LVIP Delaware Bond Fund
Schedule of Investments
September 30, 2021 (unaudited)
Principal Amount° | Value (U.S. $) | ||
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.16% | |||
•Fannie Mae REMIC Trust Series 2004-W11 1A2 6.50% 5/25/44 | 63,116 | $ 72,009 | |
Fannie Mae REMICs | |||
Series 2013-44 Z 3.00% 5/25/43 | 488,802 | 545,990 | |
Series 2017-40 GZ 3.50% 5/25/47 | 2,839,793 | 3,042,652 | |
Series 2017-77 HZ 3.50% 10/25/47 | 2,556,620 | 2,622,514 | |
Freddie Mac REMICs Series 4676 KZ 2.50% 7/15/45 | 2,477,769 | 2,542,034 | |
♦•Freddie Mac Structured Pass-Through Certificates Series T-58 2A 6.50% 9/25/43 | 234,045 | 272,144 | |
GNMA | |||
Series 2013-113 LY 3.00% 5/20/43 | 1,113,000 | 1,173,300 | |
Series 2017-163 ZK 3.50% 11/20/47 | 949,159 | 1,027,008 | |
Series 2017-34 DY 3.50% 3/20/47 | 1,191,000 | 1,262,532 | |
Total Agency Collateralized Mortgage Obligations (Cost $11,579,153) | 12,560,183 | ||
AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES–0.21% | |||
•FREMF Mortgage Trust | |||
Series 2012-K18 B 4.32% 1/25/45 | 4,500,000 | 4,541,652 | |
Series 2012-K22 B 3.81% 8/25/45 | 7,781,000 | 7,974,804 | |
Series 2014-K717 C 3.70% 11/25/47 | 47,146 | 47,103 | |
Series 2017-K71 B 3.88% 11/25/50 | 2,990,000 | 3,259,721 | |
Total Agency Commercial Mortgage-Backed Securities (Cost $15,530,745) | 15,823,280 | ||
AGENCY MORTGAGE-BACKED SECURITIES–23.62% | |||
Fannie Mae S.F. 15 yr | |||
2.00% 3/1/36 | 39,029,543 | 40,439,274 | |
2.50% 8/1/35 | 2,306,917 | 2,404,311 | |
Fannie Mae S.F. 20 yr | |||
2.00% 1/1/41 | 7,654,032 | 7,760,618 | |
2.00% 3/1/41 | 18,434,724 | 18,691,434 | |
2.00% 4/1/41 | 8,201,959 | 8,292,432 | |
2.00% 5/1/41 | 8,177,801 | 8,306,853 | |
2.50% 8/1/40 | 5,151,078 | 5,324,677 | |
3.00% 12/1/37 | 14,791,757 | 15,552,512 | |
3.00% 1/1/38 | 17,268,018 | 18,218,346 | |
Fannie Mae S.F. 30 yr | |||
2.00% 11/1/50 | 22,009,141 | 22,205,841 |
Principal Amount° | Value (U.S. $) | ||
AGENCY MORTGAGE-BACKED SECURITIES (continued) | |||
Fannie Mae S.F. 30 yr (continued) | |||
2.00% 12/1/50 | 19,951,129 | $ 20,102,028 | |
2.00% 1/1/51 | 26,221,453 | 26,325,059 | |
2.00% 2/1/51 | 25,372,726 | 25,562,899 | |
2.00% 3/1/51 | 33,780,593 | 33,901,311 | |
2.00% 5/1/51 | 7,418,799 | 7,452,749 | |
2.00% 6/1/51 | 1,891,528 | 1,908,518 | |
2.00% 8/1/51 | 8,782,734 | 8,861,355 | |
2.50% 9/1/50 | 31,251,058 | 32,556,459 | |
2.50% 10/1/50 | 8,514,247 | 8,834,891 | |
2.50% 11/1/50 | 66,815,572 | 68,999,160 | |
2.50% 1/1/51 | 21,067,996 | 21,741,296 | |
2.50% 5/1/51 | 13,665,279 | 14,112,700 | |
2.50% 6/1/51 | 10,220,080 | 10,623,323 | |
2.50% 7/1/51 | 85,016,361 | 87,817,275 | |
2.50% 8/1/51 | 47,202,951 | 49,072,956 | |
2.50% 9/1/51 | 29,848,165 | 30,821,485 | |
3.00% 6/1/45 | 639,785 | 691,344 | |
3.00% 4/1/46 | 3,179,384 | 3,364,865 | |
3.00% 8/1/46 | 1,837,071 | 1,968,201 | |
3.00% 11/1/46 | 514,202 | 543,422 | |
3.00% 4/1/47 | 28,930 | 30,670 | |
3.00% 10/1/47 | 86,223 | 88,820 | |
3.00% 12/1/47 | 3,611,278 | 3,808,744 | |
3.00% 2/1/48 | 31,014,402 | 33,284,401 | |
3.00% 3/1/48 | 24,036,318 | 25,531,700 | |
3.00% 11/1/48 | 4,541,577 | 4,800,092 | |
3.00% 11/1/49 | 1,936,264 | 2,078,861 | |
3.00% 12/1/49 | 26,916,635 | 28,640,392 | |
3.00% 2/1/50 | 1,815,003 | 1,846,509 | |
3.00% 7/1/50 | 11,495,024 | 12,134,616 | |
3.00% 8/1/50 | 13,585,880 | 14,271,696 | |
3.00% 5/1/51 | 4,019,651 | 4,275,694 | |
3.00% 7/1/51 | 22,833,204 | 24,256,458 | |
3.00% 2/1/57 | 76,606 | 82,822 | |
3.50% 12/1/47 | 3,136,703 | 3,340,284 | |
3.50% 1/1/48 | 12,802,704 | 13,621,721 | |
3.50% 2/1/48 | 20,764,304 | 22,536,694 | |
3.50% 7/1/48 | 2,624,674 | 2,788,828 | |
3.50% 11/1/48 | 11,156,302 | 11,872,518 | |
3.50% 1/1/50 | 10,670,095 | 11,288,049 | |
3.50% 3/1/50 | 5,260,206 | 5,622,249 | |
3.50% 9/1/50 | 8,871,866 | 9,764,855 | |
3.50% 6/1/51 | 26,356,132 | 28,170,779 | |
3.50% 8/1/51 | 6,325,825 | 6,726,258 | |
4.00% 6/1/48 | 18,166,132 | 19,914,966 | |
4.00% 10/1/48 | 16,828,006 | 18,614,800 | |
4.00% 1/1/50 | 5,673,295 | 6,242,371 | |
4.50% 6/1/40 | 1,019,706 | 1,142,541 | |
4.50% 7/1/40 | 1,336,411 | 1,445,715 | |
4.50% 11/1/40 | 24,136 | 26,960 | |
4.50% 1/1/41 | 9,689 | 10,826 | |
4.50% 2/1/41 | 3,552,945 | 3,941,421 | |
4.50% 8/1/41 | 3,366,777 | 3,785,200 | |
4.50% 2/1/44 | 15,114,107 | 16,773,667 |
LVIP Delaware Bond Fund–1
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
AGENCY MORTGAGE-BACKED SECURITIES (continued) | |||
Fannie Mae S.F. 30 yr (continued) | |||
4.50% 4/1/44 | 685,554 | $ 770,174 | |
4.50% 8/1/44 | 191 | 214 | |
4.50% 10/1/45 | 5,413,661 | 6,041,378 | |
4.50% 2/1/46 | 43,404,639 | 48,280,745 | |
4.50% 5/1/46 | 16,129,630 | 18,057,577 | |
4.50% 4/1/48 | 30,643,462 | 34,314,315 | |
4.50% 12/1/48 | 6,309,349 | 6,804,835 | |
4.50% 1/1/49 | 21,775,565 | 24,064,088 | |
4.50% 2/1/49 | 4,118,508 | 4,564,163 | |
4.50% 5/1/49 | 393,976 | 429,964 | |
4.50% 9/1/49 | 5,679,062 | 6,231,086 | |
4.50% 1/1/50 | 6,915,808 | 7,564,253 | |
5.00% 7/1/47 | 6,873,285 | 7,850,789 | |
5.00% 6/1/48 | 36,459 | 40,201 | |
5.50% 5/1/44 | 78,109,575 | 90,612,335 | |
6.00% 6/1/41 | 7,704,220 | 9,065,942 | |
6.00% 7/1/41 | 27,849,346 | 32,880,946 | |
6.00% 1/1/42 | 5,819,031 | 6,865,006 | |
Fannie Mae S.F. 30 yr TBA | |||
2.00% 10/14/51 | 63,513,000 | 63,684,188 | |
2.50% 10/14/51 | 60,798,000 | 62,686,063 | |
Freddie Mac S.F. 15 yr | |||
1.50% 3/1/36 | 28,070,152 | 28,417,825 | |
2.00% 12/1/35 | 28,797,661 | 29,893,479 | |
Freddie Mac S.F. 20 yr | |||
2.00% 3/1/41 | 20,643,497 | 20,930,965 | |
2.00% 4/1/41 | 18,701,710 | 18,996,851 | |
2.50% 11/1/36 | 1,716,648 | 1,776,994 | |
Freddie Mac S.F. 30 yr | |||
2.00% 11/1/50 | 4,297,060 | 4,341,283 | |
2.00% 12/1/50 | 25,921,428 | 25,893,723 | |
2.00% 9/1/51 | 30,803,847 | 30,954,371 | |
2.50% 7/1/50 | 6,853,575 | 7,135,189 | |
2.50% 10/1/50 | 19,109,543 | 19,921,647 | |
2.50% 11/1/50 | 15,582,249 | 16,159,020 | |
2.50% 2/1/51 | 10,080,722 | 10,510,350 | |
2.50% 3/1/51 | 4,131,844 | 4,289,120 | |
