LVIP Global Income Fund
Schedule of Investments
September 30, 2021 (unaudited)
| Principal Amount° | Value (U.S. $) | ||
| ΔCORPORATE BONDS–1.61% | |||
| Belgium–0.06% | |||
μAgeas 1.88% 11/24/51 | EUR | 400,000 | $ 467,766 |
| 467,766 | |||
| Canada–0.41% | |||
Bank of Nova Scotia 0.50% 4/30/24 | EUR | 900,000 | 1,061,003 |
Royal Bank of Canada 0.25% 5/2/24 | EUR | 950,000 | 1,112,581 |
Toronto-Dominion Bank 0.38% 4/25/24 | EUR | 900,000 | 1,056,711 |
| 3,230,295 | |||
| France–0.28% | |||
Air Liquide Finance 1.00% 4/2/25 | EUR | 900,000 | 1,084,528 |
BPCE 0.63% 4/28/25 | EUR | 900,000 | 1,066,478 |
| 2,151,006 | |||
| Germany–0.32% | |||
Kreditanstalt fuer Wiederaufbau 2.60% 6/20/37 | JPY | 200,000,000 | 2,473,361 |
| 2,473,361 | |||
| Italy–0.07% | |||
μAssicurazioni Generali 5.00% 6/8/48 | EUR | 400,000 | 562,768 |
| 562,768 | |||
| Mexico–0.05% | |||
| Petroleos Mexicanos | |||
6.88% 10/16/25 | 40,000 | 43,800 | |
6.88% 8/4/26 | 360,000 | 391,536 | |
| 435,336 | |||
| South Africa–0.00% | |||
@K2016470219 South Africa PIK 3.00% 12/31/22 | 103,694 | 104 | |
| 104 | |||
| Switzerland–0.28% | |||
μArgentum Netherlands for Zurich Insurance 3.50% 10/1/46 | EUR | 800,000 | 1,054,803 |
UBS 0.01% 3/31/26 | EUR | 950,000 | 1,097,253 |
| 2,152,056 | |||
| United States–0.14% | |||
Delta Air Lines 4.50% 10/20/25 | 1,000,000 | 1,070,000 | |
Sanchez Energy 7.75% 6/15/21 | 150,000 | 4,500 | |
| 1,074,500 | |||
Total Corporate Bonds (Cost $13,055,610) | 12,547,192 | ||
| LOAN AGREEMENTS–0.03% | |||
•Fieldwood Energy 7.50% (PRIME + 4.25%) 4/11/22 | 205,791 | 205,791 | |
| Principal Amount° | Value (U.S. $) | ||
| LOAN AGREEMENTS (continued) | |||
•Onsite Rental Group Pty 6.10% (LIBOR06M + 6.10%) 10/26/23 | 121,112 | $ 67,823 | |
•SCIH Salt Holdings 4.75% (LIBOR03M + 4.00%) 3/16/27 | 7,029 | 7,032 | |
•Univision Communications 4.00% (LIBOR01M + 3.25%) 3/15/26 | 27 | 27 | |
Total Loan Agreements (Cost $333,276) | 280,673 | ||
| ΔSOVEREIGN BONDS–51.65% | |||
| Australia–2.05% | |||
| Australia Government Bonds | |||
0.50% 9/21/26 | AUD | 7,850,000 | 5,596,997 |
3.00% 3/21/47 | AUD | 3,600,000 | 2,930,361 |
3.25% 4/21/25 | AUD | 6,000,000 | 4,766,192 |
4.75% 4/21/27 | AUD | 3,100,000 | 2,711,255 |
| 16,004,805 | |||
| Austria–1.01% | |||
| Republic of Austria Government Bond | |||
1.50% 2/20/47 | EUR | 1,000,000 | 1,411,961 |
6.25% 7/15/27 | EUR | 4,000,000 | 6,443,966 |
| 7,855,927 | |||
| Belgium–1.19% | |||
| Kingdom of Belgium Government Bond | |||
0.01% 10/22/31 | EUR | 4,300,000 | 4,918,773 |
0.10% 6/22/30 | EUR | 900,000 | 1,054,748 |
0.40% 6/22/40 | EUR | 2,500,000 | 2,778,007 |
1.70% 6/22/50 | EUR | 350,000 | 487,350 |
| 9,238,878 | |||
