135,000 | 144,441 | |
Series 2015-C23 A4 3.72% 7/15/50 | 440,000 | 476,457 | |
Series 2015-C26 A5 3.53% 10/15/48 | 140,000 | 152,015 | |
Series 2016-C29 A4 3.33% 5/15/49 | 130,000 | 139,097 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2015-NXS3 A4 3.62% 9/15/57 | 250,000 | 271,991 | |
Series 2016-BNK1 A3 2.65% 8/15/49 | 205,000 | 215,553 | |
*•Series 2017-RB1 XA 1.40% 3/15/50 | 1,370,022 | 76,136 | |
WF -RBS Commercial Mortgage Trust | |||
Series 2012-C10 A3 2.88% 12/15/45 | 130,000 | 132,534 | |
Series 2013-C12 A4 3.20% 3/15/48 | 251,308 | 258,233 | |
Total Non-Agency Commercial Mortgage-Backed Securities (Cost $7,413,217) | 7,678,199 |
Principal Amount° | Value (U.S. $) | ||
U.S. TREASURY OBLIGATIONS–9.22% | |||
U.S. Treasury Bonds | |||
1.13% 5/15/40 | 550,000 | $ 475,385 | |
1.63% 11/15/50 | 615,000 | 552,515 | |
2.00% 2/15/50 | 495,000 | 486,299 | |
2.25% 8/15/46 | 1,075,000 | 1,110,231 | |
2.50% 5/15/46 | 1,115,000 | 1,206,508 | |
2.75% 11/15/42 | 785,000 | 882,726 | |
2.88% 8/15/45 | 1,240,000 | 1,429,778 | |
3.88% 8/15/40 | 285,000 | 373,706 | |
≠^U.S. Treasury Coupon Strip 0.00% 2/15/33 | 1,545,000 | 1,261,380 | |
U.S. Treasury Notes | |||
∞1.38% 1/31/22 | 1,032,300 | 1,036,840 | |
1.50% 3/31/23 | 2,100,000 | 2,141,262 | |
1.63% 11/15/22 | 2,000,000 | 2,033,750 | |
1.63% 5/15/26 | 1,315,000 | 1,356,197 | |
1.75% 3/31/22 | 1,500,000 | 1,512,656 | |
2.00% 11/15/21 | 440,000 | 441,045 | |
2.00% 8/15/25 | 1,175,000 | 1,230,354 | |
2.75% 5/31/23 | 52,000 | 54,184 | |
2.88% 11/30/23 | 1,655,000 | 1,745,831 | |
2.88% 5/31/25 | 148,000 | 159,603 | |
2.88% 5/15/28 | 750,000 | 827,197 | |
3.13% 11/15/28 | 1,200,000 | 1,348,219 | |
Total U.S. Treasury Obligations (Cost $20,899,354) | 21,665,666 |
TOTAL INVESTMENTS–97.67% (Cost $203,821,429) | 229,565,383 | ||
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–2.33% | 5,485,778 | ||
NET ASSETS APPLICABLE TO 17,346,116 SHARES OUTSTANDING–100.00% | $235,051,161 |
✧ Class R-6 shares. | |
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
• 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. |
LVIP JPMorgan Retirement Income Fund–10
LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
* Interest only security. An interest only security is the interest only portion of a fixed income security which is sold separately from the principal portion of the security. | |
♦ 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. | |
μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2021. Rate will reset at a future date. | |
≠ The rate shown is the effective yield at the time of purchase. | |
^ Zero coupon security. | |
∞ Fully or partially pledged as collateral for futures contracts. |
The following futures contracts were outstanding at September 30, 2021: |
Futures Contracts
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
Interest Rate Contract: | |||||||||||
20 | U.S. Treasury 10 yr Notes | $2,632,187 | $2,660,276 | 12/21/21 | $— | $(28,089) | |||||
Equity Contracts: | |||||||||||
61 | E-mini MSCI EAFE Index | 6,914,350 | 7,225,911 | 12/17/21 | — | (311,561) | |||||
11 | E-mini S&P 500 Index | 2,363,763 | 2,363,460 | 12/17/21 | 303 | — | |||||
26 | Euro STOXX 50 Index | 1,219,140 | 1,252,104 | 12/17/21 | — | (32,964) | |||||
6 | FTSE 100 Index | 571,850 | 569,102 | 12/17/21 | 2,748 | — | |||||
3,051 | (344,525) | ||||||||||
Total Futures Contracts | $3,051 | $(372,614) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The 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 contracts from the date the contracts were opened through September 30, 2021. |