3.00% 8/1/48 | 6,387,633 | 6,823,852 | |
3.00% 12/1/49 | 4,047,439 | 4,260,499 | |
3.00% 1/1/50 | 4,201,276 | 4,427,360 | |
3.00% 12/1/50 | 2,547,702 | 2,728,417 | |
3.00% 8/1/51 | 9,867,583 | 10,512,172 | |
3.50% 2/1/47 | 15,557,184 | 16,879,958 | |
3.50% 11/1/48 | 27,726,790 | 30,291,521 | |
4.00% 10/1/47 | 12,060,563 | 12,940,795 | |
4.50% 3/1/42 | 2,106,742 | 2,352,697 | |
4.50% 7/1/45 | 18,393,358 | 20,540,151 | |
4.50% 12/1/45 | 1,096,305 | 1,228,251 | |
4.50% 12/1/48 | 26,156,556 | 28,546,456 | |
4.50% 3/1/49 | 4,202,266 | 4,574,818 | |
4.50% 4/1/49 | 9,159,797 | 10,066,414 | |
4.50% 8/1/49 | 11,828,453 | 13,164,332 | |
5.00% 10/1/48 | 5,682,091 | 6,254,547 | |
5.50% 9/1/41 | 13,498,331 | 15,709,909 |
Principal Amount° | Value (U.S. $) | ||
AGENCY MORTGAGE-BACKED SECURITIES (continued) | |||
Freddie Mac S.F. 30 yr (continued) | |||
6.00% 5/1/39 | 159,011 | $ 185,394 | |
GNMA I S.F. 30 yr 3.00% 3/15/50 | 3,558,363 | 3,715,770 | |
GNMA II S.F. 30 yr | |||
3.00% 8/20/50 | 6,530,572 | 6,946,947 | |
3.00% 5/20/51 | 19,421,559 | 20,315,688 | |
5.50% 5/20/37 | 384,942 | 447,104 | |
Total Agency Mortgage-Backed Securities (Cost $1,798,816,824) | 1,818,161,902 | ||
CORPORATE BONDS–31.24% | |||
Aerospace & Defense–0.47% | |||
Boeing 3.75% 2/1/50 | 12,885,000 | 13,005,195 | |
Lockheed Martin 1.85% 6/15/30 | 3,000,000 | 2,985,171 | |
Teledyne Technologies | |||
2.25% 4/1/28 | 10,470,000 | 10,663,464 | |
2.75% 4/1/31 | 9,665,000 | 9,887,275 | |
36,541,105 | |||
Agriculture–0.18% | |||
BAT Capital 2.26% 3/25/28 | 8,915,000 | 8,848,353 | |
BAT International Finance 1.67% 3/25/26 | 5,350,000 | 5,352,980 | |
14,201,333 | |||
Airlines–0.42% | |||
Delta Air Lines 7.00% 5/1/25 | 9,182,000 | 10,708,508 | |
Southwest Airlines | |||
5.13% 6/15/27 | 12,047,000 | 14,088,677 | |
5.25% 5/4/25 | 1,635,000 | 1,846,071 | |
♦United Airlines Pass Through Trust | |||
3.75% 3/3/28 | 3,659,698 | 3,848,685 | |
4.00% 10/11/27 | 1,549,995 | 1,635,969 | |
32,127,910 | |||
Auto Manufacturers–0.80% | |||
Ford Motor Credit 2.90% 2/16/28 | 4,180,000 | 4,174,775 | |
General Motors | |||
5.40% 10/2/23 | 3,300,000 | 3,598,844 | |
6.13% 10/1/25 | 3,300,000 | 3,866,581 | |
6.60% 4/1/36 | 9,537,000 | 12,802,087 | |
General Motors Financial | |||
4.35% 4/9/25 | 16,530,000 | 18,150,297 | |
5.25% 3/1/26 | 12,791,000 | 14,616,970 | |
μ5.70% 3/31/36 | 3,820,000 | 4,397,775 | |
61,607,329 | |||
Auto Parts & Equipment–0.05% | |||
Nemak 3.63% 6/28/31 | 4,140,000 | 4,093,425 | |
4,093,425 |
LVIP Delaware Bond Fund–2
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Banks–6.77% | |||
Banco Nacional de Panama 2.50% 8/11/30 | 6,390,000 | $ 6,128,010 | |
μBanco Santander Mexico 5.95% 10/1/28 | 4,999,000 | 5,336,432 | |
μBangkok Bank 3.73% 9/25/34 | 11,340,000 | 11,565,099 | |
μBank of America | |||
2.09% 6/14/29 | 9,225,000 | 9,210,195 | |
2.48% 9/21/36 | 47,910,000 | 46,961,922 | |
μBank of New York Mellon 4.70% 10/2/25 | 13,010,000 | 14,278,475 | |
Barclays | |||
μ2.67% 3/10/32 | 5,920,000 | 5,942,406 | |
μ3.81% 3/10/42 | 10,620,000 | 11,271,485 | |
5.20% 5/12/26 | 6,800,000 | 7,774,848 | |
BBVA Bancomer 6.75% 9/30/22 | 15,252,000 | 16,040,071 | |
BBVA USA 3.88% 4/10/25 | 6,913,000 | 7,545,596 | |
μCitigroup 4.00% 3/1/24 | 2,980,000 | 3,087,876 | |
Credit Agricole 2.81% 1/11/41 | 22,232,000 | 21,214,831 | |
μCredit Suisse Group | |||
2.59% 9/11/25 | 10,630,000 | 11,019,546 | |
3.87% 1/12/29 | 3,985,000 | 4,349,364 | |
4.19% 4/1/31 | 8,155,000 | 9,134,000 | |
4.50% 9/3/30 | 4,585,000 | 4,493,300 | |
5.25% 2/11/27 | 4,425,000 | 4,629,656 | |
7.25% 1/14/30 | 4,160,000 | 4,611,152 | |
μDeutsche Bank | |||
3.55% 9/18/31 | 8,885,000 | 9,481,374 | |
3.73% 1/14/32 | 12,485,000 | 12,890,570 | |
μGoldman Sachs Group 1.54% 9/10/27 | 37,155,000 | 37,006,281 | |
μJPMorgan Chase & Co. | |||
1.47% 9/22/27 | 2,375,000 | 2,359,803 | |
2.58% 4/22/32 | 16,705,000 | 16,936,665 | |
3.33% 4/22/52 | 4,100,000 | 4,294,984 | |
4.02% 12/5/24 | 22,130,000 | 23,703,010 | |
4.60% 5/25/47 | 6,300,000 | 6,441,750 | |
Morgan Stanley | |||
μ2.48% 9/16/36 | 14,723,000 | 14,409,792 | |
μ3.62% 4/1/31 | 8,805,000 | 9,704,573 | |
5.00% 11/24/25 | 8,756,000 | 10,009,326 | |
μNBK SPC 1.63% 9/15/27 | 7,985,000 | 7,885,187 | |
PNC Bank | |||
2.70% 11/1/22 | 4,720,000 | 4,832,600 | |
4.05% 7/26/28 | 7,075,000 | 8,059,891 | |
SVB Financial Group | |||
1.80% 2/2/31 | 4,000,000 | 3,838,341 | |
μ4.00% 11/30/24 | 12,215,000 | 12,520,375 | |
Truist Bank | |||
μ2.64% 9/17/29 | 21,981,000 | 22,978,278 | |
3.00% 2/2/23 | 3,790,000 | 3,918,650 | |
3.30% 5/15/26 | 7,220,000 | 7,858,777 | |
Truist Financial | |||
μ1.89% 6/7/29 | 13,720,000 | 13,706,634 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Banks (continued) | |||
Truist Financial (continued) | |||
2.70% 1/27/22 | 1,645,000 | $ 1,654,560 | |
μ4.95% 4/25/56 | 7,095,000 | 7,750,010 | |
U.S. Bancorp | |||
1.45% 5/12/25 | 7,585,000 | 7,706,478 | |
3.38% 2/5/24 | 10,550,000 | 11,214,250 | |
3.60% 9/11/24 | 11,522,000 | 12,482,912 | |
3.95% 11/17/25 | 6,220,000 | 6,931,120 | |
U.S. Bank 3.40% 7/24/23 | 4,810,000 | 5,067,036 | |
UBS Group | |||
μ1.36% 1/30/27 | 2,185,000 | 2,164,631 | |
4.13% 9/24/25 | 6,980,000 | 7,711,392 | |
7.63% 8/17/22 | 12,000,000 | 12,714,021 | |
μWells Fargo & Co. 3.90% 1/31/31 | 8,190,000 | 8,445,937 | |
521,273,472 | |||
Beverages–0.65% | |||
Anheuser-Busch InBev Worldwide | |||
3.65% 2/1/26 | 11,740,000 | 12,876,687 | |
4.50% 6/1/50 | 18,705,000 | 22,328,563 | |
4.70% 2/1/36 | 12,072,000 | 14,588,296 | |
49,793,546 | |||
Biotechnology–0.70% | |||
Amgen | |||
2.00% 1/15/32 | 5,095,000 | 4,899,722 | |
2.80% 8/15/41 | 23,590,000 | 22,794,022 | |
Biogen 3.15% 5/1/50 | 3,800,000 | 3,621,914 | |
Gilead Sciences 4.15% 3/1/47 | 10,230,000 | 11,969,807 | |
Regeneron Pharmaceuticals | |||
1.75% 9/15/30 | 4,315,000 | 4,104,975 | |
2.80% 9/15/50 | 3,071,000 | 2,835,293 | |
Royalty Pharma 1.75% 9/2/27 | 3,445,000 | 3,430,102 | |
53,655,835 | |||
Building Materials–0.04% | |||
