LVIP Western Asset Core Bond Fund
Schedule of Investments
September 30, 2021 (unaudited)
Principal Amount° | Value (U.S. $) | |||||||
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.53% |
| |||||||
•Fannie Mae Connecticut | ||||||||
Avenue Securities Series 2014-C04 1M2 4.99% (LIBOR01M + 4.90%) 11/25/24 | 1,648,998 | $ | 1,710,519 | |||||
Fannie Mae REMICs | ||||||||
*•Series 2010-100 SV 6.54% (LIBOR01M + 6.63%) 9/25/40 | 1,590,919 | 379,237 | ||||||
*Series 2012-101 BI 4.00% 9/25/27 | 85,052 | 4,227 | ||||||
*•Series 2013-124 SB 5.86% (LIBOR01M + 5.95%) 12/25/43 | 326,613 | 59,459 | ||||||
*•Series 2013-54 BS 6.06% (LIBOR01M + 6.15%) 6/25/43 | 114,868 | 22,864 | ||||||
*•Series 2016-61 BS 6.01% (LIBOR01M + 6.10%) 9/25/46 | 2,050,535 | 367,552 | ||||||
*•Series 2017-76 SB 6.01% (LIBOR01M + 6.10%) 10/25/57 | 1,617,844 | 346,252 | ||||||
*•Series 2017-85 SC 6.11% (LIBOR01M + 6.20%) 11/25/47 | 351,036 | 66,882 | ||||||
Series 2020-47 GZ 2.00% 7/25/50 | 820,235 | 763,178 | ||||||
*Fannie Mae REMICs | ||||||||
Series 2020-56 DI 2.50% 8/25/50 | 1,084,549 | 172,834 | ||||||
Series 2020-57 NI 2.50% 8/25/50 | 841,113 | 127,592 | ||||||
Series 2021-1 IG 2.50% 2/25/51 | 2,030,762 | 316,688 | ||||||
Series 2021-3 IB 2.50% 2/25/51 | 2,618,245 | 439,540 | ||||||
Series 2021-3 QI 2.50% 2/25/51 | 2,472,838 | 335,623 | ||||||
Freddie Mac REMICs | ||||||||
*•Series 3973 SA 6.41% (LIBOR01M + 6.49%) 12/15/41 | 813,757 | 171,030 | ||||||
Series 4793 CB 3.00% 5/15/48 | 1,118,494 | 1,172,222 | ||||||
Series 4793 CD 3.00% 6/15/48 | 737,097 | 772,526 | ||||||
Series 4813 CJ 3.00% 8/15/48 | 536,181 | 557,513 | ||||||
*Series 5059 IB 2.50% 1/25/51 | 1,921,765 | 312,399 | ||||||
*Freddie Mac REMICs | ||||||||
Series 5010 IK 2.50% 9/25/50 | 580,561 | 80,885 | ||||||
Series 5010 JI 2.50% 9/25/50 | 1,382,425 | 216,078 | ||||||
Series 5013 IN 2.50% 9/25/50 | 570,832 | 93,954 | ||||||
Series 5018 MI 2.00% 10/25/50 | 1,228,484 | 164,099 | ||||||
*•Freddie Mac Strips | ||||||||
Series 334 S7 6.02% (LIBOR01M + 6.10%) 8/15/44 | 1,250,277 | 245,927 | ||||||
Series 353 S1 5.92% (LIBOR01M + 6.00%) 12/15/46 | 525,417 | 99,061 | ||||||
GNMA | ||||||||
*•Series 2007-51 SG 6.49% (LIBOR01M + 6.58%) 8/20/37 | 188,314 | 36,905 | ||||||
Series 2010-42 PC 5.00% 7/20/39 | 24,441 | 24,641 | ||||||
*Series 2013-53 OI 3.50% 4/20/43 | 1,093,907 | 114,374 | ||||||
*•Series 2016-135 SB 6.02% (LIBOR01M + 6.10%) 10/16/46 | 347,070 | 91,371 | ||||||
*•Series 2016-21 ST 6.06% (LIBOR01M + 6.15%) 2/20/46 | 1,682,950 | 371,256 | ||||||
*Series 2016-84 IG 4.50% 11/16/45 | 2,417,323 | 448,367 |
Principal Amount° | Value (U.S. $) | |||||||
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
GNMA (continued) | ||||||||
*•Series 2017-H22 IC 2.32% 11/20/67 | 1,799,293 | $ | 166,631 | |||||
•Series 2018-H13 FC 0.39% (LIBOR01M + 0.30%) 7/20/68 | 568,820 | 569,674 | ||||||
*Series 2020-160 IH 2.50% 10/20/50 | 385,860 | 53,749 | ||||||
*Series 2020-160 YI 2.50% 10/20/50 | 1,997,529 | 279,182 | ||||||
GNMA | ||||||||
Series 2019-123 A 3.00% 10/20/49 | 28,528 | 28,458 | ||||||
*Series 2020-123 IL 2.50% 8/20/50 | 477,346 | 64,961 | ||||||
*Series 2020-123 NI 2.50% 8/20/50 | 1,413,539 | 190,916 | ||||||
*Series 2020-127 IN 2.50% 8/20/50 | 657,811 | 88,498 | ||||||
*Series 2020-129 IE 2.50% 9/20/50 | 572,300 | 78,301 | ||||||
*Series 2020-160 VI 2.50% 10/20/50 | 573,970 | 80,640 | ||||||
*Series 2020-47 MI 3.50% 4/20/50 | 1,436,515 | 217,529 | ||||||
*Series 2020-47 NI 3.50% 4/20/50 | 448,012 | 74,383 | ||||||
•Series 2020-H12 F 0.59% (LIBOR01M + 0.50%) 7/20/70 | 167,773 | 169,793 | ||||||
•Series 2020-H13 FA 0.54% (LIBOR01M + 0.45%) 7/20/70 | 532,198 | 536,495 | ||||||
•Series 2020-H13 FC 0.54% (LIBOR01M + 0.45%) 7/20/70 | 152,990 | 154,231 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations |
| 12,838,496 | ||||||
|
| |||||||
AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES–0.49% |
| |||||||
Fannie Mae-Aces | ||||||||
2.50% 10/25/37 | 186,315 | 196,604 | ||||||
3.27% 2/25/29 | 640,000 | 710,649 | ||||||
3.45% 1/1/29 | 830,000 | 932,610 | ||||||
•Series 2013-M6 1AC 3.54% 2/25/43 | 73,812 | 81,715 | ||||||
*•Series 2015-M4 X2 0.61% 7/25/22 | 7,930,577 | 1,398 | ||||||
Series 2016-M11 AL 2.94% 7/25/39 | 291,225 | 297,185 | ||||||
Series 2018-M15 1A2 3.70% 1/25/36 | 1,200,000 | 1,351,730 | ||||||
•Series 2018-M9 APT2 3.22% 4/25/28 | 97,818 | 107,170 | ||||||
•Series 2019-M23 3A3 2.72% 10/25/31 | 599,480 | 649,607 | ||||||
Series 2019-M4 A2 3.61% 2/25/31 | 330,000 | 381,476 | ||||||
*◆•Freddie Mac Multifamily Structured Pass Through Certificates |
| |||||||
Series K058 X1 1.05% 8/25/26 | 27,206,092 | 1,082,432 | ||||||
Series K094 X1 1.02% 6/25/29 | 2,993,095 | 180,195 | ||||||
Series K094 XAM 1.28% 6/25/29 | 4,850,000 | 399,090 | ||||||
Series K095 XAM 1.37% 6/25/29 | 1,200,000 | 105,350 | ||||||
Series K101 X1 0.95% 10/25/29 | 1,195,965 | 71,745 | ||||||
Series K104 XAM 1.51% 2/25/52 | 2,500,000 | 261,892 | ||||||
Series K116 X1 1.53% 7/25/30 | 898,609 | 95,502 | ||||||
Series K-1520 X1 0.58% 2/25/36 | 4,997,467 | 266,772 | ||||||
Series K737 X1 0.75% 10/25/26 | 8,452,129 | 235,579 | ||||||
Series K741 X1 0.66% 12/25/27 | 2,999,240 | 95,961 |
LVIP Western Asset Core Bond Fund–1
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
*◆•Freddie Mac Multifamily Structured Pass Through Certificates (continued) |
| |||||||
Series K742 X1 0.87% 3/25/28 | 6,199,243 | $ | 246,763 | |||||
Series K743 X1 1.03% 5/25/28 | 4,000,000 | 224,240 | ||||||
Series KC05 X1 1.34% 6/25/27 | 1,573,380 | 67,919 | ||||||
GNMA | ||||||||
•Series 2013-107 AD 2.77% 11/16/47 | 660,548 | 687,060 | ||||||
*•Series 2013-50 IO 0.13% 10/16/48 | 13,710,166 | 94,809 | ||||||
*•Series 2013-74 IO 0.57% 12/16/53 | 21,567,438 | 352,587 | ||||||
•Series 2014-17 AM 3.32% 6/16/48 | 7,158 | 7,666 | ||||||
*•Series 2016-128 IO 0.82% 9/16/56 | 10,058,509 | 488,759 | ||||||
*•Series 2017-145 IO 0.58% 4/16/57 | 2,807,943 | 127,598 | ||||||
*•Series 2017-157 IO 0.67% 12/16/59 | 1,344,478 | 74,315 | ||||||
*•Series 2017-8 IO 0.52% 8/16/58 | 2,074,366 | 83,410 | ||||||
*•Series 2020-109 AI 0.87% 5/16/60 | 2,330,668 | 176,172 | ||||||
*•Series 2020-184 IO 0.91% 11/16/60 | 2,953,540 | 239,834 | ||||||
*•Series 2021-110 IO 0.88% 11/16/63 | 4,946,634 | 409,513 | ||||||
*•Series 2021-133 IO 0.89% 7/16/63 | 5,955,959 | 489,844 | ||||||
*•Series 2021-37 IO 0.81% 1/16/61 | 2,967,904 | 215,390 | ||||||
*•Series 2021-60 IO 0.84% 5/16/63 | 2,479,275 | 194,173 | ||||||
*•Series 2021-68 IO 0.90% 10/16/62 | 2,979,232 | 234,235 | ||||||
|
| |||||||
Total Agency Commercial Mortgage-Backed Securities |
| 11,918,949 | ||||||
|
| |||||||
AGENCY MORTGAGE-BACKED SECURITIES–18.84% |
| |||||||
Fannie Mae | ||||||||
2.26% 4/1/30 | 1,263,432 | 1,324,949 | ||||||
2.95% 7/1/27 | 1,429,078 | 1,547,481 | ||||||
3.04% 6/1/29 | 1,000,000 | 1,099,832 | ||||||
3.08% 1/1/28 | 2,670,000 | 2,912,778 | ||||||
3.16% 5/1/29 | 387,928 | 425,863 | ||||||
4.00% 8/1/56 | 6,768,624 | 7,590,662 | ||||||
4.00% 6/1/57 | 1,496,983 | 1,665,226 | ||||||
4.50% 9/1/57 | 1,893,493 | 2,116,650 | ||||||
4.50% 8/1/58 | 1,960,527 | 2,210,256 | ||||||
4.50% 1/1/59 | 200,365 | 225,887 | ||||||
*Fannie Mae REMICs REMIC | 3,872,092 | 560,489 | ||||||
Fannie Mae S.F. 15 yr | ||||||||
1.50% 12/1/35 | 465,216 | 471,365 | ||||||
1.50% 3/1/36 | 93,939 | 94,934 | ||||||
3.50% 4/1/32 | 2,326,195 | 2,524,439 | ||||||
Fannie Mae S.F. 15 yr TBA | 16,300,000 | 16,461,090 | ||||||
Fannie Mae S.F. 20 yr | ||||||||
2.50% 9/1/36 | 534,248 | 552,758 | ||||||
2.50% 3/1/38 | 1,597,792 | 1,653,439 | ||||||
2.50% 3/1/41 | 866,769 | 913,885 | ||||||
2.50% 4/1/41 | 3,103,337 | 3,264,538 | ||||||
2.50% 5/1/41 | 2,537,892 | 2,643,009 | ||||||
3.00% 7/1/35 | 458,268 | 487,063 | ||||||
3.00% 2/1/36 | 1,134,117 | 1,202,356 |
Principal Amount° | Value (U.S. $) | |||||||
AGENCY MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Fannie Mae S.F. 20 yr (continued) | ||||||||
3.00% 4/1/36 | 871,355 | $ | 922,501 | |||||
3.00% 7/1/36 | 1,834,359 | 1,942,206 | ||||||
3.00% 8/1/36 | 2,979,008 | 3,157,480 | ||||||
3.00% 10/1/36 | 3,763,625 | 3,993,711 | ||||||
3.00% 12/1/36 | 2,711,963 | 2,875,211 | ||||||
3.00% 6/1/38 | 944,116 | 998,858 | ||||||
3.00% 3/1/40 | 877,294 | 920,965 | ||||||
3.50% 12/1/34 | 582,820 | 630,875 | ||||||
3.50% 1/1/35 | 363,983 | 393,107 | ||||||
3.50% 2/1/37 | 234,496 | 252,579 | ||||||
3.50% 3/1/37 | 154,140 | 164,667 | ||||||
3.50% 12/1/37 | 258,781 | 280,589 | ||||||
3.50% 8/1/39 | 217,156 | 231,760 | ||||||
3.50% 2/1/40 | 895,223 | 969,859 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
2.00% 8/1/50 | 259,559 | 261,809 | ||||||
2.00% 9/1/50 | 260,474 | 262,731 | ||||||
2.00% 1/1/51 | 1,521,886 | 1,529,705 | ||||||
2.00% 2/1/51 | 9,000,675 | 9,076,224 | ||||||
2.00% 3/1/51 | 9,418,567 | 9,482,552 | ||||||
2.00% 4/1/51 | 8,586,767 | 8,655,660 | ||||||
2.00% 5/1/51 | 4,361,677 | 4,394,472 | ||||||
2.00% 7/1/51 | 1,290,214 | 1,301,763 | ||||||
2.50% 9/1/50 | 475,599 | 499,881 | ||||||
2.50% 10/1/50 | 2,012,314 | 2,088,981 | ||||||
2.50% 11/1/50 | 2,133,308 | 2,221,583 | ||||||
2.50% 12/1/50 | 279,343 | 289,620 | ||||||
2.50% 1/1/51 | 2,519,951 | 2,617,399 | ||||||
2.50% 2/1/51 | 3,723,692 | 3,869,060 | ||||||
2.50% 3/1/51 | 585,897 | 612,230 | ||||||
2.50% 4/1/51 | 884,311 | 921,146 | ||||||
2.50% 5/1/51 | 1,082,283 | 1,123,357 | ||||||
2.50% 6/1/51 | 6,074,537 | 6,314,125 | ||||||
2.50% 7/1/51 | 2,675,225 | 2,785,775 | ||||||
2.50% 8/1/51 | 1,195,477 | 1,241,823 | ||||||
2.50% 9/1/51 | 100,000 | 104,894 | ||||||
3.00% 9/1/46 | 82,460 | 87,883 | ||||||
3.00% 10/1/46 | 1,173,146 | 1,259,326 | ||||||
3.00% 12/1/46 | 700,011 | 752,068 | ||||||
3.00% 1/1/47 | 8,578,410 | 9,251,272 | ||||||
3.00% 2/1/47 | 1,519,170 | 1,628,119 | ||||||
3.00% 9/1/49 | 2,664,674 | 2,873,364 | ||||||
3.00% 1/1/50 | 1,323,243 | 1,399,368 | ||||||
3.00% 2/1/50 | 1,147,829 | 1,213,536 | ||||||
3.00% 4/1/50 | 3,090,037 | 3,276,026 | ||||||
3.00% 7/1/50 | 420,820 | 446,563 | ||||||
3.00% 8/1/50 | 568,955 | 603,961 | ||||||
3.00% 9/1/50 | 1,009,230 | 1,068,957 | ||||||
3.00% 9/1/51 | 496,426 | 528,011 | ||||||
3.50% 12/1/42 | 150,926 | 164,323 | ||||||
3.50% 3/1/43 | 1,153,878 | 1,252,131 | ||||||
3.50% 11/1/44 | 11,390,090 | 12,432,431 | ||||||
3.50% 2/1/45 | 157,348 | 170,460 |
LVIP Western Asset Core Bond Fund–2
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
AGENCY MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Fannie Mae S.F. 30 yr (continued) | ||||||||
3.50% 4/1/45 | 264,795 | $ | 286,039 | |||||
3.50% 12/1/46 | 1,559,297 | 1,693,306 | ||||||
3.50% 2/1/47 | 454,378 | 485,849 | ||||||
3.50% 3/1/47 | 832,121 | 886,584 | ||||||
3.50% 5/1/47 | 3,782,990 | 4,058,970 | ||||||
3.50% 6/1/47 | 391,996 | 418,967 | ||||||
3.50% 9/1/47 | 4,300,000 | 4,613,931 | ||||||
3.50% 10/1/47 | 333,182 | 359,809 | ||||||
3.50% 2/1/48 | 310,635 | 330,812 | ||||||
3.50% 3/1/48 | 185,320 | 197,110 | ||||||
3.50% 4/1/48 | 2,702,094 | 2,911,240 | ||||||
3.50% 7/1/48 | 477,453 | 509,155 | ||||||
3.50% 11/1/48 | 5,250,692 | 5,637,577 | ||||||
3.50% 6/1/49 | 90,775 | 96,856 | ||||||
3.50% 8/1/50 | 275,450 | 294,923 | ||||||
3.50% 9/1/50 | 343,534 | 363,793 | ||||||
4.00% 11/1/42 | 862,636 | 955,115 | ||||||
4.00% 10/1/44 | 11,908,373 | 13,183,508 | ||||||
4.00% 2/1/47 | 234,240 | 254,949 | ||||||
4.00% 4/1/47 | 89,312 | 97,015 | ||||||
4.00% 5/1/47 | 2,843,161 | 3,110,158 | ||||||
4.00% 7/1/47 | 389,295 | 420,582 | ||||||
4.00% 9/1/47 | 1,088,346 | 1,173,352 | ||||||
4.00% 10/1/47 | 283,800 | 306,051 | ||||||