| Canada–0.46% | |||
| Canadian Government Bond | |||
1.00% 6/1/27 | CAD | 3,650,000 | 2,858,389 |
3.50% 12/1/45 | CAD | 700,000 | 718,569 |
| 3,576,958 | |||
| Chile–0.05% | |||
Chile Government International Bond 3.50% 1/25/50 | 400,000 | 399,400 | |
| 399,400 | |||
| Denmark–0.12% | |||
Denmark Government Bond 0.50% 11/15/29 | DKK | 5,600,000 | 913,288 |
| 913,288 | |||
| Finland–0.97% | |||
Finland Government Bond 0.50% 9/15/27 | EUR | 6,200,000 | 7,556,011 |
| 7,556,011 | |||
| France–3.63% | |||
| French Republic Government Bond O.A.T. | |||
0.50% 6/25/44 | EUR | 2,600,000 | 2,872,557 |
1.25% 5/25/36 | EUR | 3,000,000 | 3,875,466 |
LVIP Global Income Fund–1
LVIP Global Income Fund
Schedule of Investments (continued)
| Principal Amount° | Value (U.S. $) | ||
| ΔSOVEREIGN BONDS (continued) | |||
| France (continued) | |||
| French Republic Government Bond O.A.T. (continued) | |||
1.25% 5/25/36 | EUR | 2,250,000 | $ 2,906,599 |
1.50% 5/25/31 | EUR | 14,130,000 | 18,593,135 |
| 28,247,757 | |||
| Germany–3.64% | |||
Bundesobligation 0.01% 4/5/24 | EUR | 3,900,000 | 4,599,197 |
| Bundesrepublik Deutschland Bundesanleihe | |||
0.01% 8/15/31 | EUR | 1,350,000 | 1,593,913 |
0.01% 8/15/50 | EUR | 900,000 | 961,065 |
2.50% 7/4/44 | EUR | 3,500,000 | 6,210,610 |
4.00% 1/4/37 | EUR | 6,400,000 | 11,986,805 |
4.25% 7/4/39 | EUR | 1,500,000 | 3,039,956 |
| 28,391,546 | |||
| Ireland–0.16% | |||
Ireland Government Bond 0.01% 10/18/31 | EUR | 1,100,000 | 1,250,195 |
| 1,250,195 | |||
| Israel–0.11% | |||
Israel Government Bond - Fixed 2.25% 9/28/28 | ILS | 2,550,000 | 860,401 |
| 860,401 | |||
| Italy–8.44% | |||
| Italy Buoni Poliennali Del Tesoro | |||
0.01% 1/15/24 | EUR | 7,450,000 | 8,690,408 |
0.60% 8/1/31 | EUR | 5,000,000 | 5,651,120 |
0.95% 3/1/23 | EUR | 10,150,000 | 11,986,941 |
1.45% 5/15/25 | EUR | 5,500,000 | 6,730,510 |
1.80% 3/1/41 | EUR | 2,950,000 | 3,566,256 |
2.00% 2/1/28 | EUR | 10,000,000 | 12,766,290 |
2.45% 9/1/50 | EUR | 400,000 | 531,432 |
2.95% 9/1/38 | EUR | 8,500,000 | 12,159,621 |
4.75% 9/1/44 | EUR | 2,000,000 | 3,697,221 |
| 65,779,799 | |||
| Japan–15.17% | |||
| Japan Government 10 yr Bonds | |||
0.10% 6/20/26 | JPY | 1,510,000,000 | 13,684,498 |
0.10% 3/20/28 | JPY | 1,081,900,000 | 9,817,639 |
0.60% 6/20/24 | JPY | 906,800,000 | 8,306,107 |
Japan Government 2 yr Bonds 0.10% 9/1/22 | JPY | 740,000,000 | 6,661,961 |
| Japan Government 20 yr Bonds | |||
0.20% 6/20/36 | JPY | 1,550,000,000 | 13,799,659 |
0.60% 12/20/37 | JPY | 1,333,250,000 | 12,514,545 |
1.50% 3/20/34 | JPY | 1,035,000,000 | 10,816,933 |
1.60% 6/20/30 | JPY | 300,000,000 | 3,067,820 |
1.90% 6/20/25 | JPY | 456,000,000 | 4,401,724 |
| Japan Government 30 yr Bonds | |||
