LVIP Delaware Limited-Term Diversified Income Fund
Schedule of Investments
September 30, 2021 (unaudited)
| Principal Amount° | Value (U.S. $) | ||
| AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–1.14% | |||
Freddie Mac REMICS Series 5029 WG 1.00% 4/25/31 | 16,537,764 | $ 16,338,286 | |
♦Freddie Mac Structured Pass Through Certificates Series T-54 2A 6.50% 2/25/43 | 551 | 666 | |
♦Freddie Mac Structured Pass-Through Certificates Series T-58 2A 6.50% 9/25/43 | 9,726 | 11,309 | |
Total Agency Collateralized Mortgage Obligations (Cost $16,646,816) | 16,350,261 | ||
| AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES–0.64% | |||
♦Freddie Mac Multifamily Structured Pass Through Certificates Series K729 A2 3.14% 10/25/24 | 4,650,000 | 4,938,517 | |
| •FREMF Mortgage Trust | |||
Series 2012-K22 B 3.81% 8/25/45 | 1,115,000 | 1,142,772 | |
Series 2014-K717 C 3.70% 11/25/47 | 10,136 | 10,127 | |
Series 2015-K720 B 3.51% 7/25/22 | 2,950,000 | 3,002,186 | |
Total Agency Commercial Mortgage-Backed Securities (Cost $9,250,407) | 9,093,602 | ||
| AGENCY MORTGAGE-BACKED SECURITIES–7.15% | |||
•Fannie Mae Grantor Trust 6.98% 6/19/41 | 8,042 | 8,950 | |
| Fannie Mae S.F. 15 yr | |||
2.50% 8/1/35 | 4,227,828 | 4,406,320 | |
2.50% 11/1/35 | 10,678,615 | 11,148,976 | |
| Fannie Mae S.F. 30 yr | |||
1.50% 3/1/36 | 8,136,685 | 8,240,606 | |
3.50% 1/1/48 | 9,705,217 | 10,410,091 | |
4.50% 7/1/40 | 286,279 | 309,694 | |
4.50% 8/1/41 | 719,426 | 808,837 | |
4.50% 2/1/46 | 5,635,436 | 6,268,524 | |
4.50% 5/1/46 | 801,139 | 896,192 | |
4.50% 11/1/47 | 6,018,709 | 6,701,386 | |
4.50% 4/1/48 | 3,133,372 | 3,508,726 | |
5.00% 7/1/47 | 639,935 | 730,946 | |
5.00% 8/1/48 | 13,024,191 | 14,417,705 | |
5.00% 12/1/48 | 5,797,145 | 6,394,693 | |
5.50% 5/1/44 | 18,933,867 | 21,942,331 | |
6.00% 1/1/42 | 1,242,823 | 1,466,221 | |
| Freddie Mac S.F. 30 yr | |||
4.50% 3/1/42 | 405,139 | 452,438 | |
4.50% 7/1/45 | 813,696 | 908,667 | |
5.50% 9/1/41 | 2,175,167 | 2,531,548 | |
Ginnie Mae II Pool 6.50% 6/20/39 | 331,044 | 386,766 | |
| Principal Amount° | Value (U.S. $) | ||
| AGENCY MORTGAGE-BACKED SECURITIES (continued) | |||
GNMA II S.F. 30 yr 5.50% 5/20/37 | 82,560 | $ 95,892 | |
Total Agency Mortgage-Backed Securities (Cost $99,235,792) | 102,035,509 | ||
| CORPORATE BONDS–49.59% | |||
| Advertising–0.11% | |||
Clear Channel International 6.63% 8/1/25 | 1,575,000 | 1,639,969 | |
| 1,639,969 | |||
| Aerospace & Defense–1.56% | |||
Spirit AeroSystems 5.50% 1/15/25 | 2,700,000 | 2,855,250 | |
Teledyne Technologies 0.95% 4/1/24 | 15,970,000 | 15,997,904 | |
TransDigm 8.00% 12/15/25 | 3,141,000 | 3,349,091 | |
| 22,202,245 | |||
| Airlines–0.52% | |||
| Delta Air Lines | |||
7.00% 5/1/25 | 3,762,000 | 4,387,433 | |
7.38% 1/15/26 | 1,072,000 | 1,262,967 | |
Spirit Loyalty Cayman 8.00% 9/20/25 | 1,110,000 | 1,244,865 | |
United Airlines 4.38% 4/15/26 | 465,000 | 477,206 | |
| 7,372,471 | |||
| Apparel–0.12% | |||
VF 2.40% 4/23/25 | 1,715,000 | 1,787,110 | |
| 1,787,110 | |||
| Auto Manufacturers–2.30% | |||
BMW US Capital 0.75% 8/12/24 | 4,805,000 | 4,814,833 | |