Summary of Abbreviations: |
ARM–Adjustable Rate Mortgage |
BB–Barclays Bank |
DB–Deutsche Bank |
EAFE–Europe Australasia Far East |
ETF–Exchange-Traded Fund |
FREMF–Freddie Mac Multifamily |
FTSE–Financial Times Stock Exchange |
GNMA–Government National Mortgage Association |
GS–Goldman Sachs |
HSBC–Hong Kong and Shanghai Banking Corporation |
JPM–JPMorgan |
JPM-DB–JPMorgan Deutsche Bank |
LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month |
LIBOR12M–Intercontinental Exchange London Interbank Offered Rate USD 12 Month |
LNG–Liquefied Natural Gas |
MSCI–Morgan Stanley Capital International |
RBS–Royal Bank of Scotland |
REIT–Real Estate Investment Trust |
REMICs–Real Estate Mortgage Investment Conduits |
S&P–Standard & Poor’s |
S.F.–Single Family |
USD–United States Dollar |
WF–Wells Fargo |
yr–Year |
See accompanying notes.
LVIP JPMorgan Retirement Income Fund–11
LVIP JPMorgan Retirement Income Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP JPMorgan Retirement Income 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–The Fund operates under a fund of funds structure and invests a substantial portion of its assets in open-end investment companies, including exchange-traded funds (“ETFs”), advised by J.P. Morgan or other unaffiliated managers (collectively, the “Underlying Funds”). The Underlying Funds invest in U.S. and foreign stocks, bonds and money market instruments. In addition to investment company investments, the Fund may also invest in individual securities. Equity securities and Exchange-Traded Funds (“ETFs”), except those traded on The Nasdaq Stock Market LLC (“Nasdaq”), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sale price. If on a particular day an equity security or ETF does not trade, then the mean between the bid and ask prices is used, which approximates fair value. Securities listed on a foreign exchange are valued at the last quoted sales 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. 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (“international fair value pricing”). Futures contracts are valued at the daily quoted settlement prices.
Financial statements for the Underlying Funds can be found at www.sec.gov.
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 JPMorgan Retirement Income Fund–12
LVIP JPMorgan Retirement Income 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: | |||||||
Investment Companies | $139,051,380 | $— | $— | $139,051,380 | |||
Agency Collateralized Mortgage Obligations | — | 10,827,333 | — | 10,827,333 | |||
Agency Commercial Mortgage-Backed Securities | — | 4,419,167 | — | 4,419,167 | |||
Agency Mortgage-Backed Securities | — | 8,671,765 | — | 8,671,765 | |||
Corporate Bonds | — | 31,238,034 | — | 31,238,034 | |||
Non-Agency Asset-Backed Securities | — | 3,587,300 | — | 3,587,300 | |||
Non-Agency Collateralized Mortgage Obligations | — | 590,725 | — | 590,725 | |||
Non-Agency Commercial Mortgage-Backed Securities | — | 7,678,199 | — | 7,678,199 | |||
U.S. Treasury Obligations | — | 21,665,666 | — | 21,665,666 | |||
Money Market Fund | 1,835,814 | — | — | 1,835,814 | |||
Total Investments | $140,887,194 | $88,678,189 | $— | $229,565,383 | |||
Derivatives: |
Assets: | |||||||
Futures Contracts | $3,051 | $— | $— | $3,051 | |||
Liabilities: | |||||||
Futures Contracts | $(372,614) | $— | $— | $(372,614) |
There were no Level 3 investments at the beginning or end of the period.
LVIP JPMorgan Retirement Income Fund–13