LVIP Blended Mid Cap Managed Volatility Fund
Schedule of Investments
September 30, 2021 (unaudited)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK–95.67% | |||
Aerospace & Defense–0.76% | |||
BWX Technologies | 9,616 | $ 517,918 | |
†Hexcel | 10,575 | 628,049 | |
Howmet Aerospace | 122,866 | 3,833,419 | |
Huntington Ingalls Industries | 3,700 | 714,322 | |
†TransDigm Group | 2,525 | 1,577,040 | |
7,270,748 | |||
Air Freight & Logistics–0.07% | |||
Expeditors International of Washington | 5,800 | 690,954 | |
690,954 | |||
Airlines–0.19% | |||
†Alaska Air Group | 16,300 | 955,180 | |
†Southwest Airlines | 16,700 | 858,881 | |
1,814,061 | |||
Auto Components–0.12% | |||
†Aptiv | 7,608 | 1,133,364 | |
1,133,364 | |||
Banks–0.12% | |||
First Republic Bank | 3,000 | 578,640 | |
†SVB Financial Group | 958 | 619,711 | |
1,198,351 | |||
Beverages–0.31% | |||
†Boston Beer Class A | 1,091 | 556,137 | |
Brown-Forman Class B | 26,900 | 1,802,569 | |
Constellation Brands Class A | 3,100 | 653,139 | |
3,011,845 | |||
Biotechnology–3.09% | |||
†ACADIA Pharmaceuticals | 16,900 | 280,709 | |
†Acceleron Pharma | 6,700 | 1,153,070 | |
†Agios Pharmaceuticals | 7,500 | 346,125 | |
†Alnylam Pharmaceuticals | 28,043 | 5,294,799 | |
†Argenx ADR | 4,167 | 1,258,434 | |
†Ascendis Pharma ADR | 20,753 | 3,307,821 | |
†BioMarin Pharmaceutical | 5,700 | 440,553 | |
†BioNTech ADR | 5,800 | 1,583,342 | |
†Blueprint Medicines | 7,700 | 791,637 | |
†CRISPR Therapeutics | 3,300 | 369,369 | |
†Denali Therapeutics | 6,800 | 343,060 | |
†Exact Sciences | 19,600 | 1,870,820 | |
†Exelixis | 32,900 | 695,506 | |
†Fate Therapeutics | 5,200 | 308,204 | |
†Genmab Sponsored ADR | 35,096 | 1,533,695 | |
†Horizon Therapeutics | 10,300 | 1,128,262 | |
†Incyte | 28,700 | 1,973,986 | |
†Ionis Pharmaceuticals | 9,900 | 332,046 | |
†Kodiak Sciences | 3,896 | 373,938 | |
†Mirati Therapeutics | 2,000 | 353,820 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Biotechnology (continued) | |||
†Natera | 8,300 | $ 924,952 | |
†Neurocrine Biosciences | 12,427 | 1,191,873 | |
†Seagen | 15,496 | 2,631,221 | |
†TG Therapeutics | 6,284 | 209,131 | |
†Ultragenyx Pharmaceutical | 5,630 | 507,770 | |
†United Therapeutics | 2,800 | 516,824 | |
29,720,967 | |||
Building Products–0.95% | |||
Allegion | 4,500 | 594,810 | |
AO Smith | 7,300 | 445,811 | |
†AZEK | 63,795 | 2,330,431 | |
†Builders FirstSource | 61,467 | 3,180,303 | |
Fortune Brands Home & Security | 12,778 | 1,142,609 | |
Trane Technologies | 8,300 | 1,432,995 | |
9,126,959 | |||
Capital Markets–3.65% | |||
Cboe Global Markets | 5,200 | 644,072 | |
FactSet Research Systems | 1,300 | 513,214 | |
MarketAxess Holdings | 7,150 | 3,007,934 | |
MSCI | 28,301 | 17,216,630 | |
Nasdaq | 42,352 | 8,174,783 | |
Tradeweb Markets Class A | 68,198 | 5,509,034 | |
35,065,667 | |||
Chemicals–0.76% | |||
Albemarle | 3,000 | 656,910 | |
CF Industries Holdings | 9,500 | 530,290 | |
PPG Industries | 13,800 | 1,973,538 | |
RPM International | 14,400 | 1,118,160 | |
Scotts Miracle-Gro | 20,501 | 3,000,526 | |
7,279,424 | |||
Commercial Services & Supplies–2.75% | |||
Cintas | 10,400 | 3,958,864 | |
†Copart | 86,586 | 12,011,210 | |
†IAA | 29,258 | 1,596,609 | |
Republic Services | 17,000 | 2,041,020 | |
Ritchie Bros Auctioneers | 7,300 | 450,118 | |
