LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments
September 30, 2021 (unaudited)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK–80.71% | |||
Aerospace & Defense–2.63% | |||
†Boeing | 1,738 | $ 382,256 | |
General Dynamics | 15,166 | 2,972,991 | |
L3Harris Technologies | 1,601 | 352,604 | |
Lockheed Martin | 1,051 | 362,700 | |
Northrop Grumman | 1,034 | 372,395 | |
Raytheon Technologies | 75,319 | 6,474,422 | |
Textron | 32,383 | 2,260,657 | |
†TransDigm Group | 621 | 387,858 | |
13,565,883 | |||
Air Freight & Logistics–0.56% | |||
CH Robinson Worldwide | 4,236 | 368,532 | |
Expeditors International of Washington | 3,010 | 358,581 | |
FedEx | 1,408 | 308,760 | |
United Parcel Service Class B | 10,119 | 1,842,670 | |
2,878,543 | |||
Airlines–0.16% | |||
†Delta Air Lines | 9,852 | 419,794 | |
†Southwest Airlines | 7,930 | 407,840 | |
827,634 | |||
Auto Components–0.07% | |||
†Aptiv | 2,387 | 355,591 | |
355,591 | |||
Automobiles–1.14% | |||
†Ford Motor | 29,881 | 423,115 | |
†General Motors | 90,507 | 4,770,624 | |
Harley-Davidson | 6,906 | 252,829 | |
†Tesla | 552 | 428,065 | |
5,874,633 | |||
Banks–7.35% | |||
Bank of America | 194,549 | 8,258,605 | |
Citigroup | 5,347 | 375,253 | |
Citizens Financial Group | 67,097 | 3,152,217 | |
Comerica | 29,652 | 2,386,986 | |
Cullen/Frost Bankers | 12,626 | 1,497,696 | |
Fifth Third Bancorp | 47,509 | 2,016,282 | |
First Republic Bank | 1,930 | 372,259 | |
JPMorgan Chase & Co. | 2,393 | 391,710 | |
KeyCorp | 18,865 | 407,861 | |
M&T Bank | 19,771 | 2,952,601 | |
PNC Financial Services Group | 20,651 | 4,040,162 | |
Regions Financial | 18,752 | 399,605 | |
†SVB Financial Group | 672 | 434,703 | |
Truist Financial | 50,489 | 2,961,180 | |
US Bancorp | 6,746 | 400,982 | |
Wells Fargo & Co. | 117,772 | 5,465,799 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Banks (continued) | |||
Zions Bancorp | 38,333 | $ 2,372,429 | |
37,886,330 | |||
Beverages–1.68% | |||
Anheuser-Busch InBev | 19,045 | 1,080,183 | |
Brown-Forman Class B Class B | 5,402 | 361,988 | |
Coca-Cola | 49,528 | 2,598,734 | |
Constellation Brands Class A | 1,757 | 370,182 | |
Diageo | 26,981 | 1,306,285 | |
Heineken | 18,049 | 1,883,861 | |
Keurig Dr Pepper | 10,787 | 368,484 | |
†Monster Beverage | 3,884 | 345,016 | |
PepsiCo | 2,338 | 351,659 | |
8,666,392 | |||
Biotechnology–0.81% | |||
AbbVie | 3,163 | 341,193 | |
Amgen | 1,681 | 357,465 | |
†Biogen | 1,099 | 311,006 | |
†BioMarin Pharmaceutical | 4,998 | 386,295 | |
†BioNTech ADR | 1,077 | 294,010 | |
†CureVac | 5,621 | 307,019 | |
Gilead Sciences | 5,185 | 362,172 | |
†Incyte | 5,014 | 344,863 | |
†Moderna | 980 | 377,163 | |
†Regeneron Pharmaceuticals | 566 | 342,532 | |
†Seagen | 2,358 | 400,388 | |
†Vertex Pharmaceuticals | 1,918 | 347,906 | |
4,172,012 | |||
Building Products–0.63% | |||
Carrier Global | 6,784 | 351,140 | |
Johnson Controls International | 37,790 | 2,572,743 | |
Trane Technologies | 1,942 | 335,286 | |
3,259,169 | |||
Capital Markets–3.59% | |||
Ameriprise Financial | 1,435 | 379,012 | |
Bank of New York Mellon | 7,045 | 365,213 | |
BlackRock | 409 | 343,012 | |
Blackstone | 3,274 | 380,897 | |
Charles Schwab | 64,352 | 4,687,400 | |
CME Group | 1,893 | 366,068 | |
†Coinbase Global Class A | 1,459 | 331,893 | |
Franklin Resources | 12,066 | 358,602 | |
Goldman Sachs Group | 8,110 | 3,065,823 | |
Intercontinental Exchange | 3,161 | 362,946 | |
KKR & Co. | 5,933 | 361,201 | |
MarketAxess Holdings | 789 | 331,924 | |
Moody's | 997 | 354,045 | |
Morgan Stanley | 31,715 | 3,086,187 | |
MSCI | 607 | 369,262 |
LVIP Invesco Select Equity Income Managed Volatility Fund–1
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Capital Markets (continued) | |||
Nasdaq | 1,991 | $ 384,303 | |
Northern Trust | 3,227 | 347,903 | |
S&P Global | 858 | 364,556 | |
State Street | 22,868 | 1,937,377 | |
T. Rowe Price Group | 1,716 | 337,537 | |
18,515,161 | |||
Chemicals–2.06% | |||
Air Products & Chemicals | 1,404 | 359,578 | |
†Axalta Coating Systems | 34,007 | 992,664 | |
BASF | 13,976 | 1,059,524 | |
Celanese | 2,406 | 362,440 | |
Corteva | 50,361 | 2,119,191 | |
Dow | 15,496 | 891,950 | |
DuPont de Nemours | 26,330 | 1,790,177 | |
Ecolab | 1,666 | 347,561 | |
International Flavors & Fragrances | 2,468 | 330,021 | |
†Linde | 1,196 | 350,883 | |
LyondellBasell Industries Class A | 3,825 | 358,976 | |
Nutrien | 15,047 | 976,641 | |
PPG Industries | 2,332 | 333,499 | |
Sherwin-Williams | 1,222 | 341,830 | |
10,614,935 | |||
Commercial Services & Supplies–0.35% | |||
Cintas | 958 | 364,672 | |
†Copart | 2,640 | 366,221 | |
Republic Services | 3,033 | 364,142 | |
Waste Connections | 2,896 | 364,693 | |
Waste Management | 2,422 | 361,750 | |
1,821,478 | |||
Communications Equipment–1.41% | |||
†Arista Networks | 1,015 | 348,795 | |
Cisco Systems | 120,179 | 6,541,343 | |
Motorola Solutions | 1,564 | 363,348 | |
7,253,486 | |||
Construction & Engineering–0.32% | |||
Quanta Services | 14,403 | 1,639,349 | |
1,639,349 | |||
Construction Materials–0.13% | |||
Martin Marietta Materials | 1,001 | 342,022 | |
Vulcan Materials | 2,048 | 346,439 | |
688,461 | |||
Consumer Finance–1.18% | |||
American Express | 29,923 | 5,013,000 | |
Capital One Financial | 2,233 | 361,679 | |
Discover Financial Services | 2,903 | 356,634 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Consumer Finance (continued) | |||
Synchrony Financial | 7,635 | $ 373,199 | |
6,104,512 | |||
Containers & Packaging–0.75% | |||
Amcor | 29,367 | 340,363 | |
Avery Dennison | 4,036 | 836,300 | |
Ball | 3,970 | 357,181 | |
International Paper | 26,786 | 1,497,873 | |
Sonoco Products | 13,798 | 822,085 | |
3,853,802 | |||
Distributors–0.07% | |||
Genuine Parts | 2,982 | 361,508 | |
361,508 | |||
Diversified Financial Services–0.31% | |||
†Berkshire Hathaway Class B Class B | 1,316 | 359,189 | |
Voya Financial | 20,127 | 1,235,597 | |
1,594,786 | |||
Diversified Telecommunication Services–1.13% | |||
AT&T | 111,852 | 3,021,123 | |
Deutsche Telekom | 82,615 | 1,656,777 | |