0.30% 6/20/46 | JPY | 1,865,000,000 | 15,754,847 |
0.60% 9/20/50 | JPY | 663,900,000 | 5,868,830 |
1.70% 9/20/44 | JPY | 1,200,000,000 | 13,506,698 |
| 118,201,261 | |||
| Malaysia–0.70% | |||
| Malaysia Government Bonds | |||
3.76% 5/22/40 | MYR | 2,000,000 | 456,496 |
| Principal Amount° | Value (U.S. $) | ||
| ΔSOVEREIGN BONDS (continued) | |||
| Malaysia (continued) | |||
| Malaysia Government Bonds (continued) | |||
3.90% 11/30/26 | MYR | 6,000,000 | $ 1,498,603 |
3.90% 11/16/27 | MYR | 2,750,000 | 682,551 |
4.18% 7/15/24 | MYR | 6,000,000 | 1,495,479 |
4.25% 5/31/35 | MYR | 5,250,000 | 1,299,978 |
| 5,433,107 | |||
| Mexico–3.20% | |||
| Mexican Bonos | |||
7.50% 6/3/27 | MXN | 107,500,000 | 5,290,709 |
7.75% 5/29/31 | MXN | 67,450,000 | 3,350,133 |
7.75% 11/23/34 | MXN | 122,900,000 | 6,067,508 |
8.00% 11/7/47 | MXN | 200,000,000 | 9,755,202 |
Mexico Government International Bond 2.25% 8/12/36 | EUR | 400,000 | 455,232 |
| 24,918,784 | |||
| Netherlands–3.17% | |||
| Netherlands Government Bond | |||
0.25% 7/15/29 | EUR | 11,850,000 | 14,249,342 |
0.50% 1/15/40 | EUR | 3,500,000 | 4,271,110 |
2.75% 1/15/47 | EUR | 3,300,000 | 6,149,221 |
| 24,669,673 | |||
| Norway–0.06% | |||
Norway Government Bond 1.25% 9/17/31 | NOK | 3,950,000 | 437,576 |
| 437,576 | |||
| Panama–0.06% | |||
Panama Government International Bond 4.50% 4/16/50 | 400,000 | 435,284 | |
| 435,284 | |||
| Peru–0.06% | |||
Peruvian Government International Bond 3.55% 3/10/51 | 450,000 | 446,755 | |
| 446,755 | |||
| Philippines–0.05% | |||
Philippine Government International Bond 2.65% 12/10/45 | 450,000 | 410,734 | |
| 410,734 | |||
| Poland–0.13% | |||
Republic of Poland Government Bond 2.50% 7/25/26 | PLN | 3,950,000 | 1,043,799 |
| 1,043,799 | |||
| Portugal–0.08% | |||
Portugal Obrigacoes do Tesouro OT 1.00% 4/12/52 | EUR | 550,000 | 589,065 |
| 589,065 | |||
LVIP Global Income Fund–2
LVIP Global Income Fund
Schedule of Investments (continued)
| Principal Amount° | Value (U.S. $) | ||
| ΔSOVEREIGN BONDS (continued) | |||
| Romania–0.11% | |||
Romanian Government International Bond 3.62% 5/26/30 | EUR | 650,000 | $ 847,073 |
| 847,073 | |||
| Russia–0.28% | |||
Russian Federal Bond - OFZ 6.90% 5/23/29 | RUB | 162,300,000 | 2,197,222 |
| 2,197,222 | |||
| Singapore–2.57% | |||
| Singapore Government Bonds | |||
2.38% 6/1/25 | SGD | 7,700,000 | 5,999,853 |
2.88% 7/1/29 | SGD | 1,000,000 | 814,553 |
2.88% 9/1/30 | SGD | 16,100,000 | 13,177,147 |
| 19,991,553 | |||
| Spain–1.35% | |||
| Spain Government Bond | |||
0.01% 5/31/24 | EUR | 3,700,000 | 4,338,183 |
0.10% 4/30/31 | EUR | 2,450,000 | 2,761,332 |
0.50% 10/31/31 | EUR | 900,000 | 1,046,795 |