Rollins | 11,848 | 418,590 | |
Waste Connections | 47,235 | 5,948,303 | |
26,424,714 | |||
Communications Equipment–0.21% | |||
Motorola Solutions | 8,600 | 1,997,952 | |
1,997,952 | |||
Construction & Engineering–0.08% | |||
Valmont Industries | 3,100 | 728,872 | |
728,872 |
LVIP Blended Mid Cap Managed Volatility Fund–1
LVIP Blended Mid Cap Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Construction Materials–0.83% | |||
Vulcan Materials | 47,190 | $ 7,982,660 | |
7,982,660 | |||
Consumer Finance–0.27% | |||
Discover Financial Services | 21,400 | 2,628,990 | |
2,628,990 | |||
Containers & Packaging–0.76% | |||
†Ardagh Metal Packaging | 51,727 | 515,201 | |
Avery Dennison | 6,200 | 1,284,702 | |
Ball | 53,370 | 4,801,699 | |
Sealed Air | 12,900 | 706,791 | |
7,308,393 | |||
Distributors–1.07% | |||
†LKQ | 55,630 | 2,799,302 | |
Pool | 17,362 | 7,542,226 | |
10,341,528 | |||
Diversified Consumer Services–1.09% | |||
†Bright Horizons Family Solutions | 65,539 | 9,137,447 | |
†Grand Canyon Education | 5,200 | 457,392 | |
Service Corp International | 9,700 | 584,522 | |
†Terminix Global Holdings | 8,300 | 345,861 | |
10,525,222 | |||
Diversified Financial Services–0.18% | |||
†Altimeter Growth | 65,916 | 701,346 | |
†Altimeter Growth Class A | 61,015 | 603,438 | |
†✱Catalyst Partners Acquisition | 42,377 | 417,414 | |
1,722,198 | |||
Electrical Equipment–1.61% | |||
AMETEK | 71,193 | 8,828,644 | |
†Generac Holdings | 8,800 | 3,596,296 | |
Hubbell | 3,800 | 686,546 | |
Rockwell Automation | 6,600 | 1,940,664 | |
†Shoals Technologies Group Class A | 14,804 | 412,735 | |
15,464,885 | |||
Electronic Equipment, Instruments & Components–1.82% | |||
Amphenol Class A | 57,300 | 4,196,079 | |
CDW | 20,400 | 3,713,208 | |
Cognex | 12,000 | 962,640 | |
†IPG Photonics | 2,000 | 316,800 | |
†Keysight Technologies | 8,119 | 1,333,871 | |
Littelfuse | 12,782 | 3,492,937 | |
†Zebra Technologies Class A | 6,700 | 3,453,314 | |
17,468,849 | |||
Entertainment–2.13% | |||
Electronic Arts | 17,053 | 2,425,790 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Entertainment (continued) | |||
†ROBLOX Class A | 17,680 | $ 1,335,724 | |
†Roku | 14,300 | 4,480,905 | |
†Spotify Technology | 16,700 | 3,763,178 | |
†Take-Two Interactive Software | 38,746 | 5,969,596 | |
Warner Music Group Class A | 38,403 | 1,641,344 | |
†Zynga Class A | 110,700 | 833,571 | |
20,450,108 | |||
Equity Real Estate Investment Trusts–1.90% | |||
Alexandria Real Estate Equities | 5,000 | 955,350 | |
CoreSite Realty | 30,624 | 4,242,649 | |
CubeSmart | 39,000 | 1,889,550 | |
Equity LifeStyle Properties | 28,000 | 2,186,800 | |
Extra Space Storage | 26,105 | 4,385,379 | |
SBA Communications | 13,913 | 4,599,220 | |
18,258,948 | |||
Food & Staples Retailing–0.18% | |||
†BJ's Wholesale Club Holdings | 25,000 | 1,373,000 | |
Casey's General Stores | 2,020 | 380,669 | |
1,753,669 | |||
Food Products–0.59% | |||
†Darling Ingredients | 16,300 | 1,171,970 | |
Hershey | 14,400 | 2,437,200 | |
McCormick & Co. | 5,500 | 445,665 | |
†Oatly Group ADR | 79,244 | 1,198,169 | |
Tyson Foods Class A | 5,522 | 435,907 | |
5,688,911 | |||
Health Care Equipment & Supplies–5.93% | |||
†ABIOMED | 5,400 | 1,757,808 | |
†Align Technology | 9,050 | 6,022,141 | |
Cooper | 1,561 | 645,177 | |
