LVIP Delaware High Yield Fund
Schedule of Investments
September 30, 2022 (unaudited)
Principal Amount° | Value (U.S. $) | ||
CONVERTIBLE BOND–0.14% | |||
Spirit Airlines, Inc. 1.00% exercise price $1.00, maturity date 5/15/26 | 245,000 | $ 208,617 | |
Total Convertible Bond (Cost $217,481) | 208,617 | ||
CORPORATE BONDS–87.38% | |||
Advertising–0.65% | |||
CMG Media Corp. 8.88% 12/15/27 | 1,290,000 | 985,515 | |
985,515 | |||
Aerospace & Defense–0.96% | |||
Bombardier, Inc. 6.00% 2/15/28 | 312,000 | 261,043 | |
TransDigm, Inc. 4.63% 1/15/29 | 1,478,000 | 1,189,834 | |
1,450,877 | |||
Airlines–0.71% | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. 5.75% 4/20/29 | 160,000 | 139,600 | |
Delta Air Lines, Inc. 7.38% 1/15/26 | 459,000 | 463,991 | |
Grupo Aeromexico SAB de CV 8.50% 3/17/27 | 535,000 | 468,098 | |
1,071,689 | |||
Auto Manufacturers–1.68% | |||
Allison Transmission, Inc. 5.88% 6/1/29 | 785,000 | 710,425 | |
Ford Motor Credit Co. LLC | |||
3.38% 11/13/25 | 505,000 | 446,171 | |
4.13% 8/17/27 | 560,000 | 481,880 | |
4.54% 8/1/26 | 510,000 | 454,102 | |
5.58% 3/18/24 | 460,000 | 450,938 | |
2,543,516 | |||
Auto Parts & Equipment–0.52% | |||
Goodyear Tire & Rubber Co. 5.25% 7/15/31 | 975,000 | 780,000 | |
780,000 | |||
Banks–2.52% | |||
μBarclays PLC 6.13% 12/15/25 | 915,000 | 770,979 | |
μDeutsche Bank AG 6.00% 10/30/25 | 800,000 | 600,000 | |
Popular, Inc. 6.13% 9/14/23 | 1,476,000 | 1,465,742 | |
μSVB Financial Group 4.10% 2/15/31 | 1,425,000 | 971,733 | |
3,808,454 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Building Materials–0.26% | |||
CP Atlas Buyer, Inc. 7.00% 12/1/28 | 525,000 | $ 391,083 | |
391,083 | |||
Chemicals–1.73% | |||
Chemours Co. 5.75% 11/15/28 | 1,445,000 | 1,181,894 | |
INEOS Quattro Finance 2 Plc 3.38% 1/15/26 | 995,000 | 828,338 | |
Vibrantz Technologies, Inc. 9.00% 2/15/30 | 930,000 | 605,148 | |
2,615,380 | |||
Commercial Services–3.71% | |||
ADT Security Corp. 4.13% 8/1/29 | 970,000 | 805,100 | |
Ahern Rentals, Inc. 7.38% 5/15/23 | 470,000 | 316,615 | |
Gartner, Inc. 4.50% 7/1/28 | 765,000 | 684,063 | |
NESCO Holdings II, Inc. 5.50% 4/15/29 | 920,000 | 766,811 | |
Nielsen Finance LLC/Nielsen Finance Co. | |||
4.50% 7/15/29 | 250,000 | 248,894 | |
4.75% 7/15/31 | 1,340,000 | 1,313,709 | |
PECF USS Intermediate Holding III Corp. 8.00% 11/15/29 | 280,000 | 204,185 | |
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.75% 4/15/26 | 540,000 | 508,107 | |
Sotheby's/Bidfair Holdings, Inc. 5.88% 6/1/29 | 925,000 | 764,161 | |
5,611,645 | |||
Computers–0.71% | |||
NCR Corp. | |||
5.00% 10/1/28 | 460,000 | 361,918 | |
5.25% 10/1/30 | 935,000 | 705,605 | |
1,067,523 | |||
Diversified Financial Services–5.35% | |||
μAerCap Holdings NV 5.88% 10/10/79 | 1,180,000 | 1,053,333 | |
μAir Lease Corp. 4.65% 6/15/26 | 905,000 | 755,566 | |
Ally Financial, Inc. 8.00% 11/1/31 | 770,000 | 807,235 | |
Castlelake Aviation Finance DAC 5.00% 4/15/27 | 1,470,000 | 1,249,718 | |
Hightower Holding LLC 6.75% 4/15/29 | 610,000 | 497,629 | |
Midcap Financial Issuer Trust 6.50% 5/1/28 | 1,145,000 | 978,460 | |