†Liberty Global Class C | 13,614 | 401,068 | |
Lumen Technologies | 31,751 | 393,395 | |
Verizon Communications | 6,766 | 365,432 | |
5,837,795 | |||
Electric Utilities–2.67% | |||
American Electric Power | 34,222 | 2,778,142 | |
Avangrid | 6,843 | 332,570 | |
Duke Energy | 10,529 | 1,027,525 | |
Edison International | 6,310 | 350,016 | |
Entergy | 32,302 | 3,207,912 | |
Eversource Energy | 4,079 | 333,499 | |
Exelon | 64,598 | 3,122,667 | |
FirstEnergy | 34,427 | 1,226,290 | |
NextEra Energy | 4,354 | 341,876 | |
PPL | 12,630 | 352,124 | |
Southern | 5,580 | 345,792 | |
Xcel Energy | 5,320 | 332,500 | |
13,750,913 | |||
Electrical Equipment–1.02% | |||
ABB | 41,710 | 1,395,275 | |
AMETEK | 2,788 | 345,740 | |
Eaton | 2,243 | 334,902 | |
Emerson Electric | 30,163 | 2,841,355 | |
Rockwell Automation | 1,191 | 350,202 | |
5,267,474 | |||
Electronic Equipment, Instruments & Components–0.99% | |||
Amphenol Class A | 5,043 | 369,299 |
LVIP Invesco Select Equity Income Managed Volatility Fund–2
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Electronic Equipment, Instruments & Components (continued) | |||
CDW | 1,919 | $ 349,296 | |
Corning | 38,230 | 1,395,013 | |
†Keysight Technologies | 2,190 | 359,795 | |
TE Connectivity | 16,776 | 2,302,003 | |
†Zebra Technologies Class A | 657 | 338,631 | |
5,114,037 | |||
Energy Equipment & Services–0.17% | |||
Baker Hughes | 18,117 | 448,033 | |
Schlumberger | 14,195 | 420,740 | |
868,773 | |||
Entertainment–1.54% | |||
Activision Blizzard | 4,547 | 351,892 | |
Electronic Arts | 2,681 | 381,372 | |
†Netflix | 3,499 | 2,135,580 | |
†ROBLOX Class A | 4,539 | 342,922 | |
†Roku | 1,069 | 334,971 | |
†Walt Disney | 25,872 | 4,376,766 | |
7,923,503 | |||
Equity Real Estate Investment Trusts–1.57% | |||
Alexandria Real Estate Equities | 1,785 | 341,060 | |
American Tower | 1,291 | 342,644 | |
AvalonBay Communities | 1,644 | 364,376 | |
Boston Properties | 3,273 | 354,629 | |
Crown Castle International | 1,896 | 328,615 | |
Digital Realty Trust | 2,308 | 333,391 | |
Equinix | 449 | 354,768 | |
Equity Residential | 4,553 | 368,429 | |
Essex Property Trust | 1,174 | 375,375 | |
Healthpeak Properties | 10,682 | 357,633 | |
Prologis | 2,799 | 351,079 | |
Public Storage | 1,157 | 343,745 | |
Realty Income | 5,223 | 338,764 | |
SBA Communications | 1,037 | 342,801 | |
Simon Property Group | 2,870 | 373,014 | |
Ventas | 6,881 | 379,900 | |
Welltower | 4,461 | 367,586 | |
Weyerhaeuser | 57,650 | 2,050,610 | |
8,068,419 | |||
Food & Staples Retailing–1.46% | |||
Costco Wholesale | 818 | 367,568 | |
Kroger | 8,001 | 323,480 | |
Sysco | 21,739 | 1,706,512 | |
†U.S. Foods Holding | 35,680 | 1,236,669 | |
Walgreens Boots Alliance | 7,776 | 365,861 | |
Walmart | 25,200 | 3,512,376 | |
7,512,466 | |||
Food Products–2.05% | |||
Archer-Daniels-Midland | 6,371 | 382,324 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Food Products (continued) | |||
Campbell Soup | 50,445 | $ 2,109,105 | |
Conagra Brands | 11,137 | 377,210 | |
General Mills | 6,230 | 372,678 | |
Hershey | 2,087 | 353,225 | |
Hormel Foods | 8,107 | 332,387 | |
JM Smucker | 2,817 | 338,124 | |
Kellogg | 5,677 | 362,874 | |
Kraft Heinz | 63,700 | 2,345,434 | |
McCormick & Co. | 4,290 | 347,619 | |
Mondelez International Class A | 5,916 | 344,193 | |
Nestle | 20,848 | 2,511,976 | |
Tyson Foods Class A | 4,700 | 371,018 | |
10,548,167 | |||
Health Care Equipment & Supplies–2.49% | |||
Abbott Laboratories | 2,923 | 345,294 | |
†Align Technology | 551 | 366,652 | |
Baxter International | 4,995 | 401,748 | |
Becton Dickinson & Co. | 8,591 | 2,111,840 | |
†Boston Scientific | 8,452 | 366,732 | |
Danaher | 1,167 | 355,281 | |
†DexCom | 723 | 395,380 | |
†Edwards Lifesciences | 3,113 | 352,423 | |
†IDEXX Laboratories | 550 | 342,045 | |
†Intuitive Surgical | 354 | 351,929 | |
Medtronic | 39,687 | 4,974,765 | |
ResMed | 1,314 | 346,305 | |
Stryker | 1,415 | 373,164 | |
West Pharmaceutical Services | 835 | 354,491 | |
Zimmer Biomet Holdings | 9,662 | 1,414,130 | |
12,852,179 | |||
Health Care Providers & Services–3.07% | |||
AmerisourceBergen | 3,098 | 370,056 | |
Anthem | 10,487 | 3,909,554 | |
Cardinal Health | 7,309 | 361,503 | |
†Centene | 5,841 | 363,953 | |
Cigna | 9,559 | 1,913,329 | |
CVS Health | 51,743 | 4,390,911 | |
HCA Healthcare | 1,506 | 365,536 | |
Humana | 908 | 353,348 | |
†Laboratory Corp of America Holdings | 1,225 | 344,764 | |
McKesson | 9,069 | 1,808,177 | |
Quest Diagnostics | 2,437 | 354,121 | |
UnitedHealth Group | 873 | 341,116 | |
Universal Health Services Class B | 6,959 | 962,917 | |
15,839,285 | |||
Health Care Technology–0.13% | |||
Cerner | 4,758 | 335,534 |
LVIP Invesco Select Equity Income Managed Volatility Fund–3
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Health Care Technology (continued) | |||
†Veeva Systems Class A | 1,170 | $ 337,159 | |
672,693 | |||
Hotels, Restaurants & Leisure–1.95% | |||
†Airbnb Class A | 2,583 | 433,298 | |
†Booking Holdings | 984 | 2,335,888 | |
†Carnival | 16,869 | 421,894 | |
†Chipotle Mexican Grill | 196 | 356,234 | |
Darden Restaurants | 4,962 | 751,594 | |
†DraftKings Class A | 7,222 | 347,811 | |
†Expedia Group | 2,689 | 440,727 | |
†Hilton Worldwide Holdings | 3,038 | 401,350 | |
†Las Vegas Sands | 35,086 | 1,284,148 | |
†Marriott International Class A | 2,822 | 417,910 | |
McDonald's | 9,052 | 2,182,528 | |
Starbucks | 3,230 | 356,301 | |
Yum! Brands | 2,748 | 336,108 | |
10,065,791 | |||
Household Durables–0.20% | |||
DR Horton | 3,959 | 332,437 | |
Garmin | 2,203 | 342,478 | |
Lennar Class A | 3,567 | 334,157 | |
1,009,072 | |||
Household Products–0.35% | |||
Church & Dwight | 4,367 | 360,583 | |
Clorox | 2,208 | 365,667 | |
Colgate-Palmolive | 4,768 | 360,365 | |
Kimberly-Clark | 2,718 | 359,972 | |
Procter & Gamble | 2,552 | 356,770 | |
1,803,357 | |||
Industrial Conglomerates–0.55% | |||
3M | 10,100 | 1,771,742 | |
General Electric | 3,755 | 386,877 | |
Honeywell International | 1,650 | 350,262 | |
Roper Technologies | 782 | 348,874 | |
2,857,755 | |||
Insurance–3.29% | |||