1.00% 10/31/50 | EUR | 600,000 | 638,083 |
2.90% 10/31/46 | EUR | 1,100,000 | 1,744,339 |
| 10,528,732 | |||
| Sweden–0.07% | |||
Sweden Government Bond 0.75% 11/12/29 | SEK | 4,550,000 | 538,558 |
| 538,558 | |||
| United Kingdom–2.76% | |||
| United Kingdom Gilt | |||
0.13% 1/31/24 | GBP | 2,300,000 | 3,077,475 |
0.38% 10/22/30 | GBP | 1,200,000 | 1,533,883 |
1.25% 10/22/41 | GBP | 2,700,000 | 3,556,947 |
1.25% 7/31/51 | GBP | 2,100,000 | 2,722,539 |
4.25% 12/7/27 | GBP | 4,250,000 | 6,955,631 |
4.50% 9/7/34 | GBP | 1,954,632 | 3,683,030 |
| 21,529,505 | |||
Total Sovereign Bonds (Cost $395,448,453) | 402,293,646 | ||
| SUPRANATIONAL BANKS–3.60% | |||
Asian Development Bank 2.35% 6/21/27 | JPY | 1,200,000,000 | 12,314,839 |
| European Investment Bank | |||
0.01% 1/14/31 | EUR | 1,400,000 | 1,622,400 |
2.15% 1/18/27 | JPY | 1,400,000,000 | 14,099,531 |
Total Supranational Banks (Cost $27,266,655) | 28,036,770 | ||
| U.S. TREASURY OBLIGATIONS–40.36% | |||
| U.S. Treasury Bonds | |||
1.13% 8/15/40 | 6,300,000 | 5,421,445 | |
1.38% 8/15/50 | 9,000,000 | 7,594,453 | |
2.25% 5/15/41 | 10,500,000 | 10,918,359 | |
2.50% 2/15/46 | 7,900,000 | 8,543,727 | |
3.13% 8/15/44 | 3,650,000 | 4,368,166 | |
3.63% 8/15/43 | 8,000,000 | 10,268,437 | |
| Principal Amount° | Value (U.S. $) | ||
| U.S. TREASURY OBLIGATIONS (continued) | |||
| U.S. Treasury Bonds (continued) | |||
4.50% 5/15/38 | 7,300,000 | $ 10,143,293 | |
5.38% 2/15/31 | 14,500,000 | 19,518,359 | |
| U.S. Treasury Notes | |||
0.13% 8/31/22 | 26,400,000 | 26,406,188 | |
0.13% 8/15/23 | 32,000,000 | 31,920,000 | |
0.13% 2/15/24 | 1,550,000 | 1,541,100 | |
0.88% 11/15/30 | 2,500,000 | 2,372,461 | |
1.13% 2/28/25 | 7,570,000 | 7,696,265 | |
1.25% 8/15/31 | 1,600,000 | 1,561,250 | |
1.38% 2/15/23 | 12,500,000 | 12,707,031 | |
1.38% 6/30/23 | 3,400,000 | 3,468,000 | |
1.50% 2/28/23 | 1,600,000 | 1,630,125 | |
1.50% 11/30/24 | 950,000 | 977,795 | |
1.63% 8/15/22 | 19,309,000 | 19,568,465 | |
1.63% 11/15/22 | 4,300,000 | 4,372,562 | |
1.63% 4/30/23 | 4,200,000 | 4,294,008 | |
1.63% 5/31/23 | 1,700,000 | 1,739,645 | |
1.63% 2/15/26 | 18,000,000 | 18,572,344 | |
1.88% 1/31/22 | 7,000,000 | 7,042,388 | |
2.00% 2/15/25 | 930,000 | 972,758 | |
2.00% 8/15/25 | 19,500,000 | 20,418,633 | |
2.13% 7/31/24 | 1,500,000 | 1,569,375 | |
2.13% 5/15/25 | 1,100,000 | 1,156,031 | |
2.50% 5/15/24 | 18,500,000 | 19,497,266 | |
2.63% 2/28/23 | 1,500,000 | 1,551,855 | |
2.75% 5/31/23 | 3,200,000 | 3,334,375 | |
2.75% 2/28/25 | 15,900,000 | 17,040,328 | |
2.75% 2/15/28 | 16,000,000 | 17,504,375 | |
2.88% 10/31/23 | 4,100,000 | 4,318,133 | |
2.88% 11/30/23 | 3,900,000 | 4,114,043 | |
2.88% 5/31/25 | 250,000 | 269,600 | |