NFP Corp. | |||
6.88% 8/15/28 | 1,045,000 | 815,100 | |
7.50% 10/1/30 | 390,000 | 370,072 |
LVIP Delaware High Yield Fund–1
LVIP Delaware High Yield Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Diversified Financial Services (continued) | |||
VistaJet Malta Finance PLC/XO Management Holding, Inc. 6.38% 2/1/30 | 1,927,000 | $ 1,575,322 | |
8,102,435 | |||
Electric–2.56% | |||
Calpine Corp. | |||
4.63% 2/1/29 | 320,000 | 260,755 | |
5.00% 2/1/31 | 1,005,000 | 798,530 | |
5.13% 3/15/28 | 565,000 | 485,260 | |
PG&E Corp. 5.25% 7/1/30 | 490,000 | 417,215 | |
μVistra Corp. | |||
7.00% 12/15/26 | 1,390,000 | 1,213,484 | |
8.00% 10/15/26 | 760,000 | 697,890 | |
3,873,134 | |||
Electronics–1.09% | |||
Coherent Corp. 5.00% 12/15/29 | 970,000 | 802,384 | |
Sensata Technologies BV 4.00% 4/15/29 | 1,030,000 | 852,314 | |
1,654,698 | |||
Entertainment–1.69% | |||
Caesars Entertainment, Inc. | |||
6.25% 7/1/25 | 575,000 | 554,156 | |
8.13% 7/1/27 | 470,000 | 448,890 | |
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc. 6.63% 3/1/30 | 955,000 | 765,528 | |
Scientific Games International, Inc. 7.25% 11/15/29 | 840,000 | 781,797 | |
2,550,371 | |||
Environmental Control–0.43% | |||
Madison IAQ LLC 5.88% 6/30/29 | 935,000 | 651,284 | |
651,284 | |||
Food–0.83% | |||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 5.50% 1/15/30 | 525,000 | 484,969 | |
Pilgrim's Pride Corp. 4.25% 4/15/31 | 965,000 | 770,330 | |
1,255,299 | |||
Forest Products & Paper–0.22% | |||
Domtar Corp. 6.75% 10/1/28 | 439,000 | 337,171 | |
337,171 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Health Care Products–1.83% | |||
Avantor Funding, Inc. 3.88% 11/1/29 | 2,630,000 | $ 2,136,086 | |
Medline Borrower LP 3.88% 4/1/29 | 795,000 | 637,344 | |
2,773,430 | |||
Health Care Services–4.99% | |||
CHS/Community Health Systems, Inc. | |||
4.75% 2/15/31 | 955,000 | 642,238 | |
8.00% 3/15/26 | 480,000 | 415,578 | |
DaVita, Inc. 4.63% 6/1/30 | 815,000 | 630,606 | |
Encompass Health Corp. | |||
4.63% 4/1/31 | 310,000 | 244,980 | |
4.75% 2/1/30 | 724,000 | 595,617 | |
Hadrian Merger Sub, Inc. 8.50% 5/1/26 | 920,000 | 838,184 | |
HCA, Inc. | |||
5.38% 2/1/25 | 585,000 | 578,082 | |
5.88% 2/1/29 | 513,000 | 498,834 | |
7.58% 9/15/25 | 580,000 | 604,518 | |
ModivCare Escrow Issuer, Inc. 5.00% 10/1/29 | 980,000 | 796,250 | |
Surgery Center Holdings, Inc. 10.00% 4/15/27 | 490,000 | 476,520 | |
Tenet Healthcare Corp. | |||
4.38% 1/15/30 | 485,000 | 404,830 | |
6.13% 10/1/28 | 505,000 | 442,425 | |
6.88% 11/15/31 | 426,000 | 378,075 | |
7,546,737 | |||
Housewares–0.02% | |||
Scotts Miracle-Gro Co. 4.00% 4/1/31 | 35,000 | 24,640 | |
24,640 | |||
Insurance–1.87% | |||
GTCR AP Finance, Inc. 8.00% 5/15/27 | 368,000 | 338,539 | |
HUB International Ltd. 5.63% 12/1/29 | 1,365,000 | 1,139,775 | |
USI, Inc. 6.88% 5/1/25 | 1,400,000 | 1,345,794 | |
2,824,108 | |||
Internet–1.34% | |||
Arches Buyer, Inc. 6.13% 12/1/28 | 970,000 | 751,420 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc. 3.50% 3/1/29 | 960,000 | 785,165 |
LVIP Delaware High Yield Fund–2