Aflac | 6,665 | 347,446 | |
Allstate | 2,750 | 350,103 | |
American International Group | 67,042 | 3,679,935 | |
Aon Class A | 1,344 | 384,075 | |
Arthur J. Gallagher | 2,591 | 385,152 | |
Chubb | 2,017 | 349,909 | |
Hartford Financial Services Group | 60,527 | 4,252,022 | |
†Markel | 296 | 353,759 | |
Marsh & McLennan | 2,388 | 361,615 | |
MetLife | 6,208 | 383,220 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Insurance (continued) | |||
Principal Financial Group | 5,776 | $ 371,974 | |
Progressive | 3,851 | 348,092 | |
Prudential Financial | 3,600 | 378,720 | |
Travelers | 23,097 | 3,510,975 | |
Willis Towers Watson | 6,487 | ��1,507,968 | |
16,964,965 | |||
Interactive Media & Services–0.50% | |||
†Alphabet Class A | 135 | 360,925 | |
†Facebook Class A | 1,045 | 354,663 | |
†Match Group | 2,797 | 439,101 | |
†Pinterest Class A | 6,974 | 355,325 | |
†Snap | 5,093 | 376,220 | |
†Twitter | 6,008 | 362,823 | |
†Zillow Group Class C | 3,912 | 344,804 | |
2,593,861 | |||
Internet & Direct Marketing Retail–0.42% | |||
†Amazon.com | 116 | 381,065 | |
†Coupang | 12,005 | 334,339 | |
†Doordash Class A | 2,011 | 414,226 | |
eBay | 5,120 | 356,710 | |
†MercadoLibre | 208 | 349,315 | |
†Wayfair Class A | 1,292 | 330,119 | |
2,165,774 | |||
IT Services–3.68% | |||
Accenture Class A | 1,128 | 360,870 | |
†Akamai Technologies | 3,231 | 337,930 | |
Automatic Data Processing | 8,750 | 1,749,300 | |
Cognizant Technology Solutions Class A | 73,950 | 5,487,830 | |
†EPAM Systems | 596 | 340,006 | |
Fidelity National Information Services | 17,921 | 2,180,627 | |
†Fiserv | 16,313 | 1,769,961 | |
†FleetCor Technologies | 1,456 | 380,409 | |
Global Payments | 2,304 | 363,064 | |
International Business Machines | 19,568 | 2,718,582 | |
Mastercard Class A | 1,058 | 367,845 | |
†Okta | 1,605 | 380,931 | |
Paychex | 3,202 | 360,065 | |
†PayPal Holdings | 1,375 | 357,789 | |
†Snowflake Class A | 1,408 | 425,821 | |
†Square Class A | 1,427 | 342,252 | |
†Twilio | 1,101 | 351,274 | |
†VeriSign | 1,734 | 355,487 | |
Visa Class A | 1,624 | 361,746 | |
18,991,789 | |||
Leisure Products–0.06% | |||
†Peloton Interactive Class A | 3,477 | 302,673 | |
302,673 |
LVIP Invesco Select Equity Income Managed Volatility Fund–4
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Life Sciences Tools & Services–0.40% | |||
Agilent Technologies | 2,234 | $ 351,922 | |
†Illumina | 771 | 312,725 | |
†IQVIA Holdings | 1,474 | 353,082 | |
†Mettler-Toledo International | 242 | 333,321 | |
Thermo Fisher Scientific | 668 | 381,649 | |
†Waters | 933 | 333,361 | |
2,066,060 | |||
Machinery–2.03% | |||
Caterpillar | 1,805 | 346,506 | |
Cummins | 1,596 | 358,398 | |
Deere & Co. | 5,349 | 1,792,289 | |
Dover | 2,174 | 338,057 | |
Flowserve | 41,539 | 1,440,157 | |
Fortive | 5,115 | 360,965 | |
Illinois Tool Works | 1,604 | 331,434 | |
Otis Worldwide | 4,173 | 343,354 | |
PACCAR | 4,680 | 369,346 | |
Parker-Hannifin | 5,622 | 1,572,024 | |
Pentair | 21,952 | 1,594,374 | |
Stanley Black & Decker | 9,131 | 1,600,756 | |
10,447,660 | |||
Media–1.95% | |||
†Charter Communications Class A | 2,885 | 2,099,011 | |
Comcast Class A | 101,644 | 5,684,949 | |
Fox Class A | 10,217 | 409,804 | |
†Liberty Broadband Class C Class C | 2,009 | 346,954 | |
†Liberty Media-Liberty SiriusXM Class C Class C | 7,783 | 369,459 | |
Omnicom Group | 5,243 | 379,908 | |
Sirius XM Holdings | 59,621 | 363,688 | |
ViacomCBS Class B | 9,457 | 373,646 | |
10,027,419 | |||
Metals & Mining–0.58% | |||
Barrick Gold | 49,591 | 895,117 | |
Freeport-McMoRan | 11,453 | 372,566 | |
Newmont | 26,219 | 1,423,692 | |
Nucor | 3,228 | 317,926 | |
3,009,301 | |||
Multiline Retail–0.76% | |||
Dollar General | 1,599 | 339,212 | |
†Dollar Tree | 3,659 | 350,240 | |
Target | 14,038 | 3,211,473 | |
3,900,925 | |||
Multi-Utilities–1.04% | |||
Ameren | 4,194 | 339,714 | |
CMS Energy | 5,795 | 346,135 | |
Consolidated Edison | 4,882 | 354,384 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Multi-Utilities (continued) | |||
Dominion Energy | 40,482 | $ 2,955,996 | |
DTE Energy | 3,045 | 340,157 | |
Public Service Enterprise Group | 5,783 | 352,185 | |
Sempra Energy | 2,768 | 350,152 | |
WEC Energy Group | 3,850 | 339,570 | |
5,378,293 | |||
Oil, Gas & Consumable Fuels–4.56% | |||
Canadian Natural Resources | 31,018 | 1,134,094 | |
†Cheniere Energy | 4,431 | 432,776 | |
Chevron | 36,103 | 3,662,649 | |
ConocoPhillips | 97,024 | 6,575,316 | |
Devon Energy | 51,663 | 1,834,553 | |
EOG Resources | 5,743 | 460,991 | |
Exxon Mobil | 7,122 | 418,916 | |
Hess | 5,753 | 449,367 | |
Kinder Morgan | 23,564 | 394,226 | |
Marathon Petroleum | 6,762 | 417,959 | |
Occidental Petroleum | 16,880 | 499,310 | |
ONEOK | 7,336 | 425,415 | |
Phillips 66 | 5,695 | 398,821 | |
Pioneer Natural Resources | 22,247 | 3,704,348 | |
Total | 38,675 | 1,848,585 | |
Valero Energy | 6,144 | 433,582 | |
Williams | 15,624 | 405,287 | |
23,496,195 | |||
Personal Products–0.32% | |||
Estee Lauder Class A | 1,136 | 340,720 | |
L'Oreal | 3,190 | 1,320,035 | |
1,660,755 | |||
Pharmaceuticals–4.33% | |||
Bristol-Myers Squibb | 60,201 | 3,562,093 | |
Eli Lilly & Co. | 10,406 | 2,404,306 | |
GlaxoSmithKline | 52,929 | 998,938 | |
Johnson & Johnson | 36,476 | 5,890,874 | |
Merck & Co. | 77,567 | 5,826,057 | |
Pfizer | 31,444 | 1,352,406 | |
Royalty Pharma Class A | 9,630 | 348,028 | |
Sanofi | 16,426 | 1,581,233 | |
Zoetis | 1,783 | 346,152 | |
22,310,087 | |||
Professional Services–0.29% | |||
†CoStar Group | 4,485 | 385,979 | |
Equifax | 1,452 | 367,966 | |
IHS Markit | 3,130 | 365,021 | |
Verisk Analytics | 1,912 | 382,916 | |
1,501,882 |
LVIP Invesco Select Equity Income Managed Volatility Fund–5
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Real Estate Management & Development–0.77% | |||
†CBRE Group Class A | 40,962 | $ 3,988,060 | |
3,988,060 | |||
Road & Rail–0.93% | |||
CSX | 100,001 | 2,974,030 | |
Kansas City Southern | 1,293 | 349,937 | |
Norfolk Southern | 1,431 | 342,367 | |
Old Dominion Freight Line | 1,329 | 380,067 | |