Ford Motor 8.50% 4/21/23 | 4,533,000 | 4,986,027 | |
Ford Motor Credit 3.38% 11/13/25 | 3,500,000 | 3,596,250 | |
| General Motors Financial | |||
•0.81% (SOFR + 0.76%) 3/8/24 | 8,025,000 | 8,101,639 | |
3.45% 4/10/22 | 2,145,000 | 2,167,412 | |
4.15% 6/19/23 | 1,290,000 | 1,363,374 | |
4.35% 4/9/25 | 1,850,000 | 2,031,340 | |
5.10% 1/17/24 | 4,880,000 | 5,327,405 | |
5.25% 3/1/26 | 339,000 | 387,394 | |
| 32,775,674 | |||
| Banks–12.57% | |||
Banco Continental 2.75% 12/10/25 | 3,115,000 | 3,091,669 | |
Banco Santander 3.50% 4/11/22 | 4,800,000 | 4,878,796 | |
| Bank of America | |||
μ0.98% 9/25/25 | 6,085,000 | 6,093,397 | |
μ3.46% 3/15/25 | 3,825,000 | 4,069,465 | |
LVIP Delaware Limited-Term Diversified Income Fund–1
LVIP Delaware Limited-Term Diversified Income Fund
Schedule of Investments (continued)
| Principal Amount° | Value (U.S. $) | ||
| CORPORATE BONDS (continued) | |||
| Banks (continued) | |||
| Bank of America (continued) | |||
4.10% 7/24/23 | 6,940,000 | $ 7,398,782 | |
μBank of Ireland Group 2.03% 9/30/27 | 4,560,000 | 4,557,346 | |
Bank of Montreal 1.85% 5/1/25 | 1,785,000 | 1,836,760 | |
Barclays Bank 1.70% 5/12/22 | 5,170,000 | 5,210,730 | |
BBVA Bancomer 1.88% 9/18/25 | 3,490,000 | 3,509,020 | |
BBVA USA 3.88% 4/10/25 | 4,955,000 | 5,408,423 | |
μCitigroup 4.04% 6/1/24 | 8,670,000 | 9,169,652 | |
•Citizens Bank 0.84% (LIBOR03M + 0.72%) 2/14/22 | 7,515,000 | 7,529,985 | |
μCredit Agricole 1.91% 6/16/26 | 1,895,000 | 1,931,048 | |
| μCredit Suisse Group | |||
2.59% 9/11/25 | 4,680,000 | 4,851,503 | |
4.21% 6/12/24 | 2,935,000 | 3,099,113 | |
7.25% 1/14/30 | 2,425,000 | 2,687,991 | |
Credit Suisse Group Funding Guernsey 3.80% 6/9/23 | 1,640,000 | 1,727,862 | |
Deutsche Bank 0.90% 5/28/24 | 4,850,000 | 4,845,548 | |
| Goldman Sachs Group | |||
•0.86% (SOFR + 0.81%) 3/9/27 | 5,435,000 | 5,442,876 | |
•1.29% (LIBOR03M + 1.17%) 5/15/26 | 10,075,000 | 10,327,328 | |
3.50% 4/1/25 | 8,420,000 | 9,052,370 | |
•JPMorgan Chase & Co 0.94% (SOFR + 0.89%) 4/22/27 | 3,675,000 | 3,721,392 | |
| JPMorgan Chase & Co. | |||
•0.63% (SOFR + 0.58%) 3/16/24 | 4,440,000 | 4,457,442 | |
μ4.02% 12/5/24 | 13,570,000 | 14,534,562 | |
μ4.60% 5/25/47 | 620,000 | 633,950 | |
μ5.00% 1/25/47 | 1,050,000 | 1,095,937 | |
μLloyds Banking Group 2.91% 11/7/23 | 5,980,000 | 6,135,420 | |
| Morgan Stanley | |||
μ0.73% 4/5/24 | 6,960,000 | 6,983,103 | |
2.75% 5/19/22 | 3,335,000 | 3,388,826 | |
National Securities Clearing 1.20% 4/23/23 | 2,700,000 | 2,737,566 | |
QNB Finance, Ltd. 3.50% 3/28/24 | 3,120,000 | 3,307,200 | |
•Toronto-Dominion Bank 0.41% (SOFR + 0.36%) 3/4/24 | 9,625,000 | 9,654,934 | |
μTruist Bank 2.64% 9/17/29 | 9,026,000 | 9,435,510 | |
U.S. Bancorp 3.38% 2/5/24 | 2,330,000 | 2,476,702 | |
U.S. Bank 3.40% 7/24/23 | 1,340,000 | 1,411,607 | |
UBS 1.75% 4/21/22 | 925,000 | 931,618 | |
UBS Group AG 2.65% 2/1/22 | 1,795,000 | 1,808,839 | |
| 179,434,272 | |||
| Principal Amount° | Value (U.S. $) | ||
| CORPORATE BONDS (continued) | |||
| Beverages–0.45% | |||
Anheuser-Busch InBev Worldwide 3.65% 2/1/26 | 5,890,000 | $ 6,460,280 | |
| 6,460,280 | |||