4.00% 12/1/47 | 283,266 | 305,504 | ||||||
4.00% 1/1/48 | 274,808 | 297,210 | ||||||
4.00% 9/1/48 | 2,130,517 | 2,294,628 | ||||||
4.00% 11/1/48 | 273,262 | 294,628 | ||||||
4.00% 1/1/49 | 3,439,869 | 3,713,815 | ||||||
4.00% 6/1/49 | 424,145 | 460,078 | ||||||
4.00% 7/1/50 | 1,133,924 | 1,228,725 | ||||||
4.00% 12/1/50 | 158,001 | 172,357 | ||||||
4.50% 6/1/38 | 1,050,990 | 1,168,064 | ||||||
4.50% 6/1/39 | 863,496 | 964,723 | ||||||
4.50% 10/1/41 | 537,808 | 602,515 | ||||||
4.50% 1/1/42 | 2,105,053 | 2,358,326 | ||||||
4.50% 10/1/43 | 1,035,484 | 1,160,033 | ||||||
4.50% 3/1/44 | 5,678 | 6,307 | ||||||
4.50% 8/1/44 | 1,694,610 | 1,895,805 | ||||||
4.50% 3/1/46 | 1,463,007 | 1,641,987 | ||||||
4.50% 5/1/46 | 73,850 | 81,609 | ||||||
4.50% 6/1/47 | 1,548,010 | 1,689,637 | ||||||
4.50% 6/1/48 | 573,548 | 633,612 | ||||||
4.50% 7/1/48 | 772,122 | 849,918 | ||||||
4.50% 8/1/48 | 1,197,550 | 1,324,737 | ||||||
4.50% 10/1/48 | 975,982 | 1,071,190 | ||||||
4.50% 11/1/48 | 605,582 | 666,878 | ||||||
4.50% 12/1/48 | 678,868 | 742,876 | ||||||
4.50% 5/1/49 | 1,057,830 | 1,161,841 | ||||||
4.50% 9/1/49 | 4,316,402 | 4,765,010 | ||||||
4.50% 3/1/50 | 647,334 | 717,469 | ||||||
5.00% 4/1/37 | 16,093 | 18,201 | ||||||
5.00% 5/1/48 | 183,004 | 202,561 |
Principal Amount° | Value (U.S. $) | |||||||
AGENCY MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Fannie Mae S.F. 30 yr (continued) | ||||||||
5.00% 8/1/48 | 166,123 | $ | 182,837 | |||||
5.00% 9/1/48 | 1,532,622 | 1,701,143 | ||||||
5.00% 10/1/48 | 273,833 | 301,598 | ||||||
5.00% 11/1/48 | 919,655 | 1,012,053 | ||||||
5.00% 12/1/48 | 903,840 | 996,430 | ||||||
5.00% 9/1/49 | 2,291,056 | 2,555,833 | ||||||
5.00% 12/1/49 | 103,485 | 113,782 | ||||||
5.00% 3/1/50 | 549,937 | 604,211 | ||||||
5.50% 5/1/34 | 372,834 | 429,918 | ||||||
5.50% 9/1/36 | 493,511 | 568,662 | ||||||
5.50% 1/1/38 | 1,497,700 | 1,723,338 | ||||||
5.50% 1/1/39 | 558,896 | 646,104 | ||||||
5.50% 3/1/40 | 987,076 | 1,138,241 | ||||||
5.50% 3/1/41 | 503,304 | 579,966 | ||||||
5.50% 6/1/41 | 313,531 | 363,170 | ||||||
5.50% 7/1/41 | 1,075,341 | 1,245,349 | ||||||
6.00% 1/1/39 | 46,308 | 54,724 | ||||||
6.00% 10/1/39 | 578,608 | 682,606 | ||||||
6.00% 4/1/40 | 43,325 | 51,116 | ||||||
6.00% 10/1/40 | 205,207 | 242,105 | ||||||
6.00% 7/1/41 | 984,411 | 1,162,015 | ||||||
Fannie Mae S.F. 30 yr TBA | ||||||||
2.00% 11/1/51 | 6,500,000 | 6,505,840 | ||||||
2.50% 10/14/51 | 11,500,000 | 11,857,129 | ||||||
2.50% 11/1/51 | 6,600,000 | 6,792,070 | ||||||
3.00% 10/1/51 | 1,800,000 | 1,883,461 | ||||||
3.50% 10/1/51 | 100,000 | 105,807 | ||||||
*=Freddie Mac REMICs | ||||||||
2.00% 6/25/49 | 2,000,000 | 238,120 | ||||||
2.50% 1/25/49 | 4,200,000 | 561,498 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
3.00% 9/1/32 | 223,636 | 236,351 | ||||||
3.00% 10/1/32 | 200,735 | 212,144 | ||||||
3.00% 10/1/33 | 162,169 | 171,503 | ||||||
3.00% 12/1/33 | 51,134 | 53,995 | ||||||
Freddie Mac S.F. 20 yr | ||||||||
2.00% 9/1/41 | 4,082,830 | 4,154,847 | ||||||
2.50% 4/1/41 | 192,107 | 200,065 | ||||||
3.00% 6/1/36 | 99,059 | 104,859 | ||||||
3.50% 1/1/38 | 1,004,878 | 1,088,091 | ||||||
4.50% 8/1/23 | 691,406 | 745,703 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
2.00% 11/1/50 | 1,310,659 | 1,319,689 | ||||||
2.00% 2/1/51 | 5,378,454 | 5,427,624 | ||||||
2.00% 3/1/51 | 4,255,578 | 4,285,380 | ||||||
2.00% 4/1/51 | 2,257,388 | 2,274,178 | ||||||
2.00% 5/1/51 | 8,314,334 | 8,393,023 | ||||||
2.00% 6/1/51 | 1,382,785 | 1,395,163 | ||||||
2.50% 11/1/50 | 1,008,033 | 1,051,331 | ||||||
2.50% 12/1/50 | 2,142,271 | 2,224,940 | ||||||
2.50% 1/1/51 | 1,757,748 | 1,823,601 | ||||||
2.50% 2/1/51 | 465,954 | 483,856 | ||||||
2.50% 3/1/51 | 95,765 | 100,505 |
LVIP Western Asset Core Bond Fund–3
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
AGENCY MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Freddie Mac S.F. 30 yr (continued) | ||||||||
2.50% 5/1/51 | 194,959 | $ | 205,269 | |||||
2.50% 7/1/51 | 6,242,306 | 6,491,416 | ||||||
2.50% 8/1/51 | 1,492,037 | 1,555,651 | ||||||
2.50% 9/1/51 | 199,812 | 207,696 | ||||||
3.00% 1/1/47 | 3,246,603 | 3,481,259 | ||||||
3.00% 9/1/47 | 2,249,213 | 2,421,802 | ||||||
3.00% 3/1/48 | 2,076,647 | 2,223,113 | ||||||
3.00% 9/1/48 | 53,598 | 57,330 | ||||||
3.00% 9/1/49 | 638,042 | 682,877 | ||||||
3.00% 12/1/49 | 1,239,792 | 1,304,521 | ||||||
3.00% 1/1/50 | 181,462 | 193,179 | ||||||
3.00% 2/1/50 | 2,159,285 | 2,270,624 | ||||||
3.00% 7/1/50 | 2,322,845 | 2,457,955 | ||||||
3.00% 8/1/50 | 265,813 | 279,448 | ||||||
3.00% 9/1/50 | 10,944,422 | 11,581,562 | ||||||
3.00% 11/1/50 | 6,193,308 | 6,558,623 | ||||||
3.00% 9/1/51 | 199,693 | 210,112 | ||||||
3.50% 7/1/47 | 3,260,728 | 3,530,181 | ||||||
3.50% 11/1/47 | 4,382,951 | 4,662,477 | ||||||
3.50% 3/1/48 | 439,722 | 467,804 | ||||||
3.50% 3/1/50 | 543,900 | 578,838 | ||||||
4.00% 8/1/44 | 21,765 | 23,876 | ||||||
4.00% 5/1/45 | 14,801 | 16,225 | ||||||
4.00% 10/1/45 | 23,096 | 25,227 | ||||||
4.00% 11/1/45 | 18,437 | 20,109 | ||||||
4.00% 9/1/46 | 388,427 | 421,488 | ||||||
4.00% 12/1/46 | 21,405 | 23,111 | ||||||
4.00% 10/1/47 | 6,845,821 | 7,345,458 | ||||||
4.00% 4/1/49 | 1,356,529 | 1,481,360 | ||||||
4.00% 3/1/50 | 255,244 | 275,750 | ||||||
4.50% 10/1/35 | 230,461 | 256,594 | ||||||
4.50% 3/1/49 | 2,828,608 | 3,104,742 | ||||||
5.00% 10/1/48 | 145,720 | 160,394 | ||||||
5.00% 11/1/48 | 198,105 | 219,309 | ||||||
5.00% 1/1/49 | 23,332 | 25,659 | ||||||
•Freddie Mac Structured Agency Credit Risk Debt Notes Series 2021-DNA2 M2 2.35% (SOFR30A + 2.30%) 8/25/33 | 1,180,000 | 1,208,917 | ||||||
GNMA I S.F. 30 yr | ||||||||
3.00% 9/15/42 | 662,734 | 708,908 | ||||||
3.00% 10/15/42 | 58,511 | 62,016 | ||||||
3.50% 5/15/50 | 603,370 | 644,053 | ||||||
4.00% 3/15/50 | 48,677 | 52,283 | ||||||
GNMA II S.F. 30 yr | ||||||||
2.00% 12/20/50 | 3,898,431 | 3,959,369 | ||||||
2.00% 3/20/51 | 2,132,634 | 2,165,554 | ||||||
2.50% 12/20/50 | 1,044,870 | 1,086,528 | ||||||
3.00% 1/20/46 | 94,645 | 99,616 | ||||||
3.00% 8/20/46 | 703,855 | 741,341 | ||||||
3.00% 11/20/46 | 370,443 | 389,960 | ||||||
3.00% 2/20/47 | 125,542 | 132,283 | ||||||
3.00% 4/20/47 | 62,991 | 66,369 | ||||||
3.00% 9/20/47 | 491,118 | 515,742 | ||||||
3.00% 2/20/48 | 7,308 | 7,657 | ||||||
3.00% 1/20/50 | 1,154,398 | 1,207,558 |
Principal Amount° | Value (U.S. $) | |||||||
AGENCY MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA II S.F. 30 yr (continued) | ||||||||
3.00% 3/20/50 | 1,384,769 | $ | 1,448,810 | |||||
3.00% 7/20/51 | 1,059,571 | 1,108,351 | ||||||
3.50% 3/20/45 | 15,240 | 16,268 | ||||||
3.50% 1/20/46 | 241,903 | 258,614 | ||||||
3.50% 3/20/46 | 1,171,243 | 1,245,834 | ||||||
3.50% 4/20/46 | 659,732 | 699,622 | ||||||
3.50% 5/20/46 | 314,682 | 334,388 | ||||||
3.50% 6/20/46 | 534,773 | 568,706 | ||||||
3.50% 7/20/46 | 326,922 | 347,018 | ||||||
3.50% 9/20/46 | 102,480 | 108,898 | ||||||
3.50% 9/20/47 | 4,405,014 | 4,669,976 | ||||||
3.50% 10/20/47 | 781,474 | 835,488 | ||||||
3.50% 9/20/48 | 3,280,925 | 3,478,561 | ||||||
3.50% 10/20/49 | 294,890 | 305,399 | ||||||
3.50% 2/20/50 | 264,951 | 280,149 | ||||||
3.50% 7/20/50 | 358,035 | 376,635 | ||||||
3.50% 10/20/50 | 1,216,263 | 1,279,629 | ||||||
3.50% 11/20/50 | 946,184 | 995,219 | ||||||
4.00% 6/20/47 | 2,674,403 | 2,867,730 | ||||||
4.00% 9/20/47 | 1,672,445 | 1,791,624 | ||||||
4.00% 11/20/47 | 863,320 | 924,812 | ||||||
4.00% 12/20/47 | 362,005 | 387,780 | ||||||
4.00% 2/20/48 | 1,103,933 | 1,181,437 | ||||||
4.00% 3/20/48 | 403,210 | 431,912 | ||||||
4.00% 4/20/48 | 266,643 | 285,632 | ||||||
4.00% 10/20/49 | 236,968 | 255,403 | ||||||
4.00% 11/20/49 | 1,662,325 | 1,748,673 | ||||||
4.00% 1/20/50 | 216,775 | 236,612 | ||||||
4.00% 2/20/50 | 1,210,257 | 1,287,371 | ||||||
4.00% 3/20/50 | 120,026 | 131,367 | ||||||
4.00% 4/20/50 | 921,887 | 1,000,477 | ||||||
4.50% 7/20/32 | 418 | 446 | ||||||
4.50% 6/20/34 | 1,046 | 1,157 | ||||||
4.50% 2/20/40 | 3,468 | 3,838 | ||||||
4.50% 8/20/45 | 5,147 | 5,713 | ||||||
4.50% 8/20/47 | 459,490 | 497,783 | ||||||
4.50% 4/20/48 | 873,718 | 936,430 | ||||||
4.50% 6/20/48 | 20,320 | 21,816 | ||||||
4.50% 7/20/48 | 17,864 | 19,094 | ||||||
4.50% 8/20/48 | 3,617,730 | 3,875,561 | ||||||
4.50% 10/20/48 | 784,554 | 837,379 | ||||||
4.50% 12/20/48 | 1,274,400 | 1,361,054 | ||||||
4.50% 1/20/49 | 243,164 | 260,426 | ||||||
4.50% 2/20/50 | 2,321,195 | 2,479,876 | ||||||
4.50% 3/20/50 | 326,719 | 347,648 | ||||||
4.50% 5/20/50 | 3,292,586 | 3,504,466 | ||||||
4.50% 11/20/50 | 1,803,098 | 1,923,764 | ||||||
4.50% 12/20/50 | 416,322 | 445,747 | ||||||
GNMA II S.F. 30 yr TBA | ||||||||
2.50% 10/1/51 | 2,900,000 | 2,993,684 | ||||||
3.00% 10/1/51 | 4,600,000 | 4,805,922 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities |
| 456,007,167 | ||||||
|
|
LVIP Western Asset Core Bond Fund–4
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS–33.55% | ||||||||
Aerospace & Defense–1.33% | ||||||||
Boeing | ||||||||
2.70% 2/1/27 | 220,000 | $ | 227,702 | |||||
2.80% 3/1/27 | 320,000 | 333,188 | ||||||
3.10% 5/1/26 | 250,000 | 264,243 | ||||||
3.20% 3/1/29 | 1,090,000 | 1,134,256 | ||||||
3.25% 2/1/35 | 3,280,000 | 3,279,697 | ||||||
3.75% 2/1/50 | 420,000 | 423,918 | ||||||
4.88% 5/1/25 | 3,320,000 | 3,694,865 | ||||||
5.15% 5/1/30 | 1,370,000 | 1,607,955 | ||||||
5.71% 5/1/40 | 1,130,000 | 1,435,954 | ||||||
5.81% 5/1/50 | 2,610,000 | 3,479,053 | ||||||
5.93% 5/1/60 | 470,000 | 642,055 | ||||||
General Dynamics | ||||||||
4.25% 4/1/40 | 60,000 | 73,129 | ||||||
4.25% 4/1/50 | 280,000 | 353,987 | ||||||
L3Harris Technologies | ||||||||
4.85% 4/27/35 | 580,000 | 715,386 | ||||||
5.05% 4/27/45 | 80,000 | 104,480 | ||||||
Lockheed Martin | ||||||||
3.55% 1/15/26 | 936,000 | 1,028,946 | ||||||
4.50% 5/15/36 | 240,000 | 297,336 | ||||||
Northrop Grumman | ||||||||
2.93% 1/15/25 | 1,600,000 | 1,695,027 | ||||||
3.25% 1/15/28 | 660,000 | 714,052 | ||||||
5.25% 5/1/50 | 4,450,000 | 6,240,371 | ||||||
Raytheon Technologies | ||||||||
2.25% 7/1/30 | 750,000 | 757,324 | ||||||
3.13% 7/1/50 | 2,000,000 | 2,020,863 | ||||||
3.95% 8/16/25 | 980,000 | 1,079,285 | ||||||
4.13% 11/16/28 | 480,000 | 546,329 | ||||||
|
| |||||||
32,149,401 | ||||||||
|
| |||||||
Agriculture–0.69% | ||||||||
Altria Group | ||||||||
2.35% 5/6/25 | 230,000 | 238,474 | ||||||
2.45% 2/4/32 | 950,000 | 910,318 | ||||||
3.40% 2/4/41 | 800,000 | 757,631 | ||||||
4.40% 2/14/26 | 1,370,000 | 1,538,711 | ||||||
4.80% 2/14/29 | 117,000 | 134,455 | ||||||
5.80% 2/14/39 | 530,000 | 651,731 | ||||||
5.95% 2/14/49 | 570,000 | 721,888 | ||||||
6.20% 2/14/59 | 678,000 | 877,709 | ||||||
BAT Capital | ||||||||
3.56% 8/15/27 | 2,980,000 | 3,210,754 | ||||||
3.73% 9/25/40 | 750,000 | 723,586 | ||||||
4.54% 8/15/47 | 1,230,000 | 1,274,226 | ||||||
Cargill | ||||||||
1.38% 7/23/23 | 850,000 | 865,680 | ||||||
Philip Morris International | ||||||||
1.13% 5/1/23 | 510,000 | 516,467 | ||||||
2.10% 5/1/30 | 1,060,000 | 1,053,282 | ||||||
2.50% 8/22/22 | 200,000 | 204,078 | ||||||
4.50% 3/20/42 | 2,340,000 | 2,756,458 |
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Agriculture (continued) | ||||||||
Reynolds American | ||||||||
5.85% 8/15/45 | 200,000 | $ | 239,971 | |||||
|
| |||||||
16,675,419 | ||||||||
|
| |||||||
Airlines–0.13% | ||||||||
Delta Air Lines | ||||||||
4.50% 10/20/25 | 1,530,000 | 1,637,100 | ||||||
4.75% 10/20/28 | 1,460,000 | 1,627,900 | ||||||
|
| |||||||
3,265,000 | ||||||||
|
| |||||||
Apparel–0.13% | ||||||||
NIKE | ||||||||
2.40% 3/27/25 | 500,000 | 524,708 | ||||||