Standard Industries 3.38% 1/15/31 | 3,120,000 | 2,969,304 | |
2,969,304 | |||
Chemicals–1.05% | |||
GC Treasury Center 4.30% 3/18/51 | 3,030,000 | 3,322,282 | |
International Flavors & Fragrances 3.27% 11/15/40 | 6,865,000 | 7,094,741 | |
LyondellBasell Industries 4.63% 2/26/55 | 10,171,000 | 12,272,230 | |
Nutrien 2.95% 5/13/30 | 15,380,000 | 16,235,895 | |
OCP | |||
4.50% 10/22/25 | 10,150,000 | 10,883,439 | |
5.13% 6/23/51 | 4,285,000 | 4,242,150 | |
6.88% 4/25/44 | 0 | 0 |
LVIP Delaware Bond Fund–3
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Chemicals (continued) | |||
Westlake Chemical 3.13% 8/15/51 | 28,130,000 | $ 26,537,124 | |
80,587,861 | |||
Commercial Services–0.39% | |||
Ashtead Capital | |||
1.50% 8/12/26 | 3,150,000 | 3,117,314 | |
2.45% 8/12/31 | 2,960,000 | 2,909,787 | |
Global Payments 2.65% 2/15/25 | 11,181,000 | 11,686,484 | |
Hutama Karya Persero 3.75% 5/11/30 | 9,070,000 | 9,791,795 | |
International Container Terminal Services 4.75% 6/17/30 | 2,000,000 | 2,227,002 | |
29,732,382 | |||
Computers–0.13% | |||
International Business Machines 3.00% 5/15/24 | 9,095,000 | 9,647,811 | |
9,647,811 | |||
Diversified Financial Services–1.48% | |||
AerCap Ireland Capital | |||
1.75% 1/30/26 | 3,245,000 | 3,211,851 | |
3.65% 7/21/27 | 6,003,000 | 6,376,547 | |
4.50% 9/15/23 | 2,295,000 | 2,445,113 | |
4.63% 10/15/27 | 3,855,000 | 4,298,297 | |
6.50% 7/15/25 | 3,035,000 | 3,518,784 | |
Air Lease | |||
2.88% 1/15/26 | 10,120,000 | 10,574,343 | |
3.00% 2/1/30 | 9,220,000 | 9,355,587 | |
3.38% 7/1/25 | 3,290,000 | 3,493,825 | |
μAlly Financial 4.70% 10/15/27 | 6,460,000 | 6,723,891 | |
μCharles Schwab | |||
4.00% 8/2/28 | 5,965,000 | 6,218,512 | |
5.38% 5/13/28 | 14,935,000 | 16,596,519 | |
DAE Sukuk DIFC 3.75% 2/15/26 | 4,468,000 | 4,706,815 | |
Jefferies Group | |||
4.15% 1/23/30 | 2,335,000 | 2,626,325 | |
6.45% 6/8/27 | 1,766,000 | 2,200,624 | |
6.50% 1/20/43 | 5,130,000 | 7,117,480 | |
Nuveen Finance 4.13% 11/1/24 | 22,109,000 | 24,293,870 | |
113,758,383 | |||
Electric–2.79% | |||
Adani Electricity Mumbai 3.95% 2/12/30 | 7,000,000 | 6,982,637 | |
AEP Texas | |||
3.45% 1/15/50 | 1,805,000 | 1,862,897 | |
4.15% 5/1/49 | 1,530,000 | 1,759,660 | |
Alfa Desarrollo 4.55% 9/27/51 | 4,195,000 | 4,092,223 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Electric (continued) | |||
American Transmission Systems 5.25% 1/15/22 | 7,401,000 | $ 7,493,332 | |
Appalachian Power 3.70% 5/1/50 | 2,410,000 | 2,623,158 | |
Atlantic City Electric 4.00% 10/15/28 | 1,695,000 | 1,920,055 | |
Cleveland Electric Illuminating 5.50% 8/15/24 | 3,017,000 | 3,397,174 | |
Comision Federal de Electricidad 4.75% 2/23/27 | 3,093,000 | 3,464,160 | |
μDuke Energy 4.88% 10/23/23 | 10,460,000 | 11,179,125 | |
Duke Energy Indiana | |||
2.75% 4/1/50 | 11,495,000 | 10,994,229 | |
3.25% 10/1/49 | 4,095,000 | 4,237,353 | |
Enel Finance International | |||
1.88% 7/12/28 | 3,695,000 | 3,679,842 | |
2.25% 7/12/31 | 3,435,000 | 3,389,411 | |
2.88% 7/12/41 | 11,800,000 | 11,496,033 | |
Engie Energia Chile 3.40% 1/28/30 | 3,450,000 | 3,544,875 | |
Entergy Arkansas 4.20% 4/1/49 | 10,450,000 | 12,620,816 | |
Entergy Louisiana 4.00% 3/15/33 | 435,000 | 499,981 | |
Entergy Mississippi 3.85% 6/1/49 | 975,000 | 1,107,931 | |
Entergy Texas 3.55% 9/30/49 | 3,560,000 | 3,786,051 | |
Evergy Kansas Central 3.45% 4/15/50 | 5,975,000 | 6,398,733 | |
Evergy Metro 3.65% 8/15/25 | 10,103,000 | 10,962,646 | |
Infraestructura Energetica Nova 3.75% 1/14/28 | 7,096,000 | 7,654,810 | |
Louisville Gas and Electric 4.25% 4/1/49 | 2,505,000 | 3,022,040 | |
Oglethorpe Power 3.75% 8/1/50 | 6,504,000 | 6,912,023 | |
Pacific Gas and Electric | |||
2.10% 8/1/27 | 2,420,000 | 2,361,699 | |
2.50% 2/1/31 | 3,600,000 | 3,426,397 | |
3.25% 6/1/31 | 2,220,000 | 2,211,933 | |
3.30% 8/1/40 | 17,818,000 | 16,441,004 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.13% 5/15/27 | 8,659,000 | 9,384,191 | |
PG&E 5.25% 7/1/30 | 2,250,000 | 2,303,438 | |
μSempra Energy 4.88% 11/20/29 | 5,160,000 | 5,598,600 | |
Southern California Edison | |||
3.65% 2/1/50 | 240,000 | 245,197 | |
4.00% 4/1/47 | 3,505,000 | 3,758,573 | |
4.88% 3/1/49 | 11,850,000 | 14,148,677 | |
Southwestern Electric Power 4.10% 9/15/28 | 17,845,000 | 20,134,385 |
LVIP Delaware Bond Fund–4
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Electric (continued) | |||
Trans-Allegheny Interstate Line 3.85% 6/1/25 | 1,000 | $ 1,074 | |
215,096,363 | |||
Engineering & Construction–0.17% | |||
Cellnex Finance 3.88% 7/7/41 | 13,460,000 | 13,220,547 | |
13,220,547 | |||
Forest Products & Paper–0.41% | |||
Georgia-Pacific | |||
2.10% 4/30/27 | 2,715,000 | 2,794,377 | |
2.30% 4/30/30 | 9,910,000 | 10,089,555 | |
8.00% 1/15/24 | 16,242,000 | 18,941,649 | |
31,825,581 | |||
Gas–0.21% | |||
Brooklyn Union Gas 3.87% 3/4/29 | 14,885,000 | 16,258,429 | |
16,258,429 | |||
Health Care Products–0.22% | |||
Thermo Fisher Scientific 2.80% 10/15/41 | 17,110,000 | 17,066,415 | |
17,066,415 | |||
Health Care Services–0.06% | |||
HCA 3.50% 9/1/30 | 4,250,000 | 4,502,408 | |
4,502,408 | |||
Insurance–0.69% | |||
Aon 2.90% 8/23/51 | 12,560,000 | 12,105,181 | |
Arthur J Gallagher & Co. 3.50% 5/20/51 | 10,367,000 | 11,099,816 | |
Brighthouse Financial | |||
4.70% 6/22/47 | 5,027,000 | 5,684,422 | |
5.63% 5/15/30 | 4,095,000 | 4,943,364 | |
μMetLife 3.85% 10/15/28 | 8,690,000 | 9,081,050 | |
Prudential Financial 3.70% 3/13/51 | 8,920,000 | 10,165,738 | |
53,079,571 | |||
Internet–0.05% | |||
Prosus 3.83% 2/8/51 | 4,305,000 | 3,918,542 | |
3,918,542 | |||
Iron & Steel–0.21% | |||
Vale Overseas 3.75% 7/8/30 | 15,765,000 | 16,331,752 | |
16,331,752 | |||
Machinery Diversified–0.15% | |||
Otis Worldwide | |||
3.11% 2/15/40 | 6,139,000 | 6,292,478 | |
3.36% 2/15/50 | 4,710,000 | 4,927,135 | |
11,219,613 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Media–2.34% | |||
AMC Networks 4.25% 2/15/29 | 5,000,000 | $ 4,975,000 | |
