N-MFP2 0000914036 XXXXXXXX 2019-04-30 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 45 108 348234198.71 377716831.35 389870010.48 386428781.41 0.00 463778376.43 449033981.75 450475447.49 445923911.59 0.00 0.4875 0.5227 0.5350 0.5273 0.0000 0.6493 0.6213 0.6182 0.6085 0.0000 0.00 733964148.56 733942451.15 292361.02 6480480.97 727754331.20 72775264.3800 10.0000 0.0249 10.0008 10.0008 10.0009 10.0006 0.0000 C000007706 1.00 477824031.52 47782008.5000 10.0009 10.0009 10.0010 10.0007 0.0000 2100445.81 11949460.96 8404162.88 4522923.12 14298259.13 660186.72 8904818.05 5104086.94 0.00 0.00 34074884.54 25800796.91 0.0201 N C000007707 1.00 249930299.68 24993255.8700 10.0007 10.0007 10.0008 10.0005 0.0000 87292.27 3425722.98 1297688.99 2185160.85 231463.75 4033381.65 5160498.57 3171998.94 0.00 0.00 7103602.80 14598384.35 0.0176 N Bank of Nova Scotia Bank of Nova Scotia 2.750000% BRTT1K1C3 L3I9ZG2KFGXZ61BMYR72 0001041839 04999J004_2.75_0501 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 254900HROIFWPRGM1V77 2026-01-31 2.625000 22943000.00 23382444.01 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2021-11-15 2.875000 200.00 205.52 U.S. Treasuries (including strips) U.S. Treasury Bill N.A. 2019-06-20 0.00 600.00 597.97 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2021-09-30 1.125000 18764000.00 18279928.79 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2022-02-15 2.000000 54900.00 54721.27 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2027-08-15 2.250000 4237900.00 4181236.94 U.S. Treasuries (including strips) TREASURY INFLATION ADJUSTED NOTE 2022-04-15 0.125000 4964300.00 5104587.68 U.S. Treasuries (including strips) U.S. TREASURY BOND 2046-02-15 2.500000 200.00 183.96 U.S. Treasuries (including strips) Y Fitch, Inc. 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P-1 Standard and Poor's Ratings Services A-1 2019-05-01 2019-05-01 2019-05-01 N N N 0.0275 50000000.00 50000000.00 0.0687 N Y Y N BNP Paribas BNP Paribas 2.770000% BRTT1K174 R0MUWSFPU8MPRO8K5P83 0001197610 05599Y002_2.77_0501 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Bill N.A. 2019-08-22 0.00 12332900.00 12240033.26 U.S. Treasuries (including strips) GNMA II SINGLE FAMILY LOAN POOL 15-30 YR 2041-06-20 4.500000 13244977.00 2139931.43 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORT BACKED SECURITY 2048-01-01 3.500000 1052.00 973.83 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORT BACKED SECURITY 2048-08-01 4.500000 1012420.00 1016237.81 Agency Mortgage-Backed Securities U.S. TREASURY STRIP INTEREST PAYMENT 2048-05-15 0.00 11.13 4.57 U.S. Treasuries (including strips) GNMA I SINGLE FAMILY LOAN POOL 15-30 YR 2034-02-15 6.000000 21994226.00 644457.84 Agency Mortgage-Backed Securities U.S. TREASURY BOND 2048-11-15 3.375000 2000.00 2194.42 U.S. Treasuries (including strips) GNMA I SINGLE FAMILY LOAN POOL 15-30 YR 2039-02-15 5.000000 1508418.00 115142.06 Agency Mortgage-Backed Securities GNMA II SINGLE FAMILY PLATINUM POOL 2041-06-20 6.000000 64037.00 6296.27 Agency Mortgage-Backed Securities GNMA I SINGLE FAMILY PLATINUM POOL 30 YR 2033-04-15 5.500000 219359163.00 5264641.78 Agency Mortgage-Backed Securities Y Fitch, Inc. 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P-1 Standard and Poor's Ratings Services A-1 2019-05-01 2019-05-01 2019-05-01 N N N 0.0277 21000000.00 21000000.00 0.0289 N Y Y N Bank of Montreal Bank of Montreal 2.740000% BRTT1K281 NQQ6HPCNCCU6TUTQYE16 0000009622 06399G001_2.74_0501 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 254900HROIFWPRGM1V77 2024-05-15 2.500000 49700.00 50667.86 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2020-01-31 2.000000 2057500.00 2061032.99 U.S. Treasuries (including strips) U.S. Treasury Bill N.A. 2019-10-10 0.00 100.00 98.92 U.S. Treasuries (including strips) U.S. Treasury Bill N.A. 2019-05-23 0.00 100.00 99.84 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2027-05-15 2.375000 1606900.00 1612670.19 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2021-03-31 2.250000 629000.00 629398.95 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2021-01-15 2.000000 556600.00 556739.77 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2027-11-15 2.250000 2960400.00 2933808.74 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2020-10-15 1.625000 3275600.00 3243485.96 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2024-09-30 2.125000 11460000.00 11350577.67 U.S. Treasuries (including strips) U.S. Treasury Bill N.A. 2019-11-07 0.00 300.00 296.24 U.S. Treasuries (including strips) U.S. TREASURY NONCALLABLE STRIP 2046-02-15 0.00 2600.00 1162.36 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2019-05-01 2019-05-01 2019-05-01 N N N 0.0274 22000000.00 22000000.00 0.0302 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc. 2.750000% BRTT1K1H2 MBNUM2BPBDO7JBLYG310 0000315030 08699B005_2.75_0501 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 254900HROIFWPRGM1V77 2023-06-30 1.375000 845800.00 818529.73 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2021-07-31 1.125000 100.00 97.73 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2019-07-15 0.750000 16100.00 16077.85 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2021-06-30 1.125000 42642800.00 41770724.11 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2019-06-15 0.875000 15483100.00 15502271.65 U.S. Treasuries (including strips) U.S. Treasury Note 254900HROIFWPRGM1V77 2021-09-30 2.125000 32100.00 32034.25 U.S. Treasuries (including strips) TREASURY INFLATION ADJUSTED NOTE 2026-07-15 0.125000 300.00 308.63 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2019-05-01 2019-05-01 2019-05-01 N N N 0.0275 57000000.00 57000000.00 0.0783 N Y Y N Credit Agricole Corporate And Investment Bank SA Credit Agricole Corporate And Investment Bank SA 2.750000% BRTT1K0H3 1VUV7VQFKUOQSJ21A208 0001330437 22599G006_2.75_0501 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GNMA II SINGLE FAMILY LOAN POOL 15-30 YR 2049-02-20 4.000000 4959969.00 5100000.20 Agency Mortgage-Backed Securities Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2019-05-01 2019-05-01 2019-05-01 N N N 0.0275 5000000.00 5000000.00 0.0069 N Y Y N Federal Home Loan Banks Federal Home Loan Banks 2.437000% 3130ABK54 2549001DPIFGXC1TOL40 US3130ABK541 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-06-12 2019-06-12 2019-06-12 N N N 0.0237 2165104.63 2165104.63 0.0030 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.473000% 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+ 2019-06-20 2019-06-20 2019-06-20 N N N 0.0234 2830276.20 2830276.20 0.0039 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.473000% 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+ 2019-06-20 2019-06-20 2019-06-20 N N N 0.0234 2315219.00 2315219.00 0.0032 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.473000% 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+ 2019-06-20 2019-06-20 2019-06-20 N N N 0.0234 5000488.00 5000488.00 0.0069 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.485000% 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+ 2019-06-19 2019-12-19 2019-12-19 N N N 0.0237 2731053.34 2731053.34 0.0038 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.399000% 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+ 2019-05-27 2019-08-27 2019-08-27 N N N 0.0246 5378896.56 5378896.56 0.0074 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.434000% 3130AE2K5 2549001DPIFGXC1TOL40 US3130AE2K53 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. 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Agency Standard and Poor's Ratings Services AA+ 2019-05-09 2019-09-09 2019-09-09 N N N 0.0246 8343094.92 8343094.92 0.0115 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.452000% 3130AFA23 2549001DPIFGXC1TOL40 US3130AFA238 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-07-20 2020-04-20 2020-04-20 N N N 0.0246 4283912.64 4283912.64 0.0059 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.409000% 3130AFKY2 2549001DPIFGXC1TOL40 US3130AFKY22 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-05-17 2019-09-17 2019-09-17 N N N 0.0246 3284441.62 3284441.62 0.0045 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.520000% 3130AFLK1 2549001DPIFGXC1TOL40 US3130AFLK19 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. 