| Biotechnology–0.80% | |||
Gilead Sciences 3.70% 4/1/24 | 4,035,000 | 4,311,229 | |
Royalty Pharma 1.20% 9/2/25 | 7,210,000 | 7,163,258 | |
| 11,474,487 | |||
| Chemicals–0.25% | |||
Nutrien 1.90% 5/13/23 | 3,505,000 | 3,580,416 | |
| 3,580,416 | |||
| Commercial Services–1.78% | |||
DP World Crescent 3.91% 5/31/23 | 3,381,000 | 3,516,240 | |
Global Payments 2.65% 2/15/25 | 4,520,000 | 4,724,346 | |
PayPal Holdings 1.35% 6/1/23 | 6,510,000 | 6,618,210 | |
Prime Security Services Borrower 5.25% 4/15/24 | 3,089,000 | 3,294,573 | |
Triton Container International 1.15% 6/7/24 | 7,250,000 | 7,238,236 | |
| 25,391,605 | |||
| Computers–0.26% | |||
International Business Machines 3.00% 5/15/24 | 3,500,000 | 3,712,737 | |
| 3,712,737 | |||
| Distribution/Wholesale–0.46% | |||
Avient 5.75% 5/15/25 | 6,182,000 | 6,514,282 | |
| 6,514,282 | |||
| Diversified Financial Services–2.94% | |||
AerCap Ireland Capital 3.15% 2/15/24 | 5,750,000 | 5,995,831 | |
| Air Lease | |||
0.80% 8/18/24 | 5,645,000 | 5,610,964 | |
2.88% 1/15/26 | 755,000 | 788,896 | |
3.00% 9/15/23 | 4,075,000 | 4,235,107 | |
Ally Financial 5.75% 11/20/25 | 5,256,000 | 6,009,964 | |
| Aviation Capital Group | |||
1.95% 1/30/26 | 1,905,000 | 1,898,118 | |
2.88% 1/20/22 | 5,430,000 | 5,458,319 | |
Avolon Holdings Funding 3.95% 7/1/24 | 3,760,000 | 3,992,102 | |
μCharles Schwab 4.00% 8/2/28 | 1,540,000 | 1,605,450 | |
DAE Sukuk DIFC 3.75% 2/15/26 | 3,420,000 | 3,602,799 | |
SURA Asset Management 4.88% 4/17/24 | 978,000 | 1,053,805 | |
USAA Capital 1.50% 5/1/23 | 1,720,000 | 1,750,203 | |
| 42,001,558 | |||
LVIP Delaware Limited-Term Diversified Income Fund–2
LVIP Delaware Limited-Term Diversified Income Fund
Schedule of Investments (continued)
| Principal Amount° | Value (U.S. $) | ||
| CORPORATE BONDS (continued) | |||
| Electric–6.00% | |||
AEP Texas 2.40% 10/1/22 | 5,720,000 | $ 5,822,214 | |
Avangrid 3.20% 4/15/25 | 2,630,000 | 2,801,027 | |
CenterPoint Energy 3.85% 2/1/24 | 2,526,000 | 2,688,584 | |
Cleveland Electric Illuminating 5.50% 8/15/24 | 4,805,000 | 5,410,481 | |
μDuke Energy 4.88% 10/23/23 | 3,805,000 | 4,066,594 | |
Engie Energia Chile 4.50% 1/29/25 | 1,409,000 | 1,533,084 | |
Entergy 4.00% 7/15/22 | 4,727,000 | 4,830,212 | |
Entergy Louisiana 4.05% 9/1/23 | 480,000 | 507,431 | |
NextEra Energy Capital Holdings 3.15% 4/1/24 | 5,320,000 | 5,625,577 | |
NRG Energy 3.75% 6/15/24 | 9,895,000 | 10,554,654 | |
OGE Energy 0.70% 5/26/23 | 8,925,000 | 8,925,746 | |
Pacific Gas and Electric 3.75% 2/15/24 | 8,690,000 | 9,064,840 | |
Southern California Edison 1.10% 4/1/24 | 10,370,000 | 10,420,098 | |
Vistra Operations 3.55% 7/15/24 | 5,945,000 | 6,253,099 | |
WEC Energy Group 0.80% 3/15/24 | 7,115,000 | 7,136,967 | |
| 85,640,608 | |||
| Electrical Components & Equipment–0.22% | |||
WESCO Distribution 7.13% 6/15/25 | 3,008,000 | 3,209,927 | |
| 3,209,927 | |||
| Engineering & Construction–0.14% | |||
Artera Services 9.03% 12/4/25 | 1,875,000 | 2,034,375 | |
| 2,034,375 | |||
| Entertainment–0.50% | |||
Scientific Games International 5.00% 10/15/25 | 3,410,000 | 3,508,037 | |