Total U.S. Treasury Obligations (Cost $306,324,823) | 314,392,638 | ||
| AGENCY OBLIGATION–0.21% | |||
European Financial Stability Facility 0.01% 1/20/31 | 1,400,000 | 1,621,557 | |
Total Agency Obligation (Cost $1,682,129) | 1,621,557 | ||
| Number of Shares | |||
| COMMON STOCK–0.02% | |||
=†Appvion | 5,591 | 136,305 | |
=†Holdco Class A | 1,232,692 | 0 | |
=†K2016470219 South Africa | 7,273 | 0 | |
=†Remington Outdoor | 1,694 | 0 | |
Total Common Stock (Cost $57,305) | 136,305 | ||
| MONEY MARKET FUND–0.94% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%) | 7,275,526 | 7,275,526 | |
Total Money Market Fund (Cost $7,275,526) | 7,275,526 | ||
LVIP Global Income Fund–3
LVIP Global Income Fund
Schedule of Investments (continued)
TOTAL INVESTMENTS–98.42% (Cost $751,443,777) | $766,584,307 | ||
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.58% | 12,327,263 | ||
NET ASSETS APPLICABLE TO 69,941,992 SHARES OUTSTANDING –100.00% | $778,911,570 | ||
| ° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
| Δ Securities have been classified by country of origin. | |
| 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. | |
| @ PIK. 100% of the income received was in the form of additional par. | |
| • 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. | |
| = 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." | |
| † Non-income producing. |
| 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 | AUD | (7,438,000) | USD | 5,487,652 | 10/29/21 | $109,662 | $— | |||||
| SSB | EUR | (48,862,000) | USD | 57,828,400 | 10/29/21 | 1,197,296 | — | |||||
| SSB | EUR | 1,275,500 | USD | (1,500,453) | 10/29/21 | — | (22,147) | |||||
| SSB | GBP | 9,436,000 | USD | (13,038,825) | 10/29/21 | — | (324,267) | |||||
| SSB | JPY | (6,216,433,000) | USD | 56,565,788 | 10/29/21 | 699,166 | — | |||||
| SSB | MXN | (342,652,000) | USD | 16,911,146 | 10/29/21 | 384,344 | — | |||||
| SSB | MXN | 4,780,000 | USD | (235,821) | 10/29/21 | — | (5,272) | |||||
| SSB | NOK | 100,009,000 | USD | (11,312,532) | 10/29/21 | 125,324 | — | |||||
| SSB | PLN | 44,127,000 | USD | (11,360,494) | 10/29/21 | — | (266,182) | |||||
| SSB | SGD | (26,462,500) | USD | 19,464,791 | 10/29/21 | — | (23,345) | |||||
| SSB | SGD | 303,000 | USD | (223,273) | 10/29/21 | — | (130) | |||||
| Total Foreign Currency Exchange Contracts | $2,515,792 | $(641,343) | ||||||||||
Futures Contracts
| Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
| Interest Rate Contracts: | |||||||||||
| 29 | Euro-BOBL | $4,532,589 | $4,539,042 | 12/8/21 | $— | $(6,453) | |||||
| 7 | Euro-Bund | 1,376,977 | 1,393,041 | 12/8/21 | — | (16,064) | |||||