†DexCom | 7,800 | 4,265,508 | |
†Envista Holdings | 40,706 | 1,701,918 | |
†Hologic | 13,996 | 1,033,045 | |
†ICU Medical | 1,255 | 292,892 | |
†IDEXX Laboratories | 13,134 | 8,168,035 | |
†Masimo | 20,133 | 5,450,204 | |
†Novocure | 12,900 | 1,498,593 | |
†Ortho Clinical Diagnostics Holdings | 26,316 | 486,320 | |
†Penumbra | 5,600 | 1,492,400 | |
†Quidel | 4,000 | 564,600 | |
ResMed | 10,300 | 2,714,565 | |
†Shockwave Medical | 2,500 | 514,700 | |
STERIS | 45,365 | 9,267,162 | |
Teleflex | 2,396 | 902,214 | |
†Warby Parker Class A | 2,687 | 142,545 |
LVIP Blended Mid Cap Managed Volatility Fund–2
LVIP Blended Mid Cap Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Health Care Equipment & Supplies (continued) | |||
West Pharmaceutical Services | 23,763 | $ 10,088,344 | |
57,008,171 | |||
Health Care Providers & Services–1.47% | |||
†Acadia Healthcare | 7,583 | 483,644 | |
†Agilon Health | 16,030 | 420,146 | |
†Amedisys | 6,000 | 894,600 | |
†Centene | 9,532 | 593,939 | |
†DaVita | 5,600 | 651,056 | |
†Guardant Health | 30,389 | 3,798,929 | |
McKesson | 30,945 | 6,169,814 | |
†Molina Healthcare | 4,100 | 1,112,371 | |
14,124,499 | |||
Health Care Technology–0.68% | |||
†Multiplan | 51,400 | 289,382 | |
†Teladoc Health | 4,703 | 596,387 | |
†Veeva Systems Class A | 19,579 | 5,642,081 | |
6,527,850 | |||
Hotels, Restaurants & Leisure–4.90% | |||
†Caesars Entertainment | 31,718 | 3,561,297 | |
†Chipotle Mexican Grill | 6,705 | 12,186,472 | |
Domino's Pizza | 15,699 | 7,487,795 | |
†DraftKings Class A | 46,800 | 2,253,888 | |
†Dutch Bros Class A | 5,356 | 232,022 | |
†Hilton Worldwide Holdings | 30,500 | 4,029,355 | |
MGM Resorts International | 107,744 | 4,649,154 | |
Papa John's International | 7,498 | 952,171 | |
†Penn National Gaming | 38,800 | 2,811,448 | |
†Red Rock Resorts Class A | 68,510 | 3,509,082 | |
Restaurant Brands International | 17,823 | 1,090,589 | |
†Vail Resorts | 4,803 | 1,604,442 | |
†Wynn Resorts | 10,900 | 923,775 | |
Yum China Holdings | 11,700 | 679,887 | |
Yum! Brands | 9,700 | 1,186,407 | |
47,157,784 | |||
Household Durables–0.33% | |||
†NVR | 662 | 3,173,681 | |
3,173,681 | |||
Household Products–0.11% | |||
Church & Dwight | 5,600 | 462,392 | |
Clorox | 3,600 | 596,196 | |
1,058,588 | |||
Insurance–1.19% | |||
Arthur J. Gallagher | 62,292 | 9,259,706 | |
Assurant | 4,000 | 631,000 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Insurance (continued) | |||
Hartford Financial Services Group | 22,200 | $ 1,559,550 | |
11,450,256 | |||
Interactive Media & Services–3.03% | |||
†Bumble Class A | 46,275 | 2,312,825 | |
†Eventbrite Class A | 80,573 | 1,523,635 | |
†IAC/InterActiveCorp | 36,039 | 4,695,521 | |
†Match Group | 93,278 | 14,643,713 | |
†Pinterest Class A | 60,300 | 3,072,285 | |
†Vimeo | 79,213 | 2,326,486 | |
†ZoomInfo Technologies Class A | 8,608 | 526,724 | |
29,101,189 | |||
Internet & Direct Marketing Retail–1.04% | |||
†Chewy Class A | 56,806 | 3,869,056 | |
†Etsy | 16,200 | 3,368,952 | |
†Farfetch Class A | 25,762 | 965,560 | |
†Wayfair Class A | 7,200 | 1,839,672 | |
10,043,240 | |||
IT Services–4.64% | |||
†Affirm Holdings | 8,827 | 1,051,560 | |
†Akamai Technologies | 6,100 | 637,999 | |
Broadridge Financial Solutions | 15,600 | 2,599,584 | |
†Endava | 14,842 | 2,016,286 | |