Six Flags Entertainment 4.88% 7/31/24 | 3,535,000 | 3,568,141 | |
| 7,076,178 | |||
| Food–0.51% | |||
Conagra Brands 0.50% 8/11/23 | 3,450,000 | 3,449,931 | |
General Mills 3.70% 10/17/23 | 3,640,000 | 3,863,502 | |
| 7,313,433 | |||
| Forest Products & Paper–0.24% | |||
Inversiones CMPC 4.75% 9/15/24 | 3,120,000 | 3,399,240 | |
| 3,399,240 | |||
| Principal Amount° | Value (U.S. $) | ||
| CORPORATE BONDS (continued) | |||
| Health Care Products–0.12% | |||
Ortho-Clinical Diagnostics 7.38% 6/1/25 | 1,621,000 | $ 1,710,155 | |
| 1,710,155 | |||
| Insurance–3.95% | |||
| Athene Global Funding | |||
•0.75% (SOFR + 0.70%) 5/24/24 | 8,585,000 | 8,628,028 | |
1.00% 4/16/24 | 10,665,000 | 10,701,916 | |
| Brighthouse Financial Global Funding | |||
•0.81% (SOFR + 0.76%) 4/12/24 | 4,385,000 | 4,415,848 | |
1.00% 4/12/24 | 6,265,000 | 6,296,200 | |
Equitable Financial Life Global Funding 0.80% 8/12/24 | 1,825,000 | 1,822,869 | |
Equitable Holdings 3.90% 4/20/23 | 3,744,000 | 3,927,624 | |
F&G Global Funding 0.90% 9/20/24 | 7,160,000 | 7,146,826 | |
GA Global Funding Trust 1.00% 4/8/24 | 10,035,000 | 10,078,351 | |
USIS 6.88% 5/1/25 | 3,266,000 | 3,323,873 | |
| 56,341,535 | |||
| Internet–0.26% | |||
JD.com 3.88% 4/29/26 | 3,470,000 | 3,766,833 | |
| 3,766,833 | |||
| Iron & Steel–0.44% | |||
Steel Dynamics 2.80% 12/15/24 | 6,000,000 | 6,330,176 | |
| 6,330,176 | |||
| Leisure Time–0.16% | |||
Carnival 7.63% 3/1/26 | 2,117,000 | 2,259,898 | |
| 2,259,898 | |||
| Lodging–0.23% | |||
Boyd Gaming 8.63% 6/1/25 | 2,426,000 | 2,629,177 | |
Station Casinos 5.00% 10/1/25 | 719,000 | 729,210 | |
| 3,358,387 | |||
| Machinery Diversified–0.09% | |||
Welbilt 9.50% 2/15/24 | 1,313,000 | 1,349,501 | |
| 1,349,501 | |||
| Media–1.45% | |||
AMC Networks 5.00% 4/1/24 | 1,360,000 | 1,375,300 | |
Charter Communications Operating 4.91% 7/23/25 | 4,810,000 | 5,409,444 | |
Fox 4.03% 1/25/24 | 4,025,000 | 4,318,576 | |
LVIP Delaware Limited-Term Diversified Income Fund–3
LVIP Delaware Limited-Term Diversified Income Fund
Schedule of Investments (continued)
| Principal Amount° | Value (U.S. $) | ||
| CORPORATE BONDS (continued) | |||
| Media (continued) | |||
Time Warner Entertainment 8.38% 3/15/23 | 8,635,000 | $ 9,592,104 | |
| 20,695,424 | |||
| Mining–0.32% | |||
First Quantum Minerals 7.50% 4/1/25 | 4,500,000 | 4,616,235 | |
| 4,616,235 | |||
| Miscellaneous Manufacturing–0.26% | |||
Carlisle 0.55% 9/1/23 | 3,690,000 | 3,688,409 | |
| 3,688,409 | |||
| Oil & Gas–0.84% | |||
Apache 4.63% 11/15/25 | 1,965,000 | 2,112,375 | |
Devon Energy 5.25% 9/15/24 | 1,908,000 | 2,113,387 | |
Murphy Oil 5.75% 8/15/25 | 2,706,000 | 2,793,187 | |
Occidental Petroleum 5.50% 12/1/25 | 2,793,000 | 3,093,248 | |
Southwestern Energy 6.45% 1/23/25 | 1,686,000 | 1,856,404 | |
| 11,968,601 | |||
| Oil & Gas Services–0.44% | |||
Schlumberger Holdings 3.75% 5/1/24 | 5,865,000 | 6,265,863 | |
| 6,265,863 | |||
| Packaging & Containers–0.54% | |||
Mauser Packaging Solutions Holding 5.50% 4/15/24 | 7,592,000 | 7,658,430 | |
| 7,658,430 | |||
| Pharmaceuticals–2.18% | |||
| AbbVie | |||