†Uber Technologies | 9,400 | 421,120 | |
Union Pacific | 1,680 | 329,297 | |
4,796,818 | |||
Semiconductors & Semiconductor Equipment–2.54% | |||
†Advanced Micro Devices | 3,590 | 369,411 | |
Analog Devices | 2,254 | 377,500 | |
Applied Materials | 2,908 | 374,347 | |
Broadcom | 4,024 | 1,951,359 | |
Intel | 49,454 | 2,634,909 | |
KLA | 1,173 | 392,380 | |
Lam Research | 655 | 372,793 | |
Marvell Technology | 6,276 | 378,506 | |
Microchip Technology | 7,582 | 1,163,761 | |
†Micron Technology | 5,348 | 379,601 | |
NVIDIA | 1,776 | 367,916 | |
NXP Semiconductors | 7,430 | 1,455,314 | |
QUALCOMM | 13,736 | 1,771,669 | |
Skyworks Solutions | 2,100 | 346,038 | |
Texas Instruments | 1,999 | 384,228 | |
†Xilinx | 2,569 | 387,893 | |
13,107,625 | |||
Software–1.96% | |||
†Adobe | 580 | 333,918 | |
†ANSYS | 1,037 | 353,047 | |
†Autodesk | 1,123 | 320,246 | |
†Cadence Design Systems | 2,365 | 358,156 | |
Citrix Systems | 3,639 | 390,719 | |
†Crowdstrike Holdings Class A | 1,578 | 387,841 | |
†DocuSign | 1,312 | 337,748 | |
†Fortinet | 1,260 | 367,970 | |
†HubSpot | 558 | 377,258 | |
Intuit | 678 | 365,788 | |
Microsoft | 1,233 | 347,607 | |
NortonLifeLock | 14,587 | 369,051 | |
Oracle | 4,224 | 368,037 | |
†Palantir Technologies Class A | 15,416 | 370,601 | |
†Palo Alto Networks | 1,009 | 483,311 | |
†RingCentral Class A | 1,496 | 325,380 | |
†salesforce.com | 1,466 | 397,609 | |
†ServiceNow | 625 | 388,919 | |
†Splunk | 9,410 | 1,361,721 | |
†Synopsys | 1,184 | 354,501 | |
†UiPath Class A | 6,182 | 325,235 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Software (continued) | |||
†Unity Software | 3,013 | $ 380,391 | |
†VMware | 2,379 | 353,757 | |
†Workday Class A | 1,591 | 397,575 | |
†Zoom Video Communications Class A | 1,115 | 291,573 | |
10,107,959 | |||
Specialty Retail–1.75% | |||
†AutoZone | 226 | 383,746 | |
Best Buy | 3,285 | 347,257 | |
†CarMax | 2,966 | 379,529 | |
Gap | 30,921 | 701,907 | |
Home Depot | 1,140 | 374,217 | |
Kingfisher | 194,358 | 877,308 | |
Lowe's | 1,778 | 360,685 | |
†O'Reilly Automotive | 619 | 378,246 | |
Ross Stores | 3,052 | 332,210 | |
TJX | 68,489 | 4,518,904 | |
†Ulta Beauty | 1,024 | 369,582 | |
9,023,591 | |||
Technology Hardware, Storage & Peripherals–0.50% | |||
Apple | 2,498 | 353,467 | |
†Dell Technologies Class C | 3,757 | 390,878 | |
Hewlett Packard Enterprise | 25,762 | 367,109 | |
HP | 13,310 | 364,162 | |
NetApp | 4,587 | 411,729 | |
Seagate Technology Holdings | 4,200 | 346,584 | |
†Western Digital | 6,257 | 353,145 | |
2,587,074 | |||
Textiles, Apparel & Luxury Goods–0.37% | |||
Columbia Sportswear | 8,850 | 848,184 | |
†Lululemon Athletica | 944 | 382,037 | |
NIKE Class B | 2,239 | 325,170 | |
VF | 4,915 | 329,256 | |
1,884,647 | |||
Tobacco–0.72% | |||
Altria Group | 7,750 | 352,780 | |
Philip Morris International | 35,357 | 3,351,490 | |
3,704,270 | |||
Trading Companies & Distributors–0.13% | |||
Fastenal | 6,772 | 349,503 | |
WW Grainger | 871 | 342,355 | |
691,858 | |||
Water Utilities–0.07% | |||
American Water Works | 2,040 | 344,842 | |
344,842 | |||
Wireless Telecommunication Services–0.22% | |||
†T-Mobile | 2,650 | 338,564 |
LVIP Invesco Select Equity Income Managed Volatility Fund–6
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Wireless Telecommunication Services (continued) | |||
Vodafone Group | 520,061 | $ 791,373 | |
1,129,937 | |||
Total Common Stock (Cost $317,196,115) | 416,109,664 | ||
CONVERTIBLE PREFERRED STOCK–0.07% | |||
†AMG Capital Trust II 5.15%, expiration date 10/15/37 | 6,068 | 361,046 | |
Total Convertible Preferred Stock (Cost $294,815) | 361,046 | ||
PREFERRED STOCK–0.00% | |||
•Wells Fargo & Co 5.85% (LIBOR03M + 3.09%) | 1,089 | 29,784 | |
Total Preferred Stock (Cost $28,728) | 29,784 |
Principal Amount° | |||
AGENCY OBLIGATION–0.02% | |||
Federal Home Loan Mortgage 6.75% 3/15/31 | 68,000 | 98,690 | |
Total Agency Obligation (Cost $91,366) | 98,690 | ||
CONVERTIBLE BONDS–2.34% | |||
Airlines–0.08% | |||
JetBlue Airways 0.50%, excercise price $0.50 4/1/26 | 248,000 | 243,001 | |
Spirit Airlines 1.00%, excercise price $1.00 5/15/26 | 174,000 | 163,024 | |
406,025 | |||
Banks–0.07% | |||
BofA Finance 0.13%, excercise price $0.13 9/1/22 | 321,000 | 387,768 | |
387,768 | |||
Computers–0.06% | |||
Western Digital 1.50%, excercise price $1.50 2/1/24 | 291,000 | 293,340 | |
293,340 | |||
Health Care Products–0.08% | |||
Integra LifeSciences Holdings 0.50%, excercise price $0.50 8/15/25 | 289,000 | 317,466 | |
Tandem Diabetes Care 1.50%, excercise price $1.50 5/1/25 | 56,000 | 71,486 | |
388,952 |
Principal Amount° | Value (U.S. $) | ||
CONVERTIBLE BONDS (continued) | |||
Health Care Services–0.11% | |||
Teladoc Health 1.25%, excercise price $1.25 6/1/27 | 551,000 | $ 553,445 | |
553,445 | |||
Internet–0.32% | |||
Booking Holdings 0.75%, excercise price $0.75 5/1/25 | 61,000 | 89,579 | |
FireEye | |||
1.00%, exercise price $1.00 6/1/35 | 221,000 | 217,037 | |
1.63%, exercise price $1.62 6/1/35 | 241,000 | 240,714 | |
Shopify 0.13%, excercise price $0.13 11/1/25 | 336,000 | 411,264 | |
Trip.com Group 1.25%, excercise price $1.25 9/15/22 | 387,000 | 368,377 | |
TripAdvisor 0.25%, excercise price $0.25 4/1/26 | 49,000 | 44,296 | |
Twitter 0.01%, excercise price $0.01 3/15/26 | 297,000 | 275,717 | |
1,646,984 | |||
Leisure Time–0.07% | |||
Peloton Interactive 0.01%, excercise price $0.01 2/15/26 | 402,000 | 353,875 | |
353,875 | |||
Media–0.71% | |||
Cable One | |||
0.01%, exercise price $0.01 3/15/26 | 393,000 | 384,747 | |
1.13%, exercise price $1.13 3/15/28 | 188,000 | 190,750 | |
DISH Network 3.38%, excercise price $3.37 8/15/26 | 1,103,000 | 1,146,569 | |
Liberty Broadband 1.25%, excercise price $1.25 9/30/50 | 383,000 | 388,937 | |
Liberty Latin America 2.00%, excercise price $2.00 7/15/24 | 396,000 | 401,940 | |
Liberty Media 1.38%, excercise price $1.37 10/15/23 | 780,000 | 1,061,941 | |
Liberty Media Corp-Liberty Formula One 1.00%, excercise price $1.00 1/30/23 | 70,000 | 99,316 | |
3,674,200 |
LVIP Invesco Select Equity Income Managed Volatility Fund–7