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Agency Standard and Poor's Ratings Services AA+ 2019-05-01 2020-07-24 2020-07-24 N N N 0.0258 1069717.21 1069717.21 0.0015 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.449000% 3130AFUC9 2549001DPIFGXC1TOL40 US3130AFUC91 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-05-04 2020-08-04 2020-08-04 N N N 0.0250 2178611.68 2178611.68 0.0030 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.430000% 3130AFUT2 2549001DPIFGXC1TOL40 US3130AFUT27 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-06-07 2019-06-07 2019-06-07 N N N 0.0237 3510150.65 3510150.65 0.0048 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.490000% 3130AFVU8 2549001DPIFGXC1TOL40 US3130AFVU80 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-05-01 2019-11-13 2019-11-13 N N N 0.0255 4873462.67 4873462.67 0.0067 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.437000% 3130AFXE2 2549001DPIFGXC1TOL40 US3130AFXE21 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-05-25 2020-02-25 2020-02-25 N N N 0.0248 3289055.08 3289055.08 0.0045 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.500000% 3130AFXS1 2549001DPIFGXC1TOL40 US3130AFXS17 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services AA+ 2019-05-01 2019-08-27 2019-08-27 N N N 0.0252 2014840.09 2014840.09 0.0028 N N N N Federal Home Loan Banks Federal Home Loan Banks 2.510000% 3130AG2E4 2549001DPIFGXC1TOL40 US3130AG2E49 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. 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Agency Standard and Poor's Ratings Services A-1+ 2019-07-10 2019-07-10 2019-07-10 N N N 0.0244 7022076.64 7022076.64 0.0096 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384JA8 2549001DPIFGXC1TOL40 US313384JA85 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-07-12 2019-07-12 2019-07-12 N N N 0.0245 4428640.00 4428640.00 0.0061 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384JE0 2549001DPIFGXC1TOL40 US313384JE08 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-07-16 2019-07-16 2019-07-16 N N N 0.0245 3432519.99 3432519.99 0.0047 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384JH3 2549001DPIFGXC1TOL40 US313384JH39 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-07-19 2019-07-19 2019-07-19 N N N 0.0245 1745757.00 1745757.00 0.0024 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384JN0 2549001DPIFGXC1TOL40 US313384JN07 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-07-24 2019-07-24 2019-07-24 N N N 0.0245 1218140.00 1218140.00 0.0017 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384JQ3 2549001DPIFGXC1TOL40 US313384JQ38 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-07-26 2019-07-26 2019-07-26 N N N 0.0245 1461572.00 1461572.00 0.0020 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384JU4 2549001DPIFGXC1TOL40 US313384JU40 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-07-30 2019-07-30 2019-07-30 N N N 0.0245 4940180.00 4940180.00 0.0068 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384KA6 2549001DPIFGXC1TOL40 US313384KA66 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-08-05 2019-08-05 2019-08-05 N N N 0.0245 5911920.00 5911920.00 0.0081 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384LN7 2549001DPIFGXC1TOL40 US313384LN78 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-09-10 2019-09-10 2019-09-10 N N N 0.0244 9139202.10 9139202.10 0.0126 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384LY3 2549001DPIFGXC1TOL40 US313384LY34 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-09-20 2019-09-20 2019-09-20 N N N 0.0245 12164233.74 12164233.74 0.0167 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384MF3 2549001DPIFGXC1TOL40 US313384MF36 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-09-27 2019-09-27 2019-09-27 N N N 0.0245 8336709.87 8336709.87 0.0115 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384MT3 2549001DPIFGXC1TOL40 US313384MT30 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-10-09 2019-10-09 2019-10-09 N N N 0.0245 1909370.98 1909370.98 0.0026 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384MV8 2549001DPIFGXC1TOL40 US313384MV85 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-10-11 2019-10-11 2019-10-11 N N N 0.0245 1726116.67 1726116.67 0.0024 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384MZ9 2549001DPIFGXC1TOL40 US313384MZ99 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-10-15 2019-10-15 2019-10-15 N N N 0.0245 2848069.62 2848069.62 0.0039 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384NF2 2549001DPIFGXC1TOL40 US313384NF27 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. Agency Standard and Poor's Ratings Services A-1+ 2019-10-21 2019-10-21 2019-10-21 N N N 0.0245 3148419.38 3148419.38 0.0043 N N N N Federal Home Loan Banks Federal Home Loan Banks 313384NH8 2549001DPIFGXC1TOL40 US313384NH82 U.S. Government Agency Debt Y Fitch, Inc. Agency Moody's Investors Service, Inc. 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