LVIP Delaware High Yield Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Internet (continued) | |||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 4.75% 4/30/27 | 570,000 | $ 495,900 | |
2,032,485 | |||
Iron & Steel–0.53% | |||
ATI, Inc. | |||
4.88% 10/1/29 | 105,000 | 87,178 | |
5.13% 10/1/31 | 880,000 | 718,898 | |
806,076 | |||
Leisure Time–3.06% | |||
Carnival Corp. | |||
5.75% 3/1/27 | 2,355,000 | 1,649,795 | |
6.00% 5/1/29 | 310,000 | 203,537 | |
7.63% 3/1/26 | 910,000 | 691,600 | |
Royal Caribbean Cruises Ltd. | |||
5.50% 8/31/26 | 100,000 | 76,500 | |
5.50% 4/1/28 | 2,859,000 | 2,003,130 | |
4,624,562 | |||
Lodging–0.94% | |||
Boyd Gaming Corp. | |||
4.75% 12/1/27 | 965,000 | 854,035 | |
4.75% 6/15/31 | 696,000 | 563,551 | |
1,417,586 | |||
Machinery Construction & Mining–0.61% | |||
Terex Corp. 5.00% 5/15/29 | 1,085,000 | 931,186 | |
931,186 | |||
Machinery Diversified–0.48% | |||
Granite U.S. Holdings Corp. 11.00% 10/1/27 | 430,000 | 405,364 | |
TK Elevator Holdco GmbH 7.63% 7/15/28 | 386,000 | 323,275 | |
728,639 | |||
Media–8.85% | |||
AMC Networks, Inc. 4.25% 2/15/29 | 1,700,000 | 1,256,913 | |
Beasley Mezzanine Holdings LLC 8.63% 2/1/26 | 955,000 | 735,350 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | |||
4.50% 8/15/30 | 1,215,000 | 960,871 | |
4.50% 5/1/32 | 230,000 | 175,414 | |
5.38% 6/1/29 | 765,000 | 669,620 | |
6.38% 9/1/29 | 830,000 | 762,023 | |
CSC Holdings LLC | |||
4.63% 12/1/30 | 945,000 | 642,600 | |
5.00% 11/15/31 | 895,000 | 591,184 | |
5.75% 1/15/30 | 1,450,000 | 1,030,609 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Media (continued) | |||
Cumulus Media New Holdings, Inc. 6.75% 7/1/26 | 854,000 | $ 720,391 | |
Directv Financing LLC/Directv Financing Co.-Obligor, Inc. 5.88% 8/15/27 | 1,765,000 | 1,521,624 | |
DISH DBS Corp. 5.75% 12/1/28 | 860,000 | 649,936 | |
Gray Escrow II, Inc. 5.38% 11/15/31 | 1,265,000 | 992,298 | |
LCPR Senior Secured Financing DAC 6.75% 10/15/27 | 522,000 | 433,260 | |
Nexstar Media, Inc. 4.75% 11/1/28 | 680,000 | 578,000 | |
Sirius XM Radio, Inc. 4.00% 7/15/28 | 1,440,000 | 1,224,835 | |
VZ Secured Financing BV 5.00% 1/15/32 | 595,000 | 444,522 | |
13,389,450 | |||
Metal Fabricate & Hardware–0.84% | |||
Roller Bearing Co. of America, Inc. 4.38% 10/15/29 | 1,505,000 | 1,269,452 | |
1,269,452 | |||
Mining–3.35% | |||
Eldorado Gold Corp. 6.25% 9/1/29 | 935,000 | 712,320 | |
First Quantum Minerals Ltd. | |||
6.88% 10/15/27 | 680,000 | 612,000 | |
7.50% 4/1/25 | 745,000 | 717,063 | |
FMG Resources August Pty. Ltd. | |||
5.88% 4/15/30 | 685,000 | 595,827 | |
6.13% 4/15/32 | 310,000 | 266,368 | |
Hudbay Minerals, Inc. 6.13% 4/1/29 | 425,000 | 342,435 | |
Novelis Corp. | |||
3.25% 11/15/26 | 195,000 | 162,772 | |
3.88% 8/15/31 | 195,000 | 145,454 | |
4.75% 1/30/30 | 1,850,000 | 1,517,000 | |
5,071,239 | |||
Oil & Gas–7.84% | |||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. | |||
5.88% 6/30/29 | 1,015,000 | 903,350 | |
7.00% 11/1/26 | 475,000 | 457,964 | |
Callon Petroleum Co. | |||
7.50% 6/15/30 | 410,000 | 358,957 | |
8.00% 8/1/28 | 615,000 | 567,338 |