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CONVERTIBLE BONDS (continued) | |||
Pharmaceuticals–0.18% | |||
Jazz Investments I 2.00%, excercise price $2.00 6/15/26 | 249,000 | $ 287,439 | |
Neurocrine Biosciences 2.25%, excercise price $2.25 5/15/24 | 251,000 | 332,781 | |
Pacira BioSciences 0.75%, excercise price $0.75 8/1/25 | 137,000 | 147,446 | |
Pacira Pharmaceuticals 2.38%, excercise price $2.37 4/1/22 | 28,000 | 28,998 | |
Supernus Pharmaceuticals 0.63%, excercise price $0.63 4/1/23 | 158,000 | 155,235 | |
951,899 | |||
Real Estate–0.07% | |||
Redfin 0.01%, excercise price $0.01 10/15/25 | 378,000 | 376,631 | |
376,631 | |||
Semiconductors–0.11% | |||
Microchip Technology 0.13%, excercise price $0.13 11/15/24 | 515,000 | 582,179 | |
582,179 | |||
Software–0.45% | |||
Dropbox 0.01%, excercise price $0.01 3/1/26 | 602,000 | 628,807 | |
Splunk 1.13%, excercise price $1.12 6/15/27 | 764,000 | 749,198 | |
Zynga 0.01%, excercise price $0.01 12/15/26 | 951,000 | 918,309 | |
2,296,314 | |||
Telecommunications–0.03% | |||
Finisar 0.50%, excercise price $0.50 12/15/36 | 141,000 | 140,677 | |
140,677 | |||
Total Convertible Bonds (Cost $11,474,174) | 12,052,289 | ||
CORPORATE BONDS–4.96% | |||
Aerospace & Defense–0.07% | |||
Boeing 5.81% 5/1/50 | 265,000 | 353,237 | |
Raytheon Technologies 4.45% 11/16/38 | 28,000 | 33,903 | |
387,140 | |||
Agriculture–0.08% | |||
Altria Group 5.80% 2/14/39 | 185,000 | 227,491 | |
Philip Morris International | |||
3.60% 11/15/23 | 36,000 | 38,368 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Agriculture (continued) | |||
Philip Morris International (continued) | |||
4.88% 11/15/43 | 108,000 | $ 132,415 | |
398,274 | |||
Airlines–0.03% | |||
♦American Airlines Pass Through Trust 3.70% 4/1/28 | 26,038 | 26,519 | |
♦United Airlines Pass Through Trust | |||
3.50% 9/1/31 | 41,216 | 43,466 | |
3.75% 3/3/28 | 31,818 | 33,461 | |
4.15% 10/11/25 | 27,281 | 28,807 | |
132,253 | |||
Auto Manufacturers–0.14% | |||
General Motors 6.60% 4/1/36 | 186,000 | 249,679 | |
General Motors Financial 5.25% 3/1/26 | 44,000 | 50,281 | |
Toyota Motor Credit 2.60% 1/11/22 | 395,000 | 397,551 | |
697,511 | |||
Banks–0.66% | |||
Bank of America 3.25% 10/21/27 | 275,000 | 296,934 | |
Citigroup | |||
μ3.67% 7/24/28 | 49,000 | 53,861 | |
4.75% 5/18/46 | 34,000 | 42,694 | |
5.30% 5/6/44 | 22,000 | 29,280 | |
6.68% 9/13/43 | 299,000 | 455,306 | |
Goldman Sachs Group | |||
μ2.91% 7/21/42 | 50,000 | 49,298 | |
4.25% 10/21/25 | 275,000 | 304,543 | |
μHSBC Holdings 2.63% 11/7/25 | 400,000 | 417,227 | |
JPMorgan Chase & Co. | |||
3.20% 6/15/26 | 36,000 | 38,888 | |
•3.45% 1/1/22 | 58,000 | 58,217 | |
μ3.51% 1/23/29 | 327,000 | 355,714 | |
μ3.90% 1/23/49 | 102,000 | 117,098 | |
μ4.26% 2/22/48 | 46,000 | 55,464 | |
Morgan Stanley 4.00% 7/23/25 | 61,000 | 67,204 | |
PNC Financial Services Group 3.45% 4/23/29 | 291,000 | 322,441 | |
U.S. Bancorp 3.10% 4/27/26 | 208,000 | 224,545 | |
Wells Fargo & Co. | |||
3.55% 9/29/25 | 59,000 | 64,275 | |
4.10% 6/3/26 | 40,000 | 44,550 | |
4.65% 11/4/44 | 333,000 | 408,020 | |
3,405,559 | |||
Beverages–0.07% | |||
Anheuser-Busch InBev Worldwide | |||
4.70% 2/1/36 | 91,000 | 109,968 | |
4.90% 2/1/46 | 101,000 | 124,151 |
LVIP Invesco Select Equity Income Managed Volatility Fund–8
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Beverages (continued) | |||
Heineken 3.50% 1/29/28 | 90,000 | $ 98,314 | |
Molson Coors Beverage 4.20% 7/15/46 | 34,000 | 37,628 | |
370,061 | |||
Biotechnology–0.07% | |||
Gilead Sciences 3.25% 9/1/22 | 330,000 | 337,393 | |
337,393 | |||
Chemicals–0.00% | |||
Sherwin-Williams 4.50% 6/1/47 | 14,000 | 16,971 | |
16,971 | |||
Computers–0.11% | |||
Apple | |||
2.15% 2/9/22 | 254,000 | 255,839 | |
3.35% 2/9/27 | 30,000 | 33,081 | |
Dell International 5.45% 6/15/23 | 58,000 | 62,207 | |
International Business Machines 2.88% 11/9/22 | 235,000 | 241,520 | |
592,647 | |||
Diversified Financial Services–0.57% | |||
Air Lease | |||
3.00% 9/15/23 | 6,000 | 6,236 | |
4.25% 9/15/24 | 38,000 | 41,245 | |
Aircastle 4.40% 9/25/23 | 304,000 | 323,721 | |
American Express 3.63% 12/5/24 | 30,000 | 32,535 | |
Aviation Capital Group | |||
2.88% 1/20/22 | 100,000 | 100,522 | |
4.88% 10/1/25 | 66,000 | 72,735 | |
Capital One Financial 3.20% 1/30/23 | 317,000 | 328,194 | |
=Convertible Trust - Energy 0.33% 9/19/24 | 832,000 | 901,056 | |
=Convertible Trust - Media 0.25% 12/4/24 | 848,000 | 1,055,845 | |
Synchrony Financial 3.95% 12/1/27 | 54,000 | 59,568 | |
2,921,657 | |||
Electric–0.19% | |||
Electricite de France 4.88% 1/22/44 | 84,000 | 105,989 | |
Georgia Power 3.70% 1/30/50 | 51,000 | 54,387 | |
NextEra Energy Capital Holdings | |||
0.65% 3/1/23 | 395,000 | 396,336 | |
3.55% 5/1/27 | 50,000 | 54,854 | |
Oglethorpe Power 4.55% 6/1/44 | 52,000 | 59,444 | |
Ohio Power 5.38% 10/1/21 | 18,000 | 18,000 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Electric (continued) | |||
PPL Electric Utilities 6.25% 5/15/39 | 4,000 | $ 5,751 | |
Sempra Energy 3.80% 2/1/38 | 54,000 | 59,762 | |
Xcel Energy | |||
0.50% 10/15/23 | 94,000 | 94,105 | |
3.50% 12/1/49 | 143,000 | 152,420 | |
1,001,048 | |||
Electronics–0.03% | |||
Avnet 4.63% 4/15/26 | 64,000 | 71,374 | |
Honeywell International 0.48% 8/19/22 | 77,000 | 77,009 | |
148,383 | |||
Entertainment–0.08% | |||
Live Nation Entertainment 2.50% 3/15/23 | 272,000 | 392,403 | |
392,403 | |||
Food–0.01% | |||
Ingredion 6.63% 4/15/37 | 23,000 | 31,937 | |
31,937 | |||
Forest Products & Paper–0.01% | |||
International Paper 6.00% 11/15/41 | 22,000 | 30,758 | |
30,758 | |||
Gas–0.01% | |||
NiSource 4.38% 5/15/47 | 54,000 | 64,143 | |
64,143 | |||
Health Care Products–0.01% | |||
Medtronic 4.38% 3/15/35 | 23,000 | 28,277 | |
28,277 | |||
Health Care Services–0.03% | |||
Laboratory Corp of America Holdings 4.70% 2/1/45 | 23,000 | 28,146 | |
UnitedHealth Group 3.50% 8/15/39 | 135,000 | 149,049 | |
177,195 | |||
Insurance–0.47% | |||
Allstate 3.28% 12/15/26 | 28,000 | 30,671 | |
American Equity Investment Life Holding 5.00% 6/15/27 | 244,000 | 281,009 | |