†EPAM Systems | 8,100 | 4,620,888 | |
†Euronet Worldwide | 5,000 | 636,400 | |
†FleetCor Technologies | 12,980 | 3,391,285 | |
†Gartner | 16,670 | 5,065,680 | |
Genpact | 13,400 | 636,634 | |
=†πGitlab Class B | 10,724 | 428,960 | |
†GoDaddy Class A | 6,800 | 473,960 | |
†MongoDB | 5,900 | 2,781,909 | |
†Okta | 27,886 | 6,618,463 | |
Paychex | 9,500 | 1,068,275 | |
†Paysafe | 64,504 | 499,906 | |
†Square Class A | 19,642 | 4,710,937 | |
†Squarespace Class A | 3,248 | 125,503 | |
†StoneCo Class A | 20,428 | 709,260 | |
†Thoughtworks Holding | 56,452 | 1,620,737 | |
†Toast Class A | 10,560 | 527,472 | |
†Twilio Class A | 1,400 | 446,670 | |
†VeriSign | 2,100 | 430,521 | |
†WEX | 4,100 | 722,174 | |
†Wix.com | 14,266 | 2,795,708 | |
44,616,771 | |||
Leisure Products–0.27% | |||
†Peloton Interactive Class A | 29,559 | 2,573,111 | |
2,573,111 |
LVIP Blended Mid Cap Managed Volatility Fund–3
LVIP Blended Mid Cap Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Life Sciences Tools & Services–7.48% | |||
†Adaptive Biotechnologies | 52,859 | $ 1,796,677 | |
Agilent Technologies | 51,693 | 8,143,199 | |
†Avantor | 68,643 | 2,807,499 | |
†Bio-Rad Laboratories Class A | 2,600 | 1,939,470 | |
Bio-Techne | 20,557 | 9,961,306 | |
Bruker | 7,600 | 593,560 | |
†Charles River Laboratories International | 29,404 | 12,134,149 | |
†ICON | 29,621 | 7,761,294 | |
†IQVIA Holdings | 6,100 | 1,461,194 | |
†Maravai LifeSciences Holdings Class A | 75,417 | 3,701,466 | |
†Mettler-Toledo International | 3,693 | 5,086,590 | |
†Pacific Biosciences of California | 15,000 | 383,250 | |
PerkinElmer | 74,713 | 12,947,016 | |
†Repligen | 11,143 | 3,220,216 | |
71,936,886 | |||
Machinery–1.17% | |||
Fortive | 11,208 | 790,949 | |
Graco | 5,600 | 391,832 | |
IDEX | 32,131 | 6,649,510 | |
†Middleby | 3,858 | 657,828 | |
Otis Worldwide | 9,500 | 781,660 | |
PACCAR | 9,300 | 733,956 | |
Toro | 6,600 | 642,906 | |
Woodward | 5,100 | 577,320 | |
11,225,961 | |||
Media–0.79% | |||
†Altice USA Class A | 46,919 | 972,162 | |
Cable One | 3,640 | 6,599,793 | |
7,571,955 | |||
Metals & Mining–0.11% | |||
Kirkland Lake Gold | 10,300 | 428,377 | |
Steel Dynamics | 10,600 | 619,888 | |
1,048,265 | |||
Multiline Retail–0.26% | |||
†Dollar Tree | 7,600 | 727,472 | |
†Ollie's Bargain Outlet Holdings | 29,200 | 1,760,176 | |
2,487,648 | |||
Oil, Gas & Consumable Fuels–0.56% | |||
Devon Energy | 66,300 | 2,354,313 | |
Pioneer Natural Resources | 13,700 | 2,281,187 | |
=†πVenture Global LNG Series B | 12 | 55,081 | |
=†πVenture Global LNG Series C | 149 | 683,923 | |
5,374,504 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Pharmaceuticals–0.32% | |||
†Catalent | 13,513 | $ 1,798,175 | |
†Elanco Animal Health | 26,734 | 852,547 | |
Royalty Pharma Class A | 12,755 | 460,966 | |
3,111,688 | |||
Professional Services–6.26% | |||
Booz Allen Hamilton Holding | 22,281 | 1,767,997 | |
†Clarivate | 264,341 | 5,789,068 | |
†CoStar Group | 122,507 | 10,542,952 | |
†Dun & Bradstreet Holdings | 116,438 | 1,957,323 | |
Equifax | 38,759 | 9,822,306 | |
IHS Markit | 10,009 | 1,167,250 | |
†Legalzoom.com | 7,125 | 188,100 | |
Leidos Holdings | 6,400 | 615,232 | |
TransUnion | 96,520 | 10,840,161 | |
†Upwork | 13,800 | 621,414 | |
Verisk Analytics | 54,524 | 10,919,521 | |