2.75% 3/27/27 | 420,000 | 450,934 | ||||||
2.85% 3/27/30 | 1,600,000 | 1,720,512 | ||||||
3.25% 3/27/40 | 430,000 | 470,632 | ||||||
|
| |||||||
3,166,786 | ||||||||
|
| |||||||
Auto Manufacturers–0.23% | ||||||||
BMW US Capital 2.80% 4/11/26 | 644,000 | 685,278 | ||||||
Ford Motor Credit 3.10% 5/4/23 | 1,366,000 | 1,388,198 | ||||||
General Motors 6.75% 4/1/46 | 191,000 | 272,364 | ||||||
General Motors Financial | ||||||||
3.45% 4/10/22 | 1,140,000 | 1,151,912 | ||||||
3.70% 5/9/23 | 2,090,000 | 2,180,584 | ||||||
|
| |||||||
5,678,336 | ||||||||
|
| |||||||
Banks–9.69% | ||||||||
Banco Santander | ||||||||
•1.24% (LIBOR03M + 1.12%) 4/12/23 | 600,000 | 608,158 | ||||||
2.75% 5/28/25 | 2,600,000 | 2,727,316 | ||||||
3.85% 4/12/23 | 1,000,000 | 1,050,137 | ||||||
Bank of America | ||||||||
µ1.32% 6/19/26 | 190,000 | 189,954 | ||||||
µ1.90% 7/23/31 | 1,710,000 | 1,648,913 | ||||||
µ2.59% 4/29/31 | 1,010,000 | 1,030,834 | ||||||
3.30% 1/11/23 | 840,000 | 871,733 | ||||||
µ3.55% 3/5/24 | 1,600,000 | 1,667,909 | ||||||
µ3.59% 7/21/28 | 3,730,000 | 4,089,183 | ||||||
µ3.97% 3/5/29 | 2,000,000 | 2,224,323 | ||||||
µ3.97% 2/7/30 | 1,170,000 | 1,309,842 | ||||||
µ4.08% 3/20/51 | 4,850,000 | 5,739,136 | ||||||
4.25% 10/22/26 | 3,410,000 | 3,838,276 | ||||||
µ4.33% 3/15/50 | 950,000 | 1,164,821 | ||||||
4.45% 3/3/26 | 5,111,000 | 5,722,938 | ||||||
5.00% 1/21/44 | 2,180,000 | 2,859,752 | ||||||
Bank of Montreal | ||||||||
1.85% 5/1/25 | 1,670,000 | 1,718,425 | ||||||
µ3.80% 12/15/32 | 300,000 | 328,696 | ||||||
Bank of New York Mellon 1.60% 4/24/25 | 500,000 | 511,097 | ||||||
Bank of Nova Scotia 1.30% 6/11/25 | 860,000 | 865,830 | ||||||
µBarclays | ||||||||
4.97% 5/16/29 | 1,900,000 | 2,208,973 | ||||||
5.09% 6/20/30 | 800,000 | 923,102 |
LVIP Western Asset Core Bond Fund–5
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Banks (continued) | ||||||||
Barclays Bank 1.70% 5/12/22 | 680,000 | $ | 685,357 | |||||
BBVA USA 3.88% 4/10/25 | 892,000 | 973,625 | ||||||
BNP Paribas | ||||||||
µ2.22% 6/9/26 | 1,080,000 | 1,108,491 | ||||||
3.38% 1/9/25 | 500,000 | 533,112 | ||||||
µ4.38% 3/1/33 | 420,000 | 460,455 | ||||||
4.40% 8/14/28 | 1,790,000 | 2,040,348 | ||||||
4.63% 3/13/27 | 390,000 | 438,123 | ||||||
µ4.71% 1/10/25 | 3,170,000 | 3,432,197 | ||||||
µ5.20% 1/10/30 | 1,260,000 | 1,498,847 | ||||||
BPCE 5.15% 7/21/24 | 780,000 | 861,874 | ||||||
Canadian Imperial Bank of Commerce 0.95% 6/23/23 | 840,000 | 846,968 | ||||||
Citigroup | ||||||||
µ1.68% 5/15/24 | 960,000 | 978,674 | ||||||
µ2.57% 6/3/31 | 4,220,000 | 4,301,463 | ||||||
µ3.11% 4/8/26 | 670,000 | 711,373 | ||||||
3.30% 4/27/25 | 4,070,000 | 4,386,757 | ||||||
4.45% 9/29/27 | 11,160,000 | 12,691,028 | ||||||
4.65% 7/23/48 | 2,030,000 | 2,618,599 | ||||||
4.75% 5/18/46 | 620,000 | 778,535 | ||||||
8.13% 7/15/39 | 60,000 | 102,536 | ||||||
Cooperatieve Rabobank | 3,000,000 | 3,325,889 | ||||||
µCredit Agricole | ||||||||
1.91% 6/16/26 | 710,000 | 723,506 | ||||||
4.00% 1/10/33 | 550,000 | 594,189 | ||||||
Credit Suisse | ||||||||
1.00% 5/5/23 | 5,100,000 | 5,146,999 | ||||||
2.95% 4/9/25 | 980,000 | 1,038,838 | ||||||
µCredit Suisse Group | ||||||||
3.09% 5/14/32 | 1,110,000 | 1,135,004 | ||||||
4.19% 4/1/31 | 1,680,000 | 1,881,683 | ||||||
Credit Suisse Group Funding Guernsey 4.55% 4/17/26 | 1,141,000 | 1,281,714 | ||||||
Danske Bank | ||||||||
1.23% 6/22/24 | 200,000 | 201,978 | ||||||
µ3.24% 12/20/25 | 350,000 | 371,825 | ||||||
3.88% 9/12/23 | 410,000 | 433,764 | ||||||
5.00% 1/12/22 | 1,920,000 | 1,943,081 | ||||||
5.38% 1/12/24 | 1,970,000 | 2,162,080 | ||||||
Goldman Sachs Group | ||||||||
µ2.91% 7/21/42 | 760,000 | 749,324 | ||||||
3.20% 2/23/23 | 970,000 | 1,004,973 | ||||||
µ3.21% 4/22/42 | 330,000 | 341,134 | ||||||
3.50% 4/1/25 | 620,000 | 666,564 | ||||||
3.50% 11/16/26 | 5,140,000 | 5,554,384 | ||||||
3.63% 2/20/24 | 720,000 | 767,257 | ||||||
µ3.69% 6/5/28 | 3,000,000 | 3,302,196 | ||||||
µ4.22% 5/1/29 | 3,140,000 | 3,548,581 | ||||||
4.25% 10/21/25 | 2,090,000 | 2,314,529 |
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Banks (continued) | ||||||||
Goldman Sachs Group (continued) | ||||||||
4.75% 10/21/45 | 1,070,000 | $ | 1,381,606 | |||||
5.15% 5/22/45 | 800,000 | 1,049,015 | ||||||
6.25% 2/1/41 | 1,660,000 | 2,419,600 | ||||||
6.75% 10/1/37 | 750,000 | 1,074,215 | ||||||
HSBC Holdings | ||||||||
µ3.97% 5/22/30 | 2,280,000 | 2,516,527 | ||||||
µ4.04% 3/13/28 | 1,610,000 | 1,781,335 | ||||||
4.30% 3/8/26 | 710,000 | 790,486 | ||||||
4.95% 3/31/30 | 200,000 | 237,858 | ||||||
Intesa Sanpaolo | ||||||||
3.13% 7/14/22 | 4,799,000 | 4,900,404 | ||||||
3.38% 1/12/23 | 630,000 | 651,629 | ||||||
JPMorgan Chase & Co. | ||||||||
µ1.51% 6/1/24 | 2,440,000 | 2,480,626 | ||||||
µ2.08% 4/22/26 | 1,550,000 | 1,594,270 | ||||||
µ2.52% 4/22/31 | 4,040,000 | 4,121,621 | ||||||
µ3.11% 4/22/51 | 990,000 | 1,005,622 | ||||||
3.63% 12/1/27 | 510,000 | 557,072 | ||||||
µ4.02% 12/5/24 | 2,200,000 | 2,356,377 | ||||||
µ4.20% 7/23/29 | 1,170,000 | 1,330,935 | ||||||
4.25%10/1/27 | 6,738,000 | 7,662,473 | ||||||
µ4.45% 12/5/29 | 1,930,000 | 2,223,017 | ||||||
Lloyds Banking Group | ||||||||
µ2.91% 11/7/23 | 2,120,000 | 2,175,099 | ||||||
3.90% 3/12/24 | 200,000 | 215,023 | ||||||
4.65% 3/24/26 | 1,410,000 | 1,584,686 | ||||||
µMorgan Stanley | ||||||||
2.19% 4/28/26 | 2,210,000 | 2,281,833 | ||||||
2.70% 1/22/31 | 2,280,000 | 2,350,892 | ||||||
3.62% 4/1/31 | 2,930,000 | 3,229,347 | ||||||
3.77% 1/24/29 | 1,620,000 | 1,792,555 | ||||||
4.43% 1/23/30 | 70,000 | 80,827 | ||||||
National Securities Clearing | ||||||||
1.20% 4/23/23 | 760,000 | 770,574 | ||||||
1.50% 4/23/25 | 630,000 | 639,698 | ||||||
µNatwest Group | ||||||||
4.27% 3/22/25 | 1,090,000 | 1,176,263 | ||||||
4.52% 6/25/24 | 2,580,000 | 2,746,085 | ||||||
4.89% 5/18/29 | 620,000 | 721,933 | ||||||
Nordea Bank 1.00% 6/9/23 | 1,540,000 | 1,556,739 | ||||||
Royal Bank of Canada | ||||||||
1.15% 6/10/25 | 820,000 | 821,560 | ||||||
1.60% 4/17/23 | 1,430,000 | 1,457,603 | ||||||
State Street 3.10% 5/15/23 | 730,000 | 762,964 | ||||||
Swedbank 1.30% 6/2/23 | 1,050,000 | 1,064,738 | ||||||
Toronto-Dominion Bank | ||||||||
0.75% 6/12/23 | 1,590,000 | 1,599,345 | ||||||
1.15% 6/12/25 | 820,000 | 821,815 | ||||||
U.S. Bancorp 1.45% 5/12/25 | 1,920,000 | 1,950,750 |
LVIP Western Asset Core Bond Fund–6
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) |
| |||||||
Banks (continued) | ||||||||
UBS | ||||||||
1.75% 4/21/22 | 1,400,000 | $ | 1,410,017 | |||||
4.50% 6/26/48 | 200,000 | 261,649 | ||||||
µUBS Group AG 2.86% 8/15/23 | 280,000 | 285,896 | ||||||
UBS Group Funding Switzerland | ||||||||
3.49% 5/23/23 | 1,820,000 | 1,855,207 | ||||||
4.13% 4/15/26 | 1,176,000 | 1,310,609 | ||||||
4.25% 3/23/28 | 3,740,000 | 4,204,702 | ||||||
Wells Fargo & Co. | ||||||||
µ1.65% 6/2/24 | 1,940,000 | 1,977,918 | ||||||
µ2.19% 4/30/26 | 1,580,000 | 1,630,774 | ||||||
µ2.39% 6/2/28 | 980,000 | 1,010,811 | ||||||
µ2.88% 10/30/30 | 1,820,000 | 1,900,737 | ||||||
3.00% 10/23/26 | 1,390,000 | 1,489,759 | ||||||
3.75% 1/24/24 | 430,000 | 459,703 | ||||||
4.13% 8/15/23 | 460,000 | 489,892 | ||||||
4.15% 1/24/29 | 1,700,000 | 1,932,071 | ||||||
4.30% 7/22/27 | 874,000 | 993,028 | ||||||
4.40% 6/14/46 | 2,750,000 | 3,268,340 | ||||||
µ4.48% 4/4/31 | 1,620,000 | 1,886,144 | ||||||
4.65% 11/4/44 | 30,000 | 36,759 | ||||||
4.75% 12/7/46 | 2,640,000 | 3,306,363 | ||||||
4.90% 11/17/45 | 1,630,000 | 2,063,941 | ||||||
µ5.01% 4/4/51 | 8,680,000 | 11,648,794 | ||||||
|
| |||||||
234,595,333 | ||||||||
|
| |||||||
Beverages–0.47% | ||||||||
Anheuser-Busch InBev Worldwide 3.50% 6/1/30 | 2,860,000 | 3,132,424 | ||||||
4.35% 6/1/40 | 1,100,000 | 1,278,247 | ||||||
4.50% 6/1/50 | 210,000 | 250,682 | ||||||
4.90% 2/1/46 | 3,800,000 | 4,671,016 | ||||||
Coca-Cola | ||||||||
1.45% 6/1/27 | 520,000 | 524,923 | ||||||
2.50% 3/15/51 | 140,000 | 131,783 | ||||||
2.60% 6/1/50 | 370,000 | 353,579 | ||||||
PepsiCo | ||||||||
1.63% 5/1/30 | 190,000 | 186,146 | ||||||
2.25% 3/19/25 | 100,000 | 104,341 | ||||||
2.63% 3/19/27 | 70,000 | 74,686 | ||||||
2.88% 10/15/49 | 310,000 | 315,783 | ||||||
3.63% 3/19/50 | 140,000 | 161,274 | ||||||
3.88% 3/19/60 | 250,000 | 304,009 | ||||||
|
| |||||||
11,488,893 | ||||||||
|
| |||||||
Biotechnology–0.06% | ||||||||
Gilead Sciences | ||||||||
3.65% 3/1/26 | 590,000 | 646,638 | ||||||
4.75% 3/1/46 | 690,000 | 867,662 | ||||||
|
| |||||||
1,514,300 | ||||||||
|
|
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) |
| |||||||
Building Materials–0.00% | ||||||||
Carrier Global 3.58% 4/5/50 | 90,000 | $ | 95,620 | |||||
|
| |||||||
95,620 | ||||||||
|
| |||||||
Chemicals–0.41% | ||||||||
Equate Petrochemical | ||||||||
2.63% 4/28/28 | 2,630,000 | 2,646,043 | ||||||
4.25% 11/3/26 | 2,120,000 | 2,332,000 | ||||||
MEGlobal Canada | ||||||||
5.88% 5/18/30 | 340,000 | 417,435 | ||||||
OCP 4.50% 10/22/25 | 1,257,000 | 1,347,831 | ||||||
Orbia Advance | ||||||||
1.88% 5/11/26 | 1,650,000 | 1,652,706 | ||||||
2.88% 5/11/31 | 1,560,000 | 1,569,750 | ||||||
|
| |||||||
9,965,765 | ||||||||
|
| |||||||
Commercial Services–0.33% | ||||||||
Cintas No. 2 3.70% 4/1/27 | 690,000 | 770,115 | ||||||
DP World 5.63% 9/25/48 | 4,160,000 | 5,128,032 | ||||||
PayPal Holdings | ||||||||
1.35% 6/1/23 | 730,000 | 742,134 | ||||||
1.65% 6/1/25 | 760,000 | 778,809 | ||||||
2.30% 6/1/30 | 500,000 | 512,436 | ||||||
|
| |||||||
7,931,526 | ||||||||
|
| |||||||
Computers–0.20% | ||||||||
Apple | ||||||||
1.13% 5/11/25 | 1,590,000 | 1,601,536 | ||||||
2.45% 8/4/26 | 950,000 | 1,005,217 | ||||||
3.85% 8/4/46 | 500,000 | 584,657 | ||||||
International Business Machines 3.00% 5/15/24 | 1,620,000 | 1,718,467 | ||||||
|
| |||||||
4,909,877 | ||||||||
|
| |||||||
Cosmetics & Personal Care–0.03% |
| |||||||
Procter & Gamble | ||||||||
2.80% 3/25/27 | 160,000 | 172,242 | ||||||
3.00% 3/25/30 | 490,000 | 536,231 | ||||||
|
| |||||||
708,473 | ||||||||
|
| |||||||
Diversified Financial Services–0.47% |
| |||||||
Air Lease 3.38% 7/1/25 | 550,000 | 584,074 | ||||||
American Express 2.50% 7/30/24 | 4,110,000 | 4,320,603 | ||||||
Mastercard 3.85% 3/26/50 | 2,780,000 | 3,305,796 | ||||||
Visa 4.30% 12/14/45 | 2,560,000 | 3,213,620 | ||||||
|
| |||||||
11,424,093 | ||||||||
|
| |||||||
Electric–1.25% | ||||||||
Abu Dhabi National Energy | ||||||||
2.00% 4/29/28 | 3,310,000 | 3,326,550 | ||||||
3.40% 4/29/51 | 2,170,000 | 2,267,910 |
LVIP Western Asset Core Bond Fund–7
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Electric (continued) | ||||||||
Cleveland Electric Illuminating 3.50% 4/1/28 | 300,000 | $ | 321,507 | |||||
Comision Federal de Electricidad | ||||||||
4.75% 2/23/27 | 1,720,000 | 1,926,400 | ||||||
4.88% 1/15/24 | 380,000 | 409,925 | ||||||
Consolidated Edison Co. of New York | ||||||||
3.35% 4/1/30 | 330,000 | 361,099 | ||||||
3.95% 4/1/50 | 260,000 | 296,681 | ||||||
Duke Energy | ||||||||
2.40% 8/15/22 | 1,470,000 | 1,494,557 | ||||||
3.15% 8/15/27 | 320,000 | 344,634 | ||||||
FirstEnergy | ||||||||
1.60% 1/15/26 | 330,000 | 326,352 | ||||||
3.35% 7/15/22 | 2,190,000 | 2,215,952 | ||||||
4.40% 7/15/27 | 2,120,000 | 2,326,019 | ||||||
7.38% 11/15/31 | 3,790,000 | 5,177,367 | ||||||
MidAmerican Energy 3.65% 4/15/29 | 1,080,000 | 1,208,498 | ||||||
Pacific Gas and Electric | ||||||||
1.75% 6/16/22 | 1,230,000 | 1,228,010 | ||||||
2.10% 8/1/27 | 190,000 | 185,423 | ||||||
2.50% 2/1/31 | 470,000 | 447,335 | ||||||
3.30% 8/1/40 | 100,000 | 92,272 | ||||||
3.50% 8/1/50 | 230,000 | 209,170 | ||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara |
| |||||||
4.13% 5/15/27 | 1,300,000 | 1,408,875 | ||||||
5.45% 5/21/28 | 690,000 | 802,125 | ||||||
6.15% 5/21/48 | 3,210,000 | 3,965,955 | ||||||
|
| |||||||
30,342,616 | ||||||||
|
| |||||||
Electronics–0.04% | ||||||||
Honeywell International | ||||||||
1.35% 6/1/25 | 930,000 | 945,223 | ||||||
|
| |||||||
945,223 | ||||||||
|
| |||||||
Environmental Control–0.07% | ||||||||
Republic Services | ||||||||
2.50% 8/15/24 | 590,000 | 617,834 | ||||||
Waste Management | ||||||||
2.40% 5/15/23 | 960,000 | 987,929 | ||||||
|
| |||||||
1,605,763 | ||||||||
|
| |||||||
Food–0.35% | ||||||||
Danone | ||||||||
2.08% 11/2/21 | 854,000 | 854,000 | ||||||
2.59% 11/2/23 | 1,160,000 | 1,204,591 | ||||||
2.95% 11/2/26 | 360,000 | 383,957 | ||||||
Kraft Heinz Foods 3.00% 6/1/26 | 1,482,000 | 1,561,052 | ||||||
Mars | ||||||||
2.38% 7/16/40 | 1,250,000 | 1,194,144 | ||||||
2.70% 4/1/25 | 340,000 | 359,049 | ||||||
3.20% 4/1/30 | 1,040,000 | 1,130,447 |
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Food (continued) | ||||||||
Mondelez International | ||||||||
1.50% 5/4/25 | 1,140,000 | $ | 1,157,173 | |||||
Mondelez International Holdings Netherlands |
| |||||||
2.13% 9/19/22 | 550,000 | 559,930 | ||||||
|
| |||||||
8,404,343 | ||||||||
|
| |||||||
Forest Products & Paper–0.25% | ||||||||
Suzano Austria 6.00% 1/15/29 | 5,200,000 | 6,102,200 | ||||||
|
| |||||||
6,102,200 | ||||||||
|
| |||||||
Health Care Products–0.13% | ||||||||
Abbott Laboratories | ||||||||
3.75% 11/30/26 | 484,000 | 542,924 | ||||||
4.75% 11/30/36 | 650,000 | 827,035 | ||||||
4.90% 11/30/46 | 920,000 | 1,245,661 | ||||||
Medtronic | ||||||||
3.50% 3/15/25 | 314,000 | 340,740 | ||||||
4.63% 3/15/45 | 134,000 | 175,023 | ||||||
|
| |||||||
3,131,383 | ||||||||
|
| |||||||
Health Care Services–0.46% | ||||||||
Aetna 3.88% 8/15/47 | 470,000 | 521,244 | ||||||
Anthem | ||||||||
2.95% 12/1/22 | 600,000 | 616,762 | ||||||
3.13% 5/15/22 | 320,000 | 325,498 | ||||||
3.35% 12/1/24 | 430,000 | 460,972 | ||||||
3.65% 12/1/27 | 430,000 | 477,673 | ||||||
Humana | ||||||||
3.13% 8/15/29 | 1,100,000 | 1,172,373 | ||||||
3.95% 3/15/27 | 1,220,000 | 1,361,073 | ||||||
4.50% 4/1/25 | 150,000 | 166,569 | ||||||
4.80% 3/15/47 | 50,000 | 63,109 | ||||||
UnitedHealth Group | ||||||||
1.25% 1/15/26 | 300,000 | 301,883 | ||||||
2.00% 5/15/30 | 980,000 | 982,732 | ||||||
2.38% 10/15/22 | 120,000 | 122,701 | ||||||
2.90% 5/15/50 | 500,000 | 501,349 | ||||||
3.13% 5/15/60 | 100,000 | 102,336 | ||||||
3.50% 6/15/23 | 290,000 | 305,234 | ||||||
3.70% 8/15/49 | 1,330,000 | 1,510,777 | ||||||
3.75% 7/15/25 | 550,000 | 605,814 | ||||||
3.88% 12/15/28 | 300,000 | 341,370 | ||||||
3.88% 8/15/59 | 650,000 | 762,475 | ||||||
4.25% 6/15/48 | 210,000 | 258,237 | ||||||
4.45% 12/15/48 | 160,000 | 202,893 | ||||||
|
| |||||||
11,163,074 | ||||||||
|
| |||||||
Household Products Ware–0.01% | ||||||||
Kimberly-Clark 3.10% 3/26/30 | 250,000 | 273,768 | ||||||
|
| |||||||
273,768 | ||||||||
|
|
LVIP Western Asset Core Bond Fund–8
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) |
| |||||||
Housewares–0.03% | ||||||||
Newell Brands | ||||||||
4.35% 4/1/23 | 257,000 | $ | 267,616 | |||||
4.70% 4/1/26 | 460,000 | 507,164 | ||||||
|
| |||||||
774,780 | ||||||||
|
| |||||||
Insurance–0.44% | ||||||||
American International Group | ||||||||
2.50% 6/30/25 | 500,000 | 523,546 | ||||||
3.75% 7/10/25 | 450,000 | 489,834 | ||||||
Berkshire Hathaway Finance 4.25% 1/15/49 | 1,190,000 | 1,450,736 | ||||||
Chubb INA Holdings 3.35% 5/3/26 | 590,000 | 643,555 | ||||||
Guardian Life Global Funding 1.10% 6/23/25 | 320,000 | 320,836 | ||||||
MassMutual Global Funding II 0.85% 6/9/23 | 2,500,000 | 2,521,418 | ||||||
MetLife 6.40% 12/15/66 | 1,600,000 | 2,054,965 | ||||||
Metropolitan Life Global Funding I 0.90% 6/8/23 | 1,630,000 | 1,645,736 | ||||||
New York Life Global Funding 0.95% 6/24/25 | 600,000 | 598,199 | ||||||
Principal Life Global Funding II 1.25% 6/23/25 | 300,000 | 300,500 | ||||||
|
| |||||||
10,549,325 | ||||||||
|
| |||||||
Internet–0.95% | ||||||||
Alphabet | ||||||||
1.10% 8/15/30 | 1,500,000 | 1,417,050 | ||||||
2.05% 8/15/50 | 1,000,000 | 873,366 | ||||||
Amazon.com | ||||||||
1.50% 6/3/30 | 1,440,000 | 1,400,513 | ||||||
2.10% 5/12/31 | 980,000 | 992,698 | ||||||
2.50% 6/3/50 | 7,320,000 | 6,855,562 | ||||||
3.15% 8/22/27 | 750,000 | 824,632 | ||||||
3.88% 8/22/37 | 500,000 | 590,380 | ||||||
4.05% 8/22/47 | 610,000 | 740,078 | ||||||
4.25% 8/22/57 | 200,000 | 254,084 | ||||||
4.95% 12/5/44 | 630,000 | 849,173 | ||||||
Prosus | ||||||||
3.68% 1/21/30 | 800,000 | 829,968 | ||||||
4.03% 8/3/50 | 3,570,000 | 3,344,886 | ||||||
Tencent Holdings 3.60% 1/19/28 | 3,690,000 | 3,951,227 | ||||||
|
| |||||||
22,923,617 | ||||||||
|
| |||||||
Investment Company Security–0.02% |
| |||||||
Temasek Financial I 2.38% 1/23/23 | 368,000 | 376,759 | ||||||
|
| |||||||
376,759 | ||||||||
|
| |||||||
Iron & Steel–0.28% | ||||||||
Vale Overseas | ||||||||
6.25% 8/10/26 | 4,600,000 | 5,435,682 | ||||||
6.88% 11/21/36 | 1,000,000 | 1,332,500 | ||||||
|
| |||||||
6,768,182 | ||||||||
|
|
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) |
| |||||||
Lodging–0.12% | ||||||||
Las Vegas Sands 3.20% 8/8/24 | 1,700,000 | $ | 1,745,473 | |||||
Sands China 5.13% 8/8/25 | 1,120,000 | 1,205,971 | ||||||
|
| |||||||
2,951,444 | ||||||||
|
| |||||||
Machinery Diversified–0.09% | ||||||||
Deere & Co. | ||||||||
3.10% 4/15/30 | 210,000 | 228,430 | ||||||
3.75% 4/15/50 | 1,210,000 | 1,444,290 | ||||||
Otis Worldwide 2.06% 4/5/25 | 400,000 | 413,320 | ||||||
|
| |||||||
2,086,040 | ||||||||
|
| |||||||
Media–1.29% | ||||||||
Charter Communications Operating | ||||||||
3.50% 3/1/42 | 370,000 | 362,016 | ||||||
4.20% 3/15/28 | 1,760,000 | 1,965,726 | ||||||
4.80% 3/1/50 | 310,000 | 347,884 | ||||||
4.91% 7/23/25 | 3,161,000 | 3,554,938 | ||||||
5.05% 3/30/29 | 1,700,000 | 1,990,507 | ||||||
5.38% 4/1/38 | 1,670,000 | 2,015,149 | ||||||
5.38% 5/1/47 | 740,000 | 885,999 | ||||||
6.48% 10/23/45 | 1,210,000 | 1,645,092 | ||||||
Comcast | ||||||||
2.80% 1/15/51 | 1,000,000 | 946,539 | ||||||
2.94% 11/1/56 | 244,000 | 230,479 | ||||||
3.10% 4/1/25 | 60,000 | 64,196 | ||||||
3.15% 3/1/26 | 1,106,000 | 1,195,146 | ||||||
3.25% 11/1/39 | 110,000 | 116,138 | ||||||
3.40% 4/1/30 | 750,000 | 826,003 | ||||||
3.40% 7/15/46 | 90,000 | 95,447 | ||||||
3.45% 2/1/50 | 1,140,000 | 1,208,975 | ||||||
3.75% 4/1/40 | 120,000 | 134,823 | ||||||
3.95% 10/15/25 | 2,220,000 | 2,462,679 | ||||||
4.00% 3/1/48 | 140,000 | 160,174 | ||||||
4.15% 10/15/28 | 3,050,000 | 3,507,605 | ||||||
4.25% 10/15/30 | 2,030,000 | 2,364,592 | ||||||
Fox 5.48% 1/25/39 | 2,970,000 | 3,792,728 | ||||||
Time Warner Cable 7.30% 7/1/38 | 500,000 | 717,262 | ||||||
Walt Disney 6.65% 11/15/37 | 460,000 | 686,131 | ||||||
|
| |||||||
31,276,228 | ||||||||
|
| |||||||
Mining–1.09% | ||||||||
Anglo American Capital | ||||||||
3.63% 9/11/24 | 1,100,000 | 1,180,608 | ||||||
4.00% 9/11/27 | 930,000 | 1,024,976 | ||||||
4.75% 4/10/27 | 430,000 | 489,383 | ||||||
Barrick Gold 5.25% 4/1/42 | 10,000 | 12,934 | ||||||
Barrick North America Finance 5.70% 5/30/41 | 1,760,000 | 2,376,713 | ||||||
BHP Billiton Finance USA | ||||||||
2.88% 2/24/22 | 192,000 | 193,993 | ||||||
5.00% 9/30/43 | 920,000 | 1,225,459 | ||||||
Glencore Finance Canada 4.25% 10/25/22 | 820,000 | 851,627 |
LVIP Western Asset Core Bond Fund–9
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) |
| |||||||
Mining (continued) | ||||||||
Glencore Funding | ||||||||
3.88% 10/27/27 | 120,000 | $ | 130,812 | |||||
4.00% 3/27/27 | 1,540,000 | 1,693,591 | ||||||
4.13% 5/30/23 | 10,000 | 10,568 | ||||||
4.13% 3/12/24 | 870,000 | 932,071 | ||||||
4.63% 4/29/24 | 1,380,000 | 1,503,733 | ||||||
Nacional del Cobre de Chile 3.63% 8/1/27 | 4,770,000 | 5,113,774 | ||||||
Southern Copper 5.25% 11/8/42 | 7,810,000 | 9,703,925 | ||||||
|
| |||||||
26,444,167 | ||||||||
|
| |||||||
Miscellaneous Manufacturing–0.26% |
| |||||||
3M | ||||||||
2.38% 8/26/29 | 2,510,000 | 2,604,468 | ||||||
3.70% 4/15/50 | 310,000 | 354,011 | ||||||
Eaton 4.15% 11/2/42 | 1,030,000 | 1,212,272 | ||||||
General Electric | ||||||||
3.45% 5/1/27 | 190,000 | 208,383 | ||||||
3.63% 5/1/30 | 380,000 | 422,255 | ||||||
6.75% 3/15/32 | 220,000 | 300,933 | ||||||
6.88% 1/10/39 | 724,000 | 1,078,993 | ||||||
|
| |||||||
6,181,315 | ||||||||
|
| |||||||
Oil & Gas–4.51% | ||||||||
Apache | ||||||||
4.75% 4/15/43 | 3,700,000 | 4,006,101 | ||||||
6.00% 1/15/37 | 2,223,000 | 2,706,502 | ||||||
BP Capital Markets America | ||||||||
2.77% 11/10/50 | 310,000 | 286,022 | ||||||
2.94% 6/4/51 | 190,000 | 179,644 | ||||||
3.00% 2/24/50 | 1,830,000 | 1,760,467 | ||||||
3.12% 5/4/26 | 1,820,000 | 1,968,075 | ||||||
3.22% 11/28/23 | 1,520,000 | 1,603,462 | ||||||
3.41% 2/11/26 | 200,000 | 217,988 | ||||||
3.63% 4/6/30 | 590,000 | 657,762 | ||||||
3.79% 2/6/24 | 180,000 | 192,722 | ||||||
Chevron | ||||||||
1.55% 5/11/25 | 990,000 | 1,012,206 | ||||||
2.00% 5/11/27 | 260,000 | 268,193 | ||||||
2.98% 5/11/40 | 940,000 | 971,709 | ||||||
3.08% 5/11/50 | 610,000 | 631,396 | ||||||
4.95% 8/15/47 | 1,220,000 | 1,629,066 | ||||||
Chevron USA | ||||||||
3.25% 10/15/29 | 2,060,000 | 2,254,979 | ||||||
3.85% 1/15/28 | 1,620,000 | 1,829,156 | ||||||
5.05% 11/15/44 | 1,200,000 | 1,596,782 | ||||||
Cimarex Energy | ||||||||
3.90% 5/15/27 | 1,260,000 | 1,378,591 | ||||||
4.38% 6/1/24 | 340,000 | 366,630 | ||||||
4.38% 3/15/29 | 3,560,000 | 4,023,097 | ||||||
ConocoPhillips | ||||||||
3.75% 10/1/27 | 520,000 | 580,756 | ||||||
4.30% 8/15/28 | 2,270,000 | 2,613,916 |
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) |
| |||||||
Oil & Gas (continued) | ||||||||
Continental Resources | ||||||||
3.80% 6/1/24 | 640,000 | $ | 672,512 | |||||
4.38% 1/15/28 | 1,360,000 | 1,504,500 | ||||||
4.50% 4/15/23 | 290,000 | 300,512 | ||||||
4.90% 6/1/44 | 310,000 | 347,200 | ||||||
Devon Energy | ||||||||
4.50% 1/15/30 | 835,000 | 910,056 | ||||||
4.75% 5/15/42 | 200,000 | 228,253 | ||||||
5.00% 6/15/45 | 2,655,000 | 3,112,638 | ||||||
5.60% 7/15/41 | 1,237,000 | 1,541,367 | ||||||
5.85% 12/15/25 | 750,000 | 867,790 | ||||||
Diamondback Energy | ||||||||
2.88% 12/1/24 | 350,000 | 367,500 | ||||||
3.13% 3/24/31 | 380,000 | 394,579 | ||||||
3.25% 12/1/26 | 440,000 | 471,174 | ||||||
3.50% 12/1/29 | 1,380,000 | 1,475,823 | ||||||
Ecopetrol 5.88% 5/28/45 | 4,070,000 | 4,110,700 | ||||||
EOG Resources | ||||||||
3.90% 4/1/35 | 1,280,000 | 1,449,527 | ||||||
4.38% 4/15/30 | 1,230,000 | 1,436,011 | ||||||
4.95% 4/15/50 | 1,780,000 | 2,356,635 | ||||||
Exxon Mobil | ||||||||
1.57% 4/15/23 | 90,000 | 91,743 | ||||||
2.44% 8/16/29 | 1,230,000 | 1,282,810 | ||||||
2.99% 3/19/25 | 2,340,000 | 2,496,335 | ||||||
3.04% 3/1/26 | 490,000 | 528,847 | ||||||
3.45% 4/15/51 | 750,000 | 797,571 | ||||||
3.48% 3/19/30 | 910,000 | 1,012,365 | ||||||
4.11% 3/1/46 | 760,000 | 886,235 | ||||||
4.33% 3/19/50 | 120,000 | 146,988 | ||||||
KazMunayGas National | ||||||||
5.38% 4/24/30 | 2,550,000 | 3,005,812 | ||||||
5.75% 4/19/47 | 2,700,000 | 3,239,676 | ||||||
Occidental Petroleum | ||||||||
3.00% 2/15/27 | 820,000 | 819,369 | ||||||
3.50% 8/15/29 | 500,000 | 508,560 | ||||||
4.10% 2/15/47 | 760,000 | 722,684 | ||||||
4.20% 3/15/48 | 210,000 | 201,075 | ||||||
4.40% 4/15/46 | 380,000 | 378,993 | ||||||
4.50% 7/15/44 | 2,850,000 | 2,863,708 | ||||||
4.63% 6/15/45 | 1,170,000 | 1,196,325 | ||||||
5.55% 3/15/26 | 220,000 | 244,200 | ||||||
6.60% 3/15/46 | 2,530,000 | 3,175,163 | ||||||