CCO Holdings 4.25% 2/1/31 | 4,000,000 | 4,069,400 | |
Charter Communications Operating | |||
4.40% 12/1/61 | 22,189,000 | 23,075,672 | |
4.46% 7/23/22 | 10,585,000 | 10,853,938 | |
4.91% 7/23/25 | 1,815,000 | 2,041,194 | |
Comcast | |||
3.20% 7/15/36 | 4,770,000 | 5,080,358 | |
3.70% 4/15/24 | 17,910,000 | 19,262,423 | |
CSC Holdings 4.63% 12/1/30 | 4,965,000 | 4,706,696 | |
Discovery Communications 4.00% 9/15/55 | 32,440,000 | 33,922,464 | |
Sirius XM Radio 5.00% 8/1/27 | 3,680,000 | 3,845,600 | |
Time Warner Cable | |||
6.75% 6/15/39 | 6,015,000 | 8,232,650 | |
7.30% 7/1/38 | 14,595,000 | 20,936,864 | |
Time Warner Entertainment 8.38% 3/15/23 | 7,690,000 | 8,542,360 | |
ViacomCBS | |||
4.38% 3/15/43 | 17,115,000 | 19,578,875 | |
4.95% 1/15/31 | 9,475,000 | 11,319,327 | |
180,442,821 | |||
Mining–0.43% | |||
Minera Mexico 4.50% 1/26/50 | 5,895,000 | 6,528,712 | |
Newmont | |||
2.25% 10/1/30 | 6,280,000 | 6,246,953 | |
2.80% 10/1/29 | 19,540,000 | 20,322,904 | |
33,098,569 | |||
Oil & Gas–1.30% | |||
μBP Capital Markets 4.88% 8/12/31 | 5,850,000 | 6,430,672 | |
Cenovus Energy | |||
2.65% 1/15/32 | 1,630,000 | 1,599,186 | |
3.75% 2/15/52 | 2,320,000 | 2,254,450 | |
Chevron 3.90% 11/15/24 | 7,680,000 | 8,385,593 | |
Equinor 1.75% 1/22/26 | 3,255,000 | 3,334,859 | |
KazMunayGas National 5.75% 4/19/47 | 4,562,000 | 5,473,852 | |
Lukoil Securities 3.88% 5/6/30 | 11,610,000 | 12,205,593 | |
Marathon Oil 4.40% 7/15/27 | 23,510,000 | 26,408,313 | |
Petroleos Mexicanos 6.75% 9/21/47 | 10,000,000 | 8,721,650 | |
PTTEP Treasury Center 2.59% 6/10/27 | 8,712,000 | 9,007,103 | |
Qatar Petroleum | |||
2.25% 7/12/31 | 2,800,000 | 2,773,120 | |
3.30% 7/12/51 | 2,000,000 | 2,020,000 | |
Saudi Arabian Oil 4.25% 4/16/39 | 3,315,000 | 3,716,579 |
LVIP Delaware Bond Fund–5
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Oil & Gas (continued) | |||
Tengizchevroil Finance International 2.63% 8/15/25 | 7,694,000 | $ 7,844,033 | |
100,175,003 | |||
Pharmaceuticals–2.01% | |||
AbbVie | |||
2.95% 11/21/26 | 18,900,000 | 20,244,660 | |
4.05% 11/21/39 | 21,570,000 | 24,788,430 | |
Cigna | |||
•1.02% (LIBOR03M + 0.89%) 7/15/23 | 4,720,000 | 4,777,768 | |
2.40% 3/15/30 | 3,625,000 | 3,685,139 | |
3.20% 3/15/40 | 3,440,000 | 3,542,503 | |
CVS Health | |||
3.75% 4/1/30 | 4,145,000 | 4,604,900 | |
4.30% 3/25/28 | 7,900,000 | 9,011,175 | |
4.78% 3/25/38 | 14,703,000 | 18,027,968 | |
5.05% 3/25/48 | 3,775,000 | 4,859,188 | |
Takeda Pharmaceutical | |||
2.05% 3/31/30 | 6,495,000 | 6,393,126 | |
3.03% 7/9/40 | 4,945,000 | 5,020,668 | |
3.18% 7/9/50 | 17,455,000 | 17,688,500 | |
4.40% 11/26/23 | 10,240,000 | 11,034,589 | |
Viatris | |||
1.65% 6/22/25 | 1,855,000 | 1,873,562 | |
2.30% 6/22/27 | 1,705,000 | 1,740,941 | |
2.70% 6/22/30 | 6,075,000 | 6,141,213 | |
4.00% 6/22/50 | 10,735,000 | 11,409,825 | |
154,844,155 | |||
Pipelines–2.59% | |||
Cheniere Corpus Christi Holdings 7.00% 6/30/24 | 7,625,000 | 8,624,036 | |
μEnergy Transfer 6.50% 9/23/32 | 12,095,000 | 12,595,370 | |
Energy Transfer Operating | |||
5.25% 4/15/29 | 5,040,000 | 5,907,738 | |
6.25% 4/15/49 | 14,545,000 | 19,112,281 | |
Enterprise Products Operating | |||
3.20% 2/15/52 | 11,315,000 | 10,949,268 | |
3.30% 2/15/53 | 19,037,000 | 18,565,691 | |
Galaxy Pipeline Assets Bidco 2.63% 3/31/36 | 9,280,000 | 9,135,933 | |
Kinder Morgan 3.60% 2/15/51 | 6,250,000 | 6,316,541 | |
MPLX | |||
1.75% 3/1/26 | 3,710,000 | 3,732,845 | |
4.00% 3/15/28 | 2,835,000 | 3,130,648 | |
4.13% 3/1/27 | 13,170,000 | 14,705,186 | |
4.70% 4/15/48 | 3,590,000 | 4,144,910 | |
5.50% 2/15/49 | 12,350,000 | 15,654,684 | |
Oleoducto Central 4.00% 7/14/27 | 7,321,000 | 7,540,630 | |
ONEOK 7.50% 9/1/23 | 8,950,000 | 9,959,767 |
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Pipelines (continued) | |||
Sabine Pass Liquefaction | |||
5.63% 3/1/25 | 8,760,000 | $ 9,942,126 | |
5.75% 5/15/24 | 13,266,000 | 14,774,462 | |
Tennessee Gas Pipeline 2.90% 3/1/30 | 23,537,000 | 24,340,140 | |
199,132,256 | |||
Real Estate Investment Trusts–0.50% | |||
American Tower 1.88% 10/15/30 | 17,495,000 | 16,801,550 | |
CIBANCO SA Institucion de Banca Multiple Trust 4.38% 7/22/31 | 4,215,000 | 4,092,765 | |
Crown Castle International | |||
3.80% 2/15/28 | 1,695,000 | 1,863,953 | |
4.30% 2/15/29 | 13,740,000 | 15,592,841 | |
38,351,109 | |||
Retail–0.27% | |||
Lowe's Companies | |||
3.00% 10/15/50 | 18,267,000 | 17,812,680 | |
4.05% 5/3/47 | 2,250,000 | 2,583,155 | |
20,395,835 | |||
Semiconductors–1.06% | |||
Broadcom | |||
3.14% 11/15/35 | 2,883,000 | 2,873,936 | |
3.42% 4/15/33 | 9,507,000 | 9,841,377 | |
3.47% 4/15/34 | 18,997,000 | 19,561,913 | |
Microchip Technology 4.33% 6/1/23 | 7,095,000 | 7,498,816 | |
NXP | |||
3.25% 5/11/41 | 8,930,000 | 9,223,113 | |
4.88% 3/1/24 | 17,490,000 | 19,076,764 | |
5.55% 12/1/28 | 2,145,000 | 2,602,000 | |
SK Hynix | |||
1.50% 1/19/26 | 3,637,000 | 3,590,010 | |
2.38% 1/19/31 | 7,615,000 | 7,391,279 | |
81,659,208 | |||
Software–0.18% | |||
Broadridge Financial Solutions 2.60% 5/1/31 | 13,468,000 | 13,670,743 | |
13,670,743 | |||
Telecommunications–2.42% | |||
AT&T | |||
3.10% 2/1/43 | 7,441,000 | 7,134,033 | |
3.50% 6/1/41 | 13,124,000 | 13,474,800 | |
3.50% 9/15/53 | 13,495,000 | 13,356,271 | |
Sprint Spectrum 4.74% 3/20/25 | 4,112,500 | 4,392,150 | |
T-Mobile USA | |||
2.55% 2/15/31 | 7,125,000 | 7,150,391 |
LVIP Delaware Bond Fund–6
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
CORPORATE BONDS (continued) | |||
Telecommunications (continued) | |||
T-Mobile USA (continued) | |||
3.00% 2/15/41 | 14,735,000 | $ 14,256,586 | |
3.40% 10/15/52 | 15,365,000 | 14,985,348 | |
3.50% 4/15/25 | 4,490,000 | 4,837,110 | |
3.75% 4/15/27 | 8,750,000 | 9,639,794 | |
Verizon Communications | |||
2.10% 3/22/28 | 2,815,000 | 2,857,478 | |
2.55% 3/21/31 | 5,500,000 | 5,567,597 | |
3.40% 3/22/41 | 4,740,000 | 4,950,182 | |
3.55% 3/22/51 | 5,130,000 | 5,410,082 | |
4.50% 8/10/33 | 30,790,000 | 36,661,916 | |
4.52% 9/15/48 | 8,005,000 | 9,822,976 | |