Wolters Kluwer | 56,073 | 5,943,542 | |
60,174,866 | |||
Real Estate Management & Development–0.04% | |||
eXp World Holdings | 9,800 | 389,746 | |
389,746 | |||
Road & Rail–0.62% | |||
JB Hunt Transport Services | 2,777 | 464,370 | |
Kansas City Southern | 9,088 | 2,459,576 | |
Landstar System | 3,400 | 536,588 | |
Old Dominion Freight Line | 8,700 | 2,488,026 | |
5,948,560 | |||
Semiconductors & Semiconductor Equipment–5.47% | |||
ASM International | 9,694 | 3,796,349 | |
†Enphase Energy | 19,000 | 2,849,430 | |
Entegris | 91,251 | 11,488,501 | |
KLA | 3,109 | 1,039,992 | |
†Lattice Semiconductor | 8,700 | 562,455 | |
Marvell Technology | 15,895 | 958,627 | |
Microchip Technology | 31,644 | 4,857,038 | |
MKS Instruments | 12,914 | 1,948,852 | |
Monolithic Power Systems | 36,183 | 17,537,176 | |
†ON Semiconductor | 29,700 | 1,359,369 | |
†Silicon Laboratories | 14,333 | 2,008,913 | |
Skyworks Solutions | 9,900 | 1,631,322 | |
Teradyne | 23,200 | 2,532,744 | |
52,570,768 | |||
Software–17.03% | |||
†Anaplan | 24,000 | 1,461,360 | |
†ANSYS | 5,400 | 1,838,430 | |
†Aspen Technology | 9,461 | 1,161,811 | |
†Autodesk | 21,039 | 5,999,692 | |
†Avalara | 11,350 | 1,983,639 | |
Bentley Systems Class B | 9,844 | 596,940 |
LVIP Blended Mid Cap Managed Volatility Fund–4
LVIP Blended Mid Cap Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Software (continued) | |||
†Bill.Com Holdings | 12,000 | $ 3,203,400 | |
†Black Knight | 80,868 | 5,822,496 | |
†Cadence Design Systems | 105,970 | 16,048,097 | |
=†πCanva | 79 | 134,629 | |
†CCC Intelligent Solutions Holdings | 104,140 | 1,094,511 | |
†Ceridian HCM Holding | 14,641 | 1,648,869 | |
Citrix Systems | 5,500 | 590,535 | |
†Confluent Class A | 5,912 | 352,651 | |
Constellation Software | 3,159 | 5,175,263 | |
†Coupa Software | 19,212 | 4,210,886 | |
†Crowdstrike Holdings Class A | 16,371 | 4,023,664 | |
=†πDatabricks | 3,406 | 750,861 | |
†Datadog Class A | 27,444 | 3,879,209 | |
†DocuSign | 35,814 | 9,219,598 | |
†DoubleVerify Holdings | 16,448 | 561,864 | |
†Dynatrace | 13,812 | 980,238 | |
†Everbridge | 20,894 | 3,155,830 | |
†Five9 | 9,302 | 1,485,901 | |
†Fortinet | 20,785 | 6,070,051 | |
†Guidewire Software | 3,700 | 439,819 | |
†HubSpot | 6,100 | 4,124,149 | |
†Manhattan Associates | 10,000 | 1,530,300 | |
†Monday.com | 1,038 | 338,596 | |
†nCino | 20,761 | 1,474,654 | |
†Nice Sponsored ADR | 27,597 | 7,838,652 | |
†Palo Alto Networks | 10,550 | 5,053,450 | |
†Paycom Software | 8,400 | 4,164,300 | |
†Paycor HCM | 15,900 | 559,044 | |
†Paylocity Holding | 31,639 | 8,871,576 | |
†Procore Technologies | 1,875 | 167,512 | |
†πProcore Technologies Lockup Shares | 3,284 | 293,393 | |
†PTC | 17,697 | 2,119,924 | |
†Qualtrics International Class A | 43,523 | 1,860,173 | |
†RingCentral Class A | 20,377 | 4,431,997 | |
†SentinelOne Class A | 16,247 | 870,352 | |
†ServiceNow | 8,152 | 5,072,745 | |
†Smartsheet Class A | 17,900 | 1,231,878 | |
=†πSnyk | 23,071 | 330,942 | |
†Splunk | 7,200 | 1,041,912 | |
SS&C Technologies Holdings | 45,832 | 3,180,741 | |
†Synopsys | 33,075 | 9,902,986 | |
=†πTanium Class B | 9,649 | 109,952 | |
†Topicus | 5,981 | 627,991 | |
†Trade Desk Class A | 61,000 | 4,288,300 | |
†Tyler Technologies | 18,395 | 8,436,867 | |
†UiPath Class A | 30,035 | 1,580,141 | |