American International Group 4.38% 1/15/55 | 64,000 | 78,484 | |
Athene Global Funding | |||
2.75% 6/25/24 | 250,000 | 262,354 | |
4.00% 1/25/22 | 110,000 | 111,290 | |
Guardian Life Global Funding 2.90% 5/6/24 | 291,000 | 308,232 |
LVIP Invesco Select Equity Income Managed Volatility Fund–9
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Insurance (continued) | |||
Jackson National Life Global Funding | |||
2.10% 10/25/21 | 46,000 | $ 46,049 | |
3.25% 1/30/24 | 42,000 | 44,460 | |
Liberty Mutual Group 3.95% 5/15/60 | 88,000 | 97,715 | |
Markel | |||
5.00% 3/30/43 | 34,000 | 40,850 | |
5.00% 5/20/49 | 273,000 | 352,254 | |
Nationwide Financial Services 5.30% 11/18/44 | 40,000 | 50,082 | |
PartnerRe Finance 3.70% 7/2/29 | 210,000 | 231,301 | |
Protective Life Global Funding 2.62% 8/22/22 | 295,000 | 301,215 | |
Prudential Financial 3.91% 12/7/47 | 14,000 | 16,230 | |
Reinsurance Group of America 4.70% 9/15/23 | 34,000 | 36,561 | |
Travelers 4.60% 8/1/43 | 60,000 | 77,407 | |
Willis North America 3.60% 5/15/24 | 22,000 | 23,470 | |
WR Berkley 4.63% 3/15/22 | 38,000 | 38,724 | |
2,428,358 | |||
Internet–0.11% | |||
Amazon.com 2.88% 5/12/41 | 549,000 | 566,249 | |
566,249 | |||
Machinery Diversified–0.07% | |||
Deere & Co 2.60% 6/8/22 | 314,000 | 317,279 | |
Rockwell Automation 1.75% 8/15/31 | 50,000 | 48,751 | |
366,030 | |||
Media–0.25% | |||
Charter Communications Operating | |||
3.85% 4/1/61 | 194,000 | 185,016 | |
4.46% 7/23/22 | 321,000 | 329,156 | |
Comcast | |||
2.89% 11/1/51 | 34,000 | 32,612 | |
2.94% 11/1/56 | 24,000 | 22,670 | |
3.90% 3/1/38 | 74,000 | 84,030 | |
4.15% 10/15/28 | 315,000 | 362,261 | |
Cox Communications 2.95% 10/1/50 | 58,000 | 54,536 | |
Walt Disney 3.00% 9/15/22 | 220,000 | 225,717 | |
1,295,998 | |||
Metal Fabricate & Hardware–0.01% | |||
Precision Castparts 2.50% 1/15/23 | 32,000 | 32,721 | |
32,721 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Mining–0.00% | |||
Rio Tinto Finance USA 7.13% 7/15/28 | 18,000 | $ 23,923 | |
23,923 | |||
Oil & Gas–0.11% | |||
BP Capital Markets America 2.94% 6/4/51 | 208,000 | 196,663 | |
Chevron | |||
2.50% 3/3/22 | 210,000 | 211,616 | |
5.25% 11/15/43 | 74,000 | 99,787 | |
ConocoPhillips 4.15% 11/15/34 | 20,000 | 22,794 | |
Husky Energy 3.95% 4/15/22 | 26,000 | 26,262 | |
557,122 | |||
Packaging & Containers–0.02% | |||
Packaging Corporation of America 4.50% 11/1/23 | 102,000 | 109,193 | |
109,193 | |||
Pharmaceuticals–0.36% | |||
AbbVie | |||
4.05% 11/21/39 | 223,000 | 256,273 | |
4.50% 5/14/35 | 64,000 | 76,503 | |
4.85% 6/15/44 | 86,000 | 108,198 | |
AstraZeneca 2.38% 6/12/22 | 455,000 | 461,000 | |
Becton Dickinson and Co. 4.88% 5/15/44 | 35,000 | 41,234 | |
Bristol-Myers Squibb 4.13% 6/15/39 | 108,000 | 129,708 | |
Cigna 4.80% 8/15/38 | 328,000 | 401,424 | |
CVS Health 3.38% 8/12/24 | 34,000 | 36,280 | |
♦CVS Pass Through Trust 6.04% 12/10/28 | 172,129 | 200,872 | |
GlaxoSmithKline Capital 6.38% 5/15/38 | 6,000 | 8,852 | |
Mead Johnson Nutrition 4.13% 11/15/25 | 4,000 | 4,454 | |
Pfizer 2.20% 12/15/21 | 100,000 | 100,405 | |
Zoetis 4.70% 2/1/43 | 32,000 | 40,714 | |
1,865,917 | |||
Pipelines–0.24% | |||
Cameron LNG 3.70% 1/15/39 | 90,000 | 99,582 | |
Energy Transfer Operating | |||
4.20% 9/15/23 | 170,000 | 180,562 | |
4.90% 3/15/35 | 32,000 | 36,683 | |
5.00% 5/15/50 | 106,000 | 122,295 | |
Enterprise Products Operating | |||
4.25% 2/15/48 | 68,000 | 77,021 | |
6.45% 9/1/40 | 2,000 | 2,835 | |
Kinder Morgan 5.30% 12/1/34 | 38,000 | 46,898 | |
MPLX | |||
4.50% 7/15/23 | 389,000 | 411,816 |
LVIP Invesco Select Equity Income Managed Volatility Fund–10
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Pipelines (continued) | |||
MPLX (continued) | |||
4.50% 4/15/38 | 78,000 | $ 87,074 | |
Plains All American Pipeline 3.65% 6/1/22 | 32,000 | 32,421 | |
Spectra Energy Partners 4.50% 3/15/45 | 48,000 | 56,328 | |
Sunoco Logistics Partners Operations 5.30% 4/1/44 | 58,000 | 67,199 | |
Texas Eastern Transmission 7.00% 7/15/32 | 16,000 | 22,150 | |
1,242,864 | |||
Private Equity–0.07% | |||
Apollo Management Holdings 4.00% 5/30/24 | 270,000 | 291,983 | |
Brookfield Asset Management 4.00% 1/15/25 | 40,000 | 43,458 | |
Carlyle Holdings Finance 3.88% 2/1/23 | 8,000 | 8,335 | |
KKR Group FinanceIII 5.13% 6/1/44 | 28,000 | 36,196 | |
379,972 | |||
Real Estate Investment Trusts–0.19% | |||
American Tower 1.60% 4/15/26 | 137,000 | 137,560 | |
Crown Castle International | |||
2.50% 7/15/31 | 224,000 | 223,818 | |
4.75% 5/15/47 | 4,000 | 4,891 | |
EPR Properties 4.75% 12/15/26 | 154,000 | 168,642 | |
Life Storage 3.50% 7/1/26 | 40,000 | 43,614 | |
Office Properties Income Trust 4.00% 7/15/22 | 66,000 | 67,525 | |
Regency Centers | |||
2.95% 9/15/29 | 240,000 | 251,784 | |
4.65% 3/15/49 | 69,000 | 84,260 | |
Service Properties Trust 5.00% 8/15/22 | 18,000 | 18,113 | |
1,000,207 | |||
Retail–0.14% | |||
Dollar General 3.25% 4/15/23 | 32,000 | 33,179 | |
Home Depot 2.63% 6/1/22 | 315,000 | 319,402 | |
Starbucks 3.55% 8/15/29 | 300,000 | 332,354 | |
Walgreens Boots Alliance 4.50% 11/18/34 | 40,000 | 46,251 | |
731,186 | |||
Semiconductors–0.16% | |||
Broadcom 3.47% 4/15/34 | 60,000 | 61,784 | |
Marvell Technology 2.45% 4/15/28 | 192,000 | 195,604 | |
Micron Technology 4.66% 2/15/30 | 100,000 | 115,425 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Semiconductors (continued) | |||
NXP | |||
3.88% 9/1/22 | 325,000 | $ 334,674 | |
5.35% 3/1/26 | 64,000 | 74,007 | |
Texas Instruments 2.63% 5/15/24 | 20,000 | 20,969 | |
802,463 | |||
Software–0.16% | |||
Fiserv 3.80% 10/1/23 | 138,000 | 146,694 | |
Microsoft 3.50% 2/12/35 | 36,000 | 41,453 | |
Oracle 3.60% 4/1/40 | 175,000 | 181,477 | |
salesforce.com 2.70% 7/15/41 | 217,000 | 216,358 | |
VMware 1.00% 8/15/24 | 239,000 | 239,798 | |
825,780 | |||
Telecommunications–0.30% | |||
AT&T | |||
3.00% 6/30/22 | 46,000 | 46,692 | |
3.50% 9/15/53 | 220,000 | 217,738 | |
3.55% 9/15/55 | 14,000 | 13,806 | |
3.80% 12/1/57 | 161,000 | 164,470 | |
4.30% 2/15/30 | 30,000 | 34,427 | |