LVIP Delaware High Yield Fund–3
LVIP Delaware High Yield Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Oil & Gas (continued) | |||
CNX Resources Corp. 6.00% 1/15/29 | 1,420,000 | $ 1,295,750 | |
Hilcorp Energy I LP/Hilcorp Finance Co. | |||
6.00% 4/15/30 | 1,080,000 | 941,238 | |
6.00% 2/1/31 | 150,000 | 129,958 | |
6.25% 4/15/32 | 553,000 | 489,853 | |
Laredo Petroleum, Inc. 7.75% 7/31/29 | 875,000 | 806,216 | |
Murphy Oil Corp. 6.38% 7/15/28 | 1,705,000 | 1,611,225 | |
Occidental Petroleum Corp. | |||
4.20% 3/15/48 | 55,000 | 43,956 | |
4.40% 4/15/46 | 208,000 | 170,954 | |
4.40% 8/15/49 | 415,000 | 339,444 | |
4.50% 7/15/44 | 215,000 | 179,554 | |
6.45% 9/15/36 | 455,000 | 455,000 | |
6.60% 3/15/46 | 385,000 | 396,550 | |
6.63% 9/1/30 | 310,000 | 314,650 | |
PDC Energy, Inc. 5.75% 5/15/26 | 1,167,000 | 1,079,638 | |
Southwestern Energy Co. | |||
5.38% 2/1/29 | 155,000 | 140,554 | |
5.38% 3/15/30 | 1,315,000 | 1,184,881 | |
11,867,030 | |||
Oil & Gas Services–0.35% | |||
Weatherford International Ltd. 8.63% 4/30/30 | 610,000 | 531,215 | |
531,215 | |||
Packaging & Containers–0.62% | |||
@ARD Finance SA 6.50% 6/30/27 | 583,004 | 399,183 | |
Clydesdale Acquisition Holdings, Inc. 6.63% 4/15/29 | 155,000 | 141,041 | |
Sealed Air Corp. 5.00% 4/15/29 | 450,000 | 401,625 | |
941,849 | |||
Pharmaceuticals–2.12% | |||
1375209 BC Ltd. 9.00% 1/30/28 | 200,682 | 200,180 | |
Bausch Health Cos., Inc. | |||
11.00% 9/30/28 | 356,764 | 977,466 | |
14.00% 10/15/30 | 71,353 | 132,353 | |
Cheplapharm Arzneimittel GmbH 5.50% 1/15/28 | 935,000 | 771,375 | |
Organon & Co./Organon Foreign Debt Co.-Issuer BV 5.13% 4/30/31 | 1,380,000 | 1,130,441 | |
3,211,815 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Pipelines–4.55% | |||
CNX Midstream Partners LP 4.75% 4/15/30 | 485,000 | $ 380,681 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. | |||
5.63% 5/1/27 | 423,000 | 382,815 | |
6.00% 2/1/29 | 803,000 | 718,685 | |
EQM Midstream Partners LP 4.75% 1/15/31 | 1,712,000 | 1,358,900 | |
Genesis Energy LP/Genesis Energy Finance Corp. | |||
7.75% 2/1/28 | 1,040,000 | 904,800 | |
8.00% 1/15/27 | 1,480,000 | 1,298,700 | |
NuStar Logistics LP | |||
6.00% 6/1/26 | 1,022,000 | 935,523 | |
6.38% 10/1/30 | 1,052,000 | 900,161 | |
6,880,265 | |||
Real Estate Investment Trusts–1.11% | |||
Iron Mountain, Inc. 5.25% 7/15/30 | 1,470,000 | 1,216,381 | |
XHR LP 4.88% 6/1/29 | 555,000 | 457,606 | |
1,673,987 | |||
Retail–4.93% | |||
Asbury Automotive Group, Inc. | |||
4.63% 11/15/29 | 760,000 | 607,521 | |
4.75% 3/1/30 | 660,000 | 515,448 | |
Bath & Body Works, Inc. | |||
6.88% 11/1/35 | 590,000 | 492,874 | |
6.95% 3/1/33 | 666,000 | 535,442 | |
9.38% 7/1/25 | 222,000 | 229,770 | |
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13% 4/15/29 | 1,010,000 | 841,732 | |
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75% 2/15/26 | 1,314,000 | 1,172,745 | |
Murphy Oil USA, Inc. 3.75% 2/15/31 | 905,000 | 727,330 | |
PetSmart, Inc./PetSmart Finance Corp. 7.75% 2/15/29 | 1,340,000 | 1,197,880 | |
White Cap Buyer LLC 6.88% 10/15/28 | 1,381,000 | 1,126,841 | |