Pertamina Persero 6.00% 5/3/42 | 1,790,000 | 2,213,125 | ||||||
Petroleos del Peru | ||||||||
4.75% 6/19/32 | 2,790,000 | 2,873,700 | ||||||
5.63% 6/19/47 | 1,490,000 | 1,488,376 | ||||||
Petroleos Mexicanos | ||||||||
5.50% 6/27/44 | 790,000 | 632,126 | ||||||
5.63% 1/23/46 | 2,710,000 | 2,176,645 | ||||||
6.38% 1/23/45 | 900,000 | 765,099 | ||||||
6.63% 6/15/35 | 1,746,000 | 1,656,517 | ||||||
6.88% 8/4/26 | 365,000 | 396,974 |
LVIP Western Asset Core Bond Fund–10
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) |
| |||||||
Oil & Gas (continued) | ||||||||
Pioneer Natural Resources | ||||||||
1.13% 1/15/26 | 210,000 | $ | 207,308 | |||||
1.90% 8/15/30 | 850,000 | 813,276 | ||||||
2.15% 1/15/31 | 1,830,000 | 1,779,505 | ||||||
Qatar Petroleum | ||||||||
2.25% 7/12/31 | 3,190,000 | 3,159,376 | ||||||
3.13% 7/12/41 | 2,040,000 | 2,039,021 | ||||||
3.30% 7/12/51 | 2,050,000 | 2,070,500 | ||||||
Shell International Finance | ||||||||
2.38% 11/7/29 | 200,000 | 207,755 | ||||||
2.75% 4/6/30 | 420,000 | 445,933 | ||||||
2.88% 5/10/26 | 804,000 | 866,355 | ||||||
3.25% 4/6/50 | 2,490,000 | 2,648,768 | ||||||
4.00% 5/10/46 | 2,760,000 | 3,248,208 | ||||||
Sinopec Group Overseas Development 4.38% 4/10/24 | 1,410,000 | 1,528,240 | ||||||
|
| |||||||
109,097,265 | ||||||||
|
| |||||||
Oil & Gas Services–0.03% | ||||||||
Halliburton | ||||||||
3.80% 11/15/25 | 69,000 | 75,567 | ||||||
5.00% 11/15/45 | 290,000 | 347,452 | ||||||
Schlumberger Holdings 3.90% 5/17/28 | 295,000 | 325,190 | ||||||
|
| |||||||
748,209 | ||||||||
|
| |||||||
Pharmaceuticals–2.12% | ||||||||
AbbVie | ||||||||
2.30% 11/21/22 | 2,780,000 | 2,837,307 | ||||||
2.60% 11/21/24 | 3,010,000 | 3,164,202 | ||||||
2.95% 11/21/26 | 690,000 | 739,091 | ||||||
3.20% 11/21/29 | 4,790,000 | 5,161,278 | ||||||
3.60% 5/14/25 | 610,000 | 659,867 | ||||||
3.75% 11/14/23 | 190,000 | 202,423 | ||||||
3.80% 3/15/25 | 790,000 | 857,824 | ||||||
4.25% 11/21/49 | 910,000 | 1,077,852 | ||||||
4.55% 3/15/35 | 80,000 | 95,873 | ||||||
Becton Dickinson and Co | ||||||||
3.36% 6/6/24 | 213,000 | 226,476 | ||||||
3.73% 12/15/24 | 86,000 | 92,934 | ||||||
4.69% 12/15/44 | 516,000 | 643,015 | ||||||
Bristol-Myers Squibb | ||||||||
2.90% 7/26/24 | 1,072,000 | 1,138,185 | ||||||
3.20% 6/15/26 | 820,000 | 894,008 | ||||||
3.40% 7/26/29 | 3,560,000 | 3,945,657 | ||||||
3.88% 8/15/25 | 95,000 | 104,761 | ||||||
4.55% 2/20/48 | 1,110,000 | 1,423,880 | ||||||
Cigna | ||||||||
3.75% 7/15/23 | 901,000 | 952,366 | ||||||
4.13% 11/15/25 | 550,000 | 611,202 |
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) |
| |||||||
Pharmaceuticals (continued) | ||||||||
Cigna (continued) | ||||||||
4.38% 10/15/28 | 2,380,000 | $ | 2,750,363 | |||||
4.80% 8/15/38 | 1,000,000 | 1,223,853 | ||||||
4.90% 12/15/48 | 750,000 | 958,931 | ||||||
CVS Health | ||||||||
2.13% 9/15/31 | 770,000 | 756,493 | ||||||
3.63% 4/1/27 | 300,000 | 330,391 | ||||||
3.70% 3/9/23 | 119,000 | 124,264 | ||||||
3.75% 4/1/30 | 760,000 | 844,324 | ||||||
3.88% 7/20/25 | 1,380,000 | 1,510,838 | ||||||
4.13% 4/1/40 | 300,000 | 343,809 | ||||||
4.25% 4/1/50 | 930,000 | 1,095,111 | ||||||
4.30% 3/25/28 | 1,642,000 | 1,872,956 | ||||||
5.05% 3/25/48 | 1,170,000 | 1,506,027 | ||||||
5.13% 7/20/45 | 1,110,000 | 1,430,488 | ||||||
Johnson & Johnson | ||||||||
0.55% 9/1/25 | 570,000 | 565,093 | ||||||
0.95% 9/1/27 | 1,140,000 | 1,117,314 | ||||||
2.10% 9/1/40 | 1,000,000 | 940,213 | ||||||
3.70% 3/1/46 | 540,000 | 634,113 | ||||||
Merck & Co. 1.45% 6/24/30 | 2,440,000 | 2,356,755 | ||||||
Pfizer | ||||||||
1.70% 5/28/30 | 4,330,000 | 4,270,073 | ||||||
2.63% 4/1/30 | 910,000 | 960,896 | ||||||
2.70% 5/28/50 | 1,000,000 | 983,660 | ||||||
|
| |||||||
51,404,166 | ||||||||
|
| |||||||
Pipelines–1.67% | ||||||||
Cameron LNG 3.30% 1/15/35 | 3,060,000 | 3,268,396 | ||||||
Energy Transfer 5.50% 6/1/27 | 730,000 | 856,531 | ||||||
Energy Transfer Operating | ||||||||
2.90% 5/15/25 | 560,000 | 586,987 | ||||||
3.75% 5/15/30 | 3,180,000 | 3,436,181 | ||||||
4.50% 4/15/24 | 10,000 | 10,814 | ||||||
4.95% 6/15/28 | 350,000 | 401,576 | ||||||
5.25% 4/15/29 | 1,040,000 | 1,219,057 | ||||||
6.25% 4/15/49 | 450,000 | 591,305 | ||||||
Enterprise Products Operating | ||||||||
2.80% 1/31/30 | 1,310,000 | 1,368,705 | ||||||
3.13% 7/31/29 | 200,000 | 214,797 | ||||||
3.70% 1/31/51 | 620,000 | 655,833 | ||||||
3.95% 2/15/27 | 1,283,000 | 1,427,966 | ||||||
3.95% 1/31/60 | 380,000 | 411,277 | ||||||
4.15% 10/16/28 | 1,100,000 | 1,251,423 | ||||||
4.20% 1/31/50 | 540,000 | 608,332 | ||||||
4.45% 2/15/43 | 200,000 | 230,330 | ||||||
4.80% 2/1/49 | 250,000 | 306,048 | ||||||
4.85% 3/15/44 | 160,000 | 192,397 | ||||||
5.10% 2/15/45 | 750,000 | 933,194 | ||||||
7.55% 4/15/38 | 160,000 | 244,694 |
LVIP Western Asset Core Bond Fund–11
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Pipelines (continued) | ||||||||
Kinder Morgan | ||||||||
4.30% 6/1/25 | 610,000 | $ | 673,680 | |||||
4.30% 3/1/28 | 1,200,000 | 1,360,163 | ||||||
5.20% 3/1/48 | 90,000 | 112,341 | ||||||
5.55% 6/1/45 | 720,000 | 917,130 | ||||||
Kinder Morgan Energy Partners | ||||||||
4.25% 9/1/24 | 1,080,000 | 1,174,878 | ||||||
5.50% 3/1/44 | 580,000 | 721,383 | ||||||
MPLX | ||||||||
4.50% 4/15/38 | 980,000 | 1,094,011 | ||||||
4.70% 4/15/48 | 720,000 | 831,291 | ||||||
4.80% 2/15/29 | 680,000 | 786,916 | ||||||
5.20% 3/1/47 | 400,000 | 485,157 | ||||||
5.20% 12/1/47 | 550,000 | 667,771 | ||||||
5.50% 2/15/49 | 750,000 | 950,689 | ||||||
Sunoco Logistics Partners Operations | ||||||||
5.30% 4/1/44 | 70,000 | 81,102 | ||||||
5.40% 10/1/47 | 560,000 | 667,304 | ||||||
Tennessee Gas Pipeline 2.90% 3/1/30 | 2,080,000 | 2,150,975 | ||||||
Transcontinental Gas Pipe Line | ||||||||
3.25% 5/15/30 | 750,000 | 801,753 | ||||||
7.85% 2/1/26 | 4,280,000 | 5,336,304 | ||||||
Western Midstream Operating | ||||||||
•2.23% (LIBOR03M + | 250,000 | 250,000 | ||||||
4.35% 2/1/25 | 390,000 | 411,532 | ||||||
5.30% 2/1/30 | 150,000 | 165,750 | ||||||
Williams | ||||||||
4.85% 3/1/48 | 220,000 | 268,973 | ||||||
4.90% 1/15/45 | 520,000 | 622,344 | ||||||
8.75% 3/15/32 | 500,000 | 764,581 | ||||||
Williams Companies 5.10% 9/15/45 | 790,000 | 978,084 | ||||||
|
| |||||||
40,489,955 | ||||||||
|
| |||||||
Retail–0.63% | ||||||||
Costco Wholesale | 1,220,000 | 1,228,375 | ||||||
1.60% 4/20/30 | 130,000 | 127,034 | ||||||
1.75% 4/20/32 | 500,000 | 490,252 | ||||||
Home Depot | 420,000 | 445,747 | ||||||
2.70% 4/15/30 | 610,000 | 645,419 | ||||||
3.30% 4/15/40 | 690,000 | 747,603 | ||||||
3.35% 4/15/50 | 890,000 | 962,868 | ||||||
3.90% 6/15/47 | 120,000 | 141,201 | ||||||
Lowe’s Companies | 1,050,000 | 1,040,812 | ||||||
4.50% 4/15/30 | 1,000,000 | 1,172,241 | ||||||
McDonald’s | 1,050,000 | 1,065,616 | ||||||
2.13% 3/1/30 | 920,000 | 928,576 | ||||||
3.30% 7/1/25 | 580,000 | 624,550 |
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Retail (continued) | ||||||||
McDonald’s (continued) | ||||||||
3.50% 3/1/27 | 200,000 | $ | 219,771 | |||||
3.50% 7/1/27 | 170,000 | 187,815 | ||||||
3.60% 7/1/30 | 590,000 | 656,205 | ||||||
3.63% 9/1/49 | 110,000 | 119,942 | ||||||
3.70% 1/30/26 | 390,000 | 428,769 | ||||||
4.20% 4/1/50 | 660,000 | 786,814 | ||||||
4.88% 12/9/45 | 1,390,000 | 1,767,317 | ||||||
Target 2.25% 4/15/25 | 690,000 | 719,762 | ||||||
Walmart | 460,000 | 458,017 | ||||||
1.80% 9/22/31 | 230,000 | 228,024 | ||||||
|
| |||||||
15,192,730 | ||||||||
|
| |||||||
Savings & Loans–0.07% | ||||||||
µNationwide Building Society 4.36% 8/1/24 | 1,510,000 | 1,607,046 | ||||||
|
| |||||||
1,607,046 | ||||||||
|
| |||||||
Semiconductors–0.63% | ||||||||
Applied Materials 1.75% 6/1/30 | 390,000 | 383,974 | ||||||
Broadcom | 1,590,000 | 1,585,001 | ||||||
3.19% 11/15/36 | 38,000 | 37,890 | ||||||
4.15% 11/15/30 | 712,000 | 788,877 | ||||||
4.70% 4/15/25 | 1,560,000 | 1,738,030 | ||||||
Intel | 520,000 | 518,136 | ||||||
3.05% 8/12/51 | 260,000 | 258,286 | ||||||
4.75% 3/25/50 | 1,070,000 | 1,398,163 | ||||||
Micron Technology 2.50% 4/24/23 | 810,000 | 833,717 | ||||||
NVIDIA | 1,240,000 | 1,375,109 | ||||||
3.50% 4/1/50 | 2,060,000 | 2,308,093 | ||||||
3.70% 4/1/60 | 870,000 | 1,012,975 | ||||||
NXP 2.70% 5/1/25 | 250,000 | 261,110 | ||||||
Texas Instruments | 550,000 | 544,354 | ||||||
3.88% 3/15/39 | 300,000 | 353,855 | ||||||
4.15% 5/15/48 | 1,540,000 | 1,910,106 | ||||||
|
| |||||||
15,307,676 | ||||||||
|
| |||||||
Software–0.65% | ||||||||
Adobe 2.30% 2/1/30 | 1,090,000 | 1,127,443 | ||||||
Microsoft | 1,400,000 | 1,487,193 | ||||||
2.53% 6/1/50 | 2,921,000 | 2,810,752 | ||||||
2.70% 2/12/25 | 310,000 | 328,338 | ||||||
2.92% 3/17/52 | 1,079,000 | 1,115,467 | ||||||
3.30% 2/6/27 | 2,540,000 | 2,809,281 | ||||||
3.45% 8/8/36 | 20,000 | 22,887 |
LVIP Western Asset Core Bond Fund–12
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Software (continued) | ||||||||
Oracle | 2,350,000 | $ | 2,383,389 | |||||
2.88% 3/25/31 | 2,580,000 | 2,654,813 | ||||||
salesforce.com 3.70% 4/11/28 | 790,000 | 886,744 | ||||||
|
| |||||||
15,626,307 | ||||||||
|
| |||||||
Telecommunications–1.80% | ||||||||
America Movil 3.13% 7/16/22 | 950,000 | 969,945 | ||||||
AT&T | 1,220,000 | 1,187,870 | ||||||
2.55% 12/1/33 | 280,000 | 275,469 | ||||||
3.10% 2/1/43 | 4,250,000 | 4,074,672 | ||||||
3.50% 9/15/53 | 340,000 | 336,505 | ||||||
3.55% 9/15/55 | 738,000 | 727,774 | ||||||
3.80% 2/15/27 | 1,340,000 | 1,483,499 | ||||||
3.80% 12/1/57 | 160,000 | 163,448 | ||||||
4.13% 2/17/26 | 601,000 | 670,722 | ||||||
4.35% 6/15/45 | 228,000 | 257,520 | ||||||
Telefonica Emisiones 5.21% 3/8/47 | 490,000 | 611,544 | ||||||
T-Mobile USA | 180,000 | 181,440 | ||||||
2.25% 11/15/31 | 900,000 | 882,538 | ||||||
2.55% 2/15/31 | 550,000 | 551,960 | ||||||
3.00% 2/15/41 | 1,050,000 | 1,015,909 | ||||||
3.30% 2/15/51 | 250,000 | 241,716 | ||||||
3.50% 4/15/25 | 890,000 | 958,804 | ||||||
3.75% 4/15/27 | 170,000 | 187,287 | ||||||
3.88% 4/15/30 | 2,080,000 | 2,296,657 | ||||||
Verizon Communications | 3,500,000 | 3,326,715 | ||||||
2.10% 3/22/28 | 840,000 | 852,676 | ||||||
2.36% 3/15/32 | 1,750,000 | 1,730,652 | ||||||
2.55% 3/21/31 | 2,500,000 | 2,530,726 | ||||||
2.65% 11/20/40 | 960,000 | 901,988 | ||||||
2.88% 11/20/50 | 2,260,000 | 2,106,650 | ||||||
3.15% 3/22/30 | 720,000 | 770,010 | ||||||
3.85% 11/1/42 | 890,000 | 978,542 | ||||||
4.00% 3/22/50 | 1,070,000 | 1,216,037 | ||||||
4.13% 3/16/27 | 440,000 | 499,351 | ||||||
4.13% 8/15/46 | 630,000 | 723,015 | ||||||
4.40% 11/1/34 | 910,000 | 1,077,690 | ||||||
4.50% 8/10/33 | 4,990,000 | 5,941,636 | ||||||
4.52% 9/15/48 | 330,000 | 404,945 | ||||||
4.86% 8/21/46 | 940,000 | 1,197,083 | ||||||
5.25% 3/16/37 | 560,000 | 724,229 | ||||||
5.50% 3/16/47 | 120,000 | 165,960 | ||||||
Vodafone Group | 1,090,000 | 1,251,846 | ||||||
|
| |||||||
43,475,030 | ||||||||
|
|
Principal Amount° | Value (U.S. $) | |||||||
CORPORATE BONDS (continued) | ||||||||
Transportation–0.14% | ||||||||
Union Pacific | 730,000 | $ | 756,178 | |||||
2.40% 2/5/30 | 690,000 | 708,739 | ||||||
3.75% 7/15/25 | 380,000 | 416,335 | ||||||
3.75% 2/5/70 | 900,000 | 1,011,672 | ||||||
3.84% 3/20/60 | 360,000 | 413,024 | ||||||
|
| |||||||
3,305,948 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 812,123,381 | ||||||
|
| |||||||
NON-AGENCY ASSET-BACKED SECURITIES–6.49% |
| |||||||
•AGL Core CLO 8 Series 2020-8A A1 1.63% (LIBOR03M + 1.50%) | 1,290,000 | 1,290,333 | ||||||
•AMMC CLO Series 2020-23A A1L 1.53% (LIBOR03M + 1.40%) | 350,000 | 350,043 | ||||||
Applebee’s Funding/ IHOP Funding Series 2019-1A A2I 4.19% 6/7/49 | 3,118,500 | 3,173,167 | ||||||