Rogers Communications | |||
4.30% 2/15/48 | 136,000 | 151,757 | |
4.50% 3/15/43 | 52,000 | 59,420 | |
T-Mobile USA 3.40% 10/15/52 | 118,000 | 115,084 | |
Verizon Communications | |||
3.40% 3/22/41 | 92,000 | 96,080 | |
4.40% 11/1/34 | 28,000 | 33,160 | |
4.81% 3/15/39 | 44,000 | 54,581 | |
Viavi Solutions | |||
1.00% 3/1/24 | 252,000 | 327,600 | |
1.75% 6/1/23 | 207,000 | 259,005 | |
1,573,820 | |||
Transportation–0.13% | |||
Burlington Northern Santa Fe 3.05% 3/15/22 | 150,000 | 150,836 | |
CSX 5.50% 4/15/41 | 34,000 | 45,750 | |
FedEx 4.90% 1/15/34 | 38,000 | 46,797 | |
Norfolk Southern 3.40% 11/1/49 | 103,000 | 109,786 | |
Union Pacific | |||
3.20% 5/20/41 | 161,000 | 169,725 | |
3.65% 2/15/24 | 9,000 | 9,564 | |
3.84% 3/20/60 | 51,000 | 58,512 | |
4.15% 1/15/45 | 39,000 | 44,681 | |
United Parcel Service 3.40% 11/15/46 | 22,000 | 24,234 | |
659,885 | |||
Total Corporate Bonds (Cost $23,714,339) | 25,595,298 |
LVIP Invesco Select Equity Income Managed Volatility Fund–11
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
U.S. TREASURY OBLIGATIONS–5.02% | |||
U.S. Treasury Bonds | |||
4.50% 2/15/36 | 1,088,200 | $ 1,486,966 | |
4.50% 8/15/39 | 3,600 | 5,056 | |
4.38% 5/15/40 | 7,200 | 10,019 | |
2.38% 5/15/51 | 1,456,000 | 1,553,825 | |
1.75% 8/15/41 | 470,300 | 449,577 | |
U.S. Treasury Notes | |||
0.13% 8/31/23 | 7,244,700 | 7,225,456 | |
1.13% 8/31/28 | 2,970,200 | 2,934,929 | |
1.25% 8/15/31 | 2,212,500 | 2,158,916 | |
0.75% 8/31/26 | 7,849,800 | 7,765,783 | |
0.38% 9/15/24 | 2,277,500 | 2,267,714 | |
Total U.S. Treasury Obligations (Cost $25,982,188) | 25,858,241 |
Number of Shares | Value (U.S. $) | ||
MONEY MARKET FUND–6.43% | |||
State Street Institutional U.S. Government Money Market Fund -Premier Class (seven-day effective yield 0.03%) | 33,139,145 | $ 33,139,145 | |
Total Money Market Fund (Cost $33,139,145) | 33,139,145 |
TOTAL INVESTMENTS–99.55% (Cost $411,920,870) | 513,244,157 | ||
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.45% | 2,322,036 | ||
NET ASSETS APPLICABLE TO 36,878,288 SHARES OUTSTANDING–100.00% | $515,566,193 |
† Non-income producing. | |
• 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. | |
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
♦ Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. | |
μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2021. Rate will reset at a future date. | |
= The 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." |
The following foreign currency exchange contracts and futures contracts were outstanding at September 30, 2021: |
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
SSB | CAD | (984,511) | USD | 770,630 | 10/29/21 | $— | $(6,624) | |||||
SSB | CAD | (92,356) | USD | 72,993 | 10/29/21 | 80 | — | |||||
SSB | CHF | 156,995 | USD | (170,114) | 10/29/21 | — | (1,532) | |||||
SSB | CHF | (156,995) | USD | 170,127 | 10/29/21 | 1,546 | — | |||||
SSB | EUR | (1,010,322) | USD | 1,186,581 | 10/29/21 | 15,617 | — | |||||
SSB | GBP | (2,267,179) | USD | 3,098,363 | 10/29/21 | 43,448 | — | |||||
SSB | GBP | 33,881 | USD | (46,435) | 10/29/21 | — | (783) | |||||
Total Foreign Currency Exchange Contracts | $60,691 | $(8,939) |
LVIP Invesco Select Equity Income Managed Volatility Fund–12
LVIP Invesco Select Equity Income Managed Volatility Fund
Schedule of Investments (continued)
Futures Contracts
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
Currency Contracts: | |||||||||||
8 | British Pound | $673,750 | $687,821 | 12/13/21 | $— | $(14,071) | |||||
8 | Euro | 1,160,000 | 1,183,611 | 12/13/21 | — | (23,611) | |||||
8 | Japanese Yen | 898,100 | 907,621 | 12/13/21 | — | (9,521) | |||||
— | (47,203) | ||||||||||
Equity Contracts: | |||||||||||
38 | E-mini S&P MidCap 400 Index | 10,006,160 | 10,252,140 | 12/17/21 | — | (245,980) | |||||
7 | FTSE 100 Index | 667,158 | 657,735 | 12/17/21 | 9,422 | — | |||||
3 | Nikkei 225 Index (OSE) | 794,106 | 803,283 | 12/9/21 | — | (9,177) | |||||
9,422 | (255,157) | ||||||||||
Total Futures Contracts | $9,422 | $(302,360) |
The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts and notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. |
1 Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through September 30, 2021. |
Summary of Abbreviations: |
ADR–American Depositary Receipt |
CAD–Canadian Dollar |
CHF–Swiss Franc |
EUR–Euro |
FTSE–Financial Times Stock Exchange |
GBP–British Pound Sterling |
HSBC–Hong Kong and Shanghai Banking Corporation |
IT–Information Technology |
LIBOR03M–Intercontinental Exchange London Interbank Offered Rate USD 3 Month |
LNG–Liquefied Natural Gas |
OSE–Osaka Securities Exchange |
S&P–Standard & Poor’s |
SSB–State Street Bank |
USD–United States Dollar |
See accompanying notes.
LVIP Invesco Select Equity Income Managed Volatility Fund–13
LVIP Invesco Select Equity Income Managed Volatility Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Invesco Select Equity Income Managed Volatility 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–Equity securities, except those traded on The Nasdaq Stock Market LLC (“Nasdaq”), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sale price. If on a particular day an equity security does not trade, then the mean between the bid and ask prices is used, which approximates fair value. Securities listed on a foreign exchange are valued at the last quoted sales price on the valuation date. Open-end investment companies are valued at their published net asset value (“NAV”). Investments in government money market funds have a stable NAV. Foreign currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are used when the settlement date of the contract is an interim date for which quotations are not available. U.S. government and agency securities are valued at the evaluated bid price, which approximates fair value.
Valuations for fixed income securities, including 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (“international fair value pricing”). Futures contracts are valued at the daily quoted settlement prices.