@White Cap Parent 8.25% 3/15/26 | 7,000 | 5,931 | |
7,453,514 | |||
Semiconductors–0.76% | |||
Entegris Escrow Corp. | |||
4.75% 4/15/29 | 40,000 | 35,233 | |
5.95% 6/15/30 | 1,225,000 | 1,118,070 | |
1,153,303 |
LVIP Delaware High Yield Fund–4
LVIP Delaware High Yield Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Software–2.74% | |||
Athenahealth Group, Inc. 6.50% 2/15/30 | 930,000 | $ 735,230 | |
Black Knight InfoServ LLC 3.63% 9/1/28 | 805,000 | 689,603 | |
Clarivate Science Holdings Corp. 4.88% 7/1/29 | 1,305,000 | 1,021,815 | |
Consensus Cloud Solutions, Inc. | |||
6.00% 10/15/26 | 340,000 | 299,606 | |
6.50% 10/15/28 | 540,000 | 458,391 | |
SS&C Technologies, Inc. 5.50% 9/30/27 | 1,024,000 | 934,087 | |
4,138,732 | |||
Telecommunications–7.27% | |||
Altice France Holding SA 6.00% 2/15/28 | 1,420,000 | 900,738 | |
Altice France SA 5.50% 10/15/29 | 1,415,000 | 1,064,623 | |
=Century Communication Ltd. 9.50% 3/1/49 | 2,820,000 | 0 | |
Connect Finco SARL/Connect U.S. Finco LLC 6.75% 10/1/26 | 1,540,000 | 1,346,810 | |
Consolidated Communications, Inc. | |||
5.00% 10/1/28 | 445,000 | 309,463 | |
6.50% 10/1/28 | 1,065,000 | 796,087 | |
Digicel International Finance Ltd./Digicel international Holdings Ltd. 8.75% 5/25/24 | 855,000 | 782,325 | |
Frontier Communications Holdings LLC | |||
5.88% 10/15/27 | 1,160,000 | 1,039,627 | |
6.75% 5/1/29 | 515,000 | 424,875 | |
8.75% 5/15/30 | 225,000 | 225,144 | |
Sable International Finance Ltd. 5.75% 9/7/27 | 566,000 | 494,543 | |
Sprint Capital Corp. 8.75% 3/15/32 | 200,000 | 231,750 | |
Sprint Corp. | |||
7.63% 3/1/26 | 555,000 | 574,054 | |
7.88% 9/15/23 | 1,250,000 | 1,262,769 | |
T-Mobile USA, Inc. | |||
3.38% 4/15/29 | 515,000 | 444,950 | |
3.50% 4/15/31 | 394,000 | 331,082 | |
Vmed O2 U.K. Financing I PLC 4.75% 7/15/31 | 1,000,000 | 771,496 | |
11,000,336 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Transportation–0.76% | |||
Seaspan Corp. 5.50% 8/1/29 | 1,500,000 | $ 1,155,099 | |
1,155,099 | |||
Total Corporate Bonds (Cost $156,800,063) | 132,196,809 | ||
LOAN AGREEMENTS–7.19% | |||
•Applied Systems, Inc. 9.17% (LIBOR03M + 5.50%) 9/19/25 | 2,881,191 | 2,827,889 | |
•Clydesdale Acquisition Holdings, Inc. 7.31% (SOFR CME01M + 4.18%) 4/13/29 | 249,375 | 234,864 | |
•Covis Finco Sarl 10.20% (SOFRTE03M + 6.50%) 2/18/27 | 638,625 | 501,321 | |
•DirecTV Financing LLC 8.12% (LIBOR01M + 5.00%) 8/2/27 | 115,656 | 107,459 | |
Dynacast International LLC 7.48% (LIBOR03M + 4.50%) 7/22/25 | 1,319,303 | 1,154,390 | |
•Epicor Software Corp. 10.87% (LIBOR01M + 7.75%) 7/31/28 | 725,600 | 705,283 | |
•Hexion Holdings Corp. | |||
7.41% (SOFRTE03M + 4.50%) 3/15/29 | 244,388 | 207,485 | |
10.56% (SOFRTE01M + 7.44%) 3/15/30 | 695,000 | 562,950 | |
•Pre-Paid Legal Services, Inc. 10.07% (LIBOR03M + 7.00%) 12/14/29 | 480,000 | 450,000 | |
•Quest Software U.S. Holdings, Inc. 10.23% (SOFRTE03M + 7.50%) 2/1/30 | 243,521 | 139,720 | |
Sovos Compliance LLC | |||
✠•7.62% (LIBOR01M) 8/11/28 | 41,129 | 39,135 | |
•7.62% (LIBOR01M + 4.50%) 8/11/28 | 236,365 | 224,901 | |