•Ares CLO Series 2017-44A A1R 1.21% (LIBOR03M + 1.08%) | 2,850,000 | 2,852,203 | ||||||
Avis Budget Rental Car Funding AESOP Series 2020-1A A 2.33% 8/20/26 | 2,040,000 | 2,120,459 | ||||||
Series 2021-1A A 1.38% 8/20/27 | 4,300,000 | 4,290,594 | ||||||
•Bain Capital Credit Series 2020-1A A1 1.32% (LIBOR03M + 1.19%) | 500,000 | 500,164 | ||||||
•Balboa Bay Loan Funding Series 2020-1A A 1.48% (LIBOR03M + 1.35%) 1/20/32 | 2,780,000 | 2,790,280 | ||||||
•Basswood Park Series 2021-1A A 1.21% (LIBOR03M + 1.00%) | 2,000,000 | 2,000,616 | ||||||
Blackbird Capital Aircraft Series 2021-1A A 2.44% 7/15/46 | 1,207,292 | 1,208,459 | ||||||
•BlueMountain CLO XXII Series 2018-22A A1 1.21% (LIBOR03M + 1.08%) 7/15/31 | 1,000,000 | 1,000,002 | ||||||
•BlueMountain CLO XXX | 1,700,000 | 1,706,278 | ||||||
•Carlyle Global Market Strategies CLO Series 2014-3RA A1A 1.18% (LIBOR03M + 1.05%) 7/27/31 | 1,071,179 | 1,071,297 | ||||||
Series 2015-4A A1R 1.47% (LIBOR03M + 1.34%) 7/20/32 | 1,750,000 | 1,750,101 | ||||||
•Catskill Park CLO Series 2017-1A A2 1.83% (LIBOR03M + 1.70%) 4/20/29 | 1,500,000 | 1,500,076 |
LVIP Western Asset Core Bond Fund–13
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
NON-AGENCY ASSET-BACKED SECURITIES (continued) |
| |||||||
•Cayuga Park Series 2020-1A AR 1.23% (LIBOR03M + 1.12%) 7/17/34 | 2,590,000 | $ | 2,591,391 | |||||
•CBAM Series 2017-1A A1 1.38% (LIBOR03M + 1.25%) 7/20/30 | 4,000,000 | 4,000,860 | ||||||
•Cerberus Loan Funding XXVIII Series 2020-1A A 1.98% (LIBOR03M + 1.85%) 10/15/31 | 810,000 | 810,180 | ||||||
•Columbia Cent CLO Series 2020-29A A1N 1.83% (LIBOR03M + 1.70%) 7/20/31 | 1,030,000 | 1,032,266 | ||||||
•CWHEQ Revolving Home Equity Loan Trust Series 2006-I 2A 0.22% (LIBOR01M + 0.14%) 1/15/37 | 1,100,334 | 1,046,980 | ||||||
•Dryden 75 CLO Series 2019-75A AR2 1.17% (LIBOR03M + 1.04%) 4/15/34 | 1,410,000 | 1,411,308 | ||||||
•Dryden 87 CLO Series 2021-87A A1 1.24% (LIBOR03M + 1.10%) 5/20/34 | 4,610,000 | 4,611,489 | ||||||
•Dryden XXV Senior Loan Fund Series 2012-25A ARR 1.03% (LIBOR03M + 0.90%) 10/15/27 | 1,073,878 | 1,073,925 | ||||||
•EFS Volunteer No. 2 Series 2012-1 A2 1.44% (LIBOR01M + 1.35%) 3/25/36 | 3,091,531 | 3,161,455 | ||||||
Fannie Mae Grantor Trust 2017-T1 A 2.90% 6/25/27 | 238,920 | 257,691 | ||||||
Ford Credit Floorplan Master Owner Trust A 4.06% 11/15/30 | 3,030,000 | 3,441,529 | ||||||
•Grippen Park CLO Series 2017-1A A 1.39% (LIBOR03M + 1.26%) 1/20/30 | 2,000,000 | 2,000,864 | ||||||
•Halcyon Loan Advisors Funding Series 2015-2A AR 1.21% (LIBOR03M + 1.08%) 7/25/27 | 127,553 | 127,586 | ||||||
•Halsey Point CLO I Series 2019-1A A1A1 1.48% (LIBOR03M + 1.35%) 1/20/33 | 570,000 | 570,597 | ||||||
•HalseyPoint CLO 3 Series 2020-3A A1A 1.58% (LIBOR03M + 1.45%) 11/30/32 | 800,000 | 802,622 | ||||||
Hardee’s Funding Series 2021-1A A2 2.87% 6/20/51 | 3,022,425 | 3,028,446 | ||||||
Hertz Vehicle Financing III Series 2021-2A C 2.52% 12/27/27 | 2,420,000 | 2,447,213 | ||||||
•HGI CRE Series 2021-FL1 A 1.13% (LIBOR01M + 1.05%) 6/16/36 | 3,530,000 | 3,527,796 | ||||||
Hildene Community Funding CDO Series 2015-1A AR 3.25% 11/1/35 | 1,040,000 | 1,041,629 | ||||||
•KKR CLO Series 16 A2R 1.93% (LIBOR03M + 1.80%) 1/20/29 | 820,000 | 820,000 | ||||||
Series 18 A 1.40% (LIBOR03M + 1.27%) 7/18/30 | 3,000,000 | 3,000,000 | ||||||
Series 32A A1 1.45% (LIBOR03M + 1.32%) 1/15/32 | 1,100,000 | 1,103,201 |
Principal Amount° | Value (U.S. $) | |||||||
NON-AGENCY ASSET-BACKED SECURITIES (continued) |
| |||||||
•LCM XVIII Series 19A AR 1.37% (LIBOR03M + 1.24%) 7/15/27 | 270,924 | $ | 271,015 | |||||
•Magnetite XIV-R Series 2015-14RA A2 1.25% (LIBOR03M + 1.12%) 10/18/31 | 3,170,000 | 3,177,719 | ||||||
•Midocean Credit CLO VII Series 2017-7A BR 1.73% (LIBOR03M + 1.60%) 7/15/29 | 1,750,000 | 1,750,016 | ||||||
•Myers Park CLO B1 1.73% (LIBOR03M + 1.60%) 10/20/30 | 1,020,000 | 1,020,093 | ||||||
•Navient Private Education Loan Trust Series 2014-AA A3 1.68% (LIBOR01M + 1.60%) 10/15/31 | 3,020,000 | 3,075,197 | ||||||
Navient Private Education Refi Loan Trust Series 2020-A A2A 2.46% 11/15/68 | 2,060,000 | 2,129,784 | ||||||
•Navient Student Loan Trust Series 2016-3A A3 1.44% (LIBOR01M + 1.35%) 6/25/65 | 2,434,805 | 2,509,307 | ||||||
NP SPE X Series 2021-1A A1 2.23% 3/19/51 | 2,240,000 | 2,235,475 | ||||||
•Ocean Trails CLO IX Series 2020-9A A1 2.00% (LIBOR03M + 1.87%) 10/15/29 | 3,260,000 | 3,260,000 | ||||||
•Octagon Investment Partners 35 Series 2018-1A A1A 1.19% (LIBOR03M + 1.06%) 1/20/31 | 2,950,000 | 2,949,186 | ||||||
•Octagon Investment Partners 45 Series 2019-1A A 1.46% (LIBOR03M + 1.33%) 10/15/32 | 1,500,000 | 1,500,423 | ||||||
•Octagon Investment Partners XXI Series 2014-1A AAR3 1.12% (LIBOR03M + 1.00%) 2/14/31 | 1,580,000 | 1,580,137 | ||||||
•OHA Credit Funding 7 Series 2020-7A A 1.38% (LIBOR03M + 1.25%) 10/19/32 | 870,000 | 870,071 | ||||||
•OHA Loan Funding Series 2013-2A AR 1.17% (LIBOR03M + 1.04%) 5/23/31 | 2,040,000 | 2,040,177 | ||||||
•Owl Rock CLO Series 2020-3A A1L 1.93% (LIBOR03M + 1.80%) 4/20/32 | 2,010,000 | 2,014,364 | ||||||
•Point Au Roche Park CLO Series 2021-1A A 1.26% (LIBOR03M + 1.08%) 7/20/34 | 3,750,000 | 3,752,659 | ||||||
•Recette CLO Series 2015-1A ARR 1.21% (LIBOR03M + 1.08%) 4/20/34 | 960,000 | 961,044 | ||||||
SBA Small Business Investment | ||||||||
Series 2018-10B 1 3.55% 9/10/28 | 846,433 | 908,974 | ||||||
Series 2019-10A 1 3.11% 3/10/29 | 1,075,267 | 1,144,608 | ||||||
•Seven Sticks CLO Series 2016-1A A1R 1.18% (LIBOR03M + 1.05%) 7/15/28 | 473,948 | 473,977 |
LVIP Western Asset Core Bond Fund–14
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
NON-AGENCY ASSET-BACKED SECURITIES (continued) |
| |||||||
•Silver Rock CLO I Series 2020-1A A 1.78% (LIBOR03M + 1.65%) 10/20/31 | 2,680,000 | $ | 2,725,279 | |||||
•SLC Student Loan Trust Series 2008-1 A4A 1.72% (LIBOR03M + 1.60%) 12/15/32 | 2,732,169 | 2,761,128 | ||||||
•SLM Private Credit Student Loan Trust |
| |||||||
Series 2005-B A4 0.45% (LIBOR03M + 0.33%) 6/15/39 | 1,321,732 | 1,295,866 | ||||||
Series 2006-A A5 0.41% (LIBOR03M + 0.29%) 6/15/39 | 1,114,868 | 1,095,585 | ||||||
•SLM Student Loan Trust Series 2004-3A A6A 0.68% (LIBOR03M + 0.55%) 10/25/64 | 4,203,518 | 4,235,986 | ||||||
SMB Private Education Loan Trust | ||||||||
Series 2021-C APT1 1.39% 1/15/53 | 4,436,604 | 4,424,692 | ||||||
Series 2021-C B 2.30% 1/15/53 | 1,210,000 | 1,212,609 | ||||||
•Structured Asset Securities Mortgage Loan Trust Series 2006-GEL3 A3 0.69% (LIBOR01M + 0.60%) 7/25/36 | 273,938 | 273,806 | ||||||
•TCI-Symphony CLO Series 2016-1A BR 1.78% (LIBOR03M + 1.65%) 10/13/29 | 2,000,000 | 2,000,074 | ||||||
•Towd Point Mortgage Trust | ||||||||
Series 2015-6 A1B 2.75% 4/25/55 | 273,860 | 274,458 | ||||||
Series 2016-1 A1B 2.75% 2/25/55 | 4,675 | 4,673 | ||||||
Series 2016-2 A1 3.00% 8/25/55 | 47,805 | 48,073 | ||||||
Series 2016-3 B1 4.08% 4/25/56 | 1,120,000 | 1,194,116 | ||||||
Series 2017-4 A1 2.75% 6/25/57 | 880,182 | 899,385 | ||||||
Series 2017-6 M1 3.25% 10/25/57 | 2,110,000 | 2,215,438 | ||||||
•Tralee CLO V Series 2018-5A B 1.83% (LIBOR03M + 1.70%) 10/20/28 | 1,200,000 | 1,198,921 | ||||||
•Tralee CLO VI Series 2019-6A AS 1.43% (LIBOR03M + 1.30%) 10/25/32 | 1,980,000 | 1,979,939 | ||||||
TRP - TRIP Rail Master Funding Series 2021-2 A 2.15% 6/19/51 | 2,151,104 | 2,165,804 | ||||||
United States Small Business Administration |
| |||||||
Series 2019-20D 1 2.98% 4/1/39 | 373,990 | 403,379 | ||||||
Series 2019-25G 1 2.69% 7/1/44 | 588,391 | 620,238 | ||||||
•Venture 32 CLO Series 2018-32A A2A 1.20% (LIBOR03M + 1.07%) 7/18/31 | 1,750,000 | 1,749,447 | ||||||
•Voya CLO | ||||||||
Series 2016-3A A1R 1.32% (LIBOR03M + 1.19%) 10/18/31 | 750,000 | 750,242 | ||||||
Series 2017-3A A1R 1.17% (LIBOR03M + 1.04%) 4/20/34 | 1,530,000 | 1,526,934 | ||||||
Series 2018-3A A1A 1.28% (LIBOR03M + 1.15%) 10/15/31 | 3,080,000 | 3,080,431 | ||||||
Series 2018-4A A1AR 1.17% (LIBOR03M + 1.04%) 1/15/32 | 4,000,000 | 4,000,092 |
Principal Amount° | Value (U.S. $) | |||||||
NON-AGENCY ASSET-BACKED SECURITIES (continued) |
| |||||||
Wendy’s Funding Series 2021-1A A2I 2.37% 6/15/51 | 4,817,925 | $ | 4,858,227 | |||||
•Whitebox CLO II Series 2020-2A A1 1.88% (LIBOR03M + 1.75%) 10/24/31 | 1,990,000 | 1,990,987 | ||||||
•Zais CLO Series 2019-13A A1A 1.62% (LIBOR03M + 1.49%) 7/15/32 | 980,000 | 981,243 | ||||||
|
| |||||||
Total Non-Agency Asset-Backed Securities |
| 157,104,378 | ||||||
|
| |||||||
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–3.81% |
| |||||||
•Adjustable Rate Mortgage Trust Series 2005-9 5A1 0.63% (LIBOR01M + 0.54%) 11/25/35 | 1,009,684 | 991,696 | ||||||
CSMC Trust | ||||||||
•Series 2018-J1 A2 3.50% 2/25/48 | 6,024,942 | 6,173,945 | ||||||
f•Series 2019-NQM1 A3 3.06% 10/25/59 | 4,173,985 | 4,223,127 | ||||||
•Series 2021-AFC1 A1 0.83% 3/25/56 | 1,587,825 | 1,589,702 | ||||||
•Series 2021-AFC1 A3 1.17% 3/25/56 | 2,151,807 | 2,146,162 | ||||||
•Series 2021-NQM3 A3 1.63% 4/25/66 | 4,261,460 | 4,268,939 | ||||||
•Series 2021-NQM5 A1 0.94% 5/25/66 | 1,435,327 | 1,434,011 | ||||||
•Series 2021-RPL2 A1 2.00% 1/25/60 | 966,020 | 985,965 | ||||||
•Series 2021-RPL6 A1 2.00% 10/25/60 | 2,108,473 | 2,142,088 | ||||||
•Ellington Financial Mortgage Trust Series 2021-2 A1 0.93% 6/25/66 | 1,631,562 | 1,628,927 | ||||||
•Freddie Mac STACR REMIC Trust |
| |||||||
Series 2020-DNA6 M1 0.95% (SOFR30A + 0.90%) 12/25/50 | 906,625 | 907,475 | ||||||
Series 2021-DNA1 M1 0.70% (SOFR30A + 0.65%) 1/25/51 | 731,400 | 731,400 | ||||||
•Freddie Mac Structured Agency Credit Risk Debt Notes Series 2017-DNA3 M2 2.59% (LIBOR01M + 2.50%) 3/25/30 | 2,070,000 | 2,118,540 | ||||||
•Galton Funding Mortgage Trust Series 2017-1 A22 3.00% 7/25/56 | 328,406 | 332,497 | ||||||
f•GCAT Trust Series 2020-NQM1 A3 2.55% 1/25/60 | 5,010,338 | 5,058,622 | ||||||
*GNMA | ||||||||
Series 2020-181 WI 2.00% 12/20/50 | 4,442,714 | 487,155 | ||||||
Series 2021-29 TI 2.50% 2/20/51 | 1,966,039 | 388,060 | ||||||
•Impac CMB Trust Series 2007-A A 0.59% (LIBOR01M + 0.50%) 5/25/37 | 2,035,814 | 1,998,237 |
LVIP Western Asset Core Bond Fund–15
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
•JP Morgan Mortgage Trust | ||||||||
Series 2017-5 A2 3.09% 10/26/48 | 4,282,461 | $ | 4,389,201 | |||||
Series 2018-4 A1 3.50% 10/25/48 | 619,380 | 629,315 | ||||||
•Merrill Lynch Mortgage Investors Trust Series 2005-A8 A3A3 0.83% (LIBOR01M + 0.74%) 8/25/36 | 567,581 | 565,598 | ||||||
•MSG III Securitization Trust Series 2021-1 A 0.84% (LIBOR01M + 0.75%) 6/25/54 | 4,820,000 | 4,818,426 | ||||||
•New Residential Mortgage Loan Trust | ||||||||
Series 2014-2A A3 3.75% 5/25/54 | 1,080,671 | 1,148,030 | ||||||
Series 2015-1A A3 3.75% 5/28/52 | 500,320 | 530,539 | ||||||
Series 2015-2A A1 3.75% 8/25/55 | 4,131,421 | 4,376,835 | ||||||
Series 2015-2A A2 3.75% 8/25/55 | 2,352,060 | 2,491,777 | ||||||
Series 2016-3A A1B 3.25% 9/25/56 | 1,261,479 | 1,324,798 | ||||||
Series 2016-3A B1 4.00% 9/25/56 | 4,216,458 | 4,537,471 | ||||||
Series 2016-4A B2 4.75% 11/25/56 | 2,064,685 | 2,253,322 | ||||||
Series 2017-1A A1 4.00% 2/25/57 | 3,365,090 | 3,605,662 | ||||||
Series 2017-2A B2 4.75% 3/25/57 | 2,230,859 | 2,408,498 | ||||||
Series 2017-4A A1 4.00% 5/25/57 | 3,165,158 | 3,366,942 | ||||||
Series 2017-6A A1 4.00% 8/27/57 | 6,804,539 | 7,261,058 | ||||||
Series 2021-NQM3 A1 1.16% 11/27/56 | 1,710,000 | 1,710,912 | ||||||
OBX Trust 0.58% 10/15/36 | 4,840,000 | 4,799,854 | ||||||
•Series 2021-NQM2 A1 1.10% 5/25/61 | 1,119,391 | 1,120,797 | ||||||