†Unity Software | 4,362 | 550,702 | |
†Workiva | 5,200 | 732,992 | |
†Zendesk | 8,800 | 1,024,232 | |
163,700,697 |
Number of Shares | Value (U.S. $) | ||
COMMON STOCK (continued) | |||
Specialty Retail–5.02% | |||
†AutoZone | 1,790 | $ 3,039,402 | |
†Burlington Stores | 30,367 | 8,611,170 | |
†CarMax | 12,232 | 1,565,207 | |
†Carvana | 8,800 | 2,653,552 | |
†Five Below | 25,129 | 4,443,058 | |
†Floor & Decor Holdings Class A | 9,300 | 1,123,347 | |
†O'Reilly Automotive | 11,879 | 7,258,782 | |
†Petco Health & Wellness | 18,757 | 395,773 | |
†RH | 1,800 | 1,200,438 | |
Ross Stores | 9,100 | 990,535 | |
Tractor Supply | 38,156 | 7,730,787 | |
†Ulta Beauty | 21,940 | 7,918,585 | |
Williams-Sonoma | 7,712 | 1,367,569 | |
48,298,205 | |||
Textiles, Apparel & Luxury Goods–1.15% | |||
†Lululemon Athletica | 27,224 | 11,017,553 | |
11,017,553 | |||
Trading Companies & Distributors–0.31% | |||
Fastenal | 9,000 | 464,490 | |
†United Rentals | 5,200 | 1,824,836 | |
Watsco | 2,800 | 740,936 | |
3,030,262 | |||
Total Common Stock (Cost $528,539,733) | 919,780,943 | ||
CONVERTIBLE PREFERRED STOCKS–0.44% | |||
=†πCaris Life Series D | 39,051 | 316,313 | |
=†πDatabricks Series F | 7,776 | 1,714,238 | |
=†πDatabricks Series G | 825 | 181,873 | |
=†πDatabricks Series H | 1,967 | 433,630 | |
=†πDatarobot Series G | 15,766 | 431,364 | |
=†πRappi Series E | 9,859 | 635,148 | |
=†πSnyk Series F | 38,452 | 551,575 | |
Total Convertible Preferred Stocks (Cost $2,802,213) | 4,264,141 | ||
WARRANTS–0.01% | |||
†CCC Intelligent Solutions Holdings exp 8/14/25 exercise price USD 11.50 | 11,159 | 25,889 | |
†Paysafe exp 12/31/28 exercise price USD 11.50 | 22,418 | 41,473 | |
Total Warrants (Cost $94,405) | 67,362 |
LVIP Blended Mid Cap Managed Volatility Fund–5
LVIP Blended Mid Cap Managed Volatility Fund
Schedule of Investments (continued)
Number of Shares | Value (U.S. $) | ||
MONEY MARKET FUND–3.77% | |||
State Street Institutional U.S. Government Money Market Fund -Premier Class (seven-day effective yield 0.03%) | 36,265,237 | $ 36,265,237 | |
Total Money Market Fund (Cost $36,265,237) | 36,265,237 |
TOTAL INVESTMENTS–99.89% (Cost $567,701,588) | 960,377,683 | ||
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.11% | 1,091,250 | ||
NET ASSETS APPLICABLE TO 43,410,580 SHARES OUTSTANDING–100.00% | $961,468,933 |
† Non-income producing. | |
✱ Units consist of 1 share of common stock and 1/5 warrant. | |
= 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." | |
π Restricted Security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At September 30, 2021, the aggregate value of restricted securities was $7,051,882, which represented 0.73% of the Fund’s net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. |
Restricted Securities | ||||||
Investment | Date of Acquisition | Cost | Value | |||
Canva | 8/16/2021 | $134,629 | $134,629 | |||
Caris Life Series D | 5/11/2021 | 316,313 | 316,313 | |||
Databricks | 7/24/2020 | 163,573 | 750,861 | |||
Databricks Series F | 10/22/2019 | 333,967 | 1,714,238 | |||
Databricks Series G | 1/29/2021 | 146,328 | 181,873 | |||
Databricks Series H | 8/31/2021 | 433,630 | 433,630 | |||
Datarobot Series G | 6/11/2021 | 431,364 | 431,364 | |||
Gitlab Class B | 12/15/2020 | 432,177 | 428,960 | |||