| 77 | U.S. Treasury 10 yr Notes | 10,133,922 | 10,202,656 | 12/21/21 | — | (68,734) | |||||
| 8 | U.S. Treasury 5 yr Notes | 981,938 | 981,764 | 12/31/21 | 174 | — | |||||
| Total Futures Contracts | $174 | $(91,251) | |||||||||
| 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. |
LVIP Global Income Fund–4
LVIP Global Income Fund
Schedule of Investments (continued)
| Summary of Abbreviations: |
| AUD–Australian Dollar |
| BOBL–Bundesobligationen |
| CAD–Canadian Dollar |
| DKK–Danish Krone |
| EUR–Euro |
| GBP–British Pound Sterling |
| ILS–Israeli Shekel |
| JPY–Japanese Yen |
| LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month |
| LIBOR03M–Intercontinental Exchange London Interbank Offered Rate USD 3 Month |
| LIBOR06M–Intercontinental Exchange London Interbank Offered Rate USD 6 Month |
| MXN–Mexican Peso |
| MYR–Malaysian Ringgit |
| NOK–Norwegian Krone |
| O.A.T.–Obligations Assimilables du Trésor (French Treasury Bond) |
| PIK–Payment-in-kind |
| PLN–Polish Zloty |
| PRIME–Federal Reserve Prime Lending Rate |
| RUB–Russian Rouble |
| SEK–Swedish Krona |
| SGD–Singapore Dollar |
| SSB–State Street Bank |
| USD–United States Dollar |
| yr–Year |
See accompanying notes.
LVIP Global Income Fund–5
LVIP Global Income Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Global 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–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. 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 and foreign cross 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. 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.
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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 Obligation | $— | $1,621,557 | $— | $1,621,557 | |||
Corporate Bonds | — | 12,547,192 | — | 12,547,192 | |||
Loan Agreements | — | 280,673 | — | 280,673 | |||
Sovereign Bonds | — | 402,293,646 | — | 402,293,646 | |||
Supranational Banks | — | 28,036,770 | — | 28,036,770 | |||
U.S. Treasury Obligations | — | 314,392,638 | — | 314,392,638 | |||
Common Stock | — | — | 136,305 | 136,305 | |||
Money Market Fund | 7,275,526 | — | — | 7,275,526 | |||
Total Investments | $7,275,526 | $759,172,476 | $136,305 | $766,584,307 | |||
| Derivatives: |
| Assets: | |||||||
Foreign Currency Exchange Contracts | $— | $2,515,792 | $— | $2,515,792 | |||
Futures Contract | $174 | $— | $— | $174 | |||
| Liabilities: | |||||||
Foreign Currency Exchange Contracts | $— | $(641,343) | $— | $(641,343) | |||
Futures Contracts | $(91,251) | $— | $— | $(91,251) |
During the period ended September 30, 2021, there were no material transfers to or from Level 3 investments.
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