Vodafone Group | |||
4.25% 9/17/50 | 3,475,000 | 4,004,615 | |
4.88% 6/19/49 | 22,435,000 | 27,972,964 | |
186,474,293 | |||
Trucking & Leasing–0.05% | |||
DAE Funding 1.55% 8/1/24 | 4,100,000 | 4,062,526 | |
4,062,526 | |||
Total Corporate Bonds (Cost $2,314,772,456) | 2,404,815,435 | ||
LOAN AGREEMENT–0.16% | |||
•Applied Systems 6.25% (LIBOR03M + 5.50%) 9/19/25 | 12,000,000 | 12,143,520 | |
Total Loan Agreement (Cost $12,000,000) | 12,143,520 | ||
MUNICIPAL BONDS–0.30% | |||
Los Angeles, California Department of Water & Power System Revenue Taxable Build America Bonds 6.57% 7/1/45 | 6,965,000 | 11,253,301 | |
Metropolitan Transportation Authority, New York Revenue Taxable Build America Bonds 6.81% 11/15/40 | 1,725,000 | 2,517,898 | |
South Carolina Public Service Authority Series D 4.77% 12/1/45 | 1,368,000 | 1,767,280 | |
State of Oregon 5.89% 6/1/27 | 1,485,000 | 1,777,622 | |
University of Missouri (Curators University) Taxable Build America Bonds 5.79% 11/1/41 | 4,070,000 | 5,909,189 | |
Total Municipal Bonds (Cost $15,779,795) | 23,225,290 | ||
NON-AGENCY ASSET-BACKED SECURITIES–3.11% | |||
American Tower Trust Series 13 2A 3.07% 3/15/48 | 5,831,000 | 5,842,042 |
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY ASSET-BACKED SECURITIES (continued) | |||
•Apex Credit CLO Series 2018-1A A2 1.16% (LIBOR03M + 1.03%) 4/25/31 | 7,000,000 | $ 6,961,332 | |
•Black Diamond CLO Series 2017-2A A2 1.43% (LIBOR03M + 1.30%) 1/20/32 | 3,000,000 | 2,995,347 | |
•Catamaran CLO Series 2014-1A A1BR 1.53% (LIBOR03M + 1.39%) 4/22/30 | 11,150,000 | 11,103,538 | |
φCiticorp Residential Mortgage Trust Series 2006-3 A5 4.92% 11/25/36 | 2,403,312 | 2,454,402 | |
•CVP CLO Series 2017-2A A 1.32% (LIBOR03M + 1.19%) 1/20/31 | 6,300,000 | 6,300,088 | |
DataBank Issuer Series 2021-1A A2 2.06% 2/27/51 | 8,500,000 | 8,347,003 | |
Diamond Infrastructure Funding Series 2021-1A A 1.76% 4/15/49 | 26,305,000 | 25,936,349 | |
Dominos Pizza 2.66% 4/25/51 | 43,890,000 | 45,137,178 | |
Ford Credit Auto Owner Trust Series 2021-A B 0.70% 10/15/26 | 1,420,000 | 1,407,817 | |
Ford Credit Floorplan Master Owner Trust Series 2020-2 A 1.06% 9/15/27 | 5,372,000 | 5,359,927 | |
GM Financial Leasing Trust Series 2021-1 B 0.54% 2/20/25 | 2,230,000 | 2,230,331 | |
Hardee's Funding Series 2018-1A A2II 4.96% 6/20/48 | 2,667,500 | 2,833,613 | |
Hyundai Auto Receivables Trust Series 2020-C A2 0.26% 9/15/23 | 4,516,987 | 4,517,915 | |
•ICG US CLO Series 2014-1A A1A2 1.29% (LIBOR03M + 1.20%) 10/20/34 | 4,000,000 | 4,001,636 | |
JPMorgan Chase Bank Series 2021-3 B 0.76% 2/26/29 | 6,693,035 | 6,689,340 | |
•Marathon CLO XIII Series 2019-1A AANR 1.45% (LIBOR03M + 1.32%) 4/15/32 | 3,250,000 | 3,250,592 | |
•Mariner CLO Series 2018-5A A 1.24% (LIBOR03M + 1.11%) 4/25/31 | 4,000,000 | 4,000,100 | |
Mercedes-Benz Master Owner Trust Series 2019-BA A 2.61% 5/15/24 | 2,900,000 | 2,943,531 |
LVIP Delaware Bond Fund–7
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY ASSET-BACKED SECURITIES (continued) | |||
•Midocean Credit CLO Series 2018-9A A1 1.28% (LIBOR03M + 1.15%) 7/20/31 | 7,000,000 | $ 7,000,763 | |
•Oaktree CLO Series 2019-2A A1AR 1.25% (LIBOR03M + 1.12%) 4/15/31 | 5,582,715 | 5,583,078 | |
•Octagon Investment Partners 51 Series 2021-1A A 1.26% (LIBOR03M + 1.15%) 7/20/34 | 11,000,000 | 11,019,800 | |
PFS Financing | |||
Series 2020-G A 0.97% 2/15/26 | 7,000,000 | 7,040,833 | |
Series 2021-A A 0.71% 4/15/26 | 9,200,000 | 9,180,252 | |
•Steele Creek CLO Series 2017-1A A 1.38% (LIBOR03M + 1.25%) 10/15/30 | 5,500,000 | 5,488,609 | |
Tesla Auto Lease Trust Series 2021-A A2 0.36% 3/20/25 | 1,942,576 | 1,943,703 | |
•TICP CLO IX Series 2017-9A A 1.27% (LIBOR03M + 1.14%) 1/20/31 | 9,600,000 | 9,616,877 | |
•Towd Point Mortgage Trust | |||
Series 2015-6 A1B 2.75% 4/25/55 | 253,797 | 254,351 | |
Series 2016-1 A1B 2.75% 2/25/55 | 33,064 | 33,050 | |
Series 2016-2 A1 3.00% 8/25/55 | 330,698 | 332,552 | |
Series 2016-3 A1 2.25% 4/25/56 | 263,656 | 264,261 | |
Series 2017-1 A1 2.75% 10/25/56 | 603,860 | 612,013 | |
Series 2017-2 A1 2.75% 4/25/57 | 318,745 | 322,593 | |
Series 2018-1 A1 3.00% 1/25/58 | 1,575,362 | 1,607,482 | |
•Venture 34 CLO Series 2018-34A A 1.36% (LIBOR03M + 1.23%) 10/15/31 | 7,500,000 | 7,500,172 | |
•Venture 42 CLO Series 2021-42A A1A 1.31% (LIBOR03M + 1.13%) 4/15/34 | 15,000,000 | 15,006,915 | |
Volkswagen Auto Lease Trust Series 2020-A A4 0.45% 7/21/25 | 2,250,000 | 2,251,806 | |
•Zais Series 2021-17A A1A 1.00% (LIBOR03M + 1.33%) 10/20/33 | 2,000,000 | 2,000,204 | |
Total Non-Agency Asset-Backed Securities (Cost $238,538,622) | 239,371,395 |
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.58% | |||
•Agate Bay Mortgage Trust | |||
Series 2015-1 B1 3.75% 1/25/45 | 1,619,610 | $ 1,625,674 | |
Series 2015-1 B2 3.75% 1/25/45 | 915,181 | 918,078 | |
•Connecticut Avenue Securities Trust | |||
Series 2018-R07 1M2 2.49% (LIBOR01M + 2.40%) 4/25/31 | 1,155,855 | 1,160,189 | |
Series 2019-R01 2M2 2.54% (LIBOR01M + 2.45%) 7/25/31 | 1,042,571 | 1,049,220 | |
Series 2019-R02 1M2 2.39% (LIBOR01M + 2.30%) 8/25/31 | 1,134,866 | 1,142,185 | |
•Fannie Mae Connecticut Avenue Securities | |||
Series 2017-C04 2M2 2.94% (LIBOR01M + 2.85%) 11/25/29 | 2,115,376 | 2,171,087 | |
Series 2018-C02 2M2 2.29% (LIBOR01M + 2.20%) 8/25/30 | 2,233,023 | 2,260,299 | |
Series 2018-C03 1M2 2.24% (LIBOR01M + 2.15%) 10/25/30 | 3,681,735 | 3,728,930 | |
Series 2018-C05 1M2 2.44% (LIBOR01M + 2.35%) 1/25/31 | 2,541,848 | 2,580,514 | |
•Freddie Mac STACR REMIC Trust | |||
2.30% (SOFR30A + 2.25%) 8/25/33 | 37,000,000 | 37,464,812 | |
Series 2019-HQA4 M2 2.14% (LIBOR01M + 2.05%) 11/25/49 | 1,537,015 | 1,540,889 | |
Series 2020-DNA2 M2 1.94% (LIBOR01M + 1.85%) 2/25/50 | 2,923,310 | 2,946,467 | |
Series 2020-HQA2 M2 3.19% (LIBOR01M + 3.10%) 3/25/50 | 3,284,246 | 3,334,750 | |
Series 2021-DNA1 M2 1.85% (SOFR30A + 1.80%) 1/25/51 | 37,000,000 | 37,080,571 | |