2.60% 11/21/24 | 7,125,000 | 7,490,014 | |
3.75% 11/14/23 | 2,150,000 | 2,290,573 | |
Bausch Health 6.13% 4/15/25 | 2,112,000 | 2,155,613 | |
Bristol-Myers Squibb 2.90% 7/26/24 | 3,393,000 | 3,602,484 | |
| Cigna | |||
•1.02% (LIBOR03M + 0.89%) 7/15/23 | 6,130,000 | 6,205,026 | |
3.75% 7/15/23 | 590,000 | 623,636 | |
CVS Health 3.70% 3/9/23 | 1,239,000 | 1,293,811 | |
Takeda Pharmaceutical 4.40% 11/26/23 | 6,425,000 | 6,923,558 | |
Viatris 1.65% 6/22/25 | 500,000 | 505,003 | |
| 31,089,718 | |||
| Pipelines–2.95% | |||
Cheniere Corpus Christi Holdings 7.00% 6/30/24 | 4,455,000 | 5,038,699 | |
| Enbridge | |||
0.01% 10/4/23 | 2,150,000 | 2,150,645 | |
| Principal Amount° | Value (U.S. $) | ||
| CORPORATE BONDS (continued) | |||
| Pipelines (continued) | |||
| Enbridge (continued) | |||
•0.45% (SOFR + 0.40%) 2/17/23 | 8,545,000 | $ 8,568,926 | |
MPLX 4.88% 12/1/24 | 6,200,000 | 6,867,419 | |
NuStar Logistics 5.75% 10/1/25 | 3,345,000 | 3,604,237 | |
ONEOK 7.50% 9/1/23 | 4,745,000 | 5,280,346 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 9,475,000 | 10,552,392 | |
| 42,062,664 | |||
| Retail–0.03% | |||
IRB Holding 7.00% 6/15/25 | 390,000 | 414,073 | |
| 414,073 | |||
| Semiconductors–1.44% | |||
| Microchip Technology | |||
0.98% 9/1/24 | 6,980,000 | 6,971,554 | |
4.33% 6/1/23 | 2,250,000 | 2,378,060 | |
| NXP | |||
2.70% 5/1/25 | 295,000 | 308,110 | |
4.88% 3/1/24 | 6,825,000 | 7,444,192 | |
SK Hynix 1.50% 1/19/26 | 3,510,000 | 3,464,651 | |
| 20,566,567 | |||
| Software–0.49% | |||
Roper Technologies 2.35% 9/15/24 | 6,670,000 | 6,983,696 | |
| 6,983,696 | |||
| Telecommunications–1.67% | |||
NBN 0.88% 10/8/24 | 7,100,000 | 7,075,531 | |
Sprint Spectrum 4.74% 3/20/25 | 1,526,875 | 1,630,702 | |
T-Mobile USA 3.50% 4/15/25 | 4,850,000 | 5,224,941 | |
Verizon Communications 0.75% 3/22/24 | 9,805,000 | 9,842,651 | |
| 23,773,825 | |||
Total Corporate Bonds (Cost $692,084,403) | 707,920,857 | ||
| NON-AGENCY ASSET-BACKED SECURITIES–14.88% | |||
American Tower Trust Series 13 2A 3.07% 3/15/48 | 1,575,000 | 1,577,982 | |
•AMMC CLO Series 2020-23A A1L 1.53% (LIBOR03M + 1.40%) 10/17/31 | 7,800,000 | 7,800,952 | |
ARI Fleet Lease Trust 2018-B Series 2018-B A2 3.22% 8/16/27 | 1,002,060 | 1,005,067 | |
| •Ballyrock CLO | |||
Series 2018-1A A1 1.13% (LIBOR03M + 1.00%) 4/20/31 | 5,250,000 | 5,243,553 | |
LVIP Delaware Limited-Term Diversified Income Fund–4
LVIP Delaware Limited-Term Diversified Income Fund
Schedule of Investments (continued)
| Principal Amount° | Value (U.S. $) | ||
| NON-AGENCY ASSET-BACKED SECURITIES (continued) | |||
| •Ballyrock CLO (continued) | |||
Series 2020-2A A1 1.45% (LIBOR03M + 1.32%) 10/20/31 | 4,000,000 | $ 4,000,680 | |
•Battalion CLO Series 2020-18A A1 1.93% (LIBOR03M + 1.80%) 10/15/32 | 4,000,000 | 4,001,592 | |
•Benefit Street Partners CLO IX Series 2016-9A AR 1.24% (LIBOR03M + 1.11%) 7/20/31 | 1,550,000 | 1,548,041 | |
•Benefit Street Partners CLO VIII Series 2015-8A A1AR 1.23% (LIBOR03M + 1.10%) 1/20/31 | 2,000,000 | 2,000,184 | |
•BlueMountain CLO XXX Series 2020-30A A 1.52% (LIBOR03M + 1.39%) 1/15/33 | 2,000,000 | 2,007,386 | |