•Series 2021-NQM3 A1 1.05% 7/25/61 | 1,631,650 | 1,631,492 | ||||||
◆•WaMu Mortgage Pass Through Certificates Series 2005-AR13 A1A1 0.67% (LIBOR01M + 0.58%) 10/25/45 | 1,529,201 | 1,513,185 | ||||||
|
| |||||||
Total Non-Agency Collateralized Mortgage Obligations |
| 92,090,260 | ||||||
|
| |||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES–4.04% |
| |||||||
•BANK Series 2018-BN14 C 4.76% 9/15/60 | 2,160,000 | 2,383,242 | ||||||
•BX Commercial Mortgage Trust Series 2021-SOAR A 0.75% (LIBOR01M + 0.67%) 6/15/38 | 1,690,000 | 1,690,527 | ||||||
•BX Commercial Mortgage Trust Series 2020-FOX A 1.08% (LIBOR01M + 1.00%) 11/15/32 | 3,240,571 | 3,241,580 | ||||||
BX Trust Series 2019-OC11 A 3.20% 12/9/41 | 1,140,000 | 1,217,278 | ||||||
CD Mortgage Trust Series 2016-CD1 A4 2.72% 8/10/49 | 2,560,000 | 2,711,442 | ||||||
•CHT-COSMO Mortgage Trust Series 2017-CSMO A 1.01% (LIBOR01M + 0.93%) 11/15/36 | 730,000 | 730,000 |
Principal Amount° | Value (U.S. $) | |||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Citigroup Commercial Mortgage Trust | ||||||||
*•Series 2013-GC11 XA 1.50% 4/10/46 | 10,561,814 | $ | 170,331 | |||||
Series 2014-GC25 A4 3.64% 10/10/47 | 889,000 | 955,874 | ||||||
Series 2016-P3 A4 3.33% 4/15/49 | 758,000 | 816,582 | ||||||
•Cold Storage Trust Series 2020-ICE5 A 0.98% (LIBOR01M + 0.90%) 11/15/37 | 6,310,799 | 6,314,736 | ||||||
COMM Mortgage Trust | ||||||||
Series 2013-CR6 AM 3.15% 3/10/46 | 775,000 | 792,408 | ||||||
Series 2014-CR16 A4 4.05% 4/10/47 | 774,000 | 832,057 | ||||||
Series 2014-CR20 A4 3.59% 11/10/47 | 402,000 | 429,356 | ||||||
Series 2014-CR20 AM 3.94% 11/10/47 | 1,580,000 | 1,683,352 | ||||||
Series 2015-CR23 A4 3.50% 5/10/48 | 418,000 | 451,435 | ||||||
•Credit Suisse Commercial Mortgage Securities Series 2019-SKLZ A 1.33% (LIBOR01M + 1.25%) 1/15/34 | 874,763 | 879,021 | ||||||
CSMC Trust Series 2014-USA B 4.18% 9/15/37 | 7,380,000 | 7,462,043 | ||||||
DB-JPM Mortgage Trust Series 2016-C1 A4 3.28% 5/10/49 | 925,000 | 989,719 | ||||||
GS Mortgage Securities Trust | ||||||||
•Series 2010-C1 C 5.64% 8/10/43 | 437,000 | 419,529 | ||||||
•Series 2013-PEMB A 3.67% 3/5/33 | 5,000,000 | 5,058,870 | ||||||
Series 2015-GC32 A4 3.76% 7/10/48 | 512,000 | 558,399 | ||||||
•GS Mortgage SecuritiesII Series 2021-ROSS A 1.23% (LIBOR01M + 1.15%) 5/15/26 | 3,900,000 | 3,900,416 | ||||||
•JP Morgan Chase Commercial Mortgage Securities Trust Series 2020-MKST D 1.58% (LIBOR01M + 1.50%) 12/15/36 | 5,130,000 | 4,954,926 | ||||||
JPM-BB Commercial Mortgage Securities Trust Series 2015-C33 A4 3.77% 12/15/48 | 1,795,000 | 1,972,228 | ||||||
JPM-DB Commercial Mortgage Securities Trust Series 2016-C2 A4 3.14% 6/15/49 | 1,704,000 | 1,811,195 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||
Series 2013-LC11 B 3.50% 4/15/46 | 686,000 | 697,587 | ||||||
Series 2015-JP1 A5 3.91% 1/15/49 | 1,298,000 | 1,431,394 | ||||||
•KNDL Mortgage Trust Series 2019-KNSQ A 0.88% (LIBOR01M + 0.80%) 5/15/36 | 4,450,000 | 4,455,557 | ||||||
•MHC Trust Series 2021-MHC2 A 0.93% (LIBOR01M + 0.85%) 5/15/23 | 1,210,000 | 1,211,511 |
LVIP Western Asset Core Bond Fund–16
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
| |||||||
•Series 2013-C7 C 4.26% 2/15/46 | 3,000,000 | $ | 2,913,760 | |||||
Series 2014-C17 A5 3.74% 8/15/47 | 717,000 | 767,141 | ||||||
Series 2015-C23 A4 3.72% 7/15/50 | 1,618,000 | 1,752,063 | ||||||
Series 2015-C26 A5 3.53% 10/15/48 | 1,271,800 | 1,380,946 | ||||||
Series 2016-C29 A4 3.33% 5/15/49 | 710,000 | 759,685 | ||||||
•Morgan Stanley Capital I Trust Series 2019-BPR A 1.48% (LIBOR01M + 1.40%) 5/15/36 | 3,460,000 | 3,379,642 | ||||||
Natixis Commercial Mortgage Securities Trust |
| |||||||
Series 2019-FAME A 3.05% 8/15/36 | 7,150,000 | 7,287,344 | ||||||
*•Series 2019-FAME XA 1.50% 8/15/36 | 32,225,000 | 1,033,540 | ||||||
VLS Commercial Mortgage Trust Series 2020-LAB A 2.13% 10/10/42 | 2,010,000 | 2,002,592 | ||||||
VNDO Trust Series 2016-350P A 3.81% 1/10/35 | 1,080,000 | 1,185,603 | ||||||
Wells Fargo Commercial Mortgage Trust |
| |||||||
Series 2012-LC5 B 4.14% 10/15/45 | 474,000 | 485,070 | ||||||
Series 2015-C26 AS 3.58% 2/15/48 | 7,640,000 | 8,046,772 | ||||||
*•Series 2016-BNK1 XA 1.86% 8/15/49 | 16,925,707 | 1,178,129 | ||||||
*•Series 2016-C36 XA 1.39% 11/15/59 | 38,356,351 | 2,004,614 | ||||||
•WFRBS Commercial Mortgage Trust Series 2014-C20 C 4.51% 5/15/47 | 3,603,000 | 3,354,537 | ||||||
|
| |||||||
Total Non-Agency Commercial Mortgage-Backed Securities |
| 97,754,033 | ||||||
|
| |||||||
REGIONAL BONDS–0.14% | ||||||||
Canada—0.14% | ||||||||
Province of British Columbia Canada 2.25% 6/2/26 | 1,445,000 | 1,524,281 | ||||||
Province of Manitoba Canada 2.13% 6/22/26 | 872,000 | 911,759 | ||||||
Province of Quebec Canada 2.50% 4/20/26 | 959,000 | 1,022,726 | ||||||
|
| |||||||
3,458,766 | ||||||||
|
| |||||||
Total Regional Bonds |
| 3,458,766 | ||||||
|
| |||||||
SOVEREIGN BONDS–4.75% | ||||||||
Chile—0.31% | ||||||||
Chile Government International Bond |
| |||||||
3.10% 5/7/41 | 3,050,000 | 2,943,311 | ||||||
3.10% 1/22/61 | 5,020,000 | 4,519,054 | ||||||
|
| |||||||
7,462,365 | ||||||||
|
|
Principal Amount° | Value (U.S. $) | |||||||
SOVEREIGN BONDS (continued) |
| |||||||
Colombia—0.40% | ||||||||
Colombia Government International Bond |
| |||||||
D3.13% 4/15/31 | 1,190,000 | $ | 1,113,876 | |||||
3.88% 4/25/27 | 1,740,000 | 1,803,284 | ||||||
5.00% 6/15/45 | 2,740,000 | 2,670,513 | ||||||
5.20% 5/15/49 | 890,000 | 886,565 | ||||||
5.63% 2/26/44 | 3,190,000 | 3,326,819 | ||||||
|
| |||||||
9,801,057 | ||||||||
|
| |||||||
India—0.06% | ||||||||
Export-Import Bank of India 3.38% 8/5/26 | 1,300,000 | 1,378,676 | ||||||
|
| |||||||
1,378,676 | ||||||||
|
| |||||||
Indonesia—0.49% | ||||||||
Indonesia Government International Bond |
| |||||||
3.70% 10/30/49 | 2,060,000 | 2,088,584 | ||||||
3.85% 7/18/27 | 2,110,000 | 2,338,894 | ||||||
4.63% 4/15/43 | 950,000 | 1,075,699 | ||||||
5.13% 1/15/45 | 5,370,000 | 6,487,572 | ||||||
|
| |||||||
11,990,749 | ||||||||
|
| |||||||
Israel—0.23% | ||||||||
State of Israel | ||||||||
2.75% 7/3/30 | 2,620,000 | 2,784,510 | ||||||
3.38% 1/15/50 | 930,000 | 985,852 | ||||||
3.80% 5/13/60 | 1,600,000 | 1,773,440 | ||||||
|
| |||||||
5,543,802 | ||||||||
|
| |||||||
Kazakhstan—0.16% | ||||||||
Kazakhstan Government International Bond 4.88% 10/14/44 | 3,240,000 | 3,971,501 | ||||||
|
| |||||||
3,971,501 | ||||||||
|
| |||||||
Kuwait—0.14% | ||||||||
Kuwait International Government Bond 3.50% 3/20/27 | 3,160,000 | 3,495,750 | ||||||
|
| |||||||
3,495,750 | ||||||||
|
| |||||||
Mexico—0.25% | ||||||||
Mexico Government International Bond |
| |||||||
4.00% 10/2/23 | 1,352,000 | 1,442,084 | ||||||
4.75% 3/8/44 | 4,230,000 | 4,501,608 | ||||||
|
| |||||||
5,943,692 | ||||||||
|
| |||||||
Panama—0.45% | ||||||||
Panama Government International Bond |
| |||||||
4.30% 4/29/53 | 1,540,000 | 1,629,058 | ||||||
4.50% 5/15/47 | 4,680,000 | 5,101,996 | ||||||
4.50% 4/1/56 | 1,050,000 | 1,142,347 | ||||||
6.70% 1/26/36 | 2,230,000 | 2,963,871 | ||||||
|
| |||||||
10,837,272 | ||||||||
|
|
LVIP Western Asset Core Bond Fund–17
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | |||||||
SOVEREIGN BONDS (continued) |
| |||||||
Peru—0.33% | ||||||||
Peruvian Government International Bond |
| |||||||
3.30% 3/11/41 | 2,340,000 | $ | 2,267,928 | |||||
5.63% 11/18/50 | 2,450,000 | 3,314,213 | ||||||
6.55% 3/14/37 | 1,840,000 | 2,480,449 | ||||||
|
| |||||||
8,062,590 | ||||||||
|
| |||||||
Poland—0.18% | ||||||||
Republic of Poland Government International Bond 4.00% 1/22/24 | 4,060,000 | 4,377,403 | ||||||
|
| |||||||
4,377,403 | ||||||||
|
| |||||||
Qatar—0.49% | ||||||||
Qatar Government International Bond |
| |||||||
3.25% 6/2/26 | 270,000 | 291,330 | ||||||
3.88% 4/23/23 | 3,210,000 | 3,376,637 | ||||||
4.00% 3/14/29 | 1,600,000 | 1,818,000 | ||||||
4.82% 3/14/49 | 4,940,000 | 6,346,023 | ||||||
|
| |||||||
11,831,990 | ||||||||
|
| |||||||
Russia—0.44% | ||||||||
Russian Foreign Bond - Eurobond |
| |||||||
5.63% 4/4/42 | 6,400,000 | 8,284,595 | ||||||
5.88% 9/16/43 | 1,800,000 | 2,435,163 | ||||||
|
| |||||||
10,719,758 | ||||||||
|
| |||||||
Saudi Arabia—0.03% | ||||||||
Saudi Government International Bond 2.88% 3/4/23 | 640,000 | 659,571 | ||||||
|
| |||||||
659,571 | ||||||||
|
| |||||||
United Arab Emirates—0.45% | ||||||||
Abu Dhabi Government International Bond |
| |||||||
2.50% 10/11/22 | 5,320,000 | 5,433,465 | ||||||
3.13% 9/30/49 | 3,490,000 | 3,502,131 | ||||||
3.88% 4/16/50 | 1,650,000 | 1,883,789 | ||||||
|
| |||||||
10,819,385 | ||||||||
|
| |||||||
Uruguay—0.34% | ||||||||
Uruguay Government International Bond |
| |||||||
4.38% 1/23/31 | 2,500,000 | 2,890,575 | ||||||
5.10% 6/18/50 | 4,130,000 | 5,249,354 | ||||||
|
| |||||||
8,139,929 | ||||||||
|
| |||||||
Total Sovereign Bonds |
| 115,035,490 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS–25.68% |
| |||||||
U.S. Treasury Bonds |
| |||||||
1.13% 8/15/40 | 11,900,000 | 10,240,508 | ||||||
1.25% 5/15/50 | 85,550,000 | 69,987,252 | ||||||
1.38% 8/15/50 | 50,140,000 | 42,309,542 |
Principal Amount° | Value (U.S. $) | |||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
U.S. Treasury Bonds (continued) |
| |||||||
1.63% 11/15/50 | 18,610,000 | $ | 16,719,195 | |||||
1.75% 8/15/41 | 270,000 | 258,103 | ||||||
1.88% 2/15/51 | 42,280,000 | 40,317,944 | ||||||
2.00% 2/15/50 | 15,290,000 | 15,021,231 | ||||||
2.00% 8/15/51 | 13,400,000 | 13,163,406 | ||||||
2.25% 5/15/41 | 6,840,000 | 7,112,531 | ||||||
2.25% 8/15/49 | 5,070,000 | 5,255,372 | ||||||
2.38% 5/15/51 | 15,440,000 | 16,477,375 | ||||||
2.88% 5/15/49 | 2,000,000 | 2,339,687 | ||||||
U.S. Treasury Inflation Index | ||||||||
0.75% 2/15/42 | 2,669,680 | 3,249,953 | ||||||
1.38% 2/15/44 | 1,850,496 | 2,539,541 | ||||||
U.S. Treasury Note | ||||||||
1.00% 7/31/28 | 5,350,000 | 5,246,344 | ||||||
1.25% 9/30/28 | 17,600,000 | 17,525,750 | ||||||
U.S. Treasury Notes | ||||||||
0.25% 11/15/23 | 200,000 | 199,719 | ||||||
0.25% 5/31/25 | 72,790,000 | 71,561,669 | ||||||
0.25% 6/30/25 | 850,000 | 834,859 | ||||||
0.25% 9/30/25 | 180,000 | 176,140 | ||||||
0.25% 10/31/25 | 560,000 | 547,159 | ||||||
0.38% 11/30/25 | 70,000 | 68,663 | ||||||
0.38% 12/31/25 | 510,000 | 499,720 | ||||||
0.38% 1/31/26 | 380,000 | 371,836 | ||||||
0.63% 11/30/27 | 17,130,000 | 16,543,833 | ||||||
0.63% 12/31/27 | 6,477,000 | 6,248,787 | ||||||
0.75% 4/30/26 | 23,550,000 | 23,368,775 | ||||||
0.75% 1/31/28 | 32,840,000 | 31,889,436 | ||||||
0.88% 6/30/26 | 25,950,000 | 25,858,770 | ||||||
1.13% 8/31/28 | 31,410,000 | 31,037,006 | ||||||
1.25% 3/31/28 | 16,050,000 | 16,050,627 | ||||||
1.25% 4/30/28 | 23,390,000 | 23,373,554 | ||||||
1.25% 5/31/28 | 19,690,000 | 19,661,542 | ||||||
1.25% 6/30/28 | 17,830,000 | 17,792,390 | ||||||
1.25% 8/15/31 | 42,160,000 | 41,138,937 | ||||||
1.63% 5/15/31 | 26,230,000 | 26,537,383 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 621,524,539 | ||||||
|
| |||||||
Number of Contracts | ||||||||
OPTIONS PURCHASED–0.00% |
| |||||||
Centrally Cleared–0.00% | ||||||||
Call Options Purchased–0.00% | ||||||||
US BOND FUTR OPTN NOV21C 161 EXP 10/22/2021, expiration date 10/22/21, notional amount $14,329,000 | 89 | 62,578 | ||||||
|
| |||||||
62,578 | ||||||||
|
| |||||||
Total Options Purchased |
| 62,578 | ||||||
|
|
LVIP Western Asset Core Bond Fund–18
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | |||||||
MONEY MARKET FUND–2.63% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%) | 63,622,762 | $ | 63,622,762 | |||||