Series 2021-DNA3 M2 2.15% (SOFR30A + 2.10%) 10/25/33 | 12,900,000 | 13,168,346 | |
Series 2021-DNA5 M2 1.70% (SOFR30A + 1.65%) 1/25/34 | 16,700,000 | 16,815,070 | |
Series 2021-HQA2 M2 2.10% (SOFR30A + 2.05%) 12/25/33 | 25,500,000 | 25,737,650 |
LVIP Delaware Bond Fund–8
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||
•Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA3 M2 2.59% (LIBOR01M + 2.50%) 3/25/30 | 1,985,000 | $ 2,031,547 | |
Series 2017-HQA2 M2AS 1.14% (LIBOR01M + 1.05%) 12/25/29 | 2,413,998 | 2,417,393 | |
Series 2018-HQA1 M2 2.39% (LIBOR01M + 2.30%) 9/25/30 | 3,914,377 | 3,965,157 | |
•GS Mortgage-Backed Securities Trust | |||
Series 2021-PJ7 A2 2.50% 1/25/52 | 12,640,848 | 12,758,488 | |
Series 2021-PJ8 A2 2.50% 1/25/52 | 17,784,393 | 17,952,392 | |
Series 2021-PJ9 A2 2.50% 2/26/52 | 20,000,000 | 20,308,456 | |
•JP Morgan Mortgage Trust | |||
Series 2014-2 B1 3.42% 6/25/29 | 839,844 | 877,864 | |
Series 2014-2 B2 3.42% 6/25/29 | 312,901 | 324,223 | |
Series 2015-1 B2 2.10% 12/25/44 | 2,967,770 | 3,004,826 | |
Series 2015-4 B1 3.58% 6/25/45 | 2,109,430 | 2,180,133 | |
Series 2015-4 B2 3.58% 6/25/45 | 1,510,672 | 1,554,084 | |
Series 2015-5 B2 2.44% 5/25/45 | 2,616,484 | 2,656,170 | |
Series 2015-6 B1 3.53% 10/25/45 | 1,642,155 | 1,689,468 | |
Series 2015-6 B2 3.53% 10/25/45 | 1,391,367 | 1,426,104 | |
Series 2015-6 B3 3.53% 10/25/45 | 2,504,416 | 2,557,767 | |
Series 2016-4 B1 3.82% 10/25/46 | 1,320,228 | 1,359,929 | |
Series 2016-4 B2 3.82% 10/25/46 | 2,415,548 | 2,480,100 | |
Series 2017-1 B3 3.48% 1/25/47 | 4,480,716 | 4,581,582 | |
Series 2017-2 A3 3.50% 5/25/47 | 521,844 | 530,623 | |
Series 2020-2 A3 3.50% 7/25/50 | 914,408 | 932,935 | |
Series 2020-7 A3 3.00% 1/25/51 | 3,295,573 | 3,344,827 | |
Series 2021-1 A3 2.50% 6/25/51 | 4,603,592 | 4,663,655 | |
Series 2021-10 A3 2.50% 12/25/51 | 8,389,761 | 8,488,734 | |
Series 2021-11 A3 2.50% 1/25/52 | 14,865,332 | 15,040,697 |
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||
•JP Morgan Mortgage Trust (continued) | |||
Series 2021-12 A3 2.50% 2/25/52 | 20,000,000 | $ 20,185,938 | |
•Morgan Stanley Residential Mortgage Loan Trust | |||
Series 2020-1 A2A 2.50% 12/25/50 | 6,026,059 | 6,085,849 | |
Series 2021-1 A2 2.50% 3/25/51 | 4,189,458 | 4,240,190 | |
Series 2021-4 A3 2.50% 7/25/51 | 4,091,157 | 4,134,306 | |
Series 2021-5 A3 2.50% 8/25/51 | 13,334,322 | 13,466,624 | |
•New Residential Mortgage Loan Trust Series 2018-RPL1 A1 3.50% 12/25/57 | 1,217,511 | 1,263,395 | |
•RCKT Mortgage Trust | |||
Series 2021-1 A1 2.50% 3/25/51 | 4,424,945 | 4,471,615 | |
Series 2021-4 A1 2.50% 9/25/51 | 20,000,000 | 20,148,438 | |
•Sequoia Mortgage Trust | |||
Series 2013-4 B2 3.47% 4/25/43 | 707,464 | 717,063 | |
Series 2015-1 B2 3.92% 1/25/45 | 1,074,280 | 1,077,377 | |
Series 2019-CH1 A1 4.50% 3/25/49 | 272,312 | 274,120 | |
Series 2020-4 A2 2.50% 11/25/50 | 3,737,854 | 3,806,752 | |
•Wells Fargo Commercial Mortgage Trust Series 2020-1 A1 3.00% 12/25/49 | 1,158,566 | 1,183,341 | |
Total Non-Agency Collateralized Mortgage Obligations (Cost $351,306,256) | 352,906,893 | ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES–9.73% | |||
BANK | |||
Series 2017-BNK5 A5 3.39% 6/15/60 | 4,486,482 | 4,897,342 | |
•Series 2017-BNK5 B 3.90% 6/15/60 | 4,085,000 | 4,426,640 | |
Series 2017-BNK7 A5 3.44% 9/15/60 | 21,805,000 | 23,876,196 | |
Series 2019-BN20 A3 3.01% 9/15/62 | 6,159,000 | 6,613,927 | |
Series 2019-BN21 A5 2.85% 10/17/52 | 12,550,000 | 13,330,705 | |
Series 2020-BN25 A5 2.65% 1/15/63 | 40,000,000 | 41,891,684 | |
BBCMS Mortgage Trust Series 2020-C7 A5 2.04% 4/15/53 | 33,000,000 | 32,972,600 | |
Benchmark Mortgage Trust | |||
2.58% 4/15/54 | 14,130,000 | 14,683,112 |
LVIP Delaware Bond Fund–9
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||
Benchmark Mortgage Trust (continued) | |||
•Series 2018-B1 A5 3.67% 1/15/51 | 1,220,000 | $ 1,356,192 | |
Series 2020-B17 A5 2.29% 3/15/53 | 21,500,000 | 21,884,730 | |
Series 2020-B20 A5 2.03% 10/15/53 | 22,100,000 | 21,998,935 | |
Series 2020-B21 A5 1.98% 12/17/53 | 13,290,000 | 13,153,643 | |
Series 2020-B22 A5 1.97% 1/15/54 | 24,350,000 | 24,078,982 | |
Series 2021-B24 A5 2.58% 3/15/54 | 6,634,000 | 6,897,681 | |
Cantor Commercial Real Estate Lending | |||
Series 2019-CF1 A5 3.79% 5/15/52 | 16,282,000 | 18,215,103 | |
Series 2019-CF2 A5 2.87% 11/15/52 | 5,950,000 | 6,281,385 | |
Series 2019-CF3 A4 3.01% 1/15/53 | 13,150,000 | 13,974,669 | |
CD Mortgage Trust | |||
Series 2016-CD2 A3 3.25% 11/10/49 | 10,185,000 | 10,795,298 | |
•Series 2017-CD6 B 3.91% 11/13/50 | 2,760,000 | 2,925,789 | |
Series 2019-CD8 A4 2.91% 8/15/57 | 16,075,000 | 17,060,904 | |
CFCRE Commercial Mortgage Trust | |||
•Series 2011-C2 C 5.89% 12/15/47 | 4,875,000 | 4,868,177 | |
Series 2016-C7 A3 3.84% 12/10/54 | 7,090,000 | 7,814,280 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.64% 10/10/47 | 4,991,000 | 5,366,441 | |
Series 2015-GC27 A5 3.14% 2/10/48 | 7,120,000 | 7,558,185 | |
Series 2016-P3 A4 3.33% 4/15/49 | 7,897,000 | 8,507,322 | |
Series 2017-C4 A4 3.47% 10/12/50 | 18,940,000 | 20,755,391 | |
Series 2019-C7 A4 3.10% 12/15/72 | 11,904,000 | 12,847,815 | |
Series 2020-555 A 2.65% 12/10/41 | 5,300,000 | 5,491,183 | |
COMM Mortgage Trust | |||
Series 2013-CR6 AM 3.15% 3/10/46 | 6,875,000 | 7,029,424 | |
Series 2013-WWP A2 3.42% 3/10/31 | 2,235,000 | 2,311,687 | |
Series 2014-CR19 A5 3.80% 8/10/47 | 3,947,000 | 4,246,420 | |
Series 2014-CR20 AM 3.94% 11/10/47 | 11,135,000 | 11,863,373 |
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||
COMM Mortgage Trust (continued) | |||
Series 2015-3BP A 3.18% 2/10/35 | 22,346,000 | $ 23,603,805 | |
Series 2015-CR23 A4 3.50% 5/10/48 | 3,327,000 | 3,593,116 | |
♦Commercial Mortgage Pass Through Certificates Series 2016-CR28 A4 3.76% 2/10/49 | 8,148,000 | 8,935,582 | |
DB-JPM Mortgage Trust | |||
Series 2016-C1 A4 3.28% 5/10/49 | 4,585,000 | 4,905,796 | |
Series 2020-C9 A5 1.93% 8/15/53 | 11,250,000 | 11,127,648 | |
Series 2020-C9 B 2.57% 8/15/53 | 3,250,000 | 3,243,770 | |
Grace Trust Series 2020-GRCE A 2.35% 12/10/40 | 7,800,000 | 7,951,942 | |
GS Mortgage Securities Trust | |||
Series 2015-GC32 A4 3.76% 7/10/48 | 5,118,000 | 5,581,808 | |
Series 2017-GS6 A3 3.43% 5/10/50 | 14,900,000 | 16,295,674 | |
•Series 2018-GS9 A4 3.99% 3/10/51 | 3,480,000 | 3,926,473 | |
•Series 2018-GS9 B 4.32% 3/10/51 | 2,875,000 | 3,200,569 | |
Series 2019-GC39 A4 3.57% 5/10/52 | 2,200,000 | 2,445,103 | |
Series 2019-GC42 A4 3.00% 9/1/52 | 20,000,000 | 21,469,724 | |
Series 2020-GC47 A5 2.38% 5/12/53 | 14,250,000 | 14,603,287 | |
JPM-BB Commercial Mortgage Securities Trust | |||
Series 2015-C31 A3 3.80% 8/15/48 | 13,045,861 | 14,139,403 | |
Series 2015-C33 A4 3.77% 12/15/48 | 18,043,000 | 19,824,467 | |
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2016-C2 A4 3.14% 6/15/49 | 11,776,000 | 12,516,806 | |
Series 2016-C4 A3 3.14% 12/15/49 | 7,150,000 | 7,721,394 | |
Series 2017-C7 A5 3.41% 10/15/50 | 4,220,000 | 4,638,888 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.50% 4/15/46 | 8,529,000 | 8,673,059 | |
Series 2015-JP1 A5 3.91% 1/15/49 | 8,627,000 | 9,513,589 | |
Series 2016-JP2 A4 2.82% 8/15/49 | 10,654,000 | 11,277,895 | |
Series 2016-WIKI A 2.80% 10/5/31 | 4,525,000 | 4,525,494 |
LVIP Delaware Bond Fund–10
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||
JPMorgan Chase Commercial Mortgage Securities Trust (continued) | |||
Series 2016-WIKI B 3.20% 10/5/31 | 4,395,000 | $ 4,392,851 | |
•LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.45% 9/15/39 | 1,488,981 | 521,144 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2014-C17 A5 3.74% 8/15/47 | 4,533,000 | 4,849,999 | |
Series 2015-C23 A4 3.72% 7/15/50 | 17,967,000 | 19,455,695 | |
Series 2015-C26 A5 3.53% 10/15/48 | 5,698,000 | 6,187,003 | |
Series 2016-C29 A4 3.33% 5/15/49 | 4,910,000 | 5,253,594 | |
Morgan Stanley Capital I Trust | |||
•Series 2006-HQ10 B 5.45% 11/12/41 | 563,540 | 544,261 | |
Series 2019-L3 A4 3.13% 11/15/52 | 6,400,000 | 6,902,992 | |
UBS Commercial Mortgage Trust Series 2012-C1 A3 3.40% 5/10/45 | 3,937,486 | 3,943,761 | |
•UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 3.65% 3/10/46 | 3,300,000 | 3,330,306 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2014-LC18 A5 3.41% 12/15/47 | 5,756,058 | 6,160,706 | |
Series 2015-NXS3 A4 3.62% 9/15/57 | 3,185,000 | 3,465,166 | |
Series 2016-BNK1 A3 2.65% 8/15/49 | 7,895,000 | 8,301,422 | |
Series 2017-C38 A5 3.45% 7/15/50 | 5,730,000 | 6,283,783 | |
Series 2019-C54 A4 3.15% 12/15/52 | 28,403,000 | 30,718,001 | |
Series 2020-C58 A4 2.09% 7/15/53 | 3,275,000 | 3,272,126 | |
WF -RBS Commercial Mortgage Trust Series 2012-C10 A3 2.88% 12/15/45 | 11,490,000 | 11,713,941 | |
Total Non-Agency Commercial Mortgage-Backed Securities (Cost $740,713,481) | 748,987,258 | ||
ΔREGIONAL BOND–0.82% | |||
Canada—0.82% | |||
Province of Alberta Canada 1.88% 11/13/24 | 61,220,000 | 63,460,416 | |
63,460,416 | |||
Total Regional Bond (Cost $61,120,558) | 63,460,416 |
Principal Amount° | Value (U.S. $) | ||
ΔSOVEREIGN BONDS–0.14% | |||
Bermuda—0.05% | |||
Bermuda Government International Bond 2.38% 8/20/30 | 4,000,000 | $ 3,960,000 | |
3,960,000 | |||
Panama—0.09% | |||
Panama Government International Bond 3.75% 3/16/25 | 6,011,000 | 6,451,005 | |
6,451,005 | |||
Total Sovereign Bonds (Cost $10,421,030) | 10,411,005 | ||
SUPRANATIONAL BANKS–0.54% | |||
Banque Ouest Africaine de Developpement | |||
4.70% 10/22/31 | 7,075,000 | 7,768,775 | |
5.00% 7/27/27 | 2,903,000 | 3,251,215 | |
Central American Bank for Economic Integration 2.00% 5/6/25 | 30,000,000 | 30,821,255 | |
Total Supranational Banks (Cost $39,935,540) | 41,841,245 | ||
U.S. TREASURY OBLIGATIONS–24.31% | |||
U.S. Treasury Bonds | |||
1.75% 8/15/41 | 54,585,000 | 52,179,848 | |
2.00% 8/15/51 | 15,515,000 | 15,241,063 | |
2.25% 8/15/46 | 121,760,000 | 125,750,494 | |
4.38% 2/15/38 | 25,550,000 | 34,972,560 | |
U.S. Treasury Notes | |||
0.13% 7/31/23 | 204,665,000 | 204,225,290 | |
0.38% 9/15/24 | 258,035,000 | 256,926,255 | |
0.88% 6/30/26 | 132,155,000 | 131,690,393 | |
0.88% 9/30/26 | 386,005,000 | 383,924,194 | |
1.13% 8/31/28 | 49,345,000 | 48,759,028 | |
1.25% 6/30/28 | 244,225,000 | 243,709,837 | |
1.25% 8/15/31 | 230,530,000 | 224,946,852 | |
1.63% 9/30/26 | 85,565,000 | 88,225,537 | |
^U.S. Treasury Strip Principal 0.00% 5/15/44 | 97,675,000 | 60,687,209 | |
Total U.S. Treasury Obligations (Cost $1,875,361,718) | 1,871,238,560 |
Number of Shares | |||
MONEY MARKET FUND–0.40% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%) | 31,138,854 | 31,138,854 | |
Total Money Market Fund (Cost $31,138,854) | 31,138,854 |
LVIP Delaware Bond Fund–11
LVIP Delaware Bond Fund
Schedule of Investments (continued)
Principal Amount° | Value (U.S. $) | ||
SHORT-TERM INVESTMENTS—2.75% | |||
Discounted Commercial Paper–2.75% | |||
≠ ANZ Banking Group | |||
0.12% 1/25/22 | 10,000,000 | $ 9,997,140 | |
≠Abn Amro Funding | |||
0.08% 10/13/21 | 2,300,000 | 2,299,939 | |
0.10% 10/5/21 | 5,000,000 | 4,999,944 | |
≠Alianz Finance | |||
0.10% 10/13/21 | 10,000,000 | 9,999,667 | |
0.10% 10/22/21 | 10,000,000 | 9,999,417 | |
0.10% 11/2/21 | 15,000,000 | 14,998,667 | |
0.10% 11/15/21 | 10,000,000 | 9,998,750 | |
0.10% 11/18/21 | 10,000,000 | 9,998,667 | |
≠Bayerische Landesbank | |||
0.06% 10/6/21 | 1,875,000 | 1,874,986 | |
0.07% 10/6/21 | 1,800,000 | 1,799,983 | |
0.11% 10/6/21 | 10,000,000 | 9,999,847 | |
≠BPCE | |||
0.10% 11/22/21 | 10,000,000 | 9,998,556 | |
≠Commonwealth Bank of Australia | |||
0.11% 1/14/22 | 2,050,000 | 2,049,577 | |
≠Corpoerative Centrale | |||
0.10% 11/10/21 | 3,800,000 | 3,799,578 | |
≠HSBC BANK | |||
0.10% 11/24/21 | 1,200,000 | 1,199,820 | |
≠J.P. Morgan Securities | |||
0.11% 12/6/21 | 2,000,000 | 1,999,646 | |
≠Lloyds Bank | |||
0.05% 10/4/21 | 7,000,000 | 6,999,971 | |
≠Lloyds Bank Corporate | |||
0.10% 10/1/21 | 4,000,000 | 4,000,000 | |
0.10% 11/4/21 | 5,000,000 | 4,999,528 | |
≠National Bank of Canada | |||
0.15% 4/19/22 | 9,000,000 | 8,992,111 |
Principal Amount° | Value (U.S. $) | ||
SHORT-TERM INVESTMENTS (continued) | |||
Discounted Commercial Paper (continued) | |||
≠Natixis | |||
0.10% 11/1/21 | 5,000,000 | $ 4,999,569 | |
0.11% 12/16/21 | 5,250,000 | 5,248,978 | |
≠Nordea Bank | |||
0.08% 10/12/21 | 4,300,000 | 4,299,895 | |
0.10% 11/19/21 | 1,115,000 | 1,114,848 | |
≠Province of Alberta | |||
0.10% 10/21/21 | 2,655,000 | 2,654,852 | |
≠Schwab Charles | |||
0.08% 10/12/21 | 1,750,000 | 1,749,957 | |
≠Skandinaviska Enskilda Banken | |||
0.10% 10/20/21 | 10,000,000 | 9,999,472 | |
0.10% 12/22/21 | 10,000,000 | 9,997,810 | |
≠Societe Generale | |||
0.10% 10/21/21 | 1,700,000 | 1,699,906 | |
0.11% 1/6/22 | 4,000,000 | 3,998,878 | |
0.12% 12/16/21 | 5,000,000 | 4,999,027 | |
≠Svenska Handelsbanken | |||
0.10% 11/5/21 | 1,570,000 | 1,569,847 | |
≠Swedbank | |||
0.10% 11/2/21 | 10,000,000 | 9,999,111 | |
0.10% 12/16/21 | 3,000,000 | 2,999,576 | |
0.11% 10/25/21 | 1,100,000 | 1,099,923 | |
0.11% 12/3/21 | 10,000,000 | 9,998,916 | |
≠Toronto-Dominion Bank | |||
0.11% 12/8/21 | 1,500,000 | 1,499,753 | |
≠Westpac Securities | |||
0.08% 10/13/21 | 3,820,000 | 3,819,898 | |
Total Short-Term Investments (Cost $211,753,511) | 211,756,010 |
TOTAL INVESTMENTS–102.07% (Cost $7,728,768,543) | 7,857,841,246 |
LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(2.07%) | (159,355,311) | ||
NET ASSETS APPLICABLE TO 549,790,896 SHARES OUTSTANDING–100.00% | $7,698,485,935 |
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
• 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. | |
♦ Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. | |
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. | |
φ Step coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at September 30, 2021. | |
Δ Securities have been classified by country of origin. |
LVIP Delaware Bond Fund–12
LVIP Delaware Bond Fund
Schedule of Investments (continued)
^ Zero coupon security. The rate shown is the yield at the time of purchase. | |
≠ The rate shown is the effective yield at the time of purchase. |
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 | ||||||
Interest Rate Contracts: | |||||||||||
(620) | U.S. Treasury 10 yr Ultra Notes | $(90,055,000) | $(91,826,399) | 12/21/21 | $1,771,399 | $— | |||||
481 | U.S. Treasury 2 yr Notes | 105,846,305 | 105,907,867 | 12/31/21 | — | (61,562) | |||||
55 | U.S. Treasury Long Bonds | 8,757,031 | 8,931,177 | 12/21/21 | — | (174,146) | |||||
Total Futures Contracts | $1,771,399 | $(235,708) |
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: |
BB–Barclays Bank |
CLO–Collateralized Loan Obligation |
DB–Deutsche Bank |
FREMF–Freddie Mac Multifamily |
GNMA–Government National Mortgage Association |
GS–Goldman Sachs |
HSBC–Hong Kong and Shanghai Banking Corporation |
JPM–JPMorgan |
JPM-BB–JPMorgan Barclays Bank |
JPM-DB–JPMorgan Deutsche Bank |
LB–Lehman Brothers |
LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month |
LIBOR03M–Intercontinental Exchange London Interbank Offered Rate USD 3 Month |
RBS–Royal Bank of Scotland |
REMICs–Real Estate Mortgage Investment Conduits |
S.F.–Single Family |
SOFR30A–Secured Overnight Financing Rate 30 Days Average |
TBA–To be announced |
WF–Wells Fargo |
yr–Year |
See accompanying notes.
LVIP Delaware Bond Fund–13
LVIP Delaware Bond Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Delaware Bond 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. Investments in government money market funds have a stable NAV. 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. Interpolated values are used when the settlement date of the contract is an interim date for which quotations are not available.
2. Investments
U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. Each investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
Level 1– | inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts) |
Level 2– | other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing) |
Level 3– | inputs are significant unobservable inputs (including the Fund's own assumptions used to determine the fair value of investments) (e.g., indicative quotes from brokers, fair valued securities) |
LVIP Delaware Bond Fund–14
LVIP Delaware Bond Fund
Notes (continued)
2. Investments (continued)
The following table summarizes the valuation of the Fund's investments by fair value hierarchy levels as of September 30, 2021:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments: | |||||||
Assets: | |||||||
Agency Collateralized Mortgage Obligations | $— | $12,560,183 | $— | $12,560,183 | |||
Agency Commercial Mortgage-Backed Securities | — | 15,823,280 | — | 15,823,280 | |||
Agency Mortgage-Backed Securities | — | 1,818,161,902 | — | 1,818,161,902 | |||
Corporate Bonds | — | 2,404,815,435 | — | 2,404,815,435 | |||
Loan Agreement | — | 12,143,520 | — | 12,143,520 | |||
Municipal Bonds | — | 23,225,290 | — | 23,225,290 | |||
Non-Agency Asset-Backed Securities | — | 239,371,395 | — | 239,371,395 | |||
Non-Agency Collateralized Mortgage Obligations | — | 352,906,893 | — | 352,906,893 | |||
Non-Agency Commercial Mortgage-Backed Securities | — | 748,987,258 | — | 748,987,258 | |||
Regional Bond | — | 63,460,416 | — | 63,460,416 | |||
Sovereign Bonds | — | 10,411,005 | — | 10,411,005 | |||
Supranational Banks | — | 41,841,245 | — | 41,841,245 | |||
U.S. Treasury Obligations | — | 1,871,238,560 | — | 1,871,238,560 | |||
Money Market Fund | 31,138,854 | — | — | 31,138,854 | |||
Short-Term Investment | — | 211,756,010 | — | 211,756,010 | |||
Total Investments | $31,138,854 | $7,826,702,392 | $— | $7,857,841,246 | |||
Derivatives: |
Assets: | |||||||
Futures Contract | $1,771,399 | $— | $— | $1,771,399 | |||
Liabilities: | |||||||
Futures Contracts | $(235,708) | $— | $— | $(235,708) |
There were no Level 3 investments at the beginning or end of the period.
LVIP Delaware Bond Fund–15