•Carlyle Global Market Strategies CLO Series 2014-2RA A1 1.17% (LIBOR03M + 1.05%) 5/15/31 | 4,573,349 | 4,567,623 | |
•CBAM CLO 1.56% (LIBOR03M + 1.43%) 1/20/34 | 7,000,000 | 7,027,524 | |
•Cedar Funding IX CLO Series 2018-9A A1 1.11% (LIBOR03M + 0.98%) 4/20/31 | 2,150,000 | 2,152,892 | |
Chase Auto Credit Linked NoteS Series 2020-2 B 0.84% 2/25/28 | 4,881,734 | 4,888,403 | |
•CIFC Funding Series 2013-4A A1RR 1.19% (LIBOR03M + 1.06%) 4/27/31 | 6,850,000 | 6,851,993 | |
Dell Equipment Finance Trust Series 2021-2 A2 0.33% 12/22/26 | 11,700,000 | 11,693,255 | |
•Dryden 83 CLO Series 2020-83A A 1.35% (LIBOR03M + 1.22%) 1/18/32 | 6,650,000 | 6,653,631 | |
•Elmwood CLO VII Series 2020-4A A 1.52% (LIBOR03M + 1.39%) 1/17/34 | 1,000,000 | 1,006,265 | |
Ford Credit Auto Owner Trust Series 2021-A B 0.70% 10/15/26 | 4,000,000 | 3,965,680 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 A1 0.70% 9/15/25 | 26,000,000 | 26,123,474 | |
| Principal Amount° | Value (U.S. $) | ||
| NON-AGENCY ASSET-BACKED SECURITIES (continued) | |||
•Galaxy XXI CLO Series 2015-21A AR 1.15% (LIBOR03M + 1.02%) 4/20/31 | 3,500,000 | $ 3,500,227 | |
GM Financial Automobile Leasing Trust Series 2020-3 A2A 0.35% 11/21/22 | 1,565,846 | 1,566,380 | |
GM Financial Leasing Trust Series 2021-1 B 0.54% 2/20/25 | 6,500,000 | 6,500,964 | |
GMF Floorplan Owner Revolving Trust Series 2020-1 A 0.68% 8/15/25 | 16,000,000 | 16,061,714 | |
GreatAmerica Leasing Receivables Funding Series 2021-1 B 0.72% 12/15/26 | 3,600,000 | 3,568,270 | |
•KKR CLO Series 32A A1 1.45% (LIBOR03M + 1.32%) 1/15/32 | 3,450,000 | 3,460,039 | |
•LCM XVIII Series 18A A1R 1.15% (LIBOR03M + 1.02%) 4/20/31 | 5,003,000 | 4,994,255 | |
Mercedes-Benz Master Owner Trust Series 2019-BA A 2.61% 5/15/24 | 2,400,000 | 2,436,026 | |
MMAF Equipment Finance Series 2020-BA A2 0.38% 8/14/23 | 11,178,617 | 11,184,537 | |
•Oaktree CLO Series 2019-2A A1AR 1.25% (LIBOR03M + 1.12%) 4/15/31 | 2,000,000 | 2,000,130 | |
•Octagon Investment Partners 33 Series 2017-1A A1 1.32% (LIBOR03M + 1.19%) 1/20/31 | 5,750,000 | 5,750,052 | |
•Octagon Investment Partners 48 Series 2020-3A A 1.63% (LIBOR03M + 1.50%) 10/20/31 | 1,200,000 | 1,200,223 | |
PFS Financing Series 2020-G A 0.97% 2/15/26 | 4,000,000 | 4,023,333 | |
•Sound Point CLO XXI Series 2018-3A A1A 1.31% (LIBOR03M + 1.18%) 10/26/31 | 4,850,000 | 4,852,250 | |
Tesla Auto Lease Trust Series 2021-A B 1.02% 3/20/25 | 11,750,000 | 11,787,982 | |
•Towd Point Mortgage Trust Series 2015-6 A1B 2.75% 4/25/55 | 55,967 | 56,089 | |
Trafigura Securitisation Finance Series 2021-1A A2 1.08% 1/15/25 | 10,150,000 | 10,102,375 | |
UNIFY Auto Receivables Trust Series 2021-1A A3 0.51% 6/16/25 | 1,900,000 | 1,901,600 | |
LVIP Delaware Limited-Term Diversified Income Fund–5
LVIP Delaware Limited-Term Diversified Income Fund
Schedule of Investments (continued)
| Principal Amount° | Value (U.S. $) | ||
| NON-AGENCY ASSET-BACKED SECURITIES (continued) | |||
Verizon Owner Trust Series 2020-C A 0.41% 4/21/25 | 2,000,000 | $ 2,003,539 | |
•York CLO-6 Series 2019-1A A1 1.49% (LIBOR03M + 1.35%) 7/22/32 | 6,300,000 | 6,302,955 | |