Procore Technologies Lockup Shares | 7/15/2020 | 178,197 | 293,393 | |||
Rappi Series E | 9/8/2020 | 589,036 | 635,148 | |||
Snyk | 9/3/2021 | 330,942 | 330,942 | |||
Snyk Series F | 9/3/2021 | 551,575 | 551,575 | |||
Tanium Class B | 9/24/2020 | 109,952 | 109,952 | |||
Venture Global LNG Series B | 3/8/2018 | 36,240 | 55,081 | |||
Venture Global LNG Series C | 10/16/2017 | 554,369 | 683,923 | |||
Total | $4,742,292 | $7,051,882 |
LVIP Blended Mid Cap Managed Volatility Fund–6
LVIP Blended Mid Cap Managed Volatility Fund
Schedule of Investments (continued)
The following futures contracts were outstanding at September 30, 2021: |
Futures Contracts
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
Currency Contracts: | |||||||||||
6 | British Pound | $505,313 | $515,866 | 12/13/21 | $— | $(10,553) | |||||
6 | Euro | 870,000 | 887,708 | 12/13/21 | — | (17,708) | |||||
6 | Japanese Yen | 673,575 | 680,716 | 12/13/21 | — | (7,141) | |||||
— | (35,402) | ||||||||||
Equity Contracts: | |||||||||||
9 | E-mini MSCI Emerging Markets Index | 560,520 | 587,923 | 12/17/21 | — | (27,403) | |||||
79 | E-mini S&P 500 Index | 16,976,112 | 17,814,082 | 12/17/21 | — | (837,970) | |||||
62 | E-mini S&P MidCap 400 Index | 16,325,840 | 16,786,049 | 12/17/21 | — | (460,209) | |||||
17 | Euro STOXX 50 Index | 797,130 | 816,476 | 12/17/21 | — | (19,346) | |||||
5 | FTSE 100 Index | 476,541 | 469,811 | 12/17/21 | 6,730 | — | |||||
2 | Nikkei 225 Index (OSE) | 529,404 | 535,522 | 12/9/21 | — | (6,118) | |||||
6,730 | (1,351,046) | ||||||||||
Total Futures Contracts | $6,730 | $(1,386,448) |
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: |
ADR–American Depositary Receipt |
FTSE–Financial Times Stock Exchange |
IT–Information Technology |
LNG–Liquefied Natural Gas |
MSCI–Morgan Stanley Capital International |
OSE–Osaka Securities Exchange |
S&P–Standard & Poor’s |
See accompanying notes.
LVIP Blended Mid Cap Managed Volatility Fund–7
LVIP Blended Mid Cap Managed Volatility Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Blended Mid Cap Managed Volatility Fund (the “Fund”) is an investment company in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The following accounting policies are in accordance with U.S. GAAP and are consistently followed by the Fund.
Security Valuation–Equity securities, except those traded on The Nasdaq Stock Market LLC (“Nasdaq”), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sale price. If on a particular day an equity security does not trade, then the mean between the bid and ask prices is used, which approximates fair value. Securities listed on a foreign exchange are valued at the last quoted sales price on the valuation date. Open-end investment companies are valued at their published net asset value (“NAV”). Investments in government money market funds have a stable NAV. 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (“international fair value pricing”). Restricted securities are valued at fair value by the Fund's Fair Valuation Committee, using methods approved by the Board, taking into account a review of information, assumptions and sub-adviser recommendations, as applicable. Futures contracts are valued at the daily quoted settlement prices.
Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value.