•Springs Windows Fashions LLC 7.60% (LIBOR03M + 4.00%) 10/6/28 | 843,064 | 655,904 | |
•SPX Flow, Inc. 7.63% (SOFR CME01M + 4.50%) 4/5/29 | 970,000 | 894,825 | |
•Ultimate Software Group, Inc. 7.54% (LIBOR03M + 5.25%) 5/3/27 | 1,191,000 | 1,119,540 | |
•Vantage Specialty Chemicals, Inc. | |||
7.17% (LIBOR03M + 3.50%) 10/28/24 | 304,407 | 292,136 | |
11.32% (LIBOR03M + 8.25%) 10/27/25 | 787,000 | 756,504 | |
Total Loan Agreements (Cost $11,647,803) | 10,874,306 |
LVIP Delaware High Yield Fund–5
LVIP Delaware High Yield Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
MUNICIPAL BOND–0.53% | |||
GDB Debt Recovery Authority of Puerto Rico 7.50% 8/20/40 | 919,873 | $ 807,189 | |
Total Municipal Bond (Cost $871,112) | 807,189 |
Number of Shares | |||
MONEY MARKET FUND–3.06% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 2.94%) | 4,627,174 | 4,627,174 | |
Total Money Market Fund (Cost $4,627,174) | 4,627,174 |
TOTAL INVESTMENTS–98.30% (Cost $174,163,633) | $148,714,095 |
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.70% | 2,579,347 | ||
NET ASSETS APPLICABLE TO 36,567,130 SHARES OUTSTANDING–100.00% | $151,293,442 |
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2022. Rate will reset at a future date. | |
@ PIK. 100% of the income received was in the form of additional par. | |
= 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." | |
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2022. 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. | |
✠ All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. |
Summary of Abbreviations: |
LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month |
LIBOR03M–Intercontinental Exchange London Interbank Offered Rate USD 3 Month |
SOFR–Secured Overnight Financing Rate |
SOFR CME01M–1 Month Chicago Mercantile Exchange Secured Overnight Financing Rate |
SOFRTE01M–1 Month Term Secured Overnight Financing Rate |
SOFRTE03M–3 Month Term Secured Overnight Financing Rate |
See accompanying notes.
LVIP Delaware High Yield Fund–6
LVIP Delaware High Yield Fund
Notes
September 30, 2022 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Delaware High Yield Fund (the “Fund”) is considered an investment company under U.S. generally accepted accounting principles (“U.S. GAAP”) and follows the accounting and reporting guidelines for investment companies. The following accounting policies are consistently followed by the Fund in the preparation of its financial statements in conformity with U.S. GAAP including, but not limited to, Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC"), Topic 946, "Financial Services- Investment Companies".
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 closing net asset value (“NAV”). Investments in government money market funds have a stable NAV.
Valuations for fixed income securities, including short-term debt securities, are typically the prices supplied by third party pricing services. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics, including but not limited to, benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value.