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 Invesco Select Equity Income Managed Volatility Fund–14
LVIP Invesco Select Equity Income Managed Volatility 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: | |||||||
Common Stock | |||||||
Aerospace & Defense | $13,565,883 | $— | $— | $13,565,883 | |||
Air Freight & Logistics | 2,878,543 | — | — | 2,878,543 | |||
Airlines | 827,634 | — | — | 827,634 | |||
Auto Components | 355,591 | — | — | 355,591 | |||
Automobiles | 5,874,633 | — | — | 5,874,633 | |||
Banks | 37,886,330 | — | — | 37,886,330 | |||
Beverages | 4,396,063 | 4,270,329 | — | 8,666,392 | |||
Biotechnology | 4,172,012 | — | — | 4,172,012 | |||
Building Products | 3,259,169 | — | — | 3,259,169 | |||
Capital Markets | 18,515,161 | — | — | 18,515,161 | |||
Chemicals | 9,555,411 | 1,059,524 | — | 10,614,935 | |||
Commercial Services & Supplies | 1,821,478 | — | — | 1,821,478 | |||
Communications Equipment | 7,253,486 | — | — | 7,253,486 | |||
Construction & Engineering | 1,639,349 | — | — | 1,639,349 | |||
Construction Materials | 688,461 | — | — | 688,461 | |||
Consumer Finance | 6,104,512 | — | — | 6,104,512 | |||
Containers & Packaging | 3,853,802 | — | — | 3,853,802 | |||
Distributors | 361,508 | — | — | 361,508 | |||
Diversified Financial Services | 1,594,786 | — | — | 1,594,786 | |||
Diversified Telecommunication Services | 4,181,018 | 1,656,777 | — | 5,837,795 | |||
Electric Utilities | 13,750,913 | — | — | 13,750,913 | |||
Electrical Equipment | 3,872,199 | 1,395,275 | — | 5,267,474 | |||
Electronic Equipment, Instruments & Components | 5,114,037 | — | — | 5,114,037 | |||
Energy Equipment & Services | 868,773 | — | — | 868,773 | |||
Entertainment | 7,923,503 | — | — | 7,923,503 | |||
Equity Real Estate Investment Trusts | 8,068,419 | — | — | 8,068,419 | |||
Food & Staples Retailing | 7,512,466 | — | — | 7,512,466 | |||
Food Products | 8,036,191 | 2,511,976 | — | 10,548,167 | |||
Health Care Equipment & Supplies | 12,852,179 | — | — | 12,852,179 | |||
Health Care Providers & Services | 15,839,285 | — | — | 15,839,285 | |||
Health Care Technology | 672,693 | — | — | 672,693 | |||
Hotels, Restaurants & Leisure | 10,065,791 | — | — | 10,065,791 | |||
Household Durables | 1,009,072 | — | — | 1,009,072 | |||
Household Products | 1,803,357 | — | — | 1,803,357 | |||
Industrial Conglomerates | 2,857,755 | — | — | 2,857,755 | |||
Insurance | 16,964,965 | — | — | 16,964,965 | |||
Interactive Media & Services | 2,593,861 | — | — | 2,593,861 | |||
Internet & Direct Marketing Retail | 2,165,774 | — | — | 2,165,774 | |||
IT Services | 18,991,789 | — | — | 18,991,789 | |||
Leisure Products | 302,673 | — | — | 302,673 | |||
Life Sciences Tools & Services | 2,066,060 | — | — | 2,066,060 | |||
Machinery | 10,447,660 | — | — | 10,447,660 | |||
Media | 10,027,419 | — | — | 10,027,419 | |||
Metals & Mining | 3,009,301 | — | — | 3,009,301 | |||
Multiline Retail | 3,900,925 | — | — | 3,900,925 | |||
Multi-Utilities | 5,378,293 | — | — | 5,378,293 | |||
Oil, Gas & Consumable Fuels | 21,647,610 | 1,848,585 | — | 23,496,195 | |||
Personal Products | 340,720 | 1,320,035 | — | 1,660,755 | |||
Pharmaceuticals | 19,729,916 | 2,580,171 | — | 22,310,087 | |||
Professional Services | 1,501,882 | — | — | 1,501,882 | |||
Real Estate Management & Development | 3,988,060 | — | — | 3,988,060 | |||
Road & Rail | 4,796,818 | — | — | 4,796,818 | |||
Semiconductors & Semiconductor Equipment | 13,107,625 | — | — | 13,107,625 | |||
Software | 10,107,959 | — | — | 10,107,959 | |||
Specialty Retail | 8,146,283 | 877,308 | — | 9,023,591 | |||
Technology Hardware, Storage & Peripherals | 2,587,074 | — | — | 2,587,074 |
LVIP Invesco Select Equity Income Managed Volatility Fund–15
LVIP Invesco Select Equity Income Managed Volatility Fund
Notes (continued)
2. Investments (continued)
Level 1 | Level 2 | Level 3 | Total | ||||
Investments: | |||||||
Textiles, Apparel & Luxury Goods | $1,884,647 | $— | $— | $1,884,647 | |||
Tobacco | 3,704,270 | — | — | 3,704,270 | |||
Trading Companies & Distributors | 691,858 | — | — | 691,858 | |||
Water Utilities | 344,842 | — | — | 344,842 | |||
Wireless Telecommunication Services | 338,564 | 791,373 | — | 1,129,937 | |||
Convertible Preferred Stock | 361,046 | — | — | 361,046 | |||
Preferred Stock | 29,784 | — | — | 29,784 | |||
Agency Obligation | — | 98,690 | — | 98,690 | |||
Convertible Bonds | — | 12,052,289 | — | 12,052,289 | |||
Corporate Bonds | |||||||
Aerospace & Defense | — | 387,140 | — | 387,140 | |||
Agriculture | — | 398,274 | — | 398,274 | |||
Airlines | — | 132,253 | — | 132,253 | |||
Auto Manufacturers | — | 697,511 | — | 697,511 | |||
Banks | — | 3,405,559 | — | 3,405,559 | |||
Beverages | — | 370,061 | — | 370,061 | |||
Biotechnology | — | 337,393 | — | 337,393 | |||
Chemicals | — | 16,971 | — | 16,971 | |||
Computers | — | 592,647 | — | 592,647 | |||
Diversified Financial Services | — | 964,756 | 1,956,901 | 2,921,657 | |||
Electric | — | 1,001,048 | — | 1,001,048 | |||
Electronics | — | 148,383 | — | 148,383 | |||
Entertainment | — | 392,403 | — | 392,403 | |||
Food | — | 31,937 | — | 31,937 | |||
Forest Products & Paper | — | 30,758 | — | 30,758 | |||
Gas | — | 64,143 | — | 64,143 | |||
Health Care Products | — | 28,277 | — | 28,277 | |||
Health Care Services | — | 177,195 | — | 177,195 | |||
Insurance | — | 2,428,358 | — | 2,428,358 | |||
Internet | — | 566,249 | — | 566,249 | |||
Machinery Diversified | — | 366,030 | — | 366,030 | |||
Media | — | 1,295,998 | — | 1,295,998 | |||
Metal Fabricate & Hardware | — | 32,721 | — | 32,721 | |||
Mining | — | 23,923 | — | 23,923 | |||
Oil & Gas | — | 557,122 | — | 557,122 | |||
Packaging & Containers | — | 109,193 | — | 109,193 | |||
Pharmaceuticals | — | 1,865,917 | — | 1,865,917 | |||
Pipelines | — | 1,242,864 | — | 1,242,864 | |||
Private Equity | — | 379,972 | — | 379,972 | |||
Real Estate Investment Trusts | — | 1,000,207 | — | 1,000,207 | |||
Retail | — | 731,186 | — | 731,186 | |||
Semiconductors | — | 802,463 | — | 802,463 | |||
Software | — | 825,780 | — | 825,780 | |||
Telecommunications | — | 1,573,820 | — | 1,573,820 | |||
Transportation | — | 659,885 | — | 659,885 | |||
U.S. Treasury Obligations | — | 25,858,241 | — | 25,858,241 | |||
Money Market Fund | 33,139,145 | — | — | 33,139,145 | |||
Total Investments | $431,328,286 | $79,958,970 | $1,956,901 | $513,244,157 | |||
Derivatives: |
Assets: | |||||||
Foreign Currency Exchange Contracts | $— | $60,691 | $— | $60,691 | |||
Futures Contract | $9,422 | $— | $— | $9,422 | |||
Liabilities: | |||||||
Foreign Currency Exchange Contracts | $— | $(8,939) | $— | $(8,939) | |||
Futures Contracts | $(302,360) | $— | $— | $(302,360) |
During the period ended September 30, 2021, there were no material transfers to or from Level 3 investments.
LVIP Invesco Select Equity Income Managed Volatility Fund–16
LVIP Invesco Select Equity Income Managed Volatility Fund
Notes (continued)
2. Investments (continued)
As a result of utilizing International fair value pricing at September 30, 2021, a portion of the Fund’s common stock investments was categorized as Level 2.
LVIP Invesco Select Equity Income Managed Volatility Fund–17