2. Investments
U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. Each investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
Level 1– | inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts) |
Level 2– | other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing) |
Level 3– | inputs are significant unobservable inputs (including the Fund's own assumptions used to determine the fair value of investments) (e.g., indicative quotes from brokers, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs, including related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
LVIP Blended Mid Cap Managed Volatility Fund–8
LVIP Blended Mid Cap Managed Volatility Fund
Notes (continued)
2. Investments (continued)
The following table summarizes the valuation of the Fund's investments by fair value hierarchy levels as of September 30, 2021:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments: | |||||||
Assets: | |||||||
Common Stock | |||||||
Aerospace & Defense | $7,270,748 | $— | $— | $7,270,748 | |||
Air Freight & Logistics | 690,954 | — | — | 690,954 | |||
Airlines | 1,814,061 | — | — | 1,814,061 | |||
Auto Components | 1,133,364 | — | — | 1,133,364 | |||
Banks | 1,198,351 | — | — | 1,198,351 | |||
Beverages | 3,011,845 | — | — | 3,011,845 | |||
Biotechnology | 29,720,967 | — | — | 29,720,967 | |||
Building Products | 9,126,959 | — | — | 9,126,959 | |||
Capital Markets | 35,065,667 | — | — | 35,065,667 | |||
Chemicals | 7,279,424 | — | — | 7,279,424 | |||
Commercial Services & Supplies | 26,424,714 | — | — | 26,424,714 | |||
Communications Equipment | 1,997,952 | — | — | 1,997,952 | |||
Construction & Engineering | 728,872 | — | — | 728,872 | |||
Construction Materials | 7,982,660 | — | — | 7,982,660 | |||
Consumer Finance | 2,628,990 | — | — | 2,628,990 | |||
Containers & Packaging | 7,308,393 | — | — | 7,308,393 | |||
Distributors | 10,341,528 | — | — | 10,341,528 | |||
Diversified Consumer Services | 10,525,222 | — | — | 10,525,222 | |||
Diversified Financial Services | 1,722,198 | — | — | 1,722,198 | |||
Electrical Equipment | 15,464,885 | — | — | 15,464,885 | |||
Electronic Equipment, Instruments & Components | 17,468,849 | — | — | 17,468,849 | |||
Entertainment | 20,450,108 | — | — | 20,450,108 | |||
Equity Real Estate Investment Trusts | 18,258,948 | — | — | 18,258,948 | |||
Food & Staples Retailing | 1,753,669 | — | — | 1,753,669 | |||
Food Products | 5,688,911 | — | — | 5,688,911 | |||
Health Care Equipment & Supplies | 57,008,171 | — | — | 57,008,171 | |||
Health Care Providers & Services | 14,124,499 | — | — | 14,124,499 | |||
Health Care Technology | 6,527,850 | — | — | 6,527,850 | |||
Hotels, Restaurants & Leisure | 47,157,784 | — | — | 47,157,784 | |||
Household Durables | 3,173,681 | — | — | 3,173,681 | |||
Household Products | 1,058,588 | — | — | 1,058,588 | |||
Insurance | 11,450,256 | — | — | 11,450,256 | |||
Interactive Media & Services | 29,101,189 | — | — | 29,101,189 | |||
Internet & Direct Marketing Retail | 10,043,240 | — | — | 10,043,240 | |||
IT Services | 44,187,811 | — | 428,960 | 44,616,771 | |||
Leisure Products | 2,573,111 | — | — | 2,573,111 | |||
Life Sciences Tools & Services | 71,936,886 | — | — | 71,936,886 | |||
Machinery | 11,225,961 | — | — | 11,225,961 | |||
Media | 7,571,955 | — | — | 7,571,955 | |||
Metals & Mining | 1,048,265 | — | — | 1,048,265 | |||
Multiline Retail | 2,487,648 | — | — | 2,487,648 | |||
Oil, Gas & Consumable Fuels | 4,635,500 | — | 739,004 | 5,374,504 | |||
Pharmaceuticals | 3,111,688 | — | — | 3,111,688 | |||
Professional Services | 54,231,324 | 5,943,542 | — | 60,174,866 | |||
Real Estate Management & Development | 389,746 | — | — | 389,746 | |||
Road & Rail | 5,948,560 | — | — | 5,948,560 | |||
Semiconductors & Semiconductor Equipment | 48,774,419 | 3,796,349 | — | 52,570,768 | |||
Software | 162,080,920 | 293,393 | 1,326,384 | 163,700,697 | |||
Specialty Retail | 48,298,205 | — | — | 48,298,205 | |||
Textiles, Apparel & Luxury Goods | 11,017,553 | — | — | 11,017,553 | |||
Trading Companies & Distributors | 3,030,262 | — | — | 3,030,262 | |||
Convertible Preferred Stocks | — | — | 4,264,141 | 4,264,141 | |||
Warrants | 67,362 | — | — | 67,362 | |||
Money Market Fund | 36,265,237 | — | — | 36,265,237 | |||
Total Investments | $943,585,910 | $10,033,284 | $6,758,489 | $960,377,683 |
LVIP Blended Mid Cap Managed Volatility Fund–9
LVIP Blended Mid Cap Managed Volatility Fund
Notes (continued)
2. Investments (continued)
Level 1 | Level 2 | Level 3 | Total | ||||
Derivatives: |
Assets: | |||||||
Futures Contract | $6,730 | $— | $— | $6,730 | |||
Liabilities: | |||||||
Futures Contracts | $(1,386,448) | $— | $— | $(1,386,448) |
During the period ended September 30, 2021, there were no material transfers to or from Level 3 investments.
As a result of utilizing international fair value pricing at September 30, 2021, a portion of the Fund’s common stock investments was categorized as Level 2.
LVIP Blended Mid Cap Managed Volatility Fund–10