•Zais CLO Series 2020-16A A1 2.32% (LIBOR03M + 2.19%) 10/20/31 | 5,000,000 | 5,002,365 | |
Total Non-Agency Asset-Backed Securities (Cost $211,738,244) | 212,371,482 | ||
| NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–1.75% | |||
| •Freddie Mac STACR REMIC Trust | |||
Series 2020-DNA6 M1 0.95% (SOFR30A + 0.90%) 12/25/50 | 2,808,132 | 2,810,764 | |
Series 2021-DNA1 M1 0.70% (SOFR30A + 0.65%) 1/25/51 | 3,276,674 | 3,276,674 | |
Series 2021-DNA3 M1 0.80% (SOFR30A + 0.75%) 10/25/33 | 5,100,000 | 5,103,187 | |
Series 2021-DNA5 M1 0.70% (SOFR30A + 0.65%) 1/25/34 | 4,221,387 | 4,222,190 | |
Series 2021-HQA1 M1 0.75% (SOFR30A + 0.70%) 8/25/33 | 4,603,442 | 4,601,494 | |
Series 2021-HQA2 M1 0.75% (SOFR30A + 0.70%) 12/25/33 | 3,685,000 | 3,687,086 | |
| •Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA3 M2 2.59% (LIBOR01M + 2.50%) 3/25/30 | 450,000 | 460,552 | |
Series 2017-HQA2 M2AS 1.14% (LIBOR01M + 1.05%) 12/25/29 | 804,666 | 805,798 | |
Total Non-Agency Collateralized Mortgage Obligations (Cost $24,946,334) | 24,967,745 | ||
| Principal Amount° | Value (U.S. $) | ||
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITY–0.01% | |||
•LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.45% 9/15/39 | 377,715 | $ 132,200 | |
Total Non-Agency Commercial Mortgage-Backed Security (Cost $401,164) | 132,200 | ||
| U.S. TREASURY OBLIGATIONS–21.73% | |||
| U.S. Treasury Notes | |||
0.13% 7/31/23 | 111,665,000 | 111,425,094 | |
0.38% 9/15/24 | 161,250,000 | 160,557,128 | |
2.50% 8/15/23 | 36,720,000 | 38,256,216 | |
Total U.S. Treasury Obligations (Cost $311,021,645) | 310,238,438 | ||
| Number of Shares | |||
| MONEY MARKET FUND–3.39% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%) | 48,311,471 | 48,311,471 | |
Total Money Market Fund (Cost $48,311,471) | 48,311,471 | ||
TOTAL INVESTMENTS–100.28% (Cost $1,413,636,276) | 1,431,421,565 | ||
LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.28%) | (3,934,387) | ||
NET ASSETS APPLICABLE TO 143,820,949 SHARES OUTSTANDING–100.00% | $1,427,487,178 | ||
| ° 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. |
LVIP Delaware Limited-Term Diversified Income Fund–6
LVIP Delaware Limited-Term Diversified Income Fund
Schedule of Investments (continued)
| • 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. | |
| 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 following futures contracts were outstanding at September 30, 2021: |
Futures Contract
| Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
| Interest Rate Contract: | |||||||||||
| (255) | U.S. Treasury 5 yr Notes | $(31,299,258) | $(31,461,842) | 12/31/21 | $162,584 | $— | |||||
| The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. |
| 1 Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through September 30, 2021. |
| Summary of Abbreviations: |
| CLO–Collateralized Loan Obligation |
| CMPC–Coût Moyen Pondéré du Capital |
| FREMF–Freddie Mac Multifamily |
| GNMA–Government National Mortgage Association |
| LB–Lehman Brothers |
| LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month |