|
| |||||||
Total Money Market Fund |
| 63,622,762 | ||||||
|
|
TOTAL INVESTMENTS–100.95% (Cost $2,408,752,564) |
| 2,443,540,799 | ||||||
|
| |||||||
Number of Contracts | Value (U.S. $) | |||||||
OPTIONS WRITTEN –(0.01)% |
| |||||||
Centrally Cleared–(0.01)% | ||||||||
Call Options–(0.00)% | ||||||||
EUR 2Y MIDCV OP OCT21C 99 EXP 10/15/2021 Strike price $99.00, expiration date 10/15/21, notional amount $119,295,000 | (482 | ) | (15,062 | ) | ||||
US BOND FUTR OPTN NOV21C 165 EXP 10/22/2021 Strike price $165.00, expiration date 10/22/21, notional amount $10,560,000 | (64 | ) | (7,000 | ) | ||||
US 10YR FUT OPTN NOV21C 134 EXP 10/22/2021 Strike price $134.00, expiration date 10/22/21, notional amount $12,060,000 | (90 | ) | (2,813 | ) | ||||
US 10YR FUT OPTN NOV21C 132 EXP 10/22/2021 Strike price $132.00, expiration date 10/22/21, notional amount $11,880,000 | (90 | ) | (35,156 | ) | ||||
EUR 2Y MIDCV OP NOV21C 99 EXP 11/12/2021 Strike price $99.00, expiration date 11/12/21, notional amount $52,717,500 | (213 | ) | (21,300 | ) | ||||
|
| |||||||
(81,331 | ) | |||||||
|
| |||||||
Put Options Written–(0.01)% | ||||||||
US 10YR FUT OPTN NOV21P 131 EXP 10/22/2021 Strike price $131.00, expiration date 10/22/21, notional amount $7,860,000 | (60 | ) | (19,688 | ) | ||||
US BOND FUTR OPTN NOV21P 160 EXP 10/22/2021 Strike price $160.00, expiration date 10/22/21, notional amount $4,160,000 | (26 | ) | (47,938 | ) | ||||
EUR 2Y MIDCV OP NOV21P 99 EXP 11/12/2021 Strike price $99.00, expiration date 11/12/21, notional amount $52,717,500 | (213 | ) | (98,512 | ) | ||||
US 5YR FUTR OPTN NOV21P 122.5 EXP 10/22/2021 Strike price $122.50, expiration date 10/22/21, notional amount $12,005,000 | (98 | ) | (19,906 | ) | ||||
US 10YR FUT OPTN NOV21P 131.2 EXP 10/22/2021 Strike price $131.25, expiration date 10/22/21, notional amount $12,206,250 | (93 | ) | (37,781 | ) | ||||
|
| |||||||
(223,825 | ) | |||||||
|
| |||||||
Total Options Written |
| (305,156 | ) | |||||
|
| |||||||
LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.94%) |
| (22,570,908 | ) | |||||
|
| |||||||
NET ASSETS APPLICABLE TO 232,254,936 SHARES OUTSTANDING–100.00% |
| $ | 2,420,664,735 | |||||
|
|
LVIP Western Asset Core Bond Fund–19
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
° | 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. |
* | 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. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 2 in “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. |
f | Step coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at September 30, 2021. |
D | Securities have been classified by country of origin. |
The following futures contracts and swap contracts were outstanding at September 30, 2021:
Futures Contracts
Contracts to Buy (Sell) | Notional | Notional | Expiration | Value/ | Value/ | |||||||||||||||||
Interest Rate Contracts: | ||||||||||||||||||||||
489 | 90 Day IMM Eurodollar | $ | 121,290,338 | $ | 121,323,329 | 6/19/23 | $ | — | $ | (32,991 | ) | |||||||||||
2,253 | 90 Day IMM Eurodollar | 556,800,787 | 557,024,336 | 12/18/23 | — | (223,549 | ) | |||||||||||||||
656 | U.S. Treasury 10 yr Notes | 86,335,750 | 87,018,777 | 12/21/21 | — | (683,027 | ) | |||||||||||||||
1 | U.S. Treasury 2 yr Notes | 220,055 | 220,197 | 12/31/21 | — | (142 | ) | |||||||||||||||
4,960 | U.S. Treasury 5 yr Notes | 608,801,252 | 612,390,340 | 12/31/21 | — | (3,589,088 | ) | |||||||||||||||
(2,097) | U.S. Treasury Bonds | (523,358,775 | ) | (523,052,369 | ) | 12/13/21 | — | (306,406 | ) | |||||||||||||
(1,044) | U.S. Treasury Long Bonds | (166,224,375 | ) | (169,787,228 | ) | 12/21/21 | 3,562,853 | — | ||||||||||||||
585 | U.S. Treasury Ultra Bonds | 111,771,563 | 115,662,810 | 12/21/21 | — | (3,891,247 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
Total Futures Contracts | $ | 3,562,853 | $ | (8,726,450 | ) | |||||||||||||||||
|
|
|
|
Swap Contract | ||||||||||||||||||||||||||||
Credit Default Swap (CDS) Contracts |
Reference | Notional | Annual | Termination | Value | Upfront | Unrealized | Unrealized | |||||||||||||||||||||
Centrally Cleared/ Protection Sold | ||||||||||||||||||||||||||||
CDX.NA.IG.37-Quarterly3 | 396,841,250 | (1.00 | %) | 12/20/26 | $ | 9,596,549 | $ | 9,589,383 | $ | 7,166 | $ | — |
LVIP Western Asset Core Bond Fund–20
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Interest Rate Swap (IRS) Contracts
Reference | Notional | Fixed | Floating | Termination | Value | Upfront | Unrealized | Unrealized | ||||||||||||||||||||||||
Centrally Cleared: | ||||||||||||||||||||||||||||||||
10 yr IRS-Semiannual/Quarterly | 50,500,000 | 0.71 | % | (0.13 | %)4 | 5/20/30 | $ | 2,938,019 | $ | (177,510 | ) | $ | 3,115,530 | $ | — | |||||||||||||||||
25 yr IRS-Annual | 10,300,000 | 0.56 | % | (0.05 | %)5 | 7/20/45 | 2,065,043 | 267,283 | 1,797,759 | — | ||||||||||||||||||||||
25 yr IRS-Annual | 14,350,000 | 0.74 | % | (0.05 | %)5 | 8/19/45 | 2,362,149 | — | 2,362,149 | — | ||||||||||||||||||||||
25 yr IRS-Semiannual/Quarterly | 6,046,000 | 0.80 | % | (0.13 | %)4 | 11/15/45 | 1,236,160 | 33,590 | 1,202,570 | — | ||||||||||||||||||||||
27 yr IRS-Semiannual/Quarterly | 32,199,000 | 1.00 | % | (0.13 | %)4 | 2/15/47 | 5,573,862 | 374,326 | 5,199,536 | — | ||||||||||||||||||||||
27 yr IRS-Semiannual/Quarterly | 6,306,000 | 1.20 | % | (0.13 | %)4 | 2/15/47 | 822,835 | 33,544 | 789,291 | — | ||||||||||||||||||||||
27 yr IRS-Semiannual/Quarterly | 3,077,000 | 1.23 | % | (0.13 | %)4 | 2/15/47 | 385,106 | 2,707 | 382,399 | — | ||||||||||||||||||||||
27 yr IRS-Semiannual/Quarterly | 5,518,000 | 1.60 | % | (0.13 | %)4 | 2/15/47 | 249,595 | 29,452 | 220,143 | — | ||||||||||||||||||||||
27 yr IRS-Semiannual/Quarterly | 21,695,000 | 2.00 | % | (0.13 | %)4 | 2/15/47 | (868,135 | ) | (16,779 | ) | — | (851,356 | ) | |||||||||||||||||||
30 yr IRS-Semiannual/Quarterly | 3,367,000 | 1.20 | % | (0.14 | %)4 | 10/7/50 | 478,942 | (1,424 | ) | 480,366 | — | |||||||||||||||||||||
7 yr IRS-Semiannual/Quarterly | 20,990,000 | 0.45 | % | (0.13 | %)4 | 5/15/27 | 784,758 | (37,386 | ) | 822,144 | — | |||||||||||||||||||||
7 yr IRS-Annual | 92,836,000 | 0.71 | % | (0.05 | %)5 | 5/15/27 | 893,855 | 287,479 | 606,376 | — | ||||||||||||||||||||||
8 yr IRS-Semiannual/Quarterly | 67,197,000 | 1.25 | % | (0.13 | %)4 | 2/15/28 | (98,763 | ) | 82,824 | — | (181,587 | ) | ||||||||||||||||||||
8 yr IRS-Semiannual/Quarterly | 50,243,000 | 1.35 | % | (0.13 | %)4 | 2/15/28 | (392,591 | ) | (114,344 | ) | — | (278,247 | ) | |||||||||||||||||||
27 yr IRS-Annual | 9,371,000 | 1.73 | % | (0.05 | %)5 | 2/15/47 | (373,548 | ) | — | — | (373,548 | ) | ||||||||||||||||||||
27 yr IRS-Annual | 7,857,000 | 1.52 | % | (0.05 | %)5 | 2/15/47 | 57,077 | (143,998 | ) | 201,076 | — | |||||||||||||||||||||
27 yr IRS-Semiannual/Quarterly | 17,953,000 | 1.63 | % | (0.13 | %)4 | 2/15/47 | 729,692 | 66,576 | 663,116 | — | ||||||||||||||||||||||
31 yr IRS-Semiannual/Quarterly | 9,231,000 | 1.67 | % | (0.12 | %)4 | 7/9/51 | 311,869 | (40,822 | ) | 352,691 | — | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total IRS Contracts | $ | 645,518 | $ | 18,195,146 | $ | (1,684,738 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
The use of futures contracts and swap 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 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. |
3 | Markit’s North America Investment Grade Index, or CDX.NA.IG Index, is composed of 125 of the most liquid North American entities with investment grade credit ratings that trade in the CDS market. Constituents for the index can be found at www.markit.com/Documentation. |
4 | Rate resets based on LIBOR03M. |
5 | Rate resets based on SOFR01. |
Summary of Abbreviations:
BB–Barclays Bank
BNP–BNP Paribas
CLO–Collateralized Loan Obligation
DB–Deutsche Bank
GNMA–Government National Mortgage Association
GS–Goldman Sachs
HSBC–Hong Kong and Shanghai Banking Corporation
IMM–International Monetary Market
IRS–Interest Rate Swap
JPM–JPMorgan
JPM-BB–JPMorgan Barclays Bank
JPM-DB–JPMorgan Deutsche Bank
LVIP Western Asset Core Bond Fund–21
LVIP Western Asset Core Bond Fund
Schedule of Investments (continued)
Summary of Abbreviations: (continued)
LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month
LIBOR03M–Intercontinental Exchange London Interbank Offered Rate USD 3 Month
LNG–Liquefied Natural Gas
MIDCV–Mid-Curve
PC–Participation Certificate
REMICs–Real Estate Mortgage Investment Conduits
S.F.–Single Family
SOFR01–Secured Overnight Financing Rate
SOFR30A–Secured Overnight Financing Rate 30 Days Average
TBA–To be announced
USD–United States Dollar
WFRBS–Wells Fargo Royal Bank of Scotland
yr–Year
See accompanying notes.
LVIP Western Asset Core Bond Fund–22
LVIP Western Asset Core Bond Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Western Asset Core 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–U.S. government and agency securities are valued at the mean between their bid and ask prices, which approximates fair value. Open-end investment companies are valued at their published net asset value (“NAV”). Investments in government money market funds have a stable NAV. Short-term debt 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 and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Other debt securities, credit default swap contracts and interest rate 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)
Level 3 investments are valued using significant unobservable inputs, including related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
LVIP Western Asset Core Bond Fund–23
LVIP Western Asset Core 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: | ||||||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | 12,838,496 | $ | — | $ | 12,838,496 | ||||||||
Agency Commercial Mortgage-Backed Securities | — | 11,918,949 | — | 11,918,949 | ||||||||||||
Agency Mortgage-Backed Securities | — | 455,207,549 | 799,618 | 456,007,167 | ||||||||||||
Corporate Bonds | — | 812,123,381 | — | 812,123,381 | ||||||||||||
Non-Agency Asset-Backed Securities | — | 157,104,378 | — | 157,104,378 | ||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 92,090,260 | — | 92,090,260 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 97,754,033 | — | 97,754,033 | ||||||||||||
Regional Bonds | — | 3,458,766 | — | 3,458,766 | ||||||||||||
Sovereign Bonds | — | 115,035,490 | — | 115,035,490 | ||||||||||||
U.S. Treasury Obligations | — | 621,524,539 | — | 621,524,539 | ||||||||||||
Options Purchased | 62,578 | — | — | 62,578 | ||||||||||||
Money Market Fund | 63,622,762 | — | — | 63,622,762 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 63,685,340 | $ | 2,379,055,841 | $ | 799,618 | $ | 2,443,540,799 | ||||||||
|
|
|
|
|
|
|
|
Derivatives: | ||||||||||||||||
Assets: | ||||||||||||||||
Futures Contract | $ | 3,562,853 | $ | — | $— | $ | 3,562,853 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Swap Contracts | $ | — | $ | 18,383,580 | $— | $ | 18,383,580 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | $ | (8,726,450) | $ | — | $— | $ | (8,726,450) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Swap Contracts | $ | — | $ | (1,684,739) | $— | $ | (1,684,739) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Options Written | $ | (305,156) | $ | — | $— | $ | (305,156) | |||||||||
|
|
|
|
|
|
|
|
During the period ended September 30, 2021, there were no material transfers to or from Level 3 investments.
LVIP Western Asset Core Bond Fund–24