Other investments for which market quotations are not reliable or readily available are generally valued at fair value by the Fund's Fair Valuation Committee as determined in good faith under policies adopted by the Fund’s Board of Trustees (the “Board”). The Valuation Committee was established by Lincoln Investment Advisors Corporation ("LIAC"), the Board designated "valuation designee", to perform fair valuations pursuant to SEC Rule 2a-5. In determining whether market quotations are reliable or readily available, various factors are taken into consideration, such as sub-adviser recommendations, market closures or trends, political events, the nature of and duration of any restrictions on disposition, halt or suspension of trading in a security, stale pricing where the unchanged price is no longer reflective of current market value, or out of tolerance pricing defined as when the daily price of the security varies by more than established tolerance guidelines from the price applied on the prior business day, as applicable.
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.
The following table summarizes the valuation of the Fund's investments by fair value hierarchy levels as of September 30, 2022:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments: | |||||||
Assets: | |||||||
Convertible Bond | $— | $208,617 | $— | $208,617 |
LVIP Delaware High Yield Fund–7
LVIP Delaware High Yield Fund
Notes (continued)
2. Investments (continued)
Level 1 | Level 2 | Level 3 | Total | ||||
Investments: | |||||||
Corporate Bonds | |||||||
Advertising | $— | $985,515 | $— | $985,515 | |||
Aerospace & Defense | — | 1,450,877 | — | 1,450,877 | |||
Airlines | — | 1,071,689 | — | 1,071,689 | |||
Auto Manufacturers | — | 2,543,516 | — | 2,543,516 | |||
Auto Parts & Equipment | — | 780,000 | — | 780,000 | |||
Banks | — | 3,808,454 | — | 3,808,454 | |||
Building Materials | — | 391,083 | — | 391,083 | |||
Chemicals | — | 2,615,380 | — | 2,615,380 | |||
Commercial Services | — | 5,611,645 | — | 5,611,645 | |||
Computers | — | 1,067,523 | — | 1,067,523 | |||
Diversified Financial Services | — | 8,102,435 | — | 8,102,435 | |||
Electric | — | 3,873,134 | — | 3,873,134 | |||
Electronics | — | 1,654,698 | — | 1,654,698 | |||
Entertainment | — | 2,550,371 | — | 2,550,371 | |||
Environmental Control | — | 651,284 | — | 651,284 | |||
Food | — | 1,255,299 | — | 1,255,299 | |||
Forest Products & Paper | — | 337,171 | — | 337,171 | |||
Health Care Products | — | 2,773,430 | — | 2,773,430 | |||
Health Care Services | — | 7,546,737 | — | 7,546,737 | |||
Housewares | — | 24,640 | — | 24,640 | |||
Insurance | — | 2,824,108 | — | 2,824,108 | |||
Internet | — | 2,032,485 | — | 2,032,485 | |||
Iron & Steel | — | 806,076 | — | 806,076 | |||
Leisure Time | — | 4,624,562 | — | 4,624,562 | |||
Lodging | — | 1,417,586 | — | 1,417,586 | |||
Machinery Construction & Mining | — | 931,186 | — | 931,186 | |||
Machinery Diversified | — | 728,639 | — | 728,639 | |||
Media | — | 13,389,450 | — | 13,389,450 | |||
Metal Fabricate & Hardware | — | 1,269,452 | — | 1,269,452 | |||
Mining | — | 5,071,239 | — | 5,071,239 | |||
Oil & Gas | — | 11,867,030 | — | 11,867,030 | |||
Oil & Gas Services | — | 531,215 | — | 531,215 | |||
Packaging & Containers | — | 941,849 | — | 941,849 | |||
Pharmaceuticals | — | 3,211,815 | — | 3,211,815 | |||
Pipelines | — | 6,880,265 | — | 6,880,265 | |||
Real Estate Investment Trusts | — | 1,673,987 | — | 1,673,987 | |||
Retail | — | 7,453,514 | — | 7,453,514 | |||
Semiconductors | — | 1,153,303 | — | 1,153,303 | |||
Software | — | 4,138,732 | — | 4,138,732 | |||
Telecommunications | — | 11,000,336 | —* | 11,000,336 | |||
Transportation | — | 1,155,099 | — | 1,155,099 | |||
Loan Agreements | — | 10,874,306 | — | 10,874,306 | |||
Municipal Bond | — | 807,189 | — | 807,189 | |||
Money Market Fund | 4,627,174 | — | — | 4,627,174 | |||
Total Investments | $4,627,174 | $144,086,921 | $— | $148,714,095 |
* | Includes securities that have been valued at zero on the "Schedule of Investments" that are considered to be Level 3 investments in this table. |
During the period ended September 30, 2022, there were no material transfers to or from Level 3 investments.
LVIP Delaware High Yield Fund–8