N-MFP2 0000914036 XXXXXXXX 2019-01-31 0000914036 3EICVM5HD7FVBIM8WO57 S000002805 2 N N 033-70742 Lincoln Investment Advisors Corporation 801-23411 BlackRock Advisors, LLC 801-47710 Ernst & Young Philadelphia PA The Lincoln National Life Insurance Company The Lincoln National Life Insurance Company N N Y Exempt Government N 27 87 429242128.35 441442614.34 468576822.53 447166074.63 0.00 530981371.44 524625551.92 534673196.79 515239879.21 0.00 0.5567 0.5583 0.5889 0.5680 0.0000 0.6887 0.6635 0.6720 0.6545 0.0000 0.00 774926793.75 774920949.69 223651.21 6226139.07 768918461.83 76891783.1510 10.0000 0.0246 10.0001 10.0002 10.0004 10.0003 0.0000 C000007706 1.00 493105040.00 49310203.7700 10.0002 10.0002 10.0005 10.0004 0.0000 12670877.09 17859327.46 30685786.69 8683911.54 9509703.15 0.00 860195.69 8790902.32 0.00 0.00 42813948.19 51384202.42 0.0193 N C000007707 1.00 275813421.83 27581579.3810 10.0000 10.0001 10.0003 10.0002 0.0000 579155.09 1562968.99 1326257.68 5515401.51 1517792.19 4752254.01 1709164.83 4393230.24 0.00 0.00 5869196.69 17780235.90 0.0168 N Bank of Nova Scotia Bank of Nova Scotia 2.550000% BRTQD7R37 L3I9ZG2KFGXZ61BMYR72 0001041839 04999J004_2.55_0201 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S Treasury Note 254900HROIFWPRGM1V77 2021-07-15 2.625000 50823600.00 51003526.78 U.S. Treasuries (including strips) TREASURY INFLATION ADJUSTED NOTE 2022-01-15 0.125000 100.00 109.05 U.S. Treasuries (including strips) Y Fitch, Inc. 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P-1 Standard and Poor's Ratings Services A-1 2019-02-01 2019-02-01 2019-02-01 N N N 0.0260 50000000.00 50000000.00 0.0650 N Y Y N Bank of Montreal Bank of Montreal 2.530000% BRTQD7R86 NQQ6HPCNCCU6TUTQYE16 0000009622 06399G001_2.53_0201 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S Treasury Note 254900HROIFWPRGM1V77 2020-11-15 2.625000 1104000.00 1111363.20 U.S. Treasuries (including strips) U.S Treasury Note 254900HROIFWPRGM1V77 2024-11-15 2.250000 1196000.00 1182145.43 U.S. Treasuries (including strips) U.S Treasury Note 254900HROIFWPRGM1V77 2023-06-30 1.375000 14822000.00 14138372.10 U.S. Treasuries (including strips) U.S Treasury Note 254900HROIFWPRGM1V77 2020-10-31 1.375000 593500.00 583656.49 U.S. Treasuries (including strips) U.S Treasury Note 254900HROIFWPRGM1V77 2023-11-30 2.875000 1000.00 1021.89 U.S. Treasuries (including strips) U.S Treasury Note 254900HROIFWPRGM1V77 2026-08-15 1.500000 400.00 372.15 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-07-11 0.00 600.00 593.49 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-05-23 0.00 600.00 595.57 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-04-25 0.00 200.00 198.90 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-03-28 0.00 700.00 697.41 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-05-31 2.500000 5365100.00 5383546.51 U.S. Treasuries (including strips) TREASURY INFLATION ADJUSTED BOND 2029-01-15 2.500000 200.00 270.61 U.S. Treasuries (including strips) TREASURY INFLATION ADJUSTED BOND 2028-01-15 1.750000 26500.00 34257.33 U.S. Treasuries (including strips) TREASURY INFLATION ADJUSTED BOND 2027-01-15 2.375000 800.00 1116.93 U.S. Treasuries (including strips) TREASURY INFLATION ADJUSTED BOND 2032-04-15 3.375000 300.00 558.14 U.S. Treasuries (including strips) U.S. TREASURY NONCALLABLE STRIP 2046-02-15 0.00 3000.00 1300.95 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2019-02-01 2019-02-01 2019-02-01 N N N 0.0253 22000000.00 22000000.00 0.0286 N Y Y N Bank of Montreal Bank of Montreal 2.570000% BRTQD7PN5 NQQ6HPCNCCU6TUTQYE16 0000009622 06399G001_2.57_0201 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORT BACKED SECURITY 2026-02-01 4.500000 27762292.00 5524263.16 Agency Mortgage-Backed Securities FEDERAL NAT MORT ADJUSTABLE RATE MBS 2042-05-01 4.181000 583537.00 270877.63 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORT BACKED SECURITY 2048-11-01 4.000000 3396829.00 3474859.78 Agency Mortgage-Backed Securities Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2019-02-01 2019-02-01 2019-02-01 N N N 0.0257 9000000.00 9000000.00 0.0117 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc. 2.550000% BRTQD7PR6 MBNUM2BPBDO7JBLYG310 0000315030 08699B005_2.55_0201 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S Treasury Note 254900HROIFWPRGM1V77 2026-02-15 1.625000 6300.00 5951.06 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-07-18 0.00 37419100.00 36994019.02 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-06-20 0.00 732300.00 725480.09 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-05-23 0.00 14400.00 14293.61 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-04-25 0.00 200.00 198.90 U.S. Treasuries (including strips) U.S Treasury Bill 254900HROIFWPRGM1V77 2019-03-28 0.00 100.00 99.63 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. 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Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-03-12 2019-06-12 2019-06-12 N N N 0.0243 2166151.48 2166151.48 0.0028 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.632000% 3130ABL38 2549001DPIFGXC1TOL40 US3130ABL382 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-03-20 2019-06-20 2019-06-20 N N N 0.0250 2830809.54 2830809.54 0.0037 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.632000% 3130ABL53 2549001DPIFGXC1TOL40 US3130ABL531 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-03-20 2019-06-20 2019-06-20 N N N 0.0250 2315662.23 2315662.23 0.0030 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.632000% 3130ABLG9 2549001DPIFGXC1TOL40 US3130ABLG92 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-03-20 2019-06-20 2019-06-20 N N N 0.0250 5001430.30 5001430.30 0.0065 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.449000% 3130AC5L4 2549001DPIFGXC1TOL40 US3130AC5L46 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-02-11 2019-02-11 2019-02-11 N N N 0.0241 1550010.90 1550010.90 0.0020 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.664000% 3130AD6C1 2549001DPIFGXC1TOL40 US3130AD6C10 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-03-19 2019-12-19 2019-12-19 N N N 0.0254 2731338.71 2731338.71 0.0036 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.422000% 3130ADQ70 2549001DPIFGXC1TOL40 US3130ADQ700 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-02-27 2019-08-27 2019-08-27 N N N 0.0249 5378210.45 5378210.45 0.0070 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.468000% 3130AE2K5 2549001DPIFGXC1TOL40 US3130AE2K53 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-02-17 2020-04-17 2020-04-17 N N N 0.0251 9080562.71 9080562.71 0.0118 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.395000% 3130AE4V9 2549001DPIFGXC1TOL40 US3130AE4V90 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-02-25 2019-02-25 2019-02-25 N N N 0.0242 4049936.13 4049936.13 0.0053 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.390000% 3130AED72 2549001DPIFGXC1TOL40 US3130AED722 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-02-25 2019-03-25 2019-03-25 N N N 0.0244 19998489.20 19998489.20 0.0260 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.398000% 3130AEN89 2549001DPIFGXC1TOL40 US3130AEN895 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-02-19 2019-07-19 2019-07-19 N N N 0.0249 10885957.85 10885957.85 0.0142 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.390000% 3130AEQK9 2549001DPIFGXC1TOL40 US3130AEQK98 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-02-01 2019-02-01 2019-02-01 N N N 0.0239 4445000.00 4445000.00 0.0058 N Y Y N Federal Home Loan Banks Federal Home Loan Banks 2.459000% 3130AETR1 2549001DPIFGXC1TOL40 US3130AETR15 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. 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