| LIBOR03M–Intercontinental Exchange London Interbank Offered Rate USD 3 Month |
| S.F.–Single Family |
| SOFR–Secured Overnight Financing Rate |
| SOFR30A–Secured Overnight Financing Rate 30 Days Average |
| yr–Year |
See accompanying notes.
LVIP Delaware Limited-Term Diversified Income Fund–7
LVIP Delaware Limited-Term Diversified Income Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Delaware Limited-Term Diversified Income Fund (the “Fund”) is an investment company in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The following accounting policies are in accordance with U.S. GAAP and are consistently followed by the Fund.
Security Valuation–U.S. government and agency securities are valued at the evaluated bid price, 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. 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. 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 (the “Board”). In determining whether market quotations are reliable or readily available, various factors are taken into consideration, such as market closures or suspension of trading in a security. Futures contracts are valued at the daily quoted settlement prices. Other debt securities 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.
2. Investments
U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. Each investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
| Level 1– | inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts) |
| Level 2– | other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing) |
| Level 3– | inputs are significant unobservable inputs (including the Fund's own assumptions used to determine the fair value of investments) (e.g., indicative quotes from brokers, fair valued securities) |
LVIP Delaware Limited-Term Diversified Income Fund–8
LVIP Delaware Limited-Term Diversified Income Fund
Notes (continued)
2. Investments (continued)
The following table summarizes the valuation of the Fund's investments by fair value hierarchy levels as of September 30, 2021:
| Level 1 | Level 2 | Level 3 | Total | ||||
| Investments: | |||||||
| Assets: | |||||||
Agency Collateralized Mortgage Obligations | $— | $16,350,261 | $— | $16,350,261 | |||
Agency Commercial Mortgage-Backed Securities | — | 9,093,602 | — | 9,093,602 | |||
Agency Mortgage-Backed Securities | — | 102,035,509 | — | 102,035,509 | |||
Corporate Bonds | — | 707,920,857 | — | 707,920,857 | |||
Non-Agency Asset-Backed Securities | — | 212,371,482 | — | 212,371,482 | |||
Non-Agency Collateralized Mortgage Obligations | — | 24,967,745 | — | 24,967,745 | |||
Non-Agency Commercial Mortgage-Backed Security | — | 132,200 | — | 132,200 | |||
U.S. Treasury Obligations | — | 310,238,438 | — | 310,238,438 | |||
Money Market Fund | 48,311,471 | — | — | 48,311,471 | |||
Total Investments | $48,311,471 | $1,383,110,094 | $— | $1,431,421,565 | |||
| Derivatives: |
| Assets: | |||||||
Futures Contract | $162,584 | $— | $— | $162,584 |
There were no Level 3 investments at the beginning or end of the period.
LVIP Delaware Limited-Term Diversified Income Fund–9