LVIP Global Conservative Allocation Managed Risk Fund
Schedule of Investments
September 30, 2022 (unaudited)
Number of Shares | Value (U.S. $) | ||
AFFILIATED INVESTMENTS–92.95% | |||
INVESTMENT COMPANIES–92.95% | |||
Equity Funds–26.08% | |||
✧✧Lincoln Variable Insurance Products Trust- | |||
LVIP Channing Small Cap Value Fund | 355,325 | $ 3,167,013 | |
LVIP Delaware Mid Cap Value Fund | 416,320 | 15,098,271 | |
LVIP MFS Value Fund | 282,989 | 12,904,005 | |
LVIP SSGA Large Cap 100 Fund | 2,281,248 | 26,092,908 | |
LVIP SSGA Mid-Cap Index Fund | 1,482,543 | 15,501,470 | |
LVIP SSGA Nasdaq-100 Index Fund | 233,032 | 1,815,782 | |
LVIP SSGA S&P 500 Index Fund | 4,095,648 | 84,542,372 | |
LVIP SSGA Small-Cap Index Fund | 733,182 | 19,130,189 | |
LVIP T. Rowe Price Growth Stock Fund | 926,448 | 32,812,941 | |
LVIP T. Rowe Price Structured Mid-Cap Growth Fund | 665,966 | 14,975,570 | |
226,040,521 | |||
Fixed Income Funds–56.53% | |||
✧✧Lincoln Variable Insurance Products Trust- | |||
LVIP BlackRock Inflation Protected Bond Fund | 4,600,545 | 44,399,860 | |
LVIP Delaware Bond Fund | 16,414,294 | 189,716,410 | |
LVIP JPMorgan High Yield Fund | 2,510,457 | 23,485,328 | |
LVIP PIMCO Low Duration Bond Fund | 1,036,156 | 9,665,258 | |
LVIP SSGA Bond Index Fund | 3,439,348 | 33,846,625 | |
LVIP SSGA Short-Term Bond Index Fund | 622,613 | 6,039,347 | |
LVIP Western Asset Core Bond Fund | 21,926,663 | 182,824,518 | |
489,977,346 | |||
Global Equity Fund–0.66% | |||
✧✧Lincoln Variable Insurance Products Trust– LVIP BlackRock Global Real Estate Fund | 878,173 | 5,756,426 | |
5,756,426 |
Number of Shares | Value (U.S. $) | ||
AFFILIATED INVESTMENTS (continued) | |||
INVESTMENT COMPANIES (continued) | |||
Global Fixed Income Fund–0.96% | |||
✧✧Lincoln Variable Insurance Products Trust– LVIP Global Income Fund | 938,914 | $ 8,271,832 | |
8,271,832 | |||
International Equity Funds–8.72% | |||
✧✧Lincoln Variable Insurance Products Trust- | |||
LVIP Loomis Sayles Global Growth Fund | 697,227 | 7,444,989 | |
LVIP MFS International Growth Fund | 1,515,394 | 23,682,584 | |
LVIP Mondrian International Value Fund | 1,497,719 | 18,526,782 | |
LVIP SSGA Developed International 150 Fund | 1,240,399 | 7,673,106 | |
LVIP SSGA International Index Fund | 2,277,356 | 18,207,461 | |
75,534,922 | |||
Total Affiliated Investments (Cost $810,088,077) | 805,581,047 |
UNAFFILIATED INVESTMENT–5.30% | |||
INVESTMENT COMPANY–5.30% | |||
Money Market Fund–5.30% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 2.94%) | 45,949,212 | 45,949,212 | |
Total Unaffiliated Investment (Cost $45,949,212) | 45,949,212 |
TOTAL INVESTMENTS–98.25% (Cost $856,037,289) | 851,530,259 | ||
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.75% | 15,169,831 | ||
NET ASSETS APPLICABLE TO 77,104,483 SHARES OUTSTANDING–100.00% | $866,700,090 |
✧✧ Standard Class shares. |
LVIP Global Conservative Allocation Managed Risk Fund–1
LVIP Global Conservative Allocation Managed Risk Fund
Schedule of Investments (continued)
The following futures contracts were outstanding at September 30, 2022: |
Futures Contracts
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
Currency Contracts: | |||||||||||
(64) | Australian Dollar | $(4,105,920) | $(4,323,891) | 12/19/22 | $217,971 | $— | |||||
(142) | British Pound | (9,923,138) | (10,275,973) | 12/19/22 | 352,835 | — | |||||
(186) | Euro | (22,927,987) | (23,402,521) | 12/19/22 | 474,534 | — | |||||
(124) | Japanese Yen | (10,793,425) | (10,844,453) | 12/19/22 | 51,028 | — | |||||
(13) | Swedish Krona | (2,353,260) | (2,442,780) | 12/19/22 | 89,520 | — | |||||
1,185,888 | — | ||||||||||
Equity Contracts: | |||||||||||
(53) | E-mini MSCI Emerging Markets Index | (2,309,475) | (2,593,343) | 12/16/22 | 283,868 | — | |||||
(214) | E-mini Russell 2000 Index | (17,866,860) | (19,824,106) | 12/16/22 | 1,957,245 | — | |||||
(608) | E-mini S&P 500 Index | (109,485,600) | (122,846,389) | 12/16/22 | 13,360,789 | — | |||||
(174) | E-mini S&P MidCap 400 Index | (38,422,680) | (43,053,492) | 12/16/22 | 4,630,812 | — | |||||
(645) | Euro STOXX 50 Index | (20,955,186) | (22,972,289) | 12/16/22 | 2,017,103 | — | |||||
(119) | FTSE 100 Index | (9,187,258) | (9,935,067) | 12/16/22 | 747,810 | — | |||||
(127) | OMXS 30 Index | (2,094,227) | (2,217,129) | 10/21/22 | 122,902 | — | |||||
(36) | SPI 200 Index | (3,722,379) | (3,990,770) | 12/15/22 | 268,391 | — | |||||
(79) | TOPIX Index | (10,021,696) | (10,433,953) | 12/8/22 | 412,257 | — | |||||
23,801,177 | — | ||||||||||
Total Futures Contracts | $24,987,065 | $— |
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, 2022. |
Summary of Abbreviations: |
FTSE–Financial Times Stock Exchange |
MSCI–Morgan Stanley Capital International |
OMXS–Stockholm Stock Exchange |
S&P–Standard & Poor’s |
SPI–Swiss Performance Index |
TOPIX–Tokyo Stock Price Index |
See accompanying notes.
LVIP Global Conservative Allocation Managed Risk Fund–2
LVIP Global Conservative Allocation Managed Risk Fund
Notes
September 30, 2022 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Global Conservative Allocation Managed Risk 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 – The Fund operates under a fund of funds structure and invests substantially all of its assets in open-end investment companies and mutual funds that are advised by Lincoln Investment Advisors Corporation (“LIAC”) or other unaffiliated managers (collectively, the “Underlying Funds”). The Fund values Underlying Funds that are open-end funds at their closing net asset value (“NAV”). Securities of each open-end Underlying Fund are valued under the valuation policy of such Underlying Fund. For information regarding the determination of the Underlying Funds’ NAVs, see the Underlying Funds’ prospectuses and statements of additional information. Financial statements for the Underlying Funds can be found at www.sec.gov. Investments in government money market funds have a stable NAV. 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) |
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: | |||||||
Affiliated Investment Companies | $805,581,047 | $— | $— | $805,581,047 | |||
Unaffiliated Investment Company | 45,949,212 | — | — | 45,949,212 | |||
Total Investments | $851,530,259 | $— | $— | $851,530,259 | |||
Derivatives: | |||||||
Assets: | |||||||
Futures Contracts | $24,987,065 | $— | $— | $24,987,065 |
There were no Level 3 investments at the beginning or end of the period.
LVIP Global Conservative Allocation Managed Risk Fund–3
LVIP Global Conservative Allocation Managed Risk Fund
Notes (continued)
3. Transactions with Affiliates
Affiliated investments, for purposes of the Investment Company Act of 1940, are investments that have a common investment adviser, LIAC (LVIP Funds), or investments in issuers whereby the Fund held 5% or more of the issuers' outstanding securities (non-LVIP Funds). Affiliated investments of the Fund and the corresponding investment activity for the period ended September 30, 2022, were as follows:
Value 12/31/21 | Purchases | Sales | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value 09/30/22 | Number of Shares 09/30/22 | Dividends | Capital Gain Distributions | ||||||||||
INVESTMENT COMPANIES-92.95%@ | ||||||||||||||||||
Equity Funds-26.08%@ | ||||||||||||||||||
✧✧‡LVIP Channing Small Cap Value Fund | $— | $3,842,324 | $303,602 | $14,529 | $(386,238) | $3,167,013 | 355,325 | $— | $— | |||||||||
✧✧LVIP Delaware Mid Cap Value Fund | 19,912,632 | 2,093,029 | 2,887,910 | 44,939 | (4,064,419) | 15,098,271 | 416,320 | 495,868 | — | |||||||||
✧✧LVIP MFS Value Fund | 18,867,939 | 1,077,544 | 3,514,251 | 548,330 | (4,075,557) | 12,904,005 | 282,989 | 610,630 | — | |||||||||
✧✧LVIP SSGA Large Cap 100 Fund | 42,601,097 | 2,190,031 | 10,862,326 | 199,663 | (8,035,557) | 26,092,908 | 2,281,248 | 379,793 | — | |||||||||
✧✧LVIP SSGA Mid-Cap Index Fund | 22,411,186 | 2,840,666 | 3,253,025 | 422,238 | (6,919,595) | 15,501,470 | 1,482,543 | 1,919,494 | — | |||||||||
✧✧LVIP SSGA Nasdaq-100 Index Fund | 2,800,830 | 341,405 | 397,187 | (31,332) | (897,934) | 1,815,782 | 233,032 | 33,109 | — | |||||||||
✧✧LVIP SSGA S&P 500 Index Fund | 127,493,642 | 10,683,241 | 16,623,025 | 9,015,993 | (46,027,479) | 84,542,372 | 4,095,648 | 8,644,655 | — | |||||||||
✧✧LVIP SSGA Small-Cap Index Fund | 32,361,500 | 5,387,584 | 8,554,713 | 281,345 | (10,345,527) | 19,130,189 | 733,182 | 2,349,893 | — | |||||||||
✧✧LVIP T. Rowe Price Growth Stock Fund | 44,523,540 | 21,568,592 | 7,515,723 | (1,439,425) | (24,324,043) | 32,812,941 | 926,448 | 6,352,926 | — | |||||||||
✧✧LVIP T. Rowe Price Structured Mid-Cap Growth Fund | 14,722,538 | 10,479,744 | 3,755,985 | (729,371) | (5,741,356) | 14,975,570 | 665,966 | 2,011,751 | — | |||||||||
Fixed Income Funds-56.53%@ | ||||||||||||||||||
✧✧LVIP BlackRock Inflation Protected Bond Fund | 61,409,017 | 798,759 | 14,494,636 | (333,890) | (2,979,390) | 44,399,860 | 4,600,545 | — | — | |||||||||
✧✧LVIP Delaware Bond Fund | 244,192,051 | 10,073,186 | 28,068,397 | (3,831,846) | (32,648,584) | 189,716,410 | 16,414,294 | 54,595 | — | |||||||||
✧✧LVIP JPMorgan High Yield Fund | 35,981,430 | 87,209 | 8,324,096 | (487,945) | (3,771,270) | 23,485,328 | 2,510,457 | — | — | |||||||||
✧✧LVIP PIMCO Low Duration Bond Fund | 4,803,622 | 6,111,654 | 953,651 | (39,427) | (256,940) | 9,665,258 | 1,036,156 | — | — | |||||||||
✧✧LVIP SSGA Bond Index Fund | 44,941,497 | 1,115,391 | 5,949,648 | (307,249) | (5,953,366) | 33,846,625 | 3,439,348 | 7,768 | — | |||||||||
✧✧LVIP SSGA Short-Term Bond Index Fund | 7,599,728 | 250,731 | 1,453,629 | (19,972) | (337,511) | 6,039,347 | 622,613 | 31,855 | — | |||||||||
✧✧LVIP Western Asset Core Bond Fund | 243,968,070 | 8,232,786 | 26,701,394 | (3,784,594) | (38,890,350) | 182,824,518 | 21,926,663 | — | — | |||||||||
Global Equity Fund-0.66%@ | ||||||||||||||||||
✧✧LVIP BlackRock Global Real Estate Fund | 11,435,103 | 685,671 | 2,942,682 | (335,317) | (3,086,349) | 5,756,426 | 878,173 | 171,227 | — | |||||||||
Global Fixed Income Fund-0.96%@ | ||||||||||||||||||
✧✧LVIP Global Income Fund | 11,223,132 | 375,977 | 1,299,583 | (218,120) | (1,809,574) | 8,271,832 | 938,914 | — | — | |||||||||
International Equity Funds-8.72%@ | ||||||||||||||||||
✧✧LVIP Loomis Sayles Global Growth Fund | 10,580,023 | 2,371,931 | 1,723,489 | (2,778) | (3,780,698) | 7,444,989 | 697,227 | 527,934 | — | |||||||||
✧✧LVIP MFS International Growth Fund | 31,272,237 | 5,746,374 | 3,347,529 | (657,298) | (9,331,200) | 23,682,584 | 1,515,394 | 1,863,057 | — | |||||||||
✧✧LVIP Mondrian International Value Fund | 24,639,329 | 2,445,212 | 2,533,146 | (280,439) | (5,744,174) | 18,526,782 | 1,497,719 | 188,931 | — | |||||||||
✧✧LVIP SSGA Developed International 150 Fund | 11,130,160 | 991,817 | 2,026,200 | 95,132 | (2,517,803) | 7,673,106 | 1,240,399 | 329,652 | — | |||||||||
✧✧×LVIP SSGA Emerging Markets Equity Index Fund | 10,133,573 | 8,899 | 10,263,346 | 2,284,114 | (2,163,240) | — | — | — | — |
LVIP Global Conservative Allocation Managed Risk Fund–4
LVIP Global Conservative Allocation Managed Risk Fund
Notes (continued)
3. Transactions with Affiliates (continued)
Value 12/31/21 | Purchases | Sales | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value 09/30/22 | Number of Shares 09/30/22 | Dividends | Capital Gain Distributions | ||||||||||
✧✧LVIP SSGA International Index Fund | $35,427,574 | $2,027,359 | $10,543,631 | $1,823,608 | $(10,527,449) | $18,207,461 | 2,277,356 | $275,262 | $— | |||||||||
Total | $1,114,431,450 | $101,827,116 | $178,292,804 | $2,230,888 | $(234,615,603) | $805,581,047 | $26,248,400 | $— |
@ As a percentage of Net Assets as of September 30, 2022. | |
✧✧ Standard Class shares. | |
‡ Issuer was not an investment of the Fund at December 31, 2021. | |
× Issuer is no longer an affiliate of the Fund at September 30, 2022. |
LVIP Global Conservative Allocation Managed